December 2,
2016
|
Registration Statement Nos. 333-209682 and 333-209682-01; Rule 424(b)(2)
|
JPMorgan Chase Financial Company LLC
Structured Investments
$6,369,000
Callable
Contingent Interest Notes Linked to the Lesser Performing of the S&P 500
®
Index and the Russell 2000
®
Index due December 11, 2017
Fully
and Unconditionally Guaranteed by JPMorgan Chase & Co.
|
·
|
The notes are designed for investors who seek a Contingent
Interest Payment with respect to each Review Date for which the closing level of each of the S&P 500
®
Index
and the Russell 2000
®
Index, which we refer to as the Indices, is greater than or equal to 70.00% of its Initial
Value, which we refer to as an Interest Barrier.
|
|
·
|
The notes may be redeemed early, in whole but not in part,
at our option on any of the Interest Payment Dates (other than the final Interest Payment Date).
|
|
·
|
The earliest date on which the notes may be redeemed early
is March 9, 2017.
|
|
·
|
Investors in the notes 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.
|
|
·
|
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.
|
|
·
|
Payments on the notes are not linked to a basket composed
of the Indices. Payments on the notes are linked to the performance of each of the Indices individually, as described below.
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|
·
|
Minimum denominations of $1,000 and integral multiples
thereof
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|
·
|
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-4 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
|
$6
|
$994
|
Total
|
$6,369,000
|
$38,214
|
$6,330,786
|
(1) See “Supplemental Use of Proceeds”
in this pricing supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer to
as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions of $6.00 per $1,000 principal amount note
it receives from us to other affiliated or unaffiliated dealers. See “Plan of Distribution (Conflicts of Interest)”
in the accompanying product supplement.
|
The estimated value of the notes, when the terms of the notes were
set, was $982.10 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.
Indices:
The S&P 500
®
Index (Bloomberg ticker: SPX) and the Russell 2000
®
Index (Bloomberg ticker: RTY)
Contingent
Interest
Payments:
If the notes have not been previously redeemed early and the closing level of each Index on any Review Date is greater
than or equal to its Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal amount
note a Contingent Interest Payment equal to $20.625 (equivalent to a Contingent Interest Rate of 8.25% per annum, payable at a
rate of 2.0625% per quarter).
If the
closing level of either Index on any Review Date is less than its Interest Barrier, no Contingent Interest Payment will be made
with respect to that Review Date.
Contingent
Interest
Rate:
8.25% per annum, payable at a rate of at 2.0625% per quarter
Interest
Barrier / Trigger Value:
With respect to each Index, 70.00% of its Initial Value, which is 1,534.365 for the S&P
500
®
Index and 919.9771 for the Russell 2000
®
Index
Pricing
Date:
December 2, 2016
Original
Issue Date (Settlement Date):
On or about December 7, 2016
Review
Dates*:
March 2, 2017, June 2, 2017, September 5, 2017 and December 4, 2017 (final
Review Date)
Interest
Payment Dates*:
March 9, 2017, June 9, 2017, September 12, 2017 and the Maturity Date
Maturity
Date*:
December 11, 2017
* Subject
to postponement in the event of a market disruption event and as described under “General Terms of Notes — Postponement
of a Determination Date — Notes Linked to Multiple Underlyings” and “General Terms of Notes — Postponement
of a Payment Date” in the accompanying product supplement
Early
Redemption:
We, at our
election, may redeem the notes early, in whole but not in part, on any of the Interest Payment Dates (other than the final Interest
Payment Date) at a price, for each $1,000 principal amount note, equal to $1,000
plus
any accrued and unpaid Contingent
Interest Payment. If we intend to redeem your notes early, we will deliver notice to The Depository Trust Company, or DTC, at
least five business days before the applicable Interest Payment Date on which the notes are redeemed early.
