|
|
|
|
|
December 6, 2016
|
|
Registration Statement Nos. 333-209682 and 333-209682-01; Rule 424(b)(2)
|
JPMorgan Chase Financial Company LLC
Structured Investments
$1,720,000
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Health Care Select Sector SPDR
®
Fund, the Technology Select Sector SPDR
®
Fund and the Energy Select Sector SPDR
®
Fund due December 11, 2018
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 price of one share of each of the Health Care Select Sector SPDR
®
Fund, the Technology Select Sector SPDR
®
Fund and the Energy Select Sector SPDR
®
Fund, which we refer to as the Funds, is greater than or equal to 55.00% of its Initial Value, which we refer to as an Interest Barrier.
|
|
|
●
|
|
The notes will be automatically called if the closing price of one share of each Fund on any Review Date (other than the first and final Review Dates) is greater than or equal to its Initial Value.
|
|
|
●
|
|
The earliest date on which an automatic call may be initiated is June 6, 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 Funds. Payments on the notes are linked to the performance of each of the Funds individually, as described below.
|
|
|
●
|
|
Minimum denominations of $1,000 and integral multiples thereof.
|
|
|
●
|
|
The notes priced on December 6, 2016 and are expected to settle on or about December 9, 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
|
|
$999
|
|
|
|
|
Total
|
|
$1,720,000
|
|
$1,720
|
|
$1,718,280
|
(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 $1.00 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 $972.40 per $1,000 principal amount note.
See The Estimated Value of the Notes in this pricing supplement for additional information.
The notes are not bank deposits, are
not insured by the Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
|
|
|
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.
Funds:
The Health Care Select Sector SPDR
®
Fund (Bloomberg ticker: XLV), the Technology Select Sector SPDR
®
Fund (Bloomberg ticker: XLK) and the Energy Select Sector SPDR
®
Fund (Bloomberg ticker: XLE)
Contingent
Interest
Payments:
If the notes have not been automatically called and the closing price of one share of each Fund 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 $16.875 (equivalent to a Contingent Interest Rate of 6.75% per annum, payable at a rate of 1.6875% per quarter).
If the closing price of one share of any Fund 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:
6.75% per annum, payable at
a rate of 1.6875% per quarter
Interest Barrier / Trigger Value:
With respect to each Fund, 55.00% of its Initial Value, which is $37.664 for the Health Care Select Sector SPDR
®
Fund, $26.004 for the Technology Select Sector SPDR
®
Fund and $41.4425 for the Energy Select Sector SPDR
®
Fund
Pricing Date:
December 6, 2016
Original Issue Date (Settlement Date):
On or about December 9, 2016
Review Dates*:
March 6, 2017, June 6, 2017,
September 6, 2017, December 6, 2017, March 6, 2018, June 6, 2018, September 6, 2018 and December 6, 2018 (final Review Date)
Interest Payment Dates*:
March 9, 2017, June 9, 2017, September 11, 2017, December 11, 2017, March 9, 2018, June 11, 2018,
September 11, 2018 and the Maturity Date
Maturity Date*:
December 11, 2018
Call Settlement Date*:
If the notes are
automatically called on any Review Date (other than the first and final Review Dates), the first Interest Payment Date immediately following that Review Date
* Subject to postponement in the event of a market disruption event and as described under General Terms of Notes Postponement of a Determination Date
Notes Linked to Multiple Underlyings and General Terms of Notes Postponement of a Payment Date in the accompanying product supplement
Automatic Call:
If the closing price of one share of each Fund on any Review Date (other than the first and final Review Dates) is greater than or equal to its Initial Value, the notes
will be automatically called for a cash payment, for each $1,000 principal amount note, equal to (a) $1,000
plus
(b) the Contingent Interest Payment applicable to that Review Date, payable on the applicable Call Settlement Date. No
further payments will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final Value of each Fund is greater than or equal to its Trigger Value, you will receive a cash payment at
maturity, for each $1,000 principal amount note, equal to (a) $1,000
plus
(b) the Contingent Interest Payment applicable to the final Review Date.
