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September 26, 2016
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Registration Statement Nos. 333-209682 and 333-209682-01; Rule 424(b)(2)
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JPMorgan Chase Financial Company LLC
Structured Investments
$1,000,000
Auto Callable Contingent Interest Notes Linked to the Class A Common Stock
of Facebook, Inc. due October 1, 2018
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
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The notes are designed for investors who seek a Contingent Interest Payment with respect to each Review Date for which the closing price of one share of the Reference Stock is greater than or equal to 75.00% of the
Initial Value, which we refer to as the Interest Barrier.
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The notes will be automatically called if the closing price of one share of the Reference Stock on any Review Date (other than the first and final Review Dates) is greater than or equal to the Initial Value.
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The earliest date on which an automatic call may be initiated is March 27, 2017.
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Investors in the notes should also be willing to accept the risk of losing some or all of their principal and the risk that no Contingent Interest Payment may be made with respect to some or all Review Dates.
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Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive Contingent Interest Payments.
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The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase
& Co.
Any payment on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor of the notes.
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Minimum denominations of $1,000 and integral multiples thereof
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The notes priced on September 26, 2016 and are expected to settle on or about September 28, 2016.
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Investing in the notes involves a number of risks. See Risk Factors beginning on page PS-10 of the accompanying product supplement
and Selected Risk Considerations beginning on page PS-5 of this pricing supplement.
Neither the Securities and Exchange Commission
(the SEC) nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing supplement or the accompanying product supplement, prospectus supplement and
prospectus. Any representation to the contrary is a criminal offense.
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Price to Public (1)
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Fees and Commissions (2)
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Proceeds to Issuer
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Per note
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$1,000
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$19.50
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$980.50
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Total
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$1,000,000
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$19,500
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$980,500
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(1) See Supplemental Use of Proceeds in this pricing
supplement for information about the components of the price to public of the notes.
(2) J.P.
Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions of $19.50 per $1,000 principal amount note it receives from us to other affiliated or unaffiliated dealers. See
Plan of Distribution (Conflicts of Interest) in the accompanying product supplement.
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The estimated value of the notes, when the terms of the notes were set, was $972.60 per $1,000 principal amount
note. See The Estimated Value of the Notes in this pricing supplement for additional information.
The notes are not bank
deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
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Pricing supplement to product supplement no. 4-I dated April 15, 2016
and the prospectus and prospectus supplement, each dated April 15, 2016
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Key Terms
Issuer:
JPMorgan Chase
Financial Company LLC
Guarantor:
JPMorgan Chase & Co.
Reference Stock:
The Class A common stock, par value
$0.000006 per share, of Facebook, Inc. (Bloomberg ticker: FB). We refer to Facebook, Inc. as Facebook.
Contingent Interest Payments:
If the notes have not been automatically called and the closing price of one share
of the Reference Stock on any Review Date is greater than or equal to the Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal amount note a Contingent Interest Payment equal to $9.00 (equivalent to a
Contingent Interest Rate of 9.00% per annum, payable at a rate of 2.25% per quarter).
If the closing price of one share of the Reference Stock on any Review Date
is less than the Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date.
