JPM JP Morgan Chase and Co

Pricing supplement

To prospectus dated April 15, 2016,

prospectus supplement dated April 15, 2016 and

product supplement no. 4-I dated April 15, 2016

Registration Statement Nos. 333-209682 and 333-209682-01

Dated October 24, 2016

Rule 424(b)(2)

JPMorgan Chase Financial Company LLC

The notes are designed for investors who seek a Contingent Interest Payment if, (1) with respect to the first Review Date, the closing price of one share of each Reference Stock or, (2) with respect to the final Review Date, the Final Stock Price of each Reference Stock is greater than or equal to 60% of its Initial Stock Price, which we refer to as an Interest Barrier. Investors should be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive Contingent Interest Payments.

Investors in the notes should be willing to accept the risk of losing some or all of their principal if a Trigger Event (as defined below) has occurred and the risk that no Contingent Interest Payment may be made with respect to some or all Review Dates. Contingent Interest Payments should not be viewed as periodic interest payments.

If the closing price of one share of each Reference Stock is greater than or equal to its Interest Barrier on the final Review Date, investors will receive, in addition to the Contingent Interest Payment with respect to that Review Date, any previously unpaid Contingent Interest Payments for the first Review Date.

The notes will be automatically called if the closing price of one share of each Reference Stock on the first Review Date is greater than or equal to its Initial Stock Price. The earliest date on which an automatic call may be initiated, is May 11, 2017.

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.

The payment at maturity is not linked to a basket of the Reference Stocks. The payment at maturity is linked to the performance of each of the Reference Stocks individually, as described below.

Minimum denominations of $10,000 and integral multiples of $1,000 in excess thereof

The notes priced on October 24, 2016 and are expected to settle on or about October 27, 2016.

Subject to postponement in the event of certain market disruption events 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

Product supplement no. 4-I dated April 15, 2016:

Prospectus supplement and prospectus, each dated April 15, 2016:

JPMorgan Structured Investments —

Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the American Depositary Shares of Banco Santander, S.A. and the American Depositary Shares of Banco Bilbao Vizcaya Argentaria, S.A.

PS-1        

JPMorgan Structured Investments —

Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the American Depositary Shares of Banco Santander, S.A. and the American Depositary Shares of Banco Bilbao Vizcaya Argentaria, S.A.

PS-2        

JPMorgan Structured Investments —

Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the American Depositary Shares of Banco Santander, S.A. and the American Depositary Shares of Banco Bilbao Vizcaya Argentaria, S.A.

PS-3        

CONTINGENT INTEREST PAYMENTS — The notes offer the potential to earn a Contingent Interest Payment in connection with each Review Date of $62.50 per $1,000 principal amount note. If the notes have not been automatically called and, (1) with respect to the first Review Date, the closing price of one share of each Reference Stock or, (2) with respect to the final Review Date, the Final Stock Price of each Reference Stock is greater than or equal to its Interest Barrier, you will receive on the applicable Interest Payment Date a Contingent Interest Payment for that Review Date plus , with respect to the final Review Date, any previously unpaid Contingent Interest Payments for the first Review Date. If, (1) with respect to the first Review Date, the closing price of one share of either Reference Stock or, (2) with respect to the final Review Date, the Final Stock Price of either Reference Stock is less than its Contingent Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date. You will not receive any unpaid Contingent Interest Payment if the Final Stock Price of either Reference Stock on the final Review Date is less than its Interest Barrier. If the closing price of one share of either Reference Stock or the Final Stock Price of either Reference Stock on the final Review Date is less than its Interest Barrier, you will not receive any Contingent Interest Payments over the term of the notes. If payable, a Contingent Interest Payment will be made to the holders of record at the close of business on the business day immediately preceding the applicable Interest Payment Date. Because the notes are our unsecured and unsubordinated obligations, the payment of which is fully and unconditionally guaranteed by JPMorgan Chase & Co., payment of any amount on the notes is subject to our ability to pay our obligations as they become due and JPMorgan Chase & Co.’s ability to pay its obligations as they become due.

POTENTIAL EARLY EXIT AS A RESULT OF THE AUTOMATIC CALL FEATURE — If the closing price of one share of each Reference Stock on the first Review Date is greater than or equal to its Initial Stock Price, your notes will be automatically called prior to the Maturity Date. Under these circumstances, you will receive 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 Call Settlement Date. 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.

