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.
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
How
the Notes Work
Payments
in Connection with Review Dates Preceding the Final Review Date
Payment
at Maturity If the Notes Have Not Been Automatically Called
Total
Interest Payments
The
table below illustrates the total Interest Payments per $1,000 principal amount note over the term of the notes based on the Interest
Rate of 6.00% per annum, depending on how many Interest Payments are made prior to automatic call or maturity. If the notes have
not been automatically called, the hypothetical total Interest Payments per $1,000 principal amount note over the term of the
notes will be equal to the maximum amount shown in the table below.
Number of Interest Payments
|
Total Interest Payments
|
15
|
$75.00
|
12
|
$60.00
|
9
|
$45.00
|
6
|
$30.00
|
3
|
$15.00
|
PS-
2
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index
|
|
Hypothetical
Payout Examples
The following examples illustrate payments on
the notes linked to three hypothetical Indices, assuming a range of performances for the hypothetical Least Performing Index on
the Review Dates.
Each hypothetical payment set forth below assumes that the closing level of each Index that is not the Least
Performing Index on each Review Date is greater than or equal to its Initial Value.
In addition, the hypothetical payments set forth
below assume the following:
|
·
|
an Initial Value for the Least Performing Index of 100.00;
|
|
·
|
a Trigger Value for the Least Performing Index of 63.50 (equal to 63.50% of its hypothetical Initial Value); and
|
|
·
|
an Interest Rate of 6.00% per annum (payable at a rate of 0.50% per month).
|
The hypothetical Initial Value of the Least Performing
Index of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value of any Index. The
actual Initial Value of each Index will be 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 are automatically called on the first Review Date.
Date
|
Closing Level of Least Performing Index
|
|
First Review Date
|
105.00
|
Notes are automatically called
|
|
Total Payment
|
$1,015.00 (1.50% return)
|
Because
the closing level of each Index on the first 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 $1,005.00 (or $1,000
plus
the Interest Payment applicable
to the corresponding Interest Payment Date), payable on the applicable Call Settlement Date. When added to the Interest
Payments received with respect to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note,
is $1,015.00. 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 Index is greater than or equal
to its Initial Value and a Trigger Event has occurred.
Date
|
Closing Level of Least Performing Index
|
|
First Review Date
|
95.00
|
Notes NOT automatically called
|
Second Review Date
|
90.00
|
Notes NOT automatically called
|
Third Review Date
|
85.00
|
Notes NOT automatically called
|
Fourth Review Date
|
90.00
|
Notes NOT automatically called
|
Final Review Date
|
105.00
|
Final Value of Least Performing Index is greater than its Initial Value
|
|
Total Payment
|
$1,075.00 (7.50% return)
|
Because the notes have not been automatically
called and the Final Value of the Least Performing Index is greater than or equal to its Initial Value, even though a Trigger Event
has occurred, the payment at maturity, for each $1,000 principal amount note, will be $1,005.00 (or $1,000
plus
the Interest
Payment applicable to the Maturity Date). When added to the Interest Payments received with respect to the prior Interest
Payment Dates, the total amount paid, for each $1,000 principal amount note, is $1,075.00.
PS-
3
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index
|
|
Example
3 — Notes have NOT been automatically called, the Final Value of the Least Performing Index is less than its Initial Value
and a Trigger Event has NOT occurred.
Date
|
Closing Level of Least Performing Index
|
|
First Review Date
|
95.00
|
Notes NOT automatically called
|
Second Review Date
|
95.00
|
Notes NOT automatically called
|
Third Review Date
|
95.00
|
Notes NOT automatically called
|
Fourth Review Date
|
95.00
|
Notes NOT automatically called
|
Final Review Date
|
70.00
|
Final Value of Least Performing Index is less than its Initial Value
|
|
Total Payment
|
$1,075.00 (7.50% return)
|
Because the notes have not been automatically
called and a Trigger Event has not occurred, even though the Final Value of the Least Performing Index is less than its Initial
Value, the payment at maturity, for each $1,000 principal amount note, will be $1,005.00 (or $1,000
plus
the Interest Payment
applicable to the Maturity Date). When added to the Interest Payments received with respect to the prior Interest Payment Dates,
the total amount paid, for each $1,000 principal amount note, is $1,075.00.
Example
4 — Notes have NOT been automatically called and the Final Value of the Least Performing Index is less than its Initial
Value and a Trigger Event has occurred.
Date
|
Closing Level of Least Performing Index
|
|
First Review Date
|
80.00
|
Notes NOT automatically called
|
Second Review Date
|
70.00
|
Notes NOT automatically called
|
Third Review Date
|
75.00
|
Notes NOT automatically called
|
Fourth Review Date
|
70.00
|
Notes NOT automatically called
|
Final Review Date
|
50.00
|
Final Value of Least Performing Index is less than its Initial Value
|
|
Total Payment
|
$575.00 (-42.50% return)
|
Because the notes have not been automatically
called, the Final Value of the Least Performing Index is less than its Initial Value, a Trigger Event has occurred and the Least
Performing Index Return is -50.00%, the payment at maturity will be $505.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)] + $5.00 =
$505.00
When added to the Interest Payments received with
respect to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $575.00.
