PRICING SUPPLEMENT
Filed Pursuant to
Rule 424(b)(2)
Registration Statement Nos. 333-209682 and 333-209682-01
Dated
October 26, 2016
JPMorgan Chase Financial Company LLC Capped GEARS
$3,777,250
Linked to the Energy Select Sector SPDR
®
Fund due on or about December 29, 2017
Fully and Unconditionally
Guaranteed by JPMorgan Chase & Co.
Capped GEARS (Growth Enhanced Asset Return Securities), which we refer to as the Securities, are unsecured and
unsubordinated debt securities issued by JPMorgan Chase Financial Company LLC (JPMorgan Financial), the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co., with a return linked to the performance of the
Energy Select Sector SPDR
®
Fund (the Underlying). If the Underlying Return is positive, JPMorgan Financial will repay your principal amount at maturity plus pay a return equal to
the Underlying Return times the Upside Gearing of 3.00, up to the Maximum Gain of 21.50%. If the Underlying Return is zero, JPMorgan Financial will repay your principal amount at maturity. However, if the Underlying Return is negative, JPMorgan
Financial will repay less than your principal amount at maturity, if anything, resulting in a loss of principal that is proportionate to the negative Underlying Return. In this case, you will have full downside exposure to the Underlying from the
Initial Value to the Final Value and could lose all of your principal amount. The closing price of one share of the Underlying is subject to adjustments in the case of certain events described in the accompanying product supplement under The
Underlyings Funds Anti-Dilution Adjustments.
Investing in the Securities involves significant risks. You may lose some or all of your principal amount. You will not receive dividends or other distributions paid on any stocks
included in the
Underlying
, and the Securities will not pay interest. Any payment on the Securities is subject to the creditworthiness of
JPMorgan Financial as issuer of the Securities, and the creditworthiness of JPMorgan Chase
& Co., as guarantor of the Securities
. If
JPMorgan Financial
and JPMorgan Chase & Co. were to default on their
payment obligations, you may not receive any amounts owed to you under the Securities and you
could lose your entire investment.
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Enhanced Growth Potential Subject to Maximum Gain
At maturity, the Upside Gearing feature will provide leveraged exposure to any positive performance of the Underlying, up to the Maximum Gain of 21.50%. If
the Underlying Return is negative, investors will be exposed to the negative Underlying Return at maturity.
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Full Downside Market Exposure
If the Underlying Return is negative, investors will be exposed to the negative Underlying Return at maturity and JPMorgan Financial will pay less than your principal amount,
if anything, resulting in a loss of principal that is proportionate to the Underlyings decline from the Initial Value to the Final Value. You may lose some or all of your principal. Any payment on the Securities is subject to the
creditworthiness of JPMorgan Financial and JPMorgan Chase & Co.
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Trade Date
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October 26, 2016
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Original Issue Date
(Settlement Date)
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October 31, 2016
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Final Valuation Date
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December 26, 2017
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Maturity Date
1
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December 29, 2017
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1
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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
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THE SECURITIES ARE SIGNIFICANTLY RISKIER THAN CONVENTIONAL DEBT INSTRUMENTS. JPMORGAN FINANCIAL IS NOT NECESSARILY
OBLIGATED TO REPAY THE FULL PRINCIPAL AMOUNT OF THE SECURITIES AT MATURITY, AND THE SECURITIES HAVE DOWNSIDE MARKET RISK SIMILAR TO THE UNDERLYING. THIS MARKET RISK IS IN ADDITION TO THE CREDIT RISK INHERENT IN PURCHASING A DEBT OBLIGATION OF
JPMORGAN FINANCIAL FULLY AND UNCONDITIONALLY GUARANTEED BY JPMORGAN CHASE & CO. YOU SHOULD NOT PURCHASE THE SECURITIES IF YOU DO NOT UNDERSTAND OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS INVOLVED IN INVESTING IN THE SECURITIES.
YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER KEY RISKS BEGINNING ON PAGE 6 OF THIS PRICING SUPPLEMENT, UNDER RISK FACTORS
BEGINNING ON PAGE PS-10 OF THE ACCOMPANYING PRODUCT SUPPLEMENT AND UNDER RISK FACTORS BEGINNING ON PAGE US-2 OF THE ACCOMPANYING UNDERLYING SUPPLEMENT BEFORE PURCHASING ANY SECURITIES. EVENTS RELATING TO ANY OF THOSE RISKS, OR OTHER
RISKS AND UNCERTAINTIES, COULD ADVERSELY AFFECT THE MARKET VALUE OF, AND THE RETURN ON, YOUR SECURITIES. YOU MAY LOSE SOME OR ALL OF YOUR INITIAL INVESTMENT IN THE SECURITIES. THE SECURITIES WILL NOT BE LISTED ON ANY SECURITIES EXCHANGE.
We are offering Capped GEARS linked to the Energy Select Sector SPDR
®
Fund. The
Securities are offered at a minimum investment of $1,000 in denominations of $10 and integral multiples thereof. The return on the Securities is subject to, and will not exceed, the Maximum Gain.
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Underlying
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Upside
Gearing
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Maximum
Gain
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Initial
Value
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CUSIP
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ISIN
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Energy Select Sector SPDR
®
Fund (Bloomberg ticker: XLE)
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3.00
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21.50%
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69.82
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48128P829
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US48128P8297
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See Additional Information about JPMorgan Financial, JPMorgan Chase & Co. and the Securities in this pricing
supplement. The Securities will have the terms specified in the prospectus and the prospectus supplement, each dated April 15, 2016, product supplement no. UBS-1-I dated April 15, 2016, underlying supplement no. 1-I dated April 15, 2016 and this
pricing supplement.