Payment
at Maturity:
If the notes
have not been redeemed early and (i) the Final Value of each Index is greater than or equal to its Initial Value or (ii) a Trigger
Event has not occurred, you will receive a cash payment at maturity, for each $1,000 principal amount note, equal to (a) $1,000
plus
(b) the Contingent Interest Payment applicable to the final Review Date.
If the notes
have not been redeemed early and (i) the Final Value of either Index is less than its Initial Value and (ii) a Trigger Event has
occurred, your payment at maturity per $1,000 principal amount note, in addition to any Contingent Interest Payment, will be calculated
as follows:
$1,000 +
($1,000 × Lesser Performing Index Return)
If the
notes have not been redeemed early and (i) the Final Value of either Index is less than its Initial Value and (ii) a Trigger Event
has occurred, you will lose some or all of your principal amount at maturity.
Trigger
Event:
A Trigger Event occurs if, on any day during the Monitoring Period, the closing level of either Index is less
than its Trigger Value
Monitoring
Period:
The period from but excluding the Pricing Date to and including the final Review Date
Lesser
Performing Index:
The Index with the Lesser Performing Index Return
Lesser
Performing Index Return:
The lower of the Index Returns of the Indices
Index
Return:
With respect
to each Index,
(Final
Value – Initial Value)
Initial Value
Initial
Value:
With respect to each Index
, t
he closing
level of that Index on the Pricing Date, which was 2,191.95 for the S&P 500
®
Index and 1,314.253 for the Russell
2000
®
Index
Final
Value:
With respect to each Index, the closing level of that Index on the final Review
Date
PS-
1
| Structured Investments
Callable Contingent Interest Notes Linked to the Lesser Performing of the
S&P 500
®
Index and the Russell 2000
®
Index
|
|
How
the Notes Work
Payments
in Connection with Review Dates Preceding the Final Review Date
Payment at Maturity If
the Notes Have Not Been Redeemed Early
PS-
2
| Structured Investments
Callable Contingent Interest Notes Linked to the Lesser Performing of the
S&P 500
®
Index and the Russell 2000
®
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 8.25% per annum, depending on how many Contingent Interest Payments are made
prior to early redemption or maturity.
Number of Contingent Interest Payments
|
Total Contingent Interest Payments
|
4
|
$82.500
|
3
|
$61.875
|
2
|
$41.250
|
1
|
$20.625
|
0
|
$0.000
|
Hypothetical
Payout Examples
The
following examples illustrate payments on the notes linked to two hypothetical Indices, assuming a range of performances for the
hypothetical Lesser Performing Index on the Review Dates.
The
hypothetical payments set forth below assume the following:
|
·
|
the notes have not been redeemed early;
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|
·
|
an Initial Value for the Lesser Performing Index of 100.00;
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·
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an Interest Barrier and a Trigger Value for the Lesser Performing
Index of 70.00 (equal to 70.00% of its hypothetical Initial Value); and
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·
|
a Contingent Interest Rate of 8.25% per annum (payable at
a rate of 2.0625% per quarter).
|
The
hypothetical Initial Value of the Lesser Performing Index of 100.00 has been chosen for illustrative purposes only and does not
represent the actual Initial Value of either Index. The actual Initial Value of each Index is the closing level of that 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 each Index, please see the historical information set forth under “The Indices”
in this pricing supplement.
Each
hypothetical payment set forth below is for illustrative purposes only and may not be the actual payment applicable to a purchaser
of the notes. The numbers appearing in the following examples have been rounded for ease of analysis.
Example
1 — Notes have NOT been redeemed early, the Final Value of the Lesser Performing Index is greater than or equal to its Initial
Value and a Trigger Event has occurred.