Contingent Interest Rate:
9.00% per annum, payable at a rate of 2.25% per
quarter
Interest Barrier / Trigger Value:
75.00% of the Initial
Value, which is $95.4825
Pricing Date:
September 26, 2016
Original Issue Date (Settlement Date):
On or about September 28,
2016
Review Dates*:
December 27, 2016, March 27, 2017, June 26,
2017, September 26, 2017, December 26, 2017, March 26, 2018, June 26, 2018, September 26, 2018 (final Review Date)
Interest Payment Dates*:
December 30, 2016, March 30, 2017, June 29, 2017, September 29, 2017, December 29, 2017, March 29, 2018, June 29, 2018 and the Maturity
Date
Maturity Date*:
October 1, 2018
Call Settlement Date*:
If the notes are automatically called on any Review
Date (other than the first and final Review Dates), the first Interest Payment Date immediately following that Review Date
* Subject to postponement in the
event of a market disruption event and as described under General Terms of Notes Postponement of a Determination Date Notes Linked to a Single Underlying Notes Linked to a Single Underlying (Other Than a Commodity
Index) and General Terms of Notes Postponement of a Payment Date in the accompanying product supplement
Automatic Call:
If the closing price of one share of the Reference Stock on any Review Date (other than the first and final Review Dates) is greater than or equal to the Initial Value,
the notes will be automatically called for a cash payment, for each $1,000 principal amount note, equal to (a) $1,000
plus
(b) the Contingent Interest Payment applicable to that Review Date, payable on the applicable Call Settlement
Date. No further payments will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called and (i) the Final Value is greater than or equal to the Initial Value or (ii) a Trigger Event has not occurred, you will
receive a cash payment at maturity, for each $1,000 principal amount note, equal to (a) $1,000
plus
(b) the Contingent Interest Payment applicable to the final Review Date.
If the notes have not been automatically called and (i) the Final Value is less than the Initial Value and (ii) a Trigger Event has occurred, your payment at maturity per
$1,000 principal amount note, in addition to any Contingent Interest Payment, will be calculated as follows:
$1,000 + ($1,000 × Stock Return)
If the notes have not been automatically called and (i) the Final Value is less than the Initial Value and (ii) a Trigger Event has occurred, you will lose some
or all of your principal amount at maturity.
Trigger Event:
A
Trigger Event occurs if, on any day during the Monitoring Period, the closing price of one share of the Reference Stock is less than the Trigger Value
Monitoring Period:
The period from but excluding the Pricing Date to and including the final Review Date
Stock Return:
(Final Value
Initial Value)
Initial Value
Initial Value:
The closing price of one share of the Reference Stock on the Pricing Date, which was $127.31
Final Value:
The closing price of one share of the Reference Stock on the
final Review Date
Stock Adjustment Factor:
The Stock Adjustment
Factor is referenced in determining the closing price of one share of the Reference Stock and is set equal to 1.0 on the Pricing Date. The Stock Adjustment Factor is subject to adjustment upon the occurrence of certain corporate events
affecting the Reference Stock. See The Underlyings Reference Stocks Anti-Dilution Adjustments and The Underlyings Reference Stocks Reorganization Events in the accompanying product supplement
for further information.
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PS-1 | Structured
Investments
Auto Callable Contingent Interest Notes Linked to the Class A Common Stock of Facebook, Inc.
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How the Notes Work
Payment in Connection with the First
Review Date
Payments in Connection with Review
Dates (Other than the First and Final Review Dates)
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PS-2 | Structured
Investments
Auto Callable Contingent Interest Notes Linked to the Class A Common Stock of Facebook, Inc.
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Payment at Maturity If the Notes Have Not Been Automatically Called
Total Contingent Interest Payments
The table below illustrates the total Contingent Interest Payments per $1,000 principal amount note over the term of the notes based on the Contingent
Interest Rate of 9.00% per annum, depending on how many Contingent Interest Payments are made prior to automatic call or maturity.
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Number of Contingent
Interest Payments
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Total Contingent
Interest Payments
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8
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$180.00
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7
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$157.50
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6
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$135.00
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5
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$112.50
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4
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$90.00
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3
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$67.50
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2
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$45.00
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1
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$22.50
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0
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$0.00
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PS-3 | Structured
Investments
Auto Callable Contingent Interest Notes Linked to the Class A Common Stock of Facebook, Inc.
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Hypothetical Payout Examples
The following examples illustrate payments on the notes linked
to a hypothetical Reference Stock, assuming a range of performances for the hypothetical Reference Stock on the Review Dates. The hypothetical payments set forth below assume the following:
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an Initial Value of $100.00;
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an Interest Barrier and a Trigger Value of $75.00 (equal to 75.00% of the hypothetical Initial Value); and
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a Contingent Interest Rate of 9.00% per annum (payable at a rate of 2.25% per quarter).