The terms of the Securities as set forth in this pricing supplement, to the extent they differ or conflict with those set forth in the accompanying product supplement, will supersede the terms set forth in that product
supplement.
Neither the Securities and Exchange Commission (the SEC) nor any state securities commission has approved or
disapproved of the Securities or passed upon the accuracy or the adequacy of this pricing supplement or the accompanying prospectus, the accompanying prospectus supplement, the accompanying product supplement and the accompanying underlying
supplement. 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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Offering of Securities
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Total
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Per Security
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Total
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Per Security
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Total
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Per Security
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Securities Linked to the Energy Select Sector SPDR
®
Fund
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$3,777,250
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$10.00
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$75,545
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$0.20
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$3,701,705
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$9.80
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See Supplemental Use of Proceeds in this pricing supplement for information about the components of the price to public of the Securities.
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UBS Financial Services Inc., which we refer to as UBS, will receive selling commissions from us of $0.20 per $10 principal amount Security. See Plan of Distribution (Conflicts of Interest) in the
accompanying product supplement, as supplemented by Supplemental Plan of Distribution in this pricing supplement.
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The estimated value
of the Securities, when the terms of the Securities were set, was $9.682 per $10 principal amount Security. See The Estimated Value of the Securities in this pricing supplement for additional information.
The Securities 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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UBS Financial Services Inc.
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Additional Information about
JPMorgan Financial, JPMorgan Chase & Co. and the Securities
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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 Securities are a part, and the more detailed information contained in the accompanying product supplement and the accompanying underlying supplement.
This pricing
supplement, together with the documents listed below, contains the terms of the Securities 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 sections of the accompanying product supplement and the accompanying underlying supplement, as the Securities involve risks not associated with conventional debt securities.
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. UBS-1-I dated April 15, 2016:
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http://www.sec.gov/Archives/edgar/data/19617/000095010316012642/crt-dp64836_424b2.pdf
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Underlying supplement no. 1-I dated April 15, 2016:
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http://www.sec.gov/Archives/edgar/data/19617/000095010316012649/crt-dp64909_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, the Issuer, JPMorgan Financial, we, us and our refer to JPMorgan Chase Financial Company LLC.
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Supplemental Terms of the
Securities
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For purposes of the accompanying product supplement, the Energy Select Sector SPDR
®
Fund is a Fund.
2
The Securities may be suitable for you if, among other considerations:
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You fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire principal amount.
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You can tolerate a loss of all or a substantial portion of your investment and are willing to make an investment that has the same downside market risk as a hypothetical investment in the Underlying.
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You believe the price of the Underlying will increase over the term of the Securities and that the appreciation is unlikely to exceed an amount equal to the Maximum Gain indicated on the cover hereof.
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You understand and accept that your potential return is limited by the Maximum Gain and you are willing to invest in the Securities based on the Maximum Gain indicated on the cover hereof.
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You can tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside price fluctuations of the Underlying.
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You do not seek current income from your investment and are willing to forgo dividends paid on the Underlying.
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You are willing and able to hold the Securities to maturity.
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You accept that there may be little or no secondary market for the Securities and that any secondary market will depend in large part on the price, if any, at which J.P. Morgan Securities LLC, which we refer to as JPMS,
is willing to trade the Securities.
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You understand and accept the risks associated with the Underlying.
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You are willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Securities, and understand that if JPMorgan Financial and JPMorgan Chase & Co. default on
their obligations, you may not receive any amounts due to you including any repayment of principal.
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The Securities may not be suitable for you if, among other considerations:
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You do not fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire principal amount.
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You require an investment designed to provide a full return of principal at maturity.
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You cannot tolerate a loss of all or a substantial portion of your investment, or you are not willing to make an investment that has the same downside market risk as a hypothetical investment in the Underlying.
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You believe the price of the Underlying will decline over the term of the Securities, or you believe the Underlying will appreciate over the term of the Securities by more than the Maximum Gain indicated on the cover
hereof.
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You seek an investment that has unlimited return potential without a cap on appreciation.
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You are unwilling to invest in the Securities based on the Maximum Gain indicated on the cover hereof.
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You cannot tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside price fluctuations of the Underlying.
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You seek current income from your investment or prefer not to forgo dividends paid on the Underlying.
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You are unwilling or unable to hold the Securities to maturity and seek an investment for which there will be an active secondary market.
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You do not understand or accept the risks associated with the Underlying.
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You are not willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Securities, including any repayment of principal.
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The suitability considerations identified above
are not exhaustive. Whether or not the Securities are a suitable investment for you will depend on your individual circumstances, and you should reach an investment decision only after you and your investment, legal, tax, accounting and other
advisers have carefully considered the suitability of an investment in the Securities in light of your particular circumstances. You should also review carefully the Key Risks section of this pricing supplement and the Risk
Factors sections of the accompanying product supplement and the accompanying underlying supplement for risks related to an investment in the Securities. For more information on the Underlying, please see the section titled The
Underlying below.
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Issuer:
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JPMorgan Chase Financial Company LLC
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Guarantor:
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JPMorgan Chase & Co.
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Issue Price:
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$10.00 per Security (subject to a minimum purchase of 100 Securities or $1,000)
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Principal Amount:
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$10.00 per Security. The payment at maturity will be based on the principal amount.
