December 2,
2016
|
Registration Statement Nos. 333-209682 and 333-209682-01; Rule 424(b)(2)
|
JPMorgan
Chase Financial Company LLC
Structured Investments
$12,050,000
Contingent
Interest and Contingent Leveraged Notes Linked to the S&P 500
®
Index due January 7, 2022
Fully
and Unconditionally Guaranteed by JPMorgan Chase & Co.
|
·
|
The notes are designed for investors who seek a Contingent
Interest Payment with respect to a Review Date if the closing level of the S&P 500
®
Index, which we refer to
as the Index, is greater than or equal to 90.00% of the Initial Value, which we refer to as the Trigger Value, on each day on
or prior to that Review Date.
|
|
·
|
As early as the first day after the Pricing Date, investors
in the notes could lose their ability to receive any Contingent Interest Payments over the 61-month term of the notes. Under these
circumstances, the payment at maturity will reflect the sum of the return of the Index over the term of the notes
plus
the Buffer Amount of 10.00%,
multiplied
by the Leverage Factor of 1.11111. This payment at maturity will be less than the
principal amount if the Final Value is less than the Trigger Value.
|
|
·
|
If investors receive all available Contingent Interest
Payments over the term of the notes because a Trigger Event does not occur, they will receive only the principal amount of their
notes at maturity and
will not
receive an enhanced payment at maturity.
|
|
·
|
Investors should be willing to accept the risk of losing
some or all of their principal and the risk that no Contingent Interest Payment may be made with respect to some or all Review
Dates.
|
|
·
|
Investors should also be willing to forgo fixed interest
and dividend payments, in exchange for the opportunity to receive Contingent Interest Payments or an enhanced payment at maturity.
|
|
·
|
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.
|
|
·
|
Minimum denominations of $1,000 and integral multiples
thereof
|
|
·
|
The notes priced on December 2, 2016 and are expected
to settle on or about December 7, 2016.
|
Investing
in the notes involves a number of risks. See “Risk Factors” beginning on page PS-10 of the accompanying product supplement,
“Risk Factors” beginning on page US-2 of the accompanying underlying supplement and “Selected Risk Considerations”
beginning on page PS-5 of this pricing supplement.
Neither the
Securities and Exchange Commission (the “SEC”) nor any state securities commission has approved or disapproved of
the notes or passed upon the accuracy or the adequacy of this pricing supplement or the accompanying product supplement, underlying
supplement, prospectus supplement and prospectus. Any representation to the contrary is a criminal offense.
|
Price to Public (1)
|
Fees and Commissions (2)
|
Proceeds to Issuer
|
Per note
|
$1,000
|
—
|
$1,000
|
Total
|
$12,050,000
|
—
|
$12,050,000
|
(1) See “Supplemental Use of Proceeds”
in this pricing supplement for information about the components of the price to public of the notes.
(2) All sales of the notes will be made to certain
fee-based advisory accounts for which an affiliated or unaffiliated broker-dealer is an investment adviser. These broker-dealers
will forgo any commissions related to these sales. See “Plan of Distribution (Conflicts of Interest)” in the accompanying
product supplement.
|
The estimated value of the notes, when the terms of the notes were
set, was $1,020.70 per $1,000 principal amount note. See “The Estimated Value of the Notes” in this pricing supplement
for additional information.
The notes are not bank deposits, are not insured by the Federal
Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Pricing supplement to product supplement no.
4-I dated April 15, 2016, underlying supplement no. 1-I dated April 15, 2016
and the prospectus and prospectus supplement, each dated April 15, 2016
Key
Terms
Issuer:
JPMorgan Chase Financial Company LLC
Guarantor:
JPMorgan Chase & Co.
Index:
The S&P 500
®
Index (Bloomberg ticker: SPX)
Contingent
Interest
Payments:
If a Trigger Event has not occurred on or prior to a Review Date, you will receive on the applicable Interest Payment Date
for each $1,000 principal amount note a Contingent Interest Payment equal to $5.625 (equivalent to a Contingent Interest Rate
of 6.75% per annum, payable at a rate of 0.5625% per month).