THE NOTES DO NOT GUARANTEE THE RETURN OF YOUR PRINCIPAL IF THE NOTES HAVE NOT BEEN AUTOMATICALLY CALLED — If the notes have not been automatically called, we will pay you your principal back at maturity only if a Trigger Event has not occurred. However, if the notes have not been automatically called and a Trigger Event has occurred, you will lose some or all of the principal amount of your notes at maturity.

EXPOSURE TO EACH OF THE REFERENCE STOCKS — The return on the notes is linked to the Lesser Performing Reference Stock, which will be one of the two Reference Stocks. See “Key Terms Relating to the Reference Stocks” and “The Reference Stocks” in this pricing supplement for more information.

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.

JPMorgan Structured Investments —

Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the American Depositary Shares of Banco Santander, S.A. and the American Depositary Shares of Banco Bilbao Vizcaya Argentaria, S.A.

PS-4        

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 a Trigger Event has occurred, you will lose 1% of the principal amount of your notes at maturity for every 1% that the Final Stock Price of the Lesser Performing Reference Stock is less than its Initial Stock Price. Under these circumstances, you will lose more than 40.00% of your principal amount at maturity and could lose all of the principal amount of your notes at maturity.

THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL — The terms of the notes differ from those of conventional debt securities in that, among other things, whether we pay interest is linked to the performance of the Reference Stock. Contingent Interest Payments should not be viewed as periodic interest payments. If the notes have not been automatically called and if, (1) with respect to the first Review Date, the closing price of one share of each Reference Stock or, (2) with respect to the final Review Date, the Final Stock Price of each Reference Stock is greater than or equal to its Interest Barrier, we will make a Contingent Interest Payment with respect to that Review Date (and will pay you any previously unpaid Contingent Interest Payment for the first Review Date). If, (1) with respect to the first Review Date, the closing price of one share of either Reference Stock or, (2) with respect to the final Review Date, the Final Stock Price of either Reference Stock is less than its Contingent Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date. You will not receive any unpaid Contingent Interest Payment if the Final Stock Price of either Reference Stock on the final Review Date is less than its Interest Barrier. Accordingly, if, (1) with respect to the first Review Date, the closing price of one share of either Reference Stock or, (2) with respect to the final Review Date, the Final Stock Price of either Reference Stock is less than its Interest Barrier, you will not receive any Contingent Interest Payments over the term of the notes.

CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. — The notes are subject to our and JPMorgan Chase & Co.’s credit risks, and our and JPMorgan Chase & Co.’s credit ratings and credit spreads may adversely affect the market value of the notes. 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.

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.

THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT — If the notes are automatically called, the amount of Contingent Interest Payments made on the notes may be less than the amount of Contingent Interest Payments that might have been payable if the notes were held to maturity, and, for each $1,000 principal amount note, you will receive on the Call Settlement Date $1,000 plus the Contingent Interest Payment applicable to the relevant Review Date.

REINVESTMENT RISK — 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 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 in the event the notes are automatically called prior to the Maturity Date.

THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED, AND YOU WILL NOT PARTICIPATE IN ANY APPRECIATION OF EITHER REFERENCE STOCK — 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 of either Reference Stock, which may be significant. You will not participate in any appreciation of either Reference Stock. Accordingly, the return on the notes may be significantly less than the return on a direct investment in either Reference Stock during the term of the notes.

POTENTIAL CONFLICTS — We and our affiliates play a variety of roles in connection with the issuance of the notes, including acting as calculation agent and as an agent of the offering of the notes, hedging our obligations under the notes and making the assumptions used to determine the pricing of the notes and the estimated value of the notes when the terms of the notes are set, which we refer to as the estimated value of the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests and the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the notes. In addition, our and JPMorgan Chase & Co.’s business activities, including hedging and trading activities, could cause our and JPMorgan Chase & Co.’s economic interests to be adverse to yours and could adversely affect any payment on the notes and the value of the notes. It is possible that hedging or trading activities of ours or our affiliates in

JPMorgan Structured Investments —

Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the American Depositary Shares of Banco Santander, S.A. and the American Depositary Shares of Banco Bilbao Vizcaya Argentaria, S.A.

PS-5    

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 for additional information about these risks.

YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE CLOSING PRICE OF ONE SHARE OF EACH REFERENCE STOCK — Your return on the notes and your payment at maturity, if any, is not linked to a basket consisting of the Reference Stocks. If the notes have not been automatically called, your payment at maturity is contingent upon the performance of each individual Reference Stock such that you will be equally exposed to the risks related to either of the Reference Stocks. Poor performance by either 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 the other Reference Stock. Accordingly, your investment is subject to the risk of decline in the closing price of one share of each Reference Stock.