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Underlying:
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Energy Select Sector SPDR
®
Fund
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Term
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14 months
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Payment at Maturity (per $10 principal amount Security):
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If the Underlying Return is positive,
JPMorgan Financial will pay you a cash payment at maturity per
$10 principal amount Security equal to:
$10.00 + ($10.00 × Underlying
Return × Upside Gearing)
provided, however,
that in no event will
JPMorgan Financial pay you at maturity an amount greater than:
$10.00 + ($10.00
× Maximum Gain)
If the Underlying Return is zero,
JPMorgan Financial
will pay you a cash payment at maturity of $10.00 per $10 principal amount Security.
If the
Underlying Return is negative,
JPMorgan Financial will pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00 + ($10.00 × Underlying Return)
In this scenario, you will
be exposed to the decline
of the
Underlying
and you will lose some or all of
your principal amount in an amount proportionate to the negative
Underlying Return
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Underlying Return:
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(Final Value Initial Value)
Initial Value
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Upside Gearing:
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3.00
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Maximum Gain:
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21.50%. In no event will the return on the Principal Amount be greater than the Maximum Gain.
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Initial Value:
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The closing price of one share of the Underlying on the Trade Date, as specified on the cover of this pricing supplement
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Final Value:
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The closing price
1
of one share of the Underlying on the Final Valuation Date
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Share Adjustment Factor
1
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The Share Adjustment Factor is referenced in determining the closing price of one share of the Underlying. The Share Adjustment Factor is set initially at 1.0 on the Trade Date.
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1
The closing price and the Share Adjustment Factor of the Underlying are subject to adjustments in the case of certain events
described in the accompanying product supplement under The Underlyings Funds Anti-Dilution Adjustments.
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The Initial Value is observed. The Maximum Gain is determined.
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The Final Value and the Underlying Return are determined.
If the Underlying Return is positive,
JPMorgan Financial will pay you a
cash payment at maturity per $10 principal amount Security equal to:
$10.00 + ($10.00 × Underlying Return × Upside Gearing)
provided, however,
that in no event will you receive at
maturity an amount greater than:
$10.00 + ($10.00 ×
Maximum Gain)
If the Underlying Return is zero,
JPMorgan Financial will pay you a cash payment at maturity of $10.00 per $10 principal amount Security.
If the Underlying Return is negative,
JPMorgan Financial will pay you a cash payment at maturity per $10 principal amount Security equal
to:
$10.00 + ($10.00 × Underlying Return)
Under these circumstances, you will be exposed to the decline of
the Underlying and you will lose some or all of your principal amount.
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INVESTING IN THE SECURITIES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE SOME OR ALL OF YOUR PRINCIPAL AMOUNT. ANY PAYMENT ON THE
SECURITIES, INCLUDING ANY REPAYMENT OF PRINCIPAL, IS SUBJECT TO THE CREDITWORTHINESS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. IF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. WERE TO DEFAULT ON THEIR PAYMENT OBLIGATIONS, YOU MAY NOT
RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE SECURITIES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.
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What Are the Tax Consequences of
the Securities?
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You should review carefully the section entitled Material U.S. Federal Income Tax Consequences in the
accompanying product supplement no. UBS-1-I. The following discussion, when read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax
consequences of owning and disposing of Securities.
Based on current market conditions, in the opinion of our special tax counsel it is reasonable to
treat the Securities as open transactions that are not debt instruments for U.S. federal income tax purposes, as more fully described in Material U.S. Federal Income Tax Consequences Tax Consequences to U.S. Holders
Notes Treated as Open Transactions That Are Not Debt Instruments in the accompanying product supplement. Assuming this treatment is respected, subject to the possible application of the constructive ownership rules, the gain or
loss on your Securities should be treated as long-term capital gain or loss if you hold your Securities for more than a year, whether or not you are an initial purchaser of Securities at the issue price. The Securities could be treated as
constructive ownership transactions within the meaning of Section 1260 of the Internal Revenue Code of 1986, as amended, in which case any gain recognized in respect of the Securities that would otherwise be long-term capital gain and
that was in excess of the net underlying long-term capital gain (as defined in Section 1260) would be treated as ordinary income, and a notional interest charge would apply as if that income had accrued for tax purposes at a constant
yield over the Securities term. Our special tax counsel has not expressed an opinion with respect to whether the constructive ownership rules apply to the Securities. Accordingly, U.S. Holders should consult their tax advisers regarding the
potential application of the constructive ownership rules.
The IRS or a court may not respect the treatment of the Securities described above, in
which case the timing and character of any income or loss on your Securities could be materially and adversely 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; the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any
mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject to the constructive ownership regime described above. 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 and adversely affect the tax consequences of an investment in the Securities, possibly with retroactive
effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the Securities, including the potential application of the constructive ownership rules, possible alternative treatments and the
issues presented by this notice.
Withholding under legislation commonly referred to as FATCA may (if the Securities are recharacterized
as debt instruments) apply to amounts treated as interest paid with respect to the Securities. Under a recent IRS notice, withholding under FATCA will not apply to payments of gross proceeds (other than any amount treated as interest) of a taxable
disposition, including redemption at maturity, of the Securities. You should consult your tax adviser regarding the potential application of FATCA to the Securities.
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 Securities.
5
An investment in the Securities involves significant risks. Investing in the Securities is not equivalent to investing directly in the
Underlying. These risks are explained in more detail in the Risk Factors sections of the accompanying product supplement and the accompanying underlying supplement. We also urge you to consult your investment, legal, tax, accounting and
other advisers before you invest in the Securities.
Risks Relating to the Securities Generally
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Your Investment in the Securities May Result in a Loss
The Securities differ from ordinary debt securities in that we will not necessarily repay the full principal amount of the Securities. We will pay you
the principal amount of your Securities in cash only if the Final Value has not declined below the Initial Value. If the Underlying Return is negative, you will lose some or all of your principal amount in an amount proportionate to the
negative Underlying Return. Accordingly, you could lose up to your entire principal amount.