Date
|
Closing Level of Lesser Performing Index
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
95.00
|
$20.625
|
Second Review Date
|
85.00
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$20.625
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Third Review Date
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60.00
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$0
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Final Review Date
|
110.00
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$1,020.625
|
|
Total Payment
|
$1,061.875 (6.1875% return)
|
Because
the notes have not been redeemed early and the Final Value of the Lesser Performing Index is greater than or equal to its Initial
Value (and, therefore, its Interest Barrier), even though a Trigger Event has occurred, the payment at maturity, for each $1,000
principal amount note, will be $1,020.625 (or $1,000
plus
the Contingent Interest Payment applicable to the final Review
Date). When added to the Contingent Interest Payments received with respect to the prior Review Dates, the total amount paid,
for each $1,000 principal amount note, is $1,061.875.
PS-
3
| Structured Investments
Callable Contingent Interest Notes Linked to the Lesser Performing of the
S&P 500
®
Index and the Russell 2000
®
Index
|
|
Example
2 — Notes have NOT been redeemed early, the Final Value of the Lesser Performing Index is less than its Initial Value and
a Trigger Event has NOT occurred.
Date
|
Closing Level of Lesser Performing Index
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
95.00
|
$20.625
|
Second Review Date
|
85.00
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$20.625
|
Third Review Date
|
75.00
|
$20.625
|
Final Review Date
|
90.00
|
$1,020.625
|
|
Total Payment
|
$1,082.50 (8.25% return)
|
Because
the notes have not been redeemed early, the Final Value of the Lesser Performing Index is greater than or equal to its Interest
Barrier and a Trigger Event has not occurred, even though the Final Value of the Lesser Performing Index is less than its Initial
Value, the payment at maturity, for each $1,000 principal amount note, will be $1,020.625 (or $1,000
plus
the Contingent
Interest Payment applicable to the final Review Date). When added to the Contingent Interest Payments received with respect to
the prior Review Dates, the total amount paid, for each $1,000 principal amount note, is $1,082.50.
Example
3 — Notes have NOT been redeemed early, the Final Value of the Lesser Performing Index is less than its Initial Value and
its Interest Barrier and a Trigger Event has occurred
.
Date
|
Closing Level of Lesser Performing Index
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
55.00
|
$0
|
Second Review Date
|
50.00
|
$0
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Third Review Date
|
45.00
|
$0
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Final Review Date
|
50.00
|
$500.00
|
|
Total Payment
|
$500.00 (-50.00% return)
|
Because
the notes have not been redeemed early, the Final Value of the Lesser Performing Index is less than its Initial Value and its
Interest Barrier, a Trigger Event has occurred and the Lesser Performing Index Return is -50.00%, the payment at maturity will
be $500.00 per $1,000 principal amount note, calculated as follows:
$1,000
+ [$1,000 × (-50.00%)] = $500.00
The
hypothetical returns and hypothetical payments on the notes shown above apply
only if you hold the notes for their entire
term.
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 the notes have not been redeemed early and (i) the Final Value of either Index is less than its Initial Value
and (ii) a Trigger Event has occurred, you will lose 1% of the principal amount of your notes for every 1% that the Final Value
of the Lesser Performing Index is less than its Initial Value. Accordingly, under these circumstances, you will lose some or all
of your principal amount at maturity.
|
·
|
THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL —
|
If the notes have
not been redeemed early, we will make a Contingent Interest Payment with respect to a Review Date only if the closing level of
each Index on that Review Date is greater than or equal to its Interest Barrier. If the closing level of either Index on that Review
Date is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date. Accordingly,
if the closing level of either Index on each Review Date is less than its Interest Barrier, you will not receive any interest payments
over the term of the notes.
|
·
|
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
|
PS-
4
| Structured Investments
Callable Contingent Interest Notes Linked to the Lesser Performing of the
S&P 500
®
Index and the Russell 2000
®
Index
|
|
Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase &
Co.’s creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely
affect the value of the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive
any amounts owed to you under the notes and you could lose your entire investment.
|
·
|
AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS —
|
As a finance subsidiary of JPMorgan Chase
& Co., we have no independent operations beyond the issuance and administration of our securities. Aside from the initial capital
contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates to make payments
under loans made by us or other intercompany agreements. As a result, we are dependent upon payments from our affiliates to meet
our obligations under the notes. If these affiliates do not make payments to us and we fail to make payments on the notes, you
may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu with
all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
|
·
|
THE 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 either Index, which may be significant. You will not participate in any appreciation in the level of either Index.