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The hypothetical Initial Value
of $100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value. The actual Initial Value is the closing price of one share of the Reference Stock on the Pricing Date and is specified under Key
Terms - Initial Value in this pricing supplement. For historical data regarding the actual closing prices of one share of the Reference Stock, please see the historical information set forth under The Reference Stock in this
pricing supplement.
Each hypothetical payment set forth below is for illustrative purposes only and may not be the actual payment applicable to a purchaser of the
notes. The numbers appearing in the following examples have been rounded for ease of analysis.
Example 1 Notes are
automatically called on the second Review Date.
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Date
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Closing Price
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Payment (per $1,000 principal amount note)
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First Review Date
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$105.00
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$22.50
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Second Review Date
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$105.00
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1,022.50
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Total Payment
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$1,045.00 (4.50% return)
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Because the closing price of one share of the Reference Stock on the second Review Date is greater than or equal to the Initial Value,
the notes will be automatically called for a cash payment, for each $1,000 principal amount note, of $1,022.50 (or $1,000
plus
the Contingent Interest Payment applicable to the second Review Date), payable on the applicable Call Settlement
Date. The notes are not automatically callable before the second Review Date, even though the closing price of one share of the Reference Stock on the first Review Date is greater than the Initial Value. When added to the Contingent
Interest Payments received with respect to the prior Review Date, the total amount paid, for each $1,000 principal amount note, is $1,045.00. No further payments will be made on the notes.
Example 2 Notes have NOT been automatically called, the Final Value is greater than or equal to the Initial Value and a Trigger Event
has occurred.
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Date
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Closing Price
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Payment (per $1,000 principal amount note)
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First Review Date
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$95.00
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$22.50
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Second Review Date
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$85.00
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$22.50
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Third Review Date
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$60.00
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$0
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Fourth through Seventh Review Dates
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All Above Interest
Barrier
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$22.50
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Final Review Date
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$105.00
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$1,022.50
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Total Payment
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$1,157.50 (15.75% return)
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Because the notes have not been automatically called and the Final Value is greater than or equal to the Initial Value (and, therefore,
the Interest Barrier), even though a Trigger Event has occurred, the payment at maturity, for each $1,000 principal amount note, will be $1,022.50 (or $1,000
plus
the Contingent Interest Payment applicable to the final Review Date). When
added to the Contingent Interest Payments received with respect to the prior Review Dates, the total amount paid, for each $1,000 principal amount note, is $1,157.50.
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PS-4 | Structured
Investments
Auto Callable Contingent Interest Notes Linked to the Class A Common Stock of Facebook, Inc.
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Example 3 Notes have NOT been automatically called, the Final Value is less than the
Initial Value and a Trigger Event has NOT occurred.
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Date
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Closing Price
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Payment (per $1,000 principal amount note)
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First Review Date
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$95.00
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$22.50
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Second Review Date
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$95.00
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$22.50
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Third Review Date
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$85.00
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$22.50
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Fourth through Seventh Review Dates
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All Above Interest
Barrier
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$22.50
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Final Review Date
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$75.00
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$1,022.50
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Total Payment
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$1,180.00 (18.00% return)
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Because the notes have not been automatically called, the Final Value is greater than or equal to the Interest Barrier and a Trigger
Event has not occurred, even though the Final Value is less than the Initial Value, the payment at maturity, for each $1,000 principal amount note, will be $1,022.50 (or $1,000
plus
the Contingent Interest Payment applicable to the final
Review Date). When added to the Contingent Interest Payments received with respect to the prior Review Dates, the total amount paid, for each $1,000 principal amount note, is $1,180.00.
Example 4 Notes have NOT been automatically called, the Final Value is less than the Initial Value and the Interest Barrier and a
Trigger Event has occurred.