YOUR PAYMENT AT MATURITY MAY BE DETERMINED BY THE LESSER PERFORMING REFERENCE STOCK — Because the payment at maturity will be determined based on the performance of the Lesser Performing Reference Stock, you will not benefit from the performance of the other Reference Stock. Accordingly, if the notes have not been automatically called and a Trigger Event has occurred, you will lose some or all of your principal amount at maturity, even if the Final Stock Price of the other Reference Stock is greater than or equal to its Initial Stock Price.

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.

THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES — The estimated value of the notes is determined by reference to internal pricing models of our affiliates when the terms of the notes are set. This estimated value of the notes is based on market conditions and other relevant factors existing at that time and assumptions about market parameters, which can include volatility, dividend rates, interest rates and other factors. 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. 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.

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. 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. 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 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

JPMorgan Structured Investments —

Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the American Depositary Shares of Banco Santander, S.A. and the American Depositary Shares of Banco Bilbao Vizcaya Argentaria, S.A.

PS-6        

substantial loss to you. See the immediately following risk consideration for information about additional factors that will impact any secondary market prices of the notes.

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 price of one share of each Reference Stock, including:

any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;

customary bid-ask spreads for similarly sized trades;

our internal secondary market funding rates for structured debt issuances;

the actual and expected volatility of the Reference Stocks;

the time to maturity of the notes;

whether the closing price of one share of either Reference Stock or the Final Stock Price of either Reference Stock, as applicable, has been, or is expected to be, less than its Interest Barrier on any Review Date and whether a Trigger Event is expected to occur;

the likelihood of an automatic call being triggered;

the dividend rates on the Reference Stocks;

interest and yield rates in the market generally;

the exchange rate and the volatility of the exchange rate between the U.S. dollar and the European Union euro and the correlation between that rate and the prices of the Reference Stocks;

the occurrence of certain events affecting the issuer of a Reference Stock that may or may not require an adjustment to the Stock Adjustment Factor for that Reference Stock, including a merger or acquisition; and

a variety of other economic, financial, political, regulatory and judicial events.

NO OWNERSHIP OR DIVIDEND RIGHTS IN THE REFERENCE STOCKS — As a holder of the notes, you will not have any ownership interest or rights in either of the Reference Stocks, such as voting rights or dividend payments. In addition, the issuers of the Reference Stocks will not have any obligation to consider your interests as a holder of the notes in taking any corporate action that might affect the value of the Reference Stocks and the notes.

NO AFFILIATION WITH THE REFERENCE STOCK ISSUERS — We are not affiliated with the issuers of the Reference Stocks. We have not independently verified any of the information about the Reference Stock issuers contained in this pricing supplement. You should undertake your own investigation into the Reference Stocks and their issuers. We are not responsible for the Reference Stock issuers’ public disclosure of information, whether contained in SEC filings or otherwise.

THERE ARE IMPORTANT DIFFERENCES BETWEEN THE RIGHTS OF HOLDERS OF AMERICAN DEPOSITARY SHARES OF BANCO SANTANDER AND BBVA AND THE RIGHTS OF HOLDERS OF THE CAPITAL STOCK OF BANCO SANTANDER AND THE ORDINARY SHARES OF BBVA, RESPECTIVELY — You should be aware that your return on the notes is linked to the price of each of the American depositary shares (“ADSs”) of Banco Santander and the ADSs of BBVA and not the shares of capital stock of Banco Santander or the ordinary shares of Banco Bilbao Vizcaya Argentaria, S.A., as applicable. There are important differences between the rights of holders of ADSs and the rights of holders of the capital stock or ordinary shares, as applicable. Each ADS is a security evidenced by American depositary receipts that represents one share of capital stock of Banco Santander or one ordinary share of Banco Bilbao Vizcaya Argentaria, S.A., as applicable. The ADSs are issued pursuant to a deposit agreement, which sets forth the rights and responsibilities of the ADS depositaries, Banco Santander and Banco Bilbao Vizcaya Argentaria, S.A., and holders of the ADSs, which may be different from the rights of holders of the shares of capital stock of Banco Santander, S.A. or the ordinary shares of Banco Bilbao Vizcaya Argentaria, S.A. For example, either of the ADS depositaries may make distributions in respect of the shares of capital stock or ordinary shares, as applicable, that are not passed on to the holders of its ADSs. Any such differences between the rights of holders of the ADSs and the rights of holders of the shares of capital stock or ordinary shares may be significant and may materially and adversely affect the value of the ADSs and, as a result, the notes.