If the
notes have not been automatically called and the Final Value of any Fund is less than its Trigger Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Least Performing Fund Return)
If the notes
have not been automatically called and the Final Value of any Fund is less than its Trigger Value, you will lose more than 45.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
Least Performing Fund:
The Fund with the Least Performing Fund Return
Least Performing Fund Return:
The lowest of the Fund Returns of
the Funds
Fund Return:
With respect to
each Fund,
(Final Value Initial Value)
Initial Value
Initial Value:
With respect to each Fund, the closing price of one share of
that Fund on the Pricing Date, which was $68.48 for the Health Care Select Sector SPDR
®
Fund, $47.28 for the Technology Select Sector
SPDR
®
Fund and $75.35 for the Energy Select Sector SPDR
®
Fund
Final Value:
With respect to each Fund, the closing price of one share of
that Fund on the final Review Date
Share Adjustment Factor:
With
respect to each Fund, the Share Adjustment Factor is referenced in determining the closing price of one share of that Fund and is set equal to 1.0 on the Pricing Date. The Share Adjustment Factor of each Fund is subject to adjustment upon the
occurrence of certain events affecting that Fund. See The Underlyings Funds Anti-Dilution Adjustments in the accompanying product supplement for further information.
|
|
|
PS-1 | Structured
Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Health Care Select Sector SPDR
®
Fund, the Technology Select Sector SPDR
®
Fund and the Energy Select Sector SPDR
®
Fund
|
|
|
How the Notes Work
Payment in Connection with the First
Review Date
Payments in Connection with Review Dates (Other than the First and Final Review Dates)
|
|
|
PS-2 | Structured
Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Health Care Select Sector SPDR
®
Fund, the Technology Select Sector SPDR
®
Fund and the Energy Select Sector SPDR
®
Fund
|
|
|
Payment at Maturity If the Notes Have Not Been Automatically Called
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 automatic call or maturity.
|
|
|
Number of Contingent
Interest Payments
|
|
Total Contingent Interest
Payments
|
8
|
|
$135.000
|
7
|
|
$118.125
|
6
|
|
$101.250
|
5
|
|
$84.375
|
4
|
|
$67.500
|
3
|
|
$50.625
|
2
|
|
$33.750
|
1
|
|
$16.875
|
0
|
|
$0.000
|
|
|
|
PS-3 | Structured
Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Health Care Select Sector SPDR
®
Fund, the Technology Select Sector SPDR
®
Fund and the Energy Select Sector SPDR
®
Fund
|
|
|
Hypothetical Payout Examples
The following examples illustrate payments on the notes linked
to three hypothetical Funds, assuming a range of performances for the hypothetical Least Performing Fund on the Review Dates.
Each hypothetical payment set forth below assumes that the closing price of one share of each Fund that is not the Least
Performing Fund on each Review Date is greater than or equal to its Initial Value (and therefore its Interest Barrier and Trigger Value).
In addition, the
hypothetical payments set forth below assume the following:
|
●
|
|
an Initial Value for the Least Performing Fund of $100.00;
|
|
●
|
|
an Interest Barrier and a Trigger Value for the Least Performing Fund of $55.00 (equal to 55.00% of its hypothetical Initial Value); and
|
|
●
|
|
a Contingent Interest Rate of 6.75% per annum (payable at a rate of 1.6875% per quarter).
|
The hypothetical Initial Value
of the Least Performing Fund of $100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value of any Fund. The actual Initial Value of each Fund is the closing price of one share of that Fund on the Pricing
Date and is specified under Key Terms Initial Value in this pricing supplement. For historical data regarding the actual closing prices of one share of each Fund, please see the historical information set forth under The
Funds in this pricing supplement.
Each hypothetical payment set forth below is for illustrative purposes only and may not be the actual payment applicable to
a purchaser of the notes. The numbers appearing in the following examples have been rounded for ease of analysis.
Example 1 Notes
are automatically called on the second Review Date.
|
|
|
|
|
Date
|
|
Closing Price of One Share of
Least Performing Fund
|
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
|
$105.00
|
|
$16.875
|
Second Review Date
|
|
$110.00
|
|
$1,016.875
|
|
|
Total Payment
|
|
$1,033.75 (3.375% return)
|
Because the closing price of one share of each Fund on the second Review Date is greater than or equal to its Initial Value, the notes
will be automatically called for a cash payment, for each $1,000 principal amount note, of $1,016.875 (or $1,000
plus
the Contingent Interest Payment applicable to the second Review Date), payable on the applicable Call Settlement Date. The
notes are not automatically callable before the second Review Date, even though the closing price of one share of each Fund on the first Review Date is greater than its Initial Value. When added to the Contingent Interest Payments received with
respect to the prior Review Date, the total amount paid, for each $1,000 principal amount note, is $1,033.75. No further payments will be made on the notes.