If a Trigger
Event has occurred on or prior to a Review Date, no Contingent Interest Payment will be made with respect to that Review Date
or any subsequent Review Date. Following the occurrence of a Trigger Event, no further Contingent Interest Payments will be payable
over the remaining term of the notes.
Contingent
Interest
Rate:
6.75% per annum, payable at a rate of 0.5625% per month
Trigger
Value:
90.00% of the Initial Value, which is 1,972.755
Buffer
Amount:
10.00%
Leverage
Factor:
1.11111
Pricing
Date:
On or about December 2, 2016
Original
Issue Date (Settlement Date):
On or about December 7, 2016
Review
Dates*:
January 3, 2017, February 2, 2017, March 2, 2017, April 3, 2017, May 2, 2017,
June 2, 2017, July 3, 2017, August 2, 2017, September 5, 2017, October 2, 2017, November 2, 2017, December 4, 2017, January 2,
2018, February 2, 2018, March 2, 2018, April 2, 2018, May 2, 2018, June 4, 2018, July 2, 2018, August 2, 2018, September 4, 2018,
October 2, 2018, November 2, 2018, December 3, 2018, January 2, 2019, February 4, 2019, March 4, 2019, April 2, 2019, May 2, 2019,
June 3, 2019, July 2, 2019, August 2, 2019, September 3, 2019, October 2, 2019, November 4, 2019, December 2, 2019, January 2,
2020, February 3, 2020, March 2, 2020, April 2, 2020, May 4, 2020, June 2, 2020, July 2, 2020, August 3, 2020, September 2, 2020,
October 2, 2020, November 2, 2020, December 2, 2020, January 4, 2021, February 2, 2021, March 2, 2021, April 5, 2021, May 3, 2021,
June 2, 2021, July 2, 2021, August 2, 2021, September 2, 2021, October 4, 2021, November 2, 2021, December 2, 2021 and January
4, 2022 (final Review Date)
* Subject to postponement in the event of a market disruption event and as described under “General Terms of Notes —
Postponement of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single Underlying (Other
Than a Commodity Index)” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying
product supplement
Interest
Payment Dates*:
January 6, 2017, February 7, 2017, March 7, 2017, April 6, 2017, May 5, 2017, June 7, 2017, July 7,
2017, August 7, 2017, September 8, 2017, October 5, 2017, November 7, 2017, December 7, 2017, January 5, 2018, February 7, 2018,
March 7, 2018, April 5, 2018, May 7, 2018, June 7, 2018, July 6, 2018, August 7, 2018, September 7, 2018, October 5, 2018, November
7, 2018, December 6, 2018, January 7, 2019, February 7, 2019, March 7, 2019, April 5, 2019, May 7, 2019, June 6, 2019, July 8,
2019, August 7, 2019, September 6, 2019, October 7, 2019, November 7, 2019, December 5, 2019, January 7, 2020, February 6, 2020,
March 5, 2020, April 7, 2020, May 7, 2020, June 5, 2020, July 8, 2020, August 6, 2020, September 8, 2020, October 7, 2020, November
5, 2020, December 7, 2020, January 7, 2021, February 5, 2021, March 5, 2021, April 8, 2021, May 6, 2021, June 7, 2021, July 8,
2021, August 5, 2021, September 8, 2021, October 7, 2021, November 5, 2021, December 7, 2021 and the Maturity Date
Maturity
Date*:
January 7, 2022
Payment
at Maturity:
If a Trigger
Event has not occurred, you will receive a cash payment at maturity, for each $1,000 principal amount note, equal to (a) $1,000
plus
(b) the Contingent Interest Payment applicable to the final Review Date.
If a Trigger
Event has occurred, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 +
[$1,000 × (Index Return + Buffer Amount) × Leverage Factor]
If (i)
a Trigger Event has occurred and (ii) the Final Value is less than the Trigger Value, you will lose some or all of your principal
amount at maturity.
Trigger
Event:
A Trigger Event occurs if, on any day during the Monitoring Period, the closing level of the Index is less than
the Trigger Value.