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 ARE EXPOSED TO THE RISK OF DECLINE IN THE
LEVEL OF EACH INDEX
—
|
Payments on the notes are not linked
to a basket composed of the Indices and are contingent upon the performance of each individual Index. Poor performance by either
of the Indices over the term of the notes may negatively affect whether you will receive a Contingent Interest Payment on any Interest
Payment Date and your payment at maturity and will not be offset or mitigated by positive performance by the other Index.
|
·
|
YOUR PAYMENT AT MATURITY MAY BE DETERMINED BY THE LESSER PERFORMING INDEX.
|
|
·
|
THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON ANY DAY DURING THE MONITORING PERIOD —
|
If, on any day during the Monitoring
Period, the closing level of either Index is less than its Trigger Value (
i.e.
, a Trigger Event occurs) and the notes have
not been redeemed early, the benefit provided by the Trigger Value will terminate and you will be fully exposed to any depreciation
in the closing level of the Lesser Performing Index. You will be subject to this potential loss of principal even if that Index
subsequently recovers such that the closing level of that Index is greater than or equal to its Trigger Value.
|
·
|
THE OPTIONAL EARLY REDEMPTION FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
|
If we elect to redeem your notes early,
the term of the notes may be reduced to as short as approximately three months and you will not receive any Contingent Interest
Payments after the applicable Interest Payment Date. There is no guarantee that you would be able to reinvest the proceeds from
an investment in the notes at a comparable return and/or with a comparable interest rate for a similar level of risk. Even in cases
where we elect to redeem your notes before maturity, you are not entitled to any fees and commissions described on the front cover
of this pricing supplement.
PS-
5
| Structured Investments
Callable Contingent Interest Notes Linked to the Lesser Performing of the
S&P 500
®
Index and the Russell 2000
®
Index
|
|
|
·
|
YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN EITHER INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES.
|
|
·
|
AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH RESPECT TO THE RUSSELL 2000
®
INDEX —
|
Small capitalization companies may be
less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization
companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits
downward stock price pressure under adverse market conditions.
|
·
|
THE RISK OF THE CLOSING LEVEL OF AN INDEX FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS GREATER IF THE LEVEL OF
THAT 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 IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES —
|
The estimated value of the notes is only
an estimate determined by reference to several factors. The original issue price of the notes exceeds the estimated value of the
notes because costs associated with selling, structuring and hedging the notes are included in the original issue price of the
notes. These costs include the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming
risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. See
“The Estimated Value of the Notes” in this pricing supplement.
|
·
|
THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES
—
|
See “The Estimated Value of the
Notes” in this pricing supplement.
|
·
|
THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
|
The internal funding rate
used in the determination of the estimated value of the notes is based on, among other things, our and our affiliates’ view
of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co
.
The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes
and any secondary market prices of the notes. See “The Estimated Value of the Notes” in this pricing supplement.
|
·
|
THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN
THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
|
We generally expect that some of the
costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of
your notes by JPMS in an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices
of the Notes” in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated
value of your notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be
shown on your customer account statements).
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
|
Any secondary market prices of the notes
will likely be lower than the original issue price of the notes because, among other things, secondary market prices take into
account our internal secondary market funding rates for structured debt issuances and, also, because secondary market prices (a)
exclude selling commissions and (b) may exclude projected hedging profits, if any, and estimated hedging costs that are included
in the original issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy the notes from you
in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the
Maturity Date could result in a substantial loss to you.