Example 2 Notes have NOT been automatically called and the Final Value of the Least Performing Fund is greater than or equal to its Trigger Value.
|
|
|
|
|
Date
|
|
Closing Price of One Share of
Least Performing Fund
|
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
|
$95.00
|
|
$16.875
|
Second Review Date
|
|
$85.00
|
|
$16.875
|
Third through Seventh Review Dates
|
|
Less than Interest Barrier
|
|
$0
|
Final Review Date
|
|
$90.00
|
|
$1,016.875
|
|
|
Total Payment
|
|
$1,050.625 (5.0625% return)
|
Because the notes have not been automatically called and the Final Value of the Least Performing Fund is greater than or equal to its
Trigger Value, the payment at maturity, for each $1,000 principal amount note, will be $1,016.875 (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 $1,050.625.
|
|
|
PS-4 | Structured
Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Health Care Select Sector SPDR
®
Fund, the Technology Select Sector SPDR
®
Fund and the Energy Select Sector SPDR
®
Fund
|
|
|
Example 3 Notes have NOT been automatically called and the Final Value of the Least
Performing Fund is less than its Trigger Value.
|
|
|
|
|
Date
|
|
Closing Price of One Share of
Least Performing Fund
|
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
|
$45.00
|
|
$0
|
Second Review Date
|
|
$40.00
|
|
$0
|
Third through Seventh Review Dates
|
|
Less than Interest Barrier
|
|
$0
|
Final Review Date
|
|
$50.00
|
|
$500.00
|
|
|
Total Payment
|
|
$500.00
(-50.00%
return)
|
Because the notes have not been automatically called, the Final Value of the Least Performing Fund is less than its Trigger Value and the
Least Performing Fund Return is -50.00%, the payment at maturity will be $500.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 ×
(-50.00%)]
= $500.00
The hypothetical returns and hypothetical payments on the notes shown above apply
only if you hold the
notes for their entire
term or until automatically called.
These hypotheticals do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical
returns and hypothetical payments shown above would likely be lower.
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 automatically called and the Final Value of any Fund is less than its Trigger Value, you will lose 1% of the principal amount of your notes for every 1% that the Final Value of the Least Performing Fund is less
than its Initial Value. Accordingly, under these circumstances, you will lose more than 45.00% of your principal amount at maturity and could lose 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 automatically called, we will make a Contingent Interest Payment with respect to a Review Date only if the closing price of one share of each Fund on that Review Date is greater than or equal to its Interest Barrier. If the
closing price of one share of any Fund on that Review Date is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date. Accordingly, if the closing price of one share of any Fund 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.
|
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.
|
|
|
PS-5 | Structured
Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Health Care Select Sector SPDR
®
Fund, the Technology Select Sector SPDR
®
Fund and the Energy Select Sector SPDR
®
Fund
|
|
|
●
|
|
THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS THAT MAY BE PAID OVER THE TERM OF THE NOTES,
|
regardless of any appreciation in the price of one share of any Fund, which may be significant. You will not participate in any appreciation in the price
of one share of any Fund.
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.
●
|
|
YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE PRICE OF EACH FUND
|
Payments on the notes are
not linked to a basket composed of the Funds and are contingent upon the performance of each individual Fund. Poor performance by any of the Funds over the term of the notes may result in the notes not being automatically called on a Review Date,
may negatively affect whether you will receive a Contingent Interest Payment on any Interest Payment Date, and your payment at maturity and will not be offset or mitigated by positive performance by any other Fund.
●
|
|
YOUR PAYMENT AT MATURITY MAY BE DETERMINED BY THE LEAST PERFORMING FUND.
|
●
|
|
THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE
|
If the
Final Value of any Fund is less than its Trigger Value and the notes have not been automatically called, the benefit provided by the Trigger Value will terminate and you will be fully exposed to any depreciation in the closing price of one share of
the Least Performing Fund.