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Credit Risks of JPMorgan Financial and
JPMorgan Chase & Co.
The Securities are unsecured and unsubordinated debt obligations of the Issuer, JPMorgan Chase Financial Company LLC, the payment on
which is fully and unconditionally guaranteed by JPMorgan Chase & Co. The Securities will rank
pari passu
with all of our other unsecured and unsubordinated obligations, and the related guarantee JPMorgan Chase & Co. will rank
pari passu
with all of JPMorgan Chase & Co.s other unsecured and unsubordinated obligations. The Securities and related guarantees are not, either directly or indirectly, an obligation of any third party. Any payment to be
made on the Securities, including any repayment of principal, depends on the ability of JPMorgan Financial and JPMorgan Chase & Co. to satisfy their obligations as they come due. As a result, the actual and perceived creditworthiness of
JPMorgan Financial and JPMorgan Chase & Co. may affect the market value of the Securities and, in the event JPMorgan Financial and JPMorgan Chase & Co. were to default on their obligations, you may not receive any amounts owed to you under
the terms of the Securities and you could lose your entire investment.
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As a Finance Subsidiary, JPMorgan Financial Has No Independent Operations and 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 Securities. If these affiliates do not make payments to us and we fail to make payments on the Securities, 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 Securities Is Limited by the Maximum Gain
The appreciation potential of the Securities is limited by the Maximum Gain of 21.50%. Accordingly, the appreciation
potential of the Securities will be limited by the Maximum Gain even if the Underlying Return times the Upside Gearing is greater than the Maximum Gain.
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The Upside Gearing Applies Only If You Hold the Securities to Maturity
You should be willing to hold your Securities to maturity. If you are able to sell your Securities prior to maturity in the
secondary market, if any, the price you receive likely will not reflect the full economic value of the Upside Gearing or the Securities themselves, and the return you realize may be less than the product of the performance of the Underlying and the
Upside Gearing and may be less than the Underlying return, even if that return is positive and does not exceed the Maximum Gain. You can receive the full benefit of the Upside Gearing, subject to the Maximum Gain, only if you hold your
Securities to maturity.
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No Interest Payments
JPMorgan Financial will not make any interest payments to you with respect to the Securities.
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Potential Conflicts
We and our affiliates play a variety of roles in connection with the issuance of the Securities, including acting as calculation agent and hedging our obligations under the Securities
and making the assumptions used to determine the pricing of the Securities and the estimated value of the Securities when the terms of the Securities are set, which we refer to as the estimated value of the Securities. 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 Securities. 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 Securities and the
value of the Securities. It is possible that hedging or trading activities of ours or our affiliates in connection with the Securities could result in substantial returns for us or our affiliates while the value of the Securities declines. Please
refer to Risk Factors Risks Relating to Conflicts of Interest in the accompanying product supplement for additional information about these risks.
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The Probability That the Final Value Will Fall Below the Initial Value on the Final Valuation Date Will Depend on the Volatility of the Underlying
Volatility refers to the
frequency and magnitude of changes in the price of the Underlying. Greater expected volatility with respect to the Underlying reflects a higher expectation as of the Trade Date that the Underlying could close below the Initial Value on the
Final Valuation Date of the Securities, resulting in the loss of some or all of your investment. However, the Underlyings volatility can change significantly over the term of the Securities. The price of the Underlying could fall
sharply, which could result in a significant loss of principal.
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The Estimated Value of the Securities Is Lower Than the Original Issue Price (Price to Public) of the Securities
The estimated value of the Securities is only an estimate determined by reference to several
factors. The original issue price of the Securities exceeds the estimated value of the Securities because costs associated with selling, structuring and hedging the Securities are included in the original issue price of the
Securities. 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 Securities and the estimated cost of hedging our
obligations under the Securities. See The Estimated Value of the Securities in this pricing supplement.
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6
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The Estimated Value of the Securities Does Not Represent Future Values of the Securities and May Differ from Others Estimates
The estimated value of the Securities is determined by reference to
internal pricing models of our affiliates when the terms of the Securities are set. This estimated value of the Securities 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 Securities that are greater than or less than the estimated value of the
Securities. 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 Securities 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 Securities from you in
secondary market transactions. See The Estimated Value of the Securities in this pricing supplement.
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The Estimated Value of the Securities Is Derived by Reference to an Internal Funding Rate
The internal funding rate used in the determination of the estimated value of the Securities is based on, among
other things, our and our affiliates view of the funding value of the Securities as well as the higher issuance, operational and ongoing liability management costs of the Securities 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 Securities and any secondary market prices of the Securities. See The
Estimated Value of the Securities in this pricing supplement.
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The Value of the Securities as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Securities for a Limited Time Period
We generally expect that some of the costs included in the original issue price of the Securities will be partially paid back to you in connection with any repurchases of your Securities by JPMS in an amount that will decline to zero over an initial
predetermined period. These costs can include selling commissions, 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 Securities in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your Securities during this initial period may be lower than the
value of the Securities as published by JPMS (and which may be shown on your customer account statements).
|
¿
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Secondary Market Prices of the Securities Will Likely Be Lower Than the Original Issue Price of the Securities
Any secondary market prices of the Securities will likely be lower than the original issue
price of the Securities 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 Securities. As a result, the price, if any, at which JPMS will be willing to buy Securities 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. See the immediately following risk factor for information
about additional factors that will impact any secondary market prices of the Securities.
|
The Securities are not designed to be
short-term trading instruments. Accordingly, you should be able and willing to hold your Securities to maturity. See Lack of Liquidity below.
