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October 21, 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
$2,519,000
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Common Stock of Apple Inc., the Class A Common Stock of Facebook, Inc. and the Class A Common Stock of Alphabet Inc. due October 26, 2017
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
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●
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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 each of the Reference Stocks is greater than or equal to 70.00% of
its Initial Value, which we refer to as an Interest Barrier.
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●
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The notes will be automatically called if the closing price of one share of each Reference Stock on any Review Date (other than the final Review Date) is greater than or equal to its Initial Value.
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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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●
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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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●
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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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●
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Payments on the notes are not linked to a basket composed of the Reference Stocks. Payments on the notes are linked to the performance of each of the Reference Stocks individually, as described below.
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Minimum denominations of $1,000 and integral multiples thereof
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●
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The notes priced on October 21, 2016 and are expected to settle on or about October 26, 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-6 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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$25
|
|
$975
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Total
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$2,519,000
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$62,975
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$2,456,025
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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 $25.00 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.
|
The estimated value of the notes, when the terms of the notes were set, was $954.40 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 Stocks:
As specified under Key Terms Relating to the Reference Stocks in this pricing
supplement
Contingent Interest Payments:
If the notes have not been automatically called and the closing price of one share of each Reference Stock on any Review Date is greater than or equal to its Interest
Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal amount note a Contingent Interest Payment equal to $25.00 (equivalent to a Contingent Interest Rate of 10.00% per annum, payable at a rate of 2.50% per
quarter).
If the closing price of one share of any Reference Stock on any Review Date is less than its Interest Barrier, no Contingent Interest Payment will be
made with respect to that Review Date.
Contingent Interest Rate:
10.00% per annum, payable at a
rate of 2.50% per quarter
Interest Barrier / Trigger Value:
With respect to each Reference Stock,
70.00% of its Initial Value, as specified under Key Terms Relating to the Reference Stocks in this pricing supplement
Pricing Date:
October 21, 2016
Original Issue Date
(Settlement Date):
On or about October 26, 2016
Review Dates*:
January 23, 2017, April 21,
2017, July 21, 2017 and October 23, 2017 (final Review Date)
Interest Payment Dates*:
January 30, 2017,
April 28, 2017, July 28, 2017 and the Maturity Date
Maturity Date*:
October 26, 2017
Call Settlement Date*:
If the notes are automatically called on any Review Date (other than the final Review
Date), 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 Multiple Underlyings 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 each Reference Stock on any Review Date (other than the final Review Date) is greater than or equal to its 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 the Final Value of each Reference Stock is greater than or equal to its Trigger Value, 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 the Final Value of any Reference Stock is less than its Trigger Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Least Performing Stock Return)
If the notes
have not been automatically called and the Final Value of any Reference Stock is less than its Trigger Value, you will lose more than 30.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
Least Performing Reference Stock:
The Reference Stock with the Least Performing Stock Return
Least Performing Stock Return:
The lowest of the Stock Returns of the Reference Stocks
Stock Return:
With respect to each Reference Stock,
(Final Value Initial Value)
Initial Value
Initial Value:
With respect to each Reference Stock, the closing price of one share of that Reference
Stock on the Pricing Date, as specified under Key Terms Relating to the Reference Stock in this pricing supplement.
Final Value:
With respect to each Reference Stock, the closing price of one share of that Reference Stock on the final Review Date
Stock Adjustment Factor:
With respect to each Reference Stock, the Stock Adjustment Factor is referenced in
determining the closing price of one share of that Reference Stock and is set equal to 1.0 on the Pricing Date. The Stock Adjustment Factor of each Reference Stock is subject to adjustment upon the occurrence of certain corporate events
affecting that 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 Least Performing of the Common Stock of Apple Inc., the Class A Common Stock of Facebook, Inc. and the Class A Common Stock of Alphabet Inc.
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Key Terms Relating to the Reference Stocks
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Reference Stock
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Bloomberg
Ticker Symbol
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|
Initial Value
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|
Interest Barrier /
Trigger Value
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Common stock of Apple Inc., par value $0.00001 per share
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AAPL
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$116.60
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$81.62
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Class A common stock of Facebook, Inc., par value $0.000006 per share
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FB
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$132.07
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$92.449
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Class A common stock of Alphabet Inc., no par value
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GOOGL
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$824.06
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$576.842
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How the Notes Work
Payments in Connection with Review
Dates Preceding the Final Review Date
Payment at Maturity If the Notes Have Not Been Automatically Called
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PS-2 | Structured
Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Apple Inc., the Class A Common Stock of Facebook, Inc. and the Class A Common Stock of Alphabet Inc.
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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
10.00% 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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4
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$100.00
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3
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$75.00
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2
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$50.00
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1
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$25.00
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0
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$0.00
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Hypothetical Payout Examples
The following examples illustrate payments on the notes linked
to three hypothetical Reference Stocks, assuming a range of performances for the hypothetical Least Performing Reference Stock on the Review Dates.
Each hypothetical payment set forth below assumes that the closing price of one share of each
Reference Stock that is not the Least Performing Reference Stock on each Review Date is greater than or equal to its Initial Value (and therefore its Interest Barrier and Trigger Value).