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Date
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Closing Price
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Payment (per $1,000 principal amount note)
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First Review Date
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$60.00
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$0
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Second Review Date
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$55.00
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$0
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Third Review Date
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$45.00
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$0
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Fourth through Seventh Review Dates
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All Below Interest
Barrier
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$0
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Final Review Date
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$50.00
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$500.00
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Total Payment
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$500 (-50.00% return)
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Because the notes have not been automatically called, the Final Value of the Reference Stock is less than the Initial Value and the
Interest Barrier, a Trigger Event has occurred and the Stock Return is -50.00%, the payment at maturity will be $500.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)] = $500.00
The hypothetical returns and
hypothetical payments on the notes shown above apply
only if you hold the notes for their entire term
or until automatically called.
These hypotheticals do not reflect the fees or expenses that would be associated with any sale in
the secondary market. If these fees and expenses were included, the hypothetical returns and hypothetical payments shown above would likely be lower.
Selected Risk Considerations
An investment in the notes involves significant risks. These risks are explained in more detail in the Risk Factors section of the accompanying product
supplement.
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YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS
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The notes do not guarantee any return of
principal. If the notes have not been automatically called and (i) the Final Value is less than the Initial Value and (ii) a Trigger Event has occurred, you will lose 1% of the principal amount of your notes for every 1% that the Final Value is
less than the Initial Value. Accordingly, under these circumstances, you will lose some or all of your principal amount at maturity.
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PS-5 | Structured
Investments
Auto Callable Contingent Interest Notes Linked to the Class A Common Stock of Facebook, Inc.
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THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL
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If
the notes have not been automatically called, we will make a Contingent Interest Payment with respect to a Review Date only if the closing price of one share of the Reference Stock on that Review Date is greater than or equal to the Interest
Barrier. If the closing price of one share of the Reference Stock on that Review Date is less than the Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date. Accordingly, if the closing price of one
share of the Reference Stock on each Review Date is less than the Interest Barrier, you will not receive any interest payments over the term of the notes.
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CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO.
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Investors are dependent on
our and JPMorgan Chase & Co.s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.s creditworthiness or credit spreads, as determined by the market for taking that credit
risk, is likely to adversely affect the value of the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed to you under the notes and you could lose your entire investment.
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AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
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As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of our
securities. Aside from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates to make payments under loans made by us or other intercompany agreements. As a
result, we are dependent upon payments from our affiliates to meet our obligations under the notes. If these affiliates do not make payments to us and we fail to make payments on the notes, you may have to seek payment under the related
guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
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THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS THAT MAY BE PAID OVER THE TERM OF THE NOTES,
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regardless of any appreciation in the price of the Reference Stock, which may be significant. You will not participate in any appreciation in the
price of the Reference Stock.
We and our affiliates play a variety of roles in connection with the
notes. In performing these duties, our and JPMorgan Chase & Co.s economic interests are potentially adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours or our
affiliates in connection with the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer to Risk Factors Risks Relating to Conflicts of Interest in the
accompanying product supplement.
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THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON ANY DAY DURING THE MONITORING PERIOD
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If, on any day during the Monitoring Period, the closing price of one share of the Reference Stock is less than the Trigger Value (
i.e.
, a Trigger
Event occurs) and the notes have not been automatically called, the benefit provided by the Trigger Value will terminate and you will be fully exposed to any depreciation in the closing price of one share of the Reference Stock. You will be
subject to this potential loss of principal even if the Reference Stock subsequently recovers such that the closing price of one share of the Reference Stock is greater than or equal to the Trigger Value.
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THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT
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If your notes are automatically
called, the term of the notes may be reduced to as short as approximately six months and you will not receive any Contingent Interest Payments after the applicable Call Settlement Date. There is no guarantee that you would be able to reinvest
the proceeds from an investment in the notes at a comparable return and/or with a comparable interest rate for a similar level of risk. Even in cases where the notes are called before maturity, you are not entitled to any fees and commissions
described on the front cover of this pricing supplement.
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YOU WILL NOT RECEIVE DIVIDENDS ON THE REFERENCE STOCK OR HAVE ANY RIGHTS WITH RESPECT TO THE REFERENCE STOCK.