Monitoring
Period:
The period from but excluding the Pricing Date to and including the final Review Date
Index
Return:
(Final
Value – Initial Value)
Initial Value
Initial
Value:
The closing level of the Index on the Pricing Date, which was 2,191.95
Final
Value:
The closing level of the Index on the final Review Date
PS-
1
| Structured Investments
Contingent Interest and Contingent Leveraged Notes Linked to
the S&P 500
®
Index
|
|
How
the Notes Work
Payments in Connection with Review Dates (Other
than the Final Review Date)
Payment at Maturity
PS-
2
| Structured Investments
Contingent Interest and Contingent Leveraged Notes Linked to
the S&P 500
®
Index
|
|
Total
Contingent Interest Payments
The
table below illustrates the hypothetical total Contingent Interest Payments per $1,000 principal amount note over the term of
the notes based on the Contingent Interest Rate of 6.75% per annum, depending on how many Contingent Interest Payments are made
prior to maturity.
If the closing level of the Index is less than the Trigger Value on any day on or prior to a Review Date,
no Contingent Interest Payment will be payable with respect to that Review Date or any subsequent Review Date.
Number of Contingent Interest Payments
|
Total Contingent Interest Payments
|
|
Number of Contingent Interest Payments
|
Total Contingent Interest Payments
|
61
|
$343.125
|
|
30
|
$168.750
|
60
|
$337.500
|
|
29
|
$163.125
|
59
|
$331.875
|
|
28
|
$157.500
|
58
|
$326.250
|
|
27
|
$151.875
|
57
|
$320.625
|
|
26
|
$146.250
|
56
|
$315.000
|
|
25
|
$140.625
|
55
|
$309.375
|
|
24
|
$135.000
|
54
|
$303.750
|
|
23
|
$129.375
|
53
|
$298.125
|
|
22
|
$123.750
|
52
|
$292.500
|
|
21
|
$118.125
|
51
|
$286.875
|
|
20
|
$112.500
|
50
|
$281.250
|
|
19
|
$106.875
|
49
|
$275.625
|
|
18
|
$101.250
|
48
|
$270.000
|
|
17
|
$95.625
|
47
|
$264.375
|
|
16
|
$90.000
|
46
|
$258.750
|
|
15
|
$84.375
|
45
|
$253.125
|
|
14
|
$78.750
|
44
|
$247.500
|
|
13
|
$73.125
|
43
|
$241.875
|
|
12
|
$67.500
|
42
|
$236.250
|
|
11
|
$61.875
|
41
|
$230.625
|
|
10
|
$56.250
|
40
|
$225.000
|
|
9
|
$50.625
|
39
|
$219.375
|
|
8
|
$45.000
|
38
|
$213.750
|
|
7
|
$39.375
|
37
|
$208.125
|
|
6
|
$33.750
|
36
|
$202.500
|
|
5
|
$28.125
|
35
|
$196.875
|
|
4
|
$22.500
|
34
|
$191.250
|
|
3
|
$16.875
|
33
|
$185.625
|
|
2
|
$11.250
|
32
|
$180.000
|
|
1
|
$5.625
|
31
|
$174.375
|
|
0
|
$0.000
|
PS-
3
| Structured Investments
Contingent Interest and Contingent Leveraged Notes Linked to
the S&P 500
®
Index
|
|
Hypothetical
Payout Examples
The
following examples illustrate payments on the notes linked to a hypothetical Index, assuming a range of performances for the hypothetical
Index during the Monitoring Period, including on the final Review Date. The hypothetical payments set forth below assume the following:
|
·
|
an Initial Value of 100.00;
|
|
·
|
a Trigger Value of 90.00 (equal to 90.00% of the hypothetical
Initial Value);
|
|
·
|
a Buffer Amount of 10.00%;
|
|
·
|
a Leverage Factor of 1.11111; and
|
|
·
|
a Contingent Interest Rate of 6.75% per annum (payable at
a rate of 0.5625% per month).
|
The
hypothetical Initial Value of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial
Value. The actual Initial Value is the closing level of the Index on the Pricing Date and is specified under “Key Terms
— Initial Value” in this pricing supplement. For historical data regarding the actual closing levels of the Index,
please see the historical information set forth under “The Index” in this pricing supplement.