¿
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Many Economic and Market Factors Will Impact the Value of the Securities
As described under The Estimated Value of the Securities in this pricing supplement, the Securities can be thought of as
securities that combine a fixed-income debt component with one or more derivatives. As a result, the factors that influence the values of fixed-income debt and derivative instruments will also influence the terms of the Securities at issuance
and their value in the secondary market. Accordingly, the secondary market price of the Securities 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 the Underlying, including:
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¿
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any actual or potential change in our or JPMorgan Chase & Co.s creditworthiness or credit spreads;
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¿
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customary bid-ask spreads for similarly sized trades;
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¿
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our internal secondary market funding rates for structured debt issuances;
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¿
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the actual and expected volatility in the price of one share of the Underlying;
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¿
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the time to maturity of the Securities;
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¿
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the dividend rates on the Underlying and the equity securities held by the Underlying;
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¿
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the occurrence of certain events affecting the Underlying that may or may not require an adjustment to the closing price and the Share Adjustment Factor of the Underlying;
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¿
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interest and yield rates in the market generally;
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¿
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the exchange rates and the volatility of the exchange rates between the U.S. dollar and each of the currencies in which the equity securities held by the Underlying trade and the correlation among those rates and the
price of the Underlying; and
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¿
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a variety of other economic, financial, political, regulatory and judicial events.
|
Additionally,
independent pricing vendors and/or third party broker-dealers may publish a price for the Securities, which may also be reflected on customer account statements. This price may be different (higher or lower) than the price of the Securities, if
any, at which JPMS may be willing to purchase your Securities in the secondary market.
7
¿
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Investing in the Securities Is Not Equivalent to Investing in the Underlying or the Equity Securities Held by the Underlying
Investing in the Securities is not equivalent to investing in the Underlying or
the equity securities held by the Underlying. As an investor in the Securities, you will not have any ownership interest or rights in the Underlying or the equity securities held by the Underlying, such as voting rights, dividend payments or other
distributions.
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¿
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Your Return on the Securities Will Not Reflect Dividends on the Underlying or the Equity Securities held by the Underlying
Your return on the Securities will not reflect the return you would realize
if you actually owned the Underlying or the equity securities held by the Underlying and received the dividends on the Underlying or those equity securities. This is because the calculation agent will calculate the amount payable to you at maturity
of the Securities by reference to the Final Value, which reflects the closing price of one share of the Underlying on the Final Valuation Date without taking into consideration the value of dividends on the Underlying or the equity securities held
by the Underlying.
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¿
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No Affiliation with the Underlying or the Issuers of the Equity Securities held by the Underlying
We are not affiliated with the Underlying or, to our knowledge, the issuers of the equity securities held
by the Underlying. We have not independently verified the information about the Underlying or the issuers of the equity securities held by the Underlying contained in this pricing supplement. You should make your own investigation into the
Underlying and the issuers of the equity securities held by the Underlying. We are not responsible for the public disclosure of information by the Underlying or the issuers of the equity securities held by the Underlying, whether contained in SEC
filings or otherwise.
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¿
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Lack of Liquidity
The Securities will not be listed on any securities exchange. JPMS intends to offer to purchase the Securities 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 Securities easily. Because other dealers are not likely to make a secondary market for the Securities, the price at which you may be able to trade your
Securities is likely to depend on the price, if any, at which JPMS is willing to buy the Securities.
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¿
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Potentially Inconsistent Research, Opinions or Recommendations by JPMS, UBS or Their Affiliates
JPMS, UBS or their affiliates may publish research, express opinions or provide recommendations that are
inconsistent with investing in or holding the Securities, and that may be revised at any time. Any such research, opinions or recommendations may or may not recommend that investors buy or hold investments linked to the Underlying and could affect
the value of the Underlying, and therefore the market value of the Securities.
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¿
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Tax Treatment
Significant aspects of the tax treatment of the Securities are uncertain. You should consult your tax adviser about your tax situation.
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¿
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Potential JPMorgan Financial Impact on the Market Price of the Underlying
Trading or transactions by JPMorgan Financial or its affiliates in the Underlying or in futures, options or other derivative
products on the Underlying may adversely affect the market value of the Underlying and, therefore, the market value of the Securities.
|
Risks
Relating to the Underlying
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There Are Risks Associated with the Underlying
Although shares of the Underlying are listed for trading on a securities exchange and a number of similar products have been trading on a securities exchange
for varying periods of time, there is no assurance that an active trading market will continue for the shares of the Underlying or that there will be liquidity in the trading market. The Underlying is subject to management risk, which is the
risk that the investment strategies of the Underlyings investment adviser, the implementation of which is subject to a number of constraints, may not produce the intended results. These constraints could adversely affect the market price
of the shares of the Underlying, and consequently, the value of the Securities.
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¿
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The Performance and Market Value of the Underlying, Particularly During Periods of Market Volatility, May Not Correlate with the Performance of the Underlyings Underlying Index as well as the Net Asset Value
per Share
The Underlying does not fully replicate its Underlying Index (as defined under The Underlying below) and may hold securities different from those included in its Underlying Index. In addition, the performance of
the Underlying will reflect additional transaction costs and fees that are not included in the calculation of its Underlying Index. All of these factors may lead to a lack of correlation between the performance of the Underlying and its
Underlying Index. In addition, corporate actions with respect to the equity securities underlying the Underlying (such as mergers and spin-offs) may impact the variance between the performances of the Underlying and its Underlying
Index. Finally, because the shares of the Underlying are traded on a securities exchange and are subject to market supply and investor demand, the market value of one share of the Underlying may differ from the net asset value per share of the
Underlying.