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NO AFFILIATION WITH THE REFERENCE STOCK ISSUER
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We have not independently verified any of
the information about the Reference Stock issuer contained in this pricing supplement. You should undertake your own investigation into the Reference Stock and its issuer. We are not responsible for the Reference Stock issuers public
disclosure of information, whether contained in SEC filings or otherwise.
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PS-6 | Structured
Investments
Auto Callable Contingent Interest Notes Linked to the Class A Common Stock of Facebook, Inc.
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THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY
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The calculation agent will not make an adjustment in response to all events that could affect the Reference Stock. The calculation agent may make
adjustments in response to events that are not described in the accompanying product supplement to account for any diluting or concentrative effect, but the calculation agent is under no obligation to do so or to consider your interests as a holder
of the notes in making these determinations.
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THE RISK OF THE CLOSING PRICE OF THE REFERENCE STOCK FALLING BELOW THE INTEREST BARRIER OR THE TRIGGER VALUE IS GREATER IF THE PRICE OF THE REFERENCE STOCK IS VOLATILE.
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The notes will not be listed on any securities
exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to
be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
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THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES
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The estimated value of the notes is only an estimate determined by reference to several factors. The original issue price of the notes exceeds the
estimated value of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include the selling commissions, the projected profits, if any, that our
affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. See The Estimated Value of the Notes in this pricing supplement.
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THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS ESTIMATES
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See The Estimated Value of the Notes in this pricing supplement.
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THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE
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The
internal funding rate used in the determination of the estimated value of the notes is based on, among other things, our and our affiliates view of the funding value of the notes as well as the higher issuance, operational and ongoing
liability management costs of the notes in comparison to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the
terms of the notes and any secondary market prices of the notes. See The Estimated Value of the Notes in this pricing supplement.
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THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD
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We generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you in
connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period. See Secondary Market Prices of the Notes in this pricing supplement for additional information
relating to this initial period. Accordingly, the estimated value of your notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account statements).
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SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES
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Any secondary market prices of the notes will likely be lower than the original issue price of the notes because, among other things, secondary market
prices take into account our internal secondary market funding rates for structured debt issuances and, also, because secondary market prices (a) exclude selling commissions and (b) may exclude projected hedging profits, if any, and estimated
hedging costs that are included in the original issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy the notes from you in secondary market transactions, if at all, is likely to be lower than the
original issue price. Any sale by you prior to the Maturity Date could result in a substantial loss to you.
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SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS
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The secondary market price of the notes during their term will be impacted by a number of economic and market factors, which may either offset or magnify
each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and the price of the Reference Stock. Additionally, independent pricing vendors and/or third party broker-dealers may publish a price for
the notes, which may also be reflected on customer account statements. This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes in the secondary market. See
Risk Factors Risks Relating to the Estimated Value and Secondary Market Prices of the Notes Secondary market prices of the notes will be impacted by many economic and market factors in the accompanying product supplement.
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PS-7 | Structured
Investments
Auto Callable Contingent Interest Notes Linked to the Class A Common Stock of Facebook, Inc.
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The Reference Stock
All information contained herein on the Reference Stock and on
Facebook is derived from publicly available sources, without independent verification. According to its publicly available filings with the SEC, Facebook builds products for users, developers and advertisers. The products allow (i) users to
stay connected with friends and family as well as share information, (ii) developers to build applications and websites that integrate with Facebook and (iii) advertisers to have access to information users have shared. The Class A common stock of
Facebook, par value $0.000006 per share (Bloomberg ticker: FB), is registered under the Securities Exchange Act of 1934, as amended, which we refer to as the Exchange Act, and is listed on The NASDAQ Stock Market, which we refer to as the relevant
exchange for purposes of Facebook in the accompanying product supplement. Information provided to or filed with the SEC by Facebook pursuant to the Exchange Act can be located by reference to SEC file number 001-35551, and can be accessed
through www.sec.gov. We do not make any representation that these publicly available documents are accurate or complete.