Each
hypothetical payment set forth below is for illustrative purposes only and may not be the actual payment applicable to a purchaser
of the notes. The numbers appearing in the following examples have been rounded for ease of analysis.
Example
1 — A Trigger Event has NOT occurred and the Final Value is greater than the Initial Value.
Date
|
Trigger Event Has Occurred on or Before Review Date
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
No
|
$5.625
|
Second Review Date
|
No
|
$5.625
|
Third through Sixtieth Review Dates
|
No
|
$5.625
|
Final Review Date
(Final Value: 140.00)
|
No
|
$1,005.625
|
|
Total Payment
|
$1,343.125 (34.3125% return)
|
Because
a Trigger Event has not occurred, the payment at maturity, for each $1,000 principal amount note, will be $1,005.625 (or $1,000
plus
the Contingent Interest Payment applicable to the final Review Date), regardless of the performance of the Index.
When added to the Contingent Interest Payments received with respect to the prior Review Dates, the total amount paid, for each
$1,000 principal amount note, is $1,343.125. Although the Index Return is 40.00%, because a Trigger Event has not occurred, the
return on the notes is only 34.3125%.
Example
2 — A Trigger Event has occurred on or prior to the first Review Date and the Final Value is less than the Trigger Value.
Date
|
Trigger Event Has Occurred on or Before Review Date
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
Yes
|
$0
|
Second Review Date
|
Yes
|
$0
|
Third through Sixtieth Review Dates
|
Yes
|
$0
|
Final Review Date
(Final Value: 50.00)
|
Yes
|
$555.5555
|
|
Total Payment
|
$555.5555 (-44.44445% return)
|
Because
a Trigger Event has occurred and the Index Return is -50.00%, the payment at maturity will be $555.5555 per $1,000 principal amount
note, calculated as follows:
$1,000
+ [$1,000 × (-50.00% + 10.00%) × 1.11111] = $555.5555
In
addition, because a Trigger Event occurred on or prior to the first Review Date, you receive no Contingent Interest Payments for
the entire term of the notes. Therefore, the total amount paid, for each $1,000 principal amount note, is equal to only $555.5555.
PS-
4
| Structured Investments
Contingent Interest and Contingent Leveraged Notes Linked to
the S&P 500
®
Index
|
|
Example
3 — A Trigger Event has occurred for the first time after the third Review Date and on or prior to the fourth Review Date
and the Final Value is greater than or equal to the Trigger Value.
Date
|
Trigger Event Has Occurred on or Before Review Date
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
No
|
$5.625
|
Second Review Date
|
No
|
$5.625
|
Third Review Date
|
No
|
$5.625
|
Fourth Review Date
|
Yes
|
$0
|
Fifth through Sixtieth Review Dates
|
Yes
|
$0
|
Final Review Date
(Final Value: 95.00)
|
Yes
|
$1,055.5555
|
|
Total Payment
|
$1,072.4305 (7.24305% return)
|
Because
a Trigger Event has occurred and the Index Return is -5.00%, the payment at maturity will be $1,0555.5555 per $1,000 principal
amount note, calculated as follows:
$1,000
+ [$1,000 × (-5.00% + 10.00%) × 1.11111] = $1,055.5555
However,
because a Trigger Event occurred on for the first time after the third Review Date and on or prior to the fourth Review Date,
you receive no Contingent Interest Payments for the fourth Review Date and for the remaining term of the notes. When added to
the Contingent Interest Payments received with respect to the prior Review Dates, the total amount paid, for each $1,000 principal
amount note, is $1,072.4305.
The
hypothetical returns and hypothetical payments on the notes shown above apply
only if you hold the notes for their entire
term.
These hypotheticals do not reflect the fees or expenses that would be associated with any sale in the secondary market.
If these fees and expenses were included, the hypothetical returns and hypothetical payments shown above would likely be lower.