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During periods of market volatility, securities underlying the Underlying may be unavailable in the secondary market,
market participants may be unable to calculate accurately the net asset value per share of the Underlying and the liquidity of the Underlying may be adversely affected. This kind of market volatility may also disrupt the ability of market
participants to create and redeem shares of the Underlying. Further, market volatility may adversely affect, sometimes materially, the prices at which market participants are willing to buy and sell shares of the Underlying. As a result, under
these circumstances, the market value of shares of the Underlying may vary substantially from the net asset value per share of the Underlying. For all of the foregoing reasons, the performance of the Underlying may not correlate with the
performance of its Underlying Index as well as the net asset value per share of the Underlying, which could materially and adversely affect the value of the Securities in the secondary market and/or reduce any payment on the Securities.
¿
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Risks Associated with the Energy Sector
All or substantially all of the equity securities held
by the shares of the Underlying are issued by companies whose primary line of business is directly associated with the energy sector. Market or economic factors impacting companies in the energy sector could have a major effect on the value of
the Underlying. Issuers in energy-related industries can be significantly affected by fluctuations in energy prices and supply and demand of energy fuels. Markets for various energy-related commodities can have significant volatility, and
are subject to control or manipulation by large producers or purchasers. Companies in
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8
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the energy sector may need to make substantial expenditures, and to incur significant amounts of debt, in order to maintain or expand their reserves. Oil and gas exploration and production
can be significantly affected by natural disasters as well as changes in exchange rates, interest rates, government regulation, world events and economic conditions. These companies may be at risk for environmental damage claims. As a result,
the value of the Securities may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this sector than a different investment linked to securities of a more broadly
diversified group of issuers.
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¿
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Anti-Dilution Protection Is Limited
Although the calculation agent will adjust the closing price of one share of the Underlying for certain events affecting the Underlying, the calculation agent is not
required to make an adjustment for every event that can affect the Underlying. If an event occurs that does not require the calculation agent to adjust the closing price of one share of the Fund, the market value of your Securities and any payment
on the Securities may be materially and adversely affected.
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9
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Hypothetical Examples and Return
Table
|
Hypothetical terms only. Actual terms may vary. See the cover page for actual offering terms.
The following table and hypothetical examples below illustrate the payment at maturity per $10.00 principal amount Security for a hypothetical range of
Underlying Returns from -100.00% to +100.00% on an offering of the Securities linked to a hypothetical Underlying, and assume a hypothetical Initial Value of 100, a hypothetical Upside Gearing of 1.50 and a hypothetical Maximum Gain of
12.00%. The hypothetical Initial Value of 100 has been chosen for illustrative purposes only and does not represent the actual Initial Value. The actual Initial Value is based on the closing price of one share of the Underlying on the
Trade Date and is specified on the cover of this pricing supplement. For historical data regarding the actual closing prices of one share of the Underlying, please see the historical information set forth under The Underlying in
this pricing supplement. The actual Upside Gearing and Maximum Gain are specified on the cover of this pricing supplement. The hypothetical payment at maturity examples set forth below are for illustrative purposes only and may not be the
actual returns applicable to a purchaser of the Securities. The actual payment at maturity may be more or less than the amounts displayed below and will be determined based on the actual terms of the Securities, including the Upside Gearing, the
Initial Value and the Maximum Gain, and the Final Value on the Final Valuation Date. You should consider carefully whether the Securities are suitable to your investment goals. The numbers appearing in the table below have been rounded for ease of
analysis.
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Final Value
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|
Underlying Return (%)
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|
Payment at Maturity ($)
|
|
Return at Maturity per
$10.00 issue price (%)
|
$200.00
|
|
100.00%
|
|
$11.20
|
|
12.00%
|
$190.00
|
|
90.00%
|
|
$11.20
|
|
12.00%
|
$180.00
|
|
80.00%
|
|
$11.20
|
|
12.00%
|
$170.00
|
|
70.00%
|
|
$11.20
|
|
12.00%
|
$160.00
|
|
60.00%
|
|
$11.20
|
|
12.00%
|
$150.00
|
|
50.00%
|
|
$11.20
|
|
12.00%
|
$140.00
|
|
40.00%
|
|
$11.20
|
|
12.00%
|
$130.00
|
|
30.00%
|
|
$11.20
|
|
12.00%
|
$120.00
|
|
20.00%
|
|
$11.20
|
|
12.00%
|
$110.00
|
|
10.00%
|
|
$11.20
|
|
12.00%
|
$108.00
|
|
8.00%
|
|
$11.20
|
|
12.00%
|
$106.00
|
|
6.00%
|
|
$10.90
|
|
9.00%
|
$104.00
|
|
4.00%
|
|
$10.60
|
|
6.00%
|
$102.00
|
|
2.00%
|
|
$10.30
|
|
3.00%
|
$100.00
|
|
0.00%
|
|
$10.00
|
|
0.00%
|
$95.00
|
|
-5.00%
|
|
$9.50
|
|
-5.00%
|
$90.00
|
|
-10.00%
|
|
$9.00
|
|
-10.00%
|
$80.00
|
|
-20.00%
|
|
$8.00
|
|
-20.00%
|
$70.00
|
|
-30.00%
|
|
$7.00
|
|
-30.00%
|
$60.00
|
|
-40.00%
|
|
$6.00
|
|
-40.00%
|
$50.00
|
|
-50.00%
|
|
$5.00
|
|
-50.00%
|
$40.00
|
|
-60.00%
|
|
$4.00
|
|
-60.00%
|
$30.00
|
|
-70.00%
|
|
$3.00
|
|
-70.00%
|
$20.00
|
|
-80.00%
|
|
$2.00
|
|
-80.00%
|
$10.00
|
|
-90.00%
|
|
$1.00
|
|
-90.00%
|
$0.00
|
|
-100.00%
|
|
$0.00
|
|
-100.00%
|
Example 1 The price of the Underlying increases by 2% from the Initial Value of $100 to the Final Value of $102.