●
|
|
THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT
|
If your notes are automatically
called, the term of the notes may be reduced to as short as approximately six months and you will not receive any Contingent Interest Payments after the applicable Call Settlement Date. There is no guarantee that you would be able to reinvest the
proceeds from an investment in the notes at a comparable return and/or with a comparable interest rate for a similar level of risk. Even in cases where the notes are called before maturity, you are not entitled to any fees and commissions described
on the front cover of this pricing supplement.
●
|
|
YOU WILL NOT RECEIVE DIVIDENDS ON ANY FUND OR THE SECURITIES HELD BY ANY FUND OR HAVE ANY RIGHTS WITH RESPECT TO THE FUNDS OR THOSE SECURITIES.
|
●
|
|
THERE ARE RISKS ASSOCIATED WITH THE FUNDS
|
The Funds are subject to management risk, which
is the risk that the investment strategies of the applicable Funds 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
prices of the shares of the Funds and, consequently, the value of the notes.
●
|
|
THE PERFORMANCE AND MARKET VALUE OF EACH FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE OF THAT FUNDS UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE
|
Each Fund does not fully replicate its Underlying Index (as defined under The Funds below) and may hold
securities different from those included in its Underlying Index. In addition, the performance of each Fund 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 each Fund and its Underlying Index. In addition, corporate actions with respect to the equity securities underlying a Fund (such as mergers and spin-offs) may impact the variance between the
performances of that Fund and its Underlying Index. Finally, because the shares of each Fund are traded on a securities exchange and are subject to market supply and investor demand, the market value of one share of each Fund may differ from the net
asset value per share of that Fund.
During periods of market volatility, securities underlying each Fund may be unavailable in the secondary market,
market participants may be unable to calculate accurately the net asset value per share of that Fund and the liquidity of that Fund may be adversely affected. This kind of market volatility may also disrupt the ability of market participants to
create and redeem shares of a Fund. Further, market volatility may adversely affect, sometimes materially, the prices at which market participants are willing to buy and sell shares of that Fund. As a result, under these circumstances, the market
value of shares of a Fund may vary substantially from the net asset value per share of that Fund. For all of the foregoing reasons, the performance of each Fund may
|
|
|
PS-6 | Structured
Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Health Care Select Sector SPDR
®
Fund, the Technology Select Sector SPDR
®
Fund and the Energy Select Sector SPDR
®
Fund
|
|
|
not correlate with the performance of its Underlying Index as well as the net asset value per share of that Fund, which could materially and adversely affect the value of the notes in the
secondary market and/or reduce any payment on the notes.
●
|
|
RISKS ASSOCIATED WITH THE HEALTH CARE SECTOR WITH RESPECT TO THE HEALTH CARE SELECT SECTOR SPDR
®
FUND
|
All or substantially all of the equity securities held by the Health Care Select Sector SPDR
®
Fund are issued by companies whose primary line of business is directly associated with the health care sector. As a result, the value of the notes 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. Companies in the health care sector are subject to extensive government regulation and their
profitability can be significantly affected by restrictions on government reimbursement for medical expenses, rising costs of medical products and services, pricing pressure (including price discounting), limited product lines and an increased
emphasis on the delivery of healthcare through outpatient services. Companies in the health care sector are heavily dependent on obtaining and defending patents, which may be time consuming and costly, and the expiration of patents may also
adversely affect the profitability of these companies. Health care companies are also subject to extensive litigation based on product liability and similar claims. In addition, their products can become obsolete due to industry innovation, changes
in technologies or other market developments. Many new products in the health care sector require significant research and development and may be subject to regulatory approvals, all of which may be time consuming and costly with no guarantee that
any product will come to market. These factors could affect the health care sector and could affect the value of the equity securities held by the Health Care Select Sector SPDR
®
Fund and the
price of the Health Care Select Sector SPDR
®
Fund during the term of the notes, which may adversely affect the value of your notes.
●
|
|
RISKS ASSOCIATED WITH THE TECHNOLOGY SECTOR WITH RESPECT TO THE TECHNOLOGY SELECT SECTOR SPDR
®
FUND
|
All or substantially all of the equity securities held by the Technology Select Sector SPDR
®
Fund
are issued by companies whose primary line of business is directly associated with the technology sector. As a result, the value of the notes 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. The value of stocks of technology companies and companies that rely heavily on technology is particularly
vulnerable to rapid changes in technology product cycles, rapid product obsolescence, government regulation and competition, both domestically and internationally, including competition from foreign competitors with lower production costs. Stocks of
technology companies and companies that rely heavily on technology, especially those of smaller, less-seasoned companies, tend to be more volatile than the overall market. Technology companies are heavily dependent on patent and intellectual
property rights, the loss or impairment of which may adversely affect profitability. Additionally, companies in the technology sector may face dramatic and often unpredictable changes in growth rates and competition for the services of qualified
personnel. These factors could affect the technology sector and could affect the value of the equity securities held by the Technology Select Sector SPDR
®
Fund and the price of the Technology
Select Sector SPDR
®
Fund during the term of the notes, which may adversely affect the value of your notes.