Selected
Risk Considerations
An
investment in the notes involves significant risks. These risks are explained in more detail in the “Risk Factors”
sections of the accompanying product supplement and underlying supplement.
|
·
|
YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
|
The notes do not guarantee any return
of principal. If (i) a Trigger Event has occurred and (ii) the Final Value is less than the Trigger Value, you will lose 1.11111%
of the principal amount of your notes for every 1% that the Final Value is less than the Initial Value by more than 10.00%. Accordingly,
under these circumstances, you will lose some or all of your principal amount at maturity.
|
·
|
THE OPPORTUNITY TO RECEIVE CONTINGENT INTEREST PAYMENTS MAY TERMINATE AS EARLY AS THE FIRST DAY AFTER THE PRICING DATE —
|
As early as the first
day after the Pricing Date, you could lose your ability to receive any Contingent Interest Payments over the 61-month term of the
notes. Under these circumstances, the payment at maturity will reflect the sum of the Index Return
plus
the Buffer Amount
of 10.00%,
multiplied
by the Leverage Factor of 1.11111. This payment at maturity will be less than the principal amount
if the Final Value is less than the Trigger Value.
|
·
|
THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL —
|
We will make a Contingent Interest Payment
with respect to a Review Date only if a Trigger Event has not occurred on or prior to that Review Date. If a Trigger Event has
occurred on or prior to a Review Date, no Contingent Interest Payment will be made with respect to that Review Date or any subsequent
Review Date. Under these circumstances, no further Contingent Interest payments will be payable over the remaining term of the
notes.
|
·
|
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
|
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
PS-
5
| Structured Investments
Contingent Interest and Contingent Leveraged Notes Linked to
the S&P 500
®
Index
|
|
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.
|
·
|
IF NO TRIGGER EVENT OCCURS, THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS
THAT MAY BE PAID OVER THE TERM OF THE NOTES
|
regardless of any appreciation in the
level of the Index, which may be significant. Under these circumstances, you will not participate in any appreciation in the level
of the Index.
|
·
|
THE LEVERAGE FACTOR WILL PROVIDE UPSIDE ENHANCEMENT ONLY IF A TRIGGER EVENT HAS OCCURRED AND THE FINAL VALUE IS GREATER
THAN THE TRIGGER VALUE —
|
If you receive all available Contingent
Interest Payments over the term of the notes because a Trigger Event does not occur, you will receive only the principal amount
of your notes at maturity and
will not
receive an enhanced payment at maturity. If a Trigger Event has occurred and the
Final Value is less than the Trigger Value, the payment at maturity will be less than the principal amount.
We and our affiliates play a variety
of roles in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests
are potentially adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours
or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the value of
the notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying
product supplement.
|
·
|
JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500
®
INDEX,
|
but JPMorgan Chase & Co. will not
have any obligation to consider your interests in taking any corporate action that might affect the level of the S&P 500
®
Index.
|
·
|
YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN THE INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES.
|
|
·
|
THE RISK OF THE CLOSING LEVEL OF THE INDEX FALLING BELOW THE TRIGGER VALUE IS GREATER IF THE LEVEL OF THE INDEX IS VOLATILE.
|
The notes will not be listed on any securities
exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which
JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your notes to maturity.
|
·
|
THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES
—
|
See “The Estimated Value of the
Notes” in this pricing supplement.
|
·
|
THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
|
The internal funding rate used in the
determination of the estimated value of the notes is based on, among other things, our and our affiliates’ view of the funding
value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison
to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. The use of an internal funding rate and any potential
changes to that rate may have an adverse effect on the terms of the notes and any secondary market prices of the notes. See “The
Estimated Value of the Notes” in this pricing supplement.
PS-
6
| Structured Investments
Contingent Interest and Contingent Leveraged Notes Linked to
the S&P 500
®
Index
|
|
|
·
|
THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN
THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
|
We generally expect that some of the
costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of
your notes by JPMS in an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices
of the Notes” in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated
value of your notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be
shown on your customer account statements).
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
|
Any secondary market prices of the notes
will likely be lower than the original issue price of the notes because, among other things, secondary market prices take into
account our internal secondary market funding rates for structured debt issuances and, also, because secondary market prices may
exclude estimated hedging costs that are included in the original issue price of the notes. As a result, the price, if any, at
which JPMS will be willing to buy the notes from you in secondary market transactions, if at all, is likely to be lower than the
original issue price. Any sale by you prior to the Maturity Date could result in a substantial loss to you.