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
|
PS-
6
| Structured Investments
Callable Contingent Interest Notes Linked to the Lesser Performing of the
S&P 500
®
Index and the Russell 2000
®
Index
|
|
The secondary market price of the notes
during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside
from the selling commissions, projected hedging profits, if any, estimated hedging costs and the levels of the Indices. Additionally,
independent pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on
customer account statements. This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may
be willing to purchase your notes in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value
and Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market
factors” in the accompanying product supplement.
PS-
7
| Structured Investments
Callable Contingent Interest Notes Linked to the Lesser Performing of the
S&P 500
®
Index and the Russell 2000
®
Index
|
|
The
Indices
The S&P 500
®
Index consists of
stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For additional information about
the S&P 500
®
Index, see “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying
underlying supplement.
The Russell 2000
®
Index consists of
the middle 2,000 companies included in the Russell 3000E™ Index and, as a result of the index calculation methodology, consists
of the smallest 2,000 companies included in the Russell 3000
®
Index. The Russell 2000
®
Index is designed
to track the performance of the small capitalization segment of the U.S. equity market. For additional information about the Russell
2000
®
Index, see “Equity Index Descriptions — The Russell Indices” in the accompanying underlying
supplement.
Historical
Information
The
following graphs set forth the historical performance of each Index based on the weekly historical closing levels from January
7, 2011 through December 2, 2016. The closing level of the S&P 500
®
Index on December 2, 2016 was 2,191.95.
The closing level of the Russell 2000
®
Index on December 2, 2016 was 1,314.253. We obtained the closing levels
above and below from the Bloomberg Professional
®
service (“Bloomberg”), without independent verification.
The
historical closing levels of each Index should not be taken as an indication of future performance, and no assurance can be given
as to the closing level of either Index on any Review Date. There can be no assurance that the performance of the Indices will
result in the return of any of your principal amount or the payment of any interest.
PS-
8
| Structured Investments
Callable Contingent Interest Notes Linked to the Lesser Performing of the
S&P 500
®
Index and the Russell 2000
®
Index
|
|
Tax
Treatment
You
should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product
supplement no. 4-I. In determining our reporting responsibilities we intend to treat (i) the notes for U.S. federal income tax
purposes as prepaid forward contracts with associated contingent coupons and (ii) any Contingent Interest Payments as ordinary
income, as described in the section entitled “Material U.S. Federal Income Tax Consequences — Tax Consequences to
U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated Contingent Coupons” in the accompanying
product supplement. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel, we believe that this is a reasonable
treatment, but that there are other reasonable treatments that the IRS or a court may adopt, in which case the timing and character
of any income or loss on the notes could be materially affected. In addition, in 2007 Treasury and the IRS released a notice requesting
comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice
focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment.
It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments
and the relevance of factors such as the nature of the underlying property to which the instruments are linked. While the notice
requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated
after consideration of these issues could materially affect the tax consequences of an investment in the notes, possibly with
retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in
the notes, including possible alternative treatments and the issues presented by this notice.
Non-U.S.
Holders — Tax Considerations
. The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and
although we believe it is reasonable to take a position that Contingent Interest Payments are not subject to U.S. withholding
tax (at least if an applicable Form W-8 is provided), a withholding agent may nonetheless withhold on these payments (generally
at a rate of 30%, subject to the possible reduction of that rate under an applicable income tax treaty), unless income from your
notes is effectively connected with your conduct of a trade or business in the United States (and, if an applicable treaty so
requires, attributable to a permanent establishment in the United States). If you are not a United States person, you are urged
to consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes in light of your
particular circumstances.
Non-U.S.
holders should also note that recently promulgated Treasury regulations imposing a withholding tax on certain “dividend
equivalents” under certain “equity linked instruments” will not apply to the notes.
FATCA.