●
|
|
RISKS ASSOCIATED WITH THE ENERGY SECTOR WITH RESPECT TO THE ENERGY SELECT SECTOR SPDR
®
FUND
|
All or substantially all of the equity securities held by the shares of the Energy Select Sector
SPDR
®
Fund are issued by companies whose primary line of business is directly associated with the energy sector. As a result, the value of the notes 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. 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 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. These factors could affect the energy sector
and could affect the value of the equity securities held by the Energy Select Sector SPDR
®
Fund and the price of the Energy Select Sector
SPDR
®
Fund during the term of the notes, which may adversely affect the value of your notes.
●
|
|
THE ANTI-DILUTION PROTECTION FOR THE FUNDS IS LIMITED
|
The calculation agent will make
adjustments to the Share Adjustment Factor for each Fund for certain events affecting the shares of that Fund. However, the calculation agent will not make an adjustment in response to all events that could affect the shares of the Funds. If an
event occurs that does not require the calculation agent to make an adjustment, the value of the notes may be materially and adversely affected.
|
|
|
PS-7 | Structured
Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Health Care Select Sector SPDR
®
Fund, the Technology Select Sector SPDR
®
Fund and the Energy Select Sector SPDR
®
Fund
|
|
|
●
|
|
THE RISK OF THE CLOSING PRICE OF ONE SHARE OF A FUND FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS GREATER IF THE PRICE OF ONE SHARE OF THAT FUND 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
|
The secondary market price of the notes during their term will be impacted by a number of economic and market factors, which may either offset or magnify
each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and the prices of the Funds. 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-8 | Structured
Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Health Care Select Sector SPDR
®
Fund, the Technology Select Sector SPDR
®
Fund and the Energy Select Sector SPDR
®
Fund
|
|
|
The Funds
The Health Care Select Sector SPDR
®
Fund is an exchange-traded fund of the Select Sector SPDR
®
Trust, a registered investment company, which 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 Health Care Select Sector Index, which we refer to as the Underlying Index with respect to the Health
Care Select Sector SPDR
®
Fund. The Health Care Select Sector Index is a modified market capitalization-based index that measures the performance of the GICS
®
health care sector. The Health Care Select Sector Index includes companies in the following industries: health care equipment and supplies; health care providers and services; health care
technology; biotechnology; pharmaceuticals; and life sciences tools and services. For additional information about the Health Care Select Sector SPDR
®
Fund, see Fund Descriptions
The Select Sector SPDR
®
Funds in the accompanying underlying supplement.
The Technology Select Sector
SPDR
®
Fund is an exchange-traded fund of the Select Sector SPDR
®
Trust, a registered investment company, which 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 Technology Select Sector Index, which we refer to as the Underlying Index with respect to the
Technology Select Sector SPDR
®
Fund. The Technology Select Sector Index is a modified market capitalization-based index that measures the performance of the GICS
®
information technology and telecommunication services sectors. The Technology Select Sector Index includes companies in the following industries: internet software and services; IT services;
software; communications equipment; technology hardware, storage, and peripherals; electronic equipment, instruments and components; semiconductors and semiconductor equipment; diversified telecommunication services; and wireless telecommunication
services. For additional information about the Technology Select Sector SPDR
®
Fund, see Fund Descriptions The Select Sector
SPDR
®
Funds in the accompanying underlying supplement.
The Energy Select Sector SPDR
®
Fund is an exchange-traded fund of the Select Sector SPDR
®
Trust, a registered investment company, which 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 Energy Select
Sector SPDR
®
Fund. The Energy Select Sector Index is a modified market capitalization-based index that measures the performance of the
GICS
®
energy sector. The Energy Select Sector Index 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, see Fund Descriptions The Select Sector SPDR
®
Funds in the accompanying
underlying supplement.