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
|
The secondary market price of the notes
during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside
from the estimated hedging costs and the level of the Index. Additionally, independent pricing vendors and/or third party broker-dealers
may publish a price for the notes, which may also be reflected on customer account statements. This price may be different (higher
or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes in the secondary market. See
“Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — Secondary market
prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
The
Index
The
Index consists of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For additional
information about the Index, see “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying
underlying supplement.
Historical
Information
The
following graph sets forth the historical performance of the Index based on the weekly historical closing levels from January
7, 2011 through December 2, 2016. The closing level of the Index on December 2, 2016 was 2,191.95. We obtained the closing levels
above and below from the Bloomberg Professional
®
service (“Bloomberg”), without independent verification.
The
historical closing levels of the Index should not be taken as an indication of future performance, and no assurance can be given
as to the closing level of the Index on any day during the Monitoring Period, including on the final Review Date. There can be
no assurance that the performance of the Index will result in the return of any of your principal amount or the payment of any
interest.
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Tax
Treatment
You
should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product
supplement no. 4-I. In determining our reporting responsibilities we intend to treat (i) the notes for U.S. federal income tax
purposes as prepaid forward contracts with associated contingent coupons and (ii) any Contingent Interest Payments as ordinary
income, as described in the section entitled “Material U.S. Federal Income Tax Consequences — Tax Consequences to
U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated Contingent Coupons” in the accompanying
product supplement. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel, we believe that this is a reasonable
treatment, but that there are other reasonable treatments that the IRS or a court may adopt, in which case the timing and character
of any income or loss on the notes could be materially affected. In addition, in 2007 Treasury and the IRS released a notice requesting
comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice
focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment.
It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments
and the relevance of factors such as the nature of the underlying property to which the instruments are linked. While the notice
requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated
after consideration of these issues could materially affect the tax consequences of an investment in the notes, possibly with
retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in
the notes, including possible alternative treatments and the issues presented by this notice.
Non-U.S.
Holders — Tax Considerations
. The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and
although we believe it is reasonable to take a position that Contingent Interest Payments are not subject to U.S. withholding
tax (at least if an applicable Form W-8 is provided), a withholding agent may nonetheless withhold on these payments (generally
at a rate of 30%, subject to the possible reduction of that rate under an applicable income tax treaty), unless income from your
notes is effectively connected with your conduct of a trade or business in the United States (and, if an applicable treaty so
requires, attributable to a permanent establishment in the United States). If you are not a United States person, you are urged
to consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes in light of your
particular circumstances.
Non-U.S.
holders should also note that recently promulgated Treasury regulations imposing a withholding tax on certain “dividend
equivalents” under certain “equity linked instruments” will not apply to the notes.
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FATCA.
Withholding under legislation commonly referred to as “FATCA” could apply to payments with respect to the notes
that are treated as U.S.-source “fixed or determinable annual or periodical” income (“FDAP Income”) for
U.S. federal income tax purposes (such as interest, if the notes are recharacterized, in whole or in part, as debt instruments,
or Contingent Interest Payments if they are otherwise treated as FDAP Income). If the notes are recharacterized, in whole or in
part, as debt instruments, withholding could also apply to payments of gross proceeds of a taxable disposition, including redemption
at maturity. However, under a recent IRS notice, this regime will not apply to payments of gross proceeds (other than any amount
treated as FDAP Income) with respect to dispositions occurring before January 1, 2019. You should consult your tax adviser regarding
the potential application of FATCA to the notes.
In
the event of any withholding on the notes, we will not be required to pay any additional amounts with respect to amounts so withheld.
The Estimated Value of the Notes
The
estimated value of the notes set forth on the cover of this pricing supplement is equal to the sum of the values of the following
hypothetical components: (1) a fixed-income debt component with the same maturity as the notes, valued using the internal funding
rate described below, and (2) the derivative or derivatives underlying the economic terms of the notes. The estimated value of
the notes does not represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any
exists) at any time. The internal funding rate used in the determination of the estimated value of the notes is based on, among
other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance, operational
and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed-rate debt of JPMorgan
Chase & Co. For additional information, see “Selected Risk Considerations — The Estimated Value of the Notes Is
Derived by Reference to an Internal Funding Rate” in this pricing supplement.