Historical
Information
The following graph sets forth the historical performance of the Reference Stock based on the weekly historical closing prices of one share of
the Reference Stock from May 18, 2012 through September 23, 2016. The closing price of one share of the Reference Stock on September 26, 2016 was $127.31. We obtained the closing prices above and below from the Bloomberg Professional
®
service (Bloomberg), without independent verification. The closing prices below have been adjusted by Bloomberg for corporate actions, such as stock splits, public offerings,
mergers and acquisitions, spin-offs, delistings and bankruptcy.
The historical closing prices of one share of the Reference Stock should not be taken as an
indication of future performance, and no assurance can be given as to the closing price of one share of the Reference Stock on any Review Date. There can be no assurance that the performance of the Reference Stock will result in the return of
any of your principal amount or the payment of any interest.
Tax Treatment
You should review carefully the section entitled
Material U.S. Federal Income Tax Consequences in the accompanying product supplement no. 4-I. In determining our reporting responsibilities we intend to treat (i) the notes for U.S. federal income tax purposes as prepaid forward
contracts with associated contingent coupons and (ii) any Contingent Interest Payments as ordinary income, as described in the section entitled Material U.S. Federal Income Tax Consequences Tax Consequences to U.S. Holders Notes
Treated as Prepaid Forward Contracts with Associated Contingent Coupons in the accompanying product supplement. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel, we believe that this is a reasonable treatment,
but that there are other reasonable treatments that the IRS or a court may adopt, in which case the timing and character of any income or loss on the notes could be materially affected. In addition, in 2007 Treasury and the IRS released a
notice requesting comments on the U.S. federal income tax treatment of prepaid forward contracts and similar instruments. The notice focuses in particular on whether to require
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PS-8 | Structured
Investments
Auto Callable Contingent Interest Notes Linked to the Class A Common Stock of Facebook, Inc.
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investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with
respect to these instruments and the relevance of factors such as the nature of the underlying property to which the instruments are linked. While the notice requests comments on appropriate transition rules and effective dates, any Treasury
regulations or other guidance promulgated after consideration of these issues could materially affect the tax consequences of an investment in the notes, possibly with retroactive effect. You should consult your tax adviser regarding the U.S.
federal income tax consequences of an investment in the notes, including possible alternative treatments and the issues presented by this notice.
Non-U.S.
Holders Tax Considerations
. The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and although we believe it is reasonable to take a position that Contingent Interest Payments are not subject to U.S.
withholding tax (at least if an applicable Form W-8 is provided), a withholding agent may nonetheless withhold on these payments (generally at a rate of 30%, subject to the possible reduction of that rate under an applicable income tax treaty),
unless income from your notes is effectively connected with your conduct of a trade or business in the United States (and, if an applicable treaty so requires, attributable to a permanent establishment in the United States). If you are not a
United States person, you are urged to consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes in light of your particular circumstances.
Non-U.S. holders should also note that recently promulgated Treasury regulations imposing a withholding tax on certain dividend equivalents under certain
equity linked instruments will not apply to the notes.
FATCA.
Withholding under legislation commonly referred to as FATCA could apply
to payments with respect to the notes that are treated as U.S.-source fixed or determinable annual or periodical income (FDAP Income) for U.S. federal income tax purposes (such as interest, if the notes are recharacterized,
in whole or in part, as debt instruments, or Contingent Interest Payments if they are otherwise treated as FDAP Income). Under a recent IRS notice, withholding under FATCA will not apply to payments of gross proceeds (other than any amount treated
as FDAP Income) of a taxable disposition, including an early redemption or redemption at maturity, of the notes. You should consult your tax adviser regarding the potential application of FATCA to the notes.
In the event of any withholding on the notes, we will not be required to pay any additional amounts with respect to amounts so withheld.
The Estimated Value of the Notes
The estimated value of the notes set forth on the cover of
this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative
or derivatives underlying the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time. The
internal funding rate used in the determination of the estimated value of the notes is based on, among other things, our and our affiliates view of the funding value of the notes as well as the higher issuance, operational and ongoing
liability management costs of the notes in comparison to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. For additional information, see Selected Risk Considerations The Estimated Value of the Notes Is
Derived by Reference to an Internal Funding Rate in this pricing supplement.