In addition, the hypothetical payments set forth below assume the following:
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●
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an Initial Value for the Least Performing Reference Stock of $100.00;
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●
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an Interest Barrier and a Trigger Value for the Least Performing Reference Stock of $70.00 (equal to 70.00% of its hypothetical Initial Value); and
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●
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a Contingent Interest Rate of 10.00% per annum (payable at a rate of 2.50% per quarter).
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The hypothetical Initial Value
of the Least Performing Reference Stock of $100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value of any Reference Stock. The actual Initial Value of each Reference Stock is the closing price of
one share of that Reference Stock on the Pricing Date and is specified under Key Terms Relating to the Reference Stock in this pricing supplement. For historical data regarding the actual closing prices of one share of each
Reference Stock, please see the historical information set forth under The Reference Stocks 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 first Review Date.
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Date
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Closing Price of One Share of
the Least Performing
Reference Stock
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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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$1,025.00
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Total Payment
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$1,025.00 (2.50% return)
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Because the closing price of one share of each Reference Stock on the first Review Date is greater than or equal to its Initial Value,
the notes will be automatically called for a cash payment, for each $1,000 principal amount note, of $1,025.00 (or $1,000
plus
the Contingent Interest Payment applicable to the first Review Date), payable on the applicable Call Settlement
Date. No further payments will be made on the notes.
Example 2 Notes have NOT been automatically called and the Final Value of
the Least Performing Reference Stock is greater than or equal to its Trigger Value.
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Date
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Closing Price of One Share of
the Least Performing
Reference Stock
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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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$25.00
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Second Review Date
|
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$85.00
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$25.00
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Third Review Date
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|
$55.00
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$0
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PS-3 | Structured
Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Apple Inc., the Class A Common Stock of Facebook, Inc. and the Class A Common Stock of Alphabet Inc.
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Final Review Date
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$90.00
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$1,025.00
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Total Payment
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$1,075.00 (7.50% return)
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Because the notes have not been automatically called and the Final Value of the Least Performing Reference Stock is greater than or equal
to its Trigger Value, the payment at maturity, for each $1,000 principal amount note, will be $1,025.00 (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 $1,075.00.
Example 3
Notes have NOT been automatically called and the Final Value of the Least Performing Reference Stock is less than its Trigger Value.
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Date
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Closing Price of One Share of
the Least Performing
Reference Stock
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Payment (per $1,000 principal amount note)
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First Review Date
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$50.00
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$0
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Second Review Date
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|
$45.00
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$0
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Third Review Date
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$40.00
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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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$500.00 (-50.00% return)
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Because the notes have not been automatically called and the Final Value of the Least Performing Reference Stock is less than its Trigger
Value and the Least Performing 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.
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PS-4 | Structured
Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Apple Inc., the Class A Common Stock of Facebook, Inc. and the Class A Common Stock of Alphabet Inc.
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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
|
The notes do not guarantee any return of
principal. If the notes have not been automatically called and the Final Value of any Reference Stock is less than its Trigger Value, you will lose 1% of the principal amount of your notes for every 1% that the Final Value of the Least
Performing Reference Stock is less than its Initial Value. Accordingly, under these circumstances, you will lose more than 30.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
●
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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 each Reference Stock on that Review Date is greater than or equal to its Interest
Barrier. If the closing price of one share of any Reference Stock on that Review Date is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date. Accordingly, if the closing price of one
share of any Reference Stock on each Review Date is less than its 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
|
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,
|
regardless of any appreciation in the price of any Reference Stock, which may be significant. You will not participate in any appreciation in the
price of any 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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YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE VALUE OF EACH REFERENCE STOCK
|
Payments on the
notes are not linked to a basket composed of the Reference Stocks and are contingent upon the performance of each individual Reference Stock. Poor performance by any of the Reference Stocks over the term of the notes may negatively affect
whether you will receive a Contingent Interest Payment on any Interest Payment Date and your payment at maturity and will not be offset or mitigated by positive performance by any other Reference Stock.
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|
|
PS-5 | Structured
Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Apple Inc., the Class A Common Stock of Facebook, Inc. and the Class A Common Stock of Alphabet Inc.
|
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●
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YOUR PAYMENT AT MATURITY MAY BE DETERMINED BY THE LEAST PERFORMING REFERENCE STOCK.
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●
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THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE
|
If the
Final Value of any Reference Stock is less than its Trigger Value 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 Least Performing Reference Stock.
●
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|
THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT
|
If your notes are automatically
called, the term of the notes may be reduced to as short as approximately three 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 ANY REFERENCE STOCK OR HAVE ANY RIGHTS WITH RESPECT TO ANY REFERENCE STOCK.
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●
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NO AFFILIATION WITH ANY REFERENCE STOCK ISSUER
|
We have not independently verified any of
the information about any Reference Stock issuer contained in this pricing supplement. You should undertake your own investigation into each Reference Stock and its issuer. We are not responsible for any Reference Stock issuers
public disclosure of information, whether contained in SEC filings or otherwise.