Historical Information
The following graphs set forth the historical performance of each Fund based on the weekly historical closing prices from January 7, 2011 through December 2,
2016. The closing price of one share of the Health Care Select Sector SPDR
®
Fund on December 6, 2016 was $68.48. The closing price of one share of the Technology Select Sector SPDR
®
Fund on December 6, 2016 was $47.28. The closing price of one share of the Energy Select Sector SPDR
®
Fund on December 6, 2016
was $75.35. We obtained the closing prices above and below from the Bloomberg Professional
®
service (Bloomberg), without independent verification. The closing prices above and
below may have been adjusted by Bloomberg for actions taken by the Fund, such as stock splits.
The historical closing prices of one share of each Fund should not be
taken as an indication of future performance, and no assurance can be given as to the closing price of one share of any Fund on any Review Date. There can be no assurance that the performance of the Funds will result in the return of any of your
principal amount or the payment of any interest.
|
|
|
PS-9 | Structured
Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Health Care Select Sector SPDR
®
Fund, the Technology Select Sector SPDR
®
Fund and the Energy Select Sector SPDR
®
Fund
|
|
|
|
|
|
PS-10 | Structured
Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Health Care Select Sector SPDR
®
Fund, the Technology Select Sector SPDR
®
Fund and the Energy Select Sector SPDR
®
Fund
|
|
|
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.
|
|
|
PS-11 | Structured
Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Health Care Select Sector SPDR
®
Fund, the Technology Select Sector SPDR
®
Fund and the Energy Select Sector SPDR
®
Fund
|
|
|
The estimated value of the notes does not represent future values of the notes and may differ from others estimates.
Different pricing models and assumptions could provide valuations for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant factors in the future may change, and any
assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.s creditworthiness, interest rate
movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market transactions.
The
estimated value of the notes is lower than the original issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include the selling
commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our
obligations under the notes. Because hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. A portion of the
profits, if any, realized in hedging our obligations under the notes may be allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits. See Selected Risk
Considerations The Estimated Value of the Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes in this pricing supplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondary market prices of the notes, see Risk Factors Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes Secondary market prices of the notes will be impacted by many economic and market factors in the accompanying product supplement. In addition, we generally expect that some of the costs included in the
original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period. These costs can include projected hedging
profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates for structured debt issuances. This initial predetermined time period is intended to be the shorter of six months and
one-half
of the stated term of the notes. The length of any such initial period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the
estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates. See Selected Risk Considerations The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account
Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period in this pricing supplement.
Supplemental Use of Proceeds
The notes are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the notes. See How the Notes Work and Hypothetical Payout Examples in this pricing supplement for an illustration of the risk-return profile of the notes
and The Funds 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 trustees authorization, execution and delivery of the indenture and its authentication of the notes and the validity, binding nature and enforceability of the indenture with respect to the
trustee, all as stated in the letter of such counsel dated February 24, 2016, which was filed as an exhibit to the Registration Statement on Form
S-3
by JPMorgan Financial and JPMorgan Chase &
Co. on February 24, 2016.
|
|
|
PS-12 | Structured
Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Health Care Select Sector SPDR
®
Fund, the Technology Select Sector SPDR
®
Fund and the Energy Select Sector SPDR
®
Fund
|
|
|
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):
●
|
|
Product supplement no.
4-I
dated April 15, 2016:
|
http://www.sec.gov/Archives/edgar/data/19617/000095010316012644/crt_dp64831-424b2.pdf
●
|
|
Underlying supplement no.
1-I
dated April 15, 2016:
|
http://www.sec.gov/Archives/edgar/data/19617/000095010316012649/crt-dp64909_424b2.pdf
●
|
|
Prospectus supplement and prospectus, each dated April
15, 2016:
|
http://www.sec.gov/Archives/edgar/data/19617/000095010316012636/crt_dp64952-424b2.pdf
Our Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.s CIK is 19617. As used in this pricing
supplement, we, us and our refer to JPMorgan Financial.
|
|
|
PS-13 | Structured
Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Health Care Select Sector SPDR
®
Fund, the Technology Select Sector SPDR
®
Fund and the Energy Select Sector SPDR
®
Fund
|
|
|
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Mar 2024 to Apr 2024
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Apr 2023 to Apr 2024