The
value of the derivative or derivatives underlying the economic terms of the notes is derived from internal pricing models of our
affiliates. These models are dependent on inputs such as the traded market prices of comparable derivative instruments and on
various other inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates and
other factors, as well as assumptions about future market events and/or environments. Accordingly, the estimated value of the
notes is determined when the terms of the notes are set based on market conditions and other relevant factors and assumptions
existing at that time.
The
estimated value of the notes does not represent future values of the notes and may differ from others’ estimates. Different
pricing models and assumptions could provide valuations for the notes that are greater than or less than the estimated value of
the notes. In addition, market conditions and other relevant factors in the future may change, and any assumptions may prove to
be incorrect. On future dates, the value of the notes could change significantly based on, among other things, changes in market
conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements and other relevant factors, which
may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market transactions.
Costs
associated with structuring and hedging the notes are included in the original issue price of the notes. These costs include the
estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced
by market forces beyond our control, this hedging may result in a loss that is more or less than expected, or it may result in
a profit.
Secondary
Market Prices of the Notes
For
information about factors that will impact any secondary market prices of the notes, see “Risk Factors — Risks Relating
to the Estimated Value and Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted
by many economic and market factors” in the accompanying product supplement. In addition, we generally expect that some
of the costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases
of your notes by JPMS in an amount that will decline to zero over an initial predetermined period. These costs can include projected
hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates for
structured debt issuances. This initial predetermined time period is intended to be the shorter of six months and one-half of
the stated term of the notes. The length of any such initial period reflects the structure of the notes, whether our affiliates
expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the notes and when these costs
are incurred, as determined by our affiliates. See “Selected Risk Considerations — The Value of the Notes as Published
by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the
Notes for a Limited Time Period” in this pricing supplement.
Supplemental
Use of Proceeds
The
notes are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the
notes. See “How the Notes Work” and “Hypothetical Payout Examples” in this pricing supplement for an illustration
of the risk-return profile of the notes and “The Index” in this pricing supplement for a description of the market
exposure provided by the notes.
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The
original issue price of the notes is equal to the estimated value of the notes minus (plus) the projected losses (profits) that
our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes, plus the estimated cost
of hedging our obligations under the notes.
Validity
of the Notes and the Guarantee
In
the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co.,
when the notes offered by this pricing supplement have been executed and issued by JPMorgan Financial and authenticated by the
trustee pursuant to the indenture, and delivered against payment as contemplated herein, such notes will be valid and binding
obligations of JPMorgan Financial and the related guarantee will constitute a valid and binding obligation of JPMorgan Chase &
Co., enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’
rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation,
concepts of good faith, fair dealing and the lack of bad faith),
provided
that such counsel expresses no opinion as to
the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above.
This opinion is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of
the State of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions
about the trustee’s authorization, execution and delivery of the indenture and its authentication of the notes and the validity,
binding nature and enforceability of the indenture with respect to the trustee, all as stated in the letter of such counsel dated
February 24, 2016, which was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan
Chase & Co. on February 24, 2016.
Additional
Terms Specific to the Notes
You
should read this pricing supplement together with the accompanying prospectus, as supplemented by the accompanying prospectus
supplement, relating to our Series A medium-term notes of which these notes are a part, and the more detailed information contained
in the accompanying product supplement and the accompanying underlying supplement. This pricing supplement, together with the
documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous oral statements as well
as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for
implementation, sample structures, fact sheets, brochures or other educational materials of ours. You should carefully consider,
among other things, the matters set forth in the “Risk Factors” sections of the accompanying product supplement and
the accompanying underlying supplement, as the notes involve risks not associated with conventional debt securities. We urge you
to consult your investment, legal, tax, accounting and other advisers before you invest in the notes.
You
may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings
for the relevant date on the SEC website):
Our
Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing
supplement, “we,” “us” and “our” refer to JPMorgan Financial.
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