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 (i) the Final Value of any 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 Least Performing Index is less than its Initial Value. Accordingly, under these circumstances, you will lose some or all
of your principal amount at maturity.
PS-
4
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index
|
|
|
·
|
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.
|
·
|
THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF THE INTEREST PAYMENTS PAID OVER
THE TERM OF THE NOTES,
|
regardless of any appreciation in the
level of any Index, which may be significant. You will not participate in any appreciation in the level of any 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 any of
the Indices over the term of the notes may result in the notes not being automatically called on a Review Date, may negatively
affect your payment at maturity and will not be offset or mitigated by positive performance by the other Indices.
|
·
|
YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST 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 any Index is less than its Trigger Value (
i.e.,
a Trigger Event occurs) 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 level of the Least 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 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 three months and you will not receive any 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, noteholders are not entitled to any fees and commissions described on the front cover of this pricing
supplement.
|
·
|
YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN ANY INDEX OR HAVE
ANY RIGHTS WITH RESPECT TO THOSE SECURITIES.
|
PS-
5
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index
|
|
|
·
|
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.
|
|
·
|
NON-U.S. SECURITIES RISK WITH RESPECT TO THE EURO STOXX 50
®
INDEX —
|
The equity securities included in the
EURO STOXX 50
®
Index have been issued by non-U.S. companies. Investments in securities linked to the value of such
non-U.S. equity securities involve risks associated with the securities markets in the home countries of the issuers of those non-U.S.
equity securities. Also, there is generally less publicly available information about companies in some of these jurisdictions
than there is about U.S. companies that are subject to the reporting requirements of the SEC.
|
·
|
NO DIRECT EXPOSURE TO FLUCTUATIONS IN FOREIGN EXCHANGE RATES WITH RESPECT TO THE EURO STOXX 50
®
INDEX —
|
The
value of your notes will not be adjusted for exchange rate fluctuations between the U.S. dollar and the currencies upon which the
equity securities included in the EURO STOXX 50
®
Index are based, although any currency fluctuations could affect
the performance of the EURO STOXX 50
®
Index.
|
·
|
THE RISK OF THE CLOSING LEVEL OF AN INDEX FALLING BELOW ITS 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).
PS-
6
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index
|
|
|
·
|
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 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.
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.
The EURO STOXX 50
®
Index consists
of 50 component stocks of market sector leaders from within the Eurozone. The Index and STOXX are the intellectual property (including
registered trademarks) of STOXX Limited, Zurich, Switzerland and/or its licensors (the “Licensors”), which are used
under license. The notes based on the Index are in no way sponsored, endorsed, sold or promoted by STOXX Limited and its Licensors
and neither STOXX Limited nor any of its Licensors shall have any liability with respect thereto. For additional information about
the EURO STOXX 50
®
Index, see “Equity Index Descriptions — The EURO STOXX 50
®
Index”
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 6, 2012 through January 20, 2017. The closing
level of the S&P 500
®
Index on January 20, 2017 was 2,271.31. The closing level of the Russell 2000
®
Index on January 20, 2017 was 1,351.848. The closing level of the EURO STOXX 50
®
Index on January 20, 2017 was 3,299.44.
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 any 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.
PS-
7
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index
|
|
PS-
8
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
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. Based on the advice of Sidley Austin
LLP
, our special tax counsel, and
on current market conditions, in determining our reporting responsibilities we intend to treat the notes for U.S. federal income
tax purposes as units each comprising: (x) a Put Option written by you that is terminated if an Automatic Call occurs and that,
if not terminated, in circumstances where the payment due at maturity is less than $1,000 (excluding accrued and unpaid interest),
requires you to pay us an amount equal to $1,000 multiplied by the absolute value of the Least Performing Index Return and (y)
a Deposit of $1,000 per $1,000 principal amount note to secure your potential obligation under the Put Option, as more fully described
in “Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Units
Each Comprising a Put Option and a Deposit” in the accompanying product supplement. By purchasing the notes, you agree (in
the absence of an administrative determination or judicial ruling to the contrary) to follow this treatment and the allocation
described in the following paragraph. However, there are other reasonable treatments that the Internal Revenue Service (the “IRS”)
or a court may adopt, in which case the timing and character of any income or loss on the notes could be significantly and adversely
affected. In addition, in 2007, the Treasury Department and the IRS released a notice requesting comments on the U.S. federal
income tax treatment of “prepaid forward contracts” and similar instruments. While it is not clear whether the notes
would be viewed as similar to the typical prepaid forward contract described in the notice, it is possible that any Treasury regulations
or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of
an investment in the notes, possibly with retroactive effect. The notice focuses on a number of issues, the most relevant of which
for holders of the notes are the character of income or loss (including whether the Put Premium might be currently included as
ordinary income) and the degree, if any, to which income realized by Non-U.S. Holders should be subject to withholding tax.