●
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|
THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCKS IS LIMITED AND MAY BE DISCRETIONARY
|
The calculation agent will not make an adjustment in response to all events that could affect a 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 A REFERENCE STOCK FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS GREATER IF THE PRICE OF THAT REFERENCE STOCK IS VOLATILE.
|
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
|
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
|
See The Estimated Value of the Notes in this pricing supplement.
●
|
|
THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE
|
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.
|
|
|
PS-6 | Structured
Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Apple Inc., the Class A Common Stock of Facebook, Inc. and the Class A Common Stock of Alphabet Inc.
|
|
|
●
|
|
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
|
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).
●
|
|
SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES
|
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.
●
|
|
SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS
|
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 prices of the Reference Stocks. 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.
|
|
|
PS-7 | Structured
Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Apple Inc., the Class A Common Stock of Facebook, Inc. and the Class A Common Stock of Alphabet Inc.
|
|
|
The Reference Stocks
All information contained herein on the Reference Stocks and
on the Reference Stock issuers is derived from publicly available sources, without independent verification. Each Reference Stock is registered under the Securities Exchange Act of 1934, as amended, which we refer to as the Exchange Act, and is
listed on the exchange provided in the table below, which we refer to as the relevant exchange for purposes of that Reference Stock in the accompanying product supplement. Information provided to or filed with the SEC by a Reference Stock
issuer pursuant to the Exchange Act can be located by reference to the SEC file number provided in the table below, and can be accessed through
www.sec.gov
. We do not make any representation that these publicly available documents are accurate or complete. We obtained the closing prices below
from the Bloomberg Professional
®
service (Bloomberg) without independent verification.
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Reference Stock
|
|
Bloomberg Ticker
Symbol
|
|
Relevant Exchange
|
|
SEC File Number
|
|
Closing Price on
October 21, 2016
|
Common stock of Apple Inc., par value $0.00001 per share
|
|
AAPL
|
|
The NASDAQ Stock Market
|
|
001-36743
|
|
$116.60
|
Class A common stock of Facebook, Inc., par value $0.000006 per share
|
|
FB
|
|
The NASDAQ Stock Market
|
|
001-35551
|
|
$132.07
|
Class A common stock of Alphabet Inc., par value $0.001 per share
|
|
GOOGL
|
|
The NASDAQ Stock Market
|
|
001-37580
|
|
$824.06
|
According to publicly available filings of the relevant Reference Stock issuer with the SEC:
●
|
|
Apple Inc. designs, manufactures and markets mobile communication and media devices, personal computers and portable digital music players and sells a variety of related software, services, accessories, networking
solutions and third-party digital content and applications.
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Facebook, Inc. 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.
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Alphabet Inc. is a holding company that, through its subsidiaries (which include Google Inc.), provides web-based search, advertisements, maps, software applications, mobile operating systems, consumer content,
enterprise solutions, commerce and hardware products. Alphabet became the successor SEC registrant to, and parent holding company of, Google Inc. on October 2, 2015, in connection with a holding company reorganization. Alphabets Class A common
stock began trading on October 5, 2015 under the ticker symbol GOOGL, the same symbol under which Google Inc.s Class A common stock previously traded.
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Historical Information
The first graph below
sets forth the historical performance of Apple Inc. based on the weekly historical closing prices of one share of the common stock of Apple Inc. from January 7, 2011 through October 21, 2016. The second graph below sets forth the historical
performance of Facebook, Inc. based on the weekly historical closing prices of one share of the Class A common stock of Facebook, Inc. from May 18, 2012 through October 21, 2016. The third graph below sets forth the historical performance of
Google Inc. based on the weekly historical closing prices of one share of the Class A common stock of Google Inc. from January 7, 2011 through October 2, 2015 and the historical performance of Alphabet Inc. based on the weekly historical closing
prices of one share of the Class A common stock of Alphabet Inc. from October 9, 2015 through October 21, 2016. The closing prices above and below may 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 each 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 any Reference Stock on any Review Date. There can be no assurance that the performance of the Reference Stocks will result in the return
of any of your principal amount or the payment of any interest.
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PS-8 | Structured
Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Apple Inc., the Class A Common Stock of Facebook, Inc. and the Class A Common Stock of Alphabet Inc.
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PS-9 | Structured
Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Apple Inc., the Class A Common Stock of Facebook, Inc. and the Class A Common Stock of Alphabet Inc.
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* The vertical red line in the graph indicates October 9, 2015. In the graph, the performance to the left of the vertical
red line reflects the Class A common stock of Google Inc. and performance to the right of the vertical red line reflects the Class A common stock of Alphabet Inc.
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 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
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PS-10 | Structured
Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Apple Inc., the Class A Common Stock of Facebook, Inc. and the Class A Common Stock of Alphabet Inc.
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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 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 Stocks 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
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PS-11 | Structured
Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Apple Inc., the Class A Common Stock of Facebook, Inc. and the Class A Common Stock of Alphabet Inc.
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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.
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-12 | Structured
Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Common Stock of Apple Inc., the Class A Common Stock of Facebook, Inc. and the Class A Common Stock of Alphabet Inc.
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