The value of the derivative or derivatives underlying the economic terms of the
notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and
which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments. Accordingly, the estimated value of the notes is determined when the terms of the notes are
set based on market conditions and other relevant factors and assumptions existing at that time.
The estimated value of the notes does not represent future values
of the notes and may differ from others estimates. Different pricing models and assumptions could provide valuations for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions
and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly based on, among other things, changes in market conditions, our or JPMorgan
Chase & Co.s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market transactions.
The estimated value of the notes is lower than the original issue price of the notes because costs associated with selling, structuring and hedging the notes are
included in the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks
inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may
result in a profit that is more or
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PS-9 | Structured
Investments
Auto Callable Contingent Interest Notes Linked to the Class A Common Stock of Facebook, Inc.
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less than expected, or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes may be allowed to other affiliated or unaffiliated
dealers, and we or one or more of our affiliates will retain any remaining hedging profits. See Selected Risk Considerations The Estimated Value of the Notes Is Lower Than the Original Issue Price (Price to Public) of the
Notes in this pricing supplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondary
market prices of the notes, see Risk Factors Risks Relating to the Estimated Value and Secondary Market Prices of the Notes Secondary market prices of the notes will be impacted by many economic and market factors in the
accompanying product supplement. In addition, we generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount
that will decline to zero over an initial predetermined period. These costs can include projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates for structured debt
issuances. This initial predetermined time period is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects the structure of the notes, whether our affiliates
expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates. See Selected Risk Considerations The Value of the Notes
as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period in this pricing supplement.
Supplemental Use of Proceeds
The notes are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the notes. See How the Notes Work and Hypothetical Payout Examples in this pricing supplement for an illustration of the risk-return profile of the
notes and The Reference Stock in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the
notes is equal to the estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent
in hedging our obligations under the notes, plus the estimated cost of hedging our obligations under the notes.
Validity of the Notes and
the Guarantee
In the opinion of Davis Polk
& Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by this pricing supplement have been executed and issued by JPMorgan Financial and authenticated by the trustee pursuant to
the indenture, and delivered against payment as contemplated herein, such notes will be valid and binding obligations of JPMorgan Financial and the related guarantee will constitute a valid and binding obligation of JPMorgan Chase & Co.,
enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors rights generally, concepts of reasonableness and equitable principles of general applicability (including, without
limitation, concepts of good faith, fair dealing and the lack of bad faith),
provided
that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the
conclusions expressed above. This opinion is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited Liability Company Act. In addition, this
opinion is subject to customary assumptions about the trustees authorization, execution and delivery of the indenture and its authentication of the notes and the validity, binding nature and enforceability of the indenture with respect to the
trustee, all as stated in the letter of such counsel dated February 24, 2016, which was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24, 2016.
Additional Terms Specific to the Notes
You should read this pricing supplement together with the
accompanying prospectus, as supplemented by the accompanying prospectus supplement, relating to our Series A medium-term notes of which these notes are a part, and the more detailed information contained in the accompanying product
supplement. This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or
indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth in
the Risk Factors section of the accompanying product supplement, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before
you invest in the notes.
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PS-10 | Structured
Investments
Auto Callable Contingent Interest Notes Linked to the Class A Common Stock of Facebook, Inc.
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You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing
our filings for the relevant date on the SEC website):
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Product supplement no. 4-I dated April 15, 2016:
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http://www.sec.gov/Archives/edgar/data/19617/000095010316012644/crt_dp64831-424b2.pdf
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Prospectus supplement and prospectus, each dated April 15, 2016:
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http://www.sec.gov/Archives/edgar/data/19617/000095010316012636/crt_dp64952-424b2.pdf
Our Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.s CIK is 19617. As used in this pricing
supplement, we, us and our refer to JPMorgan Financial.
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PS-11 | Structured
Investments
Auto Callable Contingent Interest Notes Linked to the Class A Common Stock of Facebook, Inc.
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