Because the Upside Gearing of 1.50 times the Underlying Return of 2% is less than the Maximum Gain of 12.00%, JPMorgan Financial will pay you
your principal amount
plus
a return equal to the Underlying Return
times
the Upside Gearing, resulting in a payment at maturity of $10.30 per $10 principal amount Security, calculated as follows:
$10.00 + ($10.00 × Underlying Return × Upside Gearing)
$10.00 + ($10.00 × 2% × 1.50) = $10.30
Example 2 The price of the Underlying increases by 10% from the Initial Value of $100 to the Final Value of $110.
Because the Upside Gearing of 1.50 times the Underlying Return of 10% is greater than the Maximum Gain of 12.00%, JPMorgan Financial will pay you your
principal amount
plus
a return equal to the Maximum Gain of 12.00%, resulting in a payment at maturity of $11.20 per $10 principal amount Security, calculated as follows:
$10.00 + ($10.00 × Maximum Gain)
$10.00 + ($10.00
× 12.00%) = $11.20
10
Example 3 The price of the Underlying increases by 40% from the Initial Value of $100 to the Final
Value of $140.
Because the Upside Gearing of 1.50 times the Underlying Return of 40% is significantly greater than the Maximum Gain of 12.00%,
JPMorgan Financial will pay you your principal amount
plus
a return equal to only the Maximum Gain of 12.00%, resulting in a payment at maturity of $11.20 per $10 principal amount Security, calculated as follows:
$10.00 + ($10.00 × Maximum Gain)
$10.00 + ($10.00
× 12.00%) = $11.20
Example 4 The price of the Underlying decreases by 40% from the Initial Value of $100 to the Final Value of $60.
Because the Underlying Return is -40%, JPMorgan Financial will pay you a payment at maturity of $6.00 per $10 principal amount Security,
calculated as follows:
$10.00 + ($10.00 × Underlying Return)
$10.00 + ($10.00 × -40.00%) = $6.00
If the
Underlying Return is negative, investors will be exposed to the negative Underlying Return at maturity, resulting in a loss of principal that is proportionate to the Underlyings decline from the Initial Value to the Final Value. Investors
could lose some or all of their principal amount.
The hypothetical returns and hypothetical payments on the Securities shown above apply
only if you hold the Securities for their entire term.
These hypotheticals do not reflect 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.
11
The Energy Select Sector SPDR
®
is an exchange-traded fund of the
Select Sector SPDR
®
Trust, a registered investment company, that seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly
traded equity securities of companies in the Energy Select Sector Index, which we refer to as the Underlying Index with respect to the Fund. The Energy Select Sector Index is a modified market capitalization-based index that measures the performance
of the GICS
®
energy sector, which currently includes companies in the following industries: energy equipment and services; and oil, gas and consumable fuels. For additional information
about the Energy Select Sector SPDR
®
Fund, Fund Descriptions The Select Sector SPDR
®
Funds in the accompanying
underlying supplement
Historical Information
The following table sets forth the quarterly high and low closing prices of one share of the Underlying, based on daily closing prices of one share of the
Underlying as reported by the Bloomberg Professional
®
service (Bloomberg), without independent verification. The information given below is for the four calendar quarters in
each of 2011, 2012, 2013, 2014, 2015 and the first, second and third calendar quarters of 2016. Partial data is provided for the fourth calendar quarter of 2016. The closing price of one share of the Underlying on October 26 2016 was
69.82. We obtained the closing prices of one share of the Underlying above and below from Bloomberg, without independent verification. The closing prices may have been adjusted by Bloomberg for certain actions, such as stock
splits. You should not take the historical prices of one share of the Underlying as an indication of future performance.
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|
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Quarter Begin
|
|
Quarter End
|
|
Quarterly Closing High
|
|
Quarterly Closing Low
|
|
Close
|
1/1/2011
|
|
3/31/2011
|
|
80.01
|
|
67.78
|
|
79.81
|
4/1/2011
|
|
6/30/2011
|
|
80.44
|
|
70.99
|
|
75.35
|
7/1/2011
|
|
9/30/2011
|
|
79.79
|
|
58.59
|
|
58.59
|
10/1/2011
|
|
12/31/2011
|
|
73.04
|
|
56.55
|
|
69.13
|
1/1/2012
|
|
3/31/2012
|
|
76.29
|
|
69.46
|
|
71.73
|
4/1/2012
|
|
6/30/2012
|
|
72.42
|
|
62.00
|
|
66.37
|
7/1/2012
|
|
9/30/2012
|
|
76.57
|
|
64.96
|
|
73.48
|
10/1/2012
|
|
12/31/2012
|
|
74.94
|
|
68.59
|
|
71.44
|
1/1/2013
|
|
3/31/2013
|
|
79.99
|
|
72.86
|
|
79.32
|
4/1/2013
|
|
6/30/2013
|
|
83.28
|
|
74.09
|
|
78.36
|
7/1/2013
|
|
9/30/2013
|
|
85.30
|
|
78.83
|
|
82.88
|
10/1/2013
|
|
12/31/2013
|
|
88.51
|
|
81.87
|
|
88.51
|
1/1/2014
|
|
3/31/2014
|
|
89.06
|
|
81.89
|
|
89.06
|
4/1/2014
|
|
6/30/2014
|
|
101.29
|
|
88.45
|
|
100.10
|
7/1/2014
|
|
9/30/2014
|
|
100.58
|
|
90.62
|
|
90.62
|
10/1/2014
|
|
12/31/2014
|
|
88.77
|
|
73.36
|
|
79.16
|
1/1/2015
|
|
3/31/2015
|
|
82.29
|
|
72.86
|
|
77.58
|
4/1/2015
|
|
6/30/2015
|
|
82.94
|
|
74.64
|
|
75.16
|
7/1/2015
|
|
9/30/2015
|
|
74.54
|
|
59.22
|
|
61.2
|
10/1/2015
|
|
12/31/2015
|
|
71.40
|
|
58.78
|
|
60.55
|
1/1/2016
|
|
3/31/2016
|
|
63.75
|
|
51.80
|
|
61.92
|
4/1/2016
|
|
6/30/2016
|
|
69.50
|
|
60.18
|
|
68.24
|
7/1/2016
|
|
9/30/2016
|
|
71.80
|
|
65.27
|
|
70.61
|
10/1/2016
|
|
10/26/16*
|
|
71.72
|
|
69.46
|
|
69.82
|
*
|
As of the date of this pricing supplement, available information for the fourth calendar quarter of 2016 includes data for the period from October 1, 2016 through October 26, 2016. Accordingly, the
Quarterly Closing High, Quarterly Closing Low and Close data indicated are for this shortened period only and do not reflect complete data for the fourth calendar quarter of 2016.