In
determining our reporting responsibilities, we intend to treat 28.67% of each interest payment as interest on the Deposit and
71.33% of each interest payment as Put Premium. Assuming that the treatment of the notes as units each comprising a Put Option
and a Deposit is respected, amounts treated as interest on the Deposit will be taxed as ordinary income, while the Put Premium
will not be taken into account prior to sale or settlement, including a settlement following an Automatic Call.
Non-U.S.
Holders – Additional Tax Consideration
Non-U.S.
Holders should note that final Treasury regulations were released on legislation that imposes a withholding tax of 30% on payments
to certain foreign entities unless information reporting and diligence requirements are met, as described in “Material U.S.
Federal Income Tax Consequences-FATCA” in the accompanying product supplement. Pursuant to the final regulations, such withholding
tax will generally apply to obligations that are issued on or after July 1, 2014; therefore, the notes will generally be subject
to this withholding tax. However, the withholding tax described above will not apply to payments of gross proceeds from the sale,
exchange, redemption or other disposition (including upon maturity) of the notes made before January 1, 2019.
PS-
9
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index
|
|
Section
871(m) of the Internal Revenue Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose
a 30% withholding tax (unless an income tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with
respect to certain financial instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides
certain exceptions to this withholding regime, including for instruments linked to certain broad-based indices that meet requirements
set forth in the applicable Treasury regulations (such an index, a “Qualified Index”). Additionally, a recent IRS
notice excludes from the scope of Section 871(m) instruments issued in 2017 that are not “delta-one” with respect
to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying
Security”). Based on certain determinations made by us, our special tax counsel is of the opinion that Section 871(m) should
not apply to the notes with regard to Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree
with this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including
whether you enter into other transactions with respect to an Underlying Security. You should consult your tax adviser regarding
the potential application of Section 871(m) to the notes.
Both
U.S. and Non-U.S. Holders should consult their tax advisors regarding all aspects of the U.S. federal income tax consequences
of an investment in the notes, including possible alternative treatments and the issues presented by the 2007 notice. Purchasers
who are not initial purchasers of notes at the issue price should also consult their tax advisors with respect to the tax consequences
of an investment in the notes, including possible alternative treatments, as well as the allocation of the purchase price of the
notes between the Deposit and the Put Option.
The
Estimated Value of the Notes
The
estimated value of the notes set forth on the cover of this pricing supplement is equal to the sum of the values of the following
hypothetical components: (1) a fixed-income debt component with the same maturity as the notes, valued using the internal funding
rate described below, and (2) the derivative or derivatives underlying the economic terms of the notes. The estimated value of
the notes does not represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any
exists) at any time. The internal funding rate used in the determination of the estimated value of the notes is based on, among
other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance, operational
and ongoing liability management costs of the notes
in comparison to those costs for the
conventional fixed-rate debt of JPMorgan Chase & Co
. For additional information, see “Selected
Risk Considerations — The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate” in this
pricing supplement.
The
value of the derivative or derivatives underlying the economic terms of the notes is derived from internal pricing models of our
affiliates. These models are dependent on inputs such as the traded market prices of comparable derivative instruments and on
various other inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates and
other factors, as well as assumptions about future market events and/or environments. Accordingly, the estimated value of the
notes is determined when the terms of the notes are set based on market conditions and other relevant factors and assumptions
existing at that time.
The
estimated value of the notes does not represent future values of the notes and may differ from others’ estimates. Different
pricing models and assumptions could provide valuations for the notes that are greater than or less than the estimated value of
the notes. In addition, market conditions and other relevant factors in the future may change, and any assumptions may prove to
be incorrect. On future dates, the value of the notes could change significantly based on, among other things, changes in market
conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements and other relevant factors, which
may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market transactions.
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
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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 Sidley Austin LLP, as counsel to the Company and the Guarantor, when the notes offered by this pricing supplement
have been executed and issued by the Company and authenticated by the trustee pursuant to the indenture, and delivered against
payment as contemplated herein, (a) such notes will be valid and binding obligations of the Company, 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 and (b) the related guarantee will
be a valid and binding obligation of the Guarantor, enforceable in accordance with its 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 Limited Liability Company Act of Delaware and the General Corporation Law of the State of Delaware as in
effect on the date hereof. In addition, this opinion is subject to customary assumptions about the trustee’s authorization,
execution and delivery of the indenture and the genuineness of signatures and certain factual matters, all as stated in the letter
of such counsel dated February 24, 2016, which has been filed as Exhibit 5.4 to the Company’s registration statement on
Form S-3 filed with the Securities and Exchange Commission on February 24, 2016.
Additional
Terms Specific to the Notes
You should read this pricing supplement together
with the accompanying prospectus, as supplemented by the accompanying prospectus supplement, relating to our Series A medium-term
notes of which these notes are a part, and the more detailed information contained in the accompanying product supplement and the
accompanying underlying supplement. This pricing supplement, together with the documents listed below, contains the terms of the
notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary
or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures
or other educational materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk
Factors” sections of the accompanying product supplement and the accompanying underlying supplement, as the notes involve
risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other
advisers before you invest in the notes.
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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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| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index
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