Withholding under legislation commonly referred to as “FATCA” could apply to payments with respect to the notes
that are treated as U.S.-source “fixed or determinable annual or periodical” income (“FDAP Income”) for
U.S. federal income tax purposes (such as interest, if the notes are recharacterized, in whole or in part, as debt instruments,
or Contingent Interest Payments if they are otherwise treated as FDAP Income). Under a recent IRS notice, withholding under FATCA
will not apply to payments of gross proceeds (other than any amount treated as FDAP Income) of a taxable disposition, including
an early redemption or redemption at maturity, of the notes. You should consult your tax adviser regarding the potential application
of FATCA to the notes.
In
the event of any withholding on the notes, we will not be required to pay any additional amounts with respect to amounts so withheld.
The Estimated Value of the Notes
The
estimated value of the notes set forth on the cover of this pricing supplement is equal to the sum of the values of the following
hypothetical components: (1) a fixed-income debt component with the same maturity as the notes, valued using the internal funding
rate described below, and (2) the derivative or derivatives underlying the economic terms of the notes. The estimated value of
the notes does not represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any
exists) at any time. The internal funding rate used in the determination of the estimated value of the notes is based on, among
other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance, operational
and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed-rate debt of JPMorgan
Chase & Co. For additional information, see “Selected Risk Considerations — The Estimated Value of the Notes Is
Derived by Reference to an Internal Funding Rate” in this pricing supplement.
The
value of the derivative or derivatives underlying the economic terms of the notes is derived from internal pricing models of our
affiliates. These models are dependent on inputs such as the traded market prices of comparable derivative instruments and on
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
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addition,
market conditions and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future
dates, the value of the notes could change significantly based on, among other things, changes in market conditions, our or JPMorgan
Chase & Co.’s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any,
at which JPMS would be willing to buy notes from you in secondary market transactions.
The
estimated value of the notes is lower than the original issue price of the notes because costs associated with selling, structuring
and hedging the notes are included in the original issue price of the notes. These costs include the selling commissions paid
to JPMS and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for
assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the
notes. Because hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may
result in a profit that is more or less than expected, or it may result in a loss. A portion of the profits, if any, realized
in hedging our obligations under the notes may be allowed to other affiliated or unaffiliated dealers, and we or one or more of
our affiliates will retain any remaining hedging profits. See “Selected Risk Considerations — The Estimated Value
of the Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For
information about factors that will impact any secondary market prices of the notes, see “Risk Factors — Risks Relating
to the Estimated Value and Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted
by many economic and market factors” in the accompanying product supplement. In addition, we generally expect that some
of the costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases
of your notes by JPMS in an amount that will decline to zero over an initial predetermined period. These costs can include projected
hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates for
structured debt issuances. This initial predetermined time period is intended to be the shorter of six months and one-half of
the stated term of the notes. The length of any such initial period reflects the structure of the notes, whether our affiliates
expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the notes and when these costs
are incurred, as determined by our affiliates. See “Selected Risk Considerations — The Value of the Notes as Published
by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the
Notes for a Limited Time Period” in this pricing supplement.
Supplemental
Use of Proceeds
The
notes are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the
notes. See “How the Notes Work” and “Hypothetical Payout Examples” in this pricing supplement for an illustration
of the risk-return profile of the notes and “The Indices” in this pricing supplement for a description of the market
exposure provided by the notes.
The
original issue price of the notes is equal to the estimated value of the notes plus the selling commissions paid to JPMS and other
affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming
risks inherent in hedging our obligations under the notes, plus the estimated cost of hedging our obligations under the notes.
Validity
of the Notes and the Guarantee
In
the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co.,
when the notes offered by this pricing supplement have been executed and issued by JPMorgan Financial and authenticated by the
trustee pursuant to the indenture, and delivered against payment as contemplated herein, such notes will be valid and binding
obligations of JPMorgan Financial and the related guarantee will constitute a valid and binding obligation of JPMorgan Chase &
Co., enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’
rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation,
concepts of good faith, fair dealing and the lack of bad faith),
provided
that such counsel expresses no opinion as to
the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above.
This opinion is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of
the State of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions
about the 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.
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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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