|
12
The graph below illustrates the daily performance of the Underlying from January 3, 2006 through October 26, 2016, based on
information from Bloomberg, without independent verification.
Past performance of the Underlying is not indicative of the future performance of the
Underlying.
The historical performance of the Underlying 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 Underlying on the Final Valuation Date. We cannot give you assurance that the performance of the Underlying will result in the return of any of your principal amount.
|
Supplemental Plan of
Distribution
|
We and JPMorgan Chase & Co. have agreed to indemnify UBS and JPMS against liabilities under the Securities Act of
1933, as amended, or to contribute to payments that UBS may be required to make relating to these liabilities as described in the prospectus supplement and the prospectus. We have agreed that UBS may sell all or a part of the Securities that it
purchases from us to the public or its affiliates at the price to public indicated on the cover hereof.
Subject to regulatory constraints, JPMS
intends to offer to purchase the Securities in the secondary market, but it is not required to do so.
We or our affiliates may enter into swap
agreements or related hedge transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the Securities, and JPMS and/or an affiliate may earn additional income as a result of payments pursuant to the
swap or related hedge transactions. See Supplemental Use of Proceeds in this pricing supplement and Use of Proceeds and Hedging in the accompanying product supplement.
|
The Estimated Value of the
Securities
|
The estimated value of the Securities 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 Securities, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying the economic terms of the
Securities. The estimated value of the Securities does not represent a minimum price at which JPMS would be willing to buy your Securities in any secondary market (if any exists) at any time. The internal funding rate used in the
determination of the estimated value of the Securities is based on, among other things, our and our affiliates view of the funding values of the Securities as well as the higher issuance, operational and ongoing liability management costs of
the Securities in comparison to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. For additional information, see Key Risks Risks Relating to the Securities Generally The Estimated Value of the
Securities 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 Securities 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 Securities is determined when the terms of the Securities are set based on market conditions and other
relevant factors and assumptions existing at that time. See Key Risks Risks Relating to the Securities Generally The Estimated Value of the Securities Does Not Represent Future Values of the Securities and May Differ from
Others Estimates in this pricing supplement.
The estimated value of the Securities is lower than the original issue price of the
Securities because costs associated with selling, structuring and hedging the Securities are included in the original issue price of the Securities. These costs include the selling commissions paid to UBS,
13
the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the Securities and the estimated cost of hedging our obligations
under the Securities. 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. We or one or
more of our affiliates will retain any profits realized in hedging our obligations under the Securities. See Key Risks Risks Relating to the Securities Generally The Estimated Value of the Securities Is Lower Than the
Original Issue Price (Price to Public) of the Securities in this pricing supplement.
|
Secondary Market Prices of the
Securities
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For information about factors that will impact any secondary market prices of the Securities, see Key Risks
Risks Relating to the Securities Generally Secondary Market Prices of the Securities Will Be Impacted by Many Economic and Market Factors in this pricing supplement. In addition, we generally expect that some of the costs included in
the original issue price of the Securities will be partially paid back to you in connection with any repurchases of your Securities by JPMS in an amount that will decline to zero over an initial predetermined period that is intended to be up to
seven months. The length of any such initial period reflects secondary market volumes for the Securities, the structure of the Securities, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated
costs of hedging the Securities and when these costs are incurred, as determined by our affiliates. See Key Risks Risks Relating to the Securities Generally The Value of the Securities as Published by JPMS (and Which May Be
Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Securities for a Limited Time Period in this pricing supplement.
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Supplemental Use of
Proceeds
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The Securities are offered to meet investor demand for products that reflect the risk-return profile and market exposure
provided by the Securities. See Hypothetical Examples and Return Table in this pricing supplement for an illustration of the risk-return profile of the Securities and The Underlying in this pricing supplement for a
description of the market exposure provided by the Securities.
The original issue price of the Securities is equal to the estimated value of the
Securities plus the selling commissions paid to UBS, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the Securities, plus the estimated cost of hedging
our obligations under the Securities.
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Validity of the Securities and the
Guarantee
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In the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase
& Co., when the Securities 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 Securities
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 Securities 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.
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