RISKS ASSOCIATED WITH NON-U.S. SECURITIES — An investment in notes linked to the value of ADSs representing interests in the shares of capital stock of Banco Santander or the ordinary shares of BBVA, which are each issued by a Spanish issuer, involves risks associated with the home country of Banco Santander and BBVA. The prices of non-U.S. equity securities may be affected by political, economic, financial and social factors in the home country of the issuer of the non-U.S. equity securities ( i.e. , Spain), including changes in that country’s government, economic and fiscal policies, currency exchange laws or other laws or restrictions. Moreover, the economy of that country may differ favorably or unfavorably from the economy of the United States in such respects as growth of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency. The issuer’s home country may be subjected to different and, in some cases, more adverse economic environments.

JPMorgan Structured Investments —

Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the American Depositary Shares of Banco Santander, S.A. and the American Depositary Shares of Banco Bilbao Vizcaya Argentaria, S.A.

PS-7        

CURRENCY EXCHANGE RATE RISK — Because the ADSs of Banco Santander and BBVA are quoted and traded in U.S. dollars on the New York Stock Exchange and the shares of capital stock of Banco Santander and the ordinary shares of BBVA are quoted and traded in European Union euros on the Spanish stock exchanges in Madrid, Bilbao, Barcelona and Valencia (the “Spanish Stock Exchanges, fluctuations in the exchange rate between the European Union euro and the U.S. dollar will likely affect the relative value of the ADSs and capital stock of Banco Santander and the relative value of the ADSs and the ordinary shares of BBVA, in each case in the two currencies and, as a result, will likely affect the market price of the ADSs of Banco Santander and BBVA trading on the New York Stock Exchange. These trading differences and currency exchange rates may affect the market value of the notes and whether the closing price of one share of either Reference Stock will fall below the Interest Barrier on the first Review Date or whether the Final Stock Price of either Reference Stock will fall below the Trigger Level. The European Union euro has been subject to fluctuations against the U.S. dollar in the past and may be subject to significant fluctuations in the future. Previous fluctuations or periods of relative stability in the exchange rate between the European Union euro and the U.S. dollar is not necessarily indicative of fluctuations or periods of relative stability in those rates that may occur over the term of the notes. The exchange rate between the European Union euro and the U.S. dollar is the result of the supply of, and the demand for, those currencies. Changes in the exchange rates result over time from the interaction of many factors directly or indirectly affecting economic and political conditions in Spain and the United States, including economic and political developments in other countries. Of particular importance are rates of inflation, interest rate levels, the balance of payments, any political, civil or military unrest and the extent of governmental surpluses or deficits in Spain and the United States, all of which are in turn sensitive to the monetary, fiscal and trade policies pursued by Spain and the United States and other jurisdictions important to international trade and finance.

VOLATILITY RISK — Greater expected volatility with respect to a Reference Stock indicates a greater likelihood as of the Pricing Date that the Reference Stock could close below its Initial Stock Price by more than the Contingent Buffer Amount on one or more Ending Averaging Dates. A Reference Stock’s volatility, however, can change significantly over the term of the notes. The closing price of one share of a Reference Stock could fall sharply at any time during the term of the notes, which could result in a significant loss of principal.

LACK OF LIQUIDITY — The notes will not be listed on any securities exchange. JPMS intends to offer to purchase the notes in the secondary market but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the notes easily. Because other dealers are not likely to make a secondary market for the notes, 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.

THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY — The calculation agent will make adjustments to the Stock Adjustment Factor for certain corporate events affecting the Reference Stock. However, the calculation agent will not make an adjustment in response to all events that could affect the Reference Stock. If an event occurs that does not require the calculation agent to make an adjustment, the value of the notes may be materially and adversely affected. You should also be aware that 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.

JPMorgan Structured Investments —

Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the American Depositary Shares of Banco Santander, S.A. and the American Depositary Shares of Banco Bilbao Vizcaya Argentaria, S.A.

PS-8        

JPMorgan Structured Investments —

Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the American Depositary Shares of Banco Santander, S.A. and the American Depositary Shares of Banco Bilbao Vizcaya Argentaria, S.A.

PS-9        

JPMorgan Structured Investments —

Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the American Depositary Shares of Banco Santander, S.A. and the American Depositary Shares of Banco Bilbao Vizcaya Argentaria, S.A.

PS-10