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.
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.
You should
read this pricing supplement together with the accompanying prospectus, as supplemented by the accompanying prospectus supplement
relating to our Series A medium-term notes, of which these notes are a part, and the more detailed information contained in the
accompanying product supplement and the accompanying underlying supplement.
This pricing supplement, together with the documents
listed below, contains the terms of the notes and supersedes all other prior or contemporaneous oral statements as well as any
other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation,
sample structures, fact sheets, brochures or other educational materials of ours.
You should carefully consider, among other
things, the matters set forth in the “Risk Factors” sections of the accompanying product supplement and the accompanying
underlying supplement, as the notes involve risks not associated with conventional debt securities. We urge you to consult your
investment, legal, tax, accounting and other advisers before you invest in the notes.
You may
access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings
for the relevant date on the SEC website):
Our Central
Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement,
“we,” “us” and “our” refer to JPMorgan Financial.
The following
table and examples illustrate the hypothetical total return and the hypothetical payment at maturity on the notes. The “total
return” as used in this pricing supplement is the number, expressed as a percentage, that results from comparing the payment
at maturity per $1,000 principal amount note to $1,000. Each hypothetical total return or payment at maturity set forth below
assumes an Initial Index Level of 125 and reflects the Contingent Buffer Amount of 32.10%. Each hypothetical total return or payment
at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable
to a purchaser of the notes. The numbers appearing in the following table and in the examples below have been rounded for ease
of analysis.
Ending Index
Level
|
Index
Return
|
Total Return
|
225.0000
|
80.00%
|
80.00%
|
206.2500
|
65.00%
|
65.00%
|
187.5000
|
50.00%
|
50.00%
|
175.0000
|
40.00%
|
40.00%
|
162.5000
|
30.00%
|
30.00%
|
150.0000
|
20.00%
|
20.00%
|
143.7500
|
15.00%
|
15.00%
|
137.5000
|
10.00%
|
10.00%
|
131.2500
|
5.00%
|
5.00%
|
128.1300
|
2.50%
|
2.50%
|
125.0000
|
0.00%
|
0.000%
|
121.8750
|
-2.50%
|
0.000%
|
118.7500
|
-5.00%
|
0.000%
|
112.5000
|
-10.00%
|
0.000%
|
100.0000
|
-20.00%
|
0.000%
|
87.5000
|
-30.00%
|
0.000%
|
84.8750
|
-32.10%
|
0.000%
|
84.8625
|
-32.11%
|
-32.110%
|
75.0000
|
-40.00%
|
-40.000%
|
62.5000
|
-50.00%
|
-50.000%
|
50.0000
|
-60.00%
|
-60.000%
|
37.5000
|
-70.00%
|
-70.000%
|
25.0000
|
-80.00%
|
-80.000%
|
12.5000
|
-90.00%
|
-90.000%
|
0.0000
|
-100.00%
|
-100.000%
|
JPMorgan Structured Investments
|
PS-
2
|
Contingent Buffered Equity Notes Linked to the EURO STOXX
®
Banks Index
|
Hypothetical Examples of
Amount Payable at Maturity
The following
examples illustrate how the payment at maturity in different hypothetical scenarios is calculated.
Example
1: The level of the Index increases from the Initial Index Level of 125 to an Ending Index Level of 131.25.
Because
the Ending Index Level of 131.25 is greater than the Initial Index Level of 125 and the Index Return is 5%, the investor receives
a payment at maturity of $1,050 per $1,000 principal amount note, calculated as follows:
$1,000
+ ($1,000 × 5%) = $1,050
Example
2: The level of the Index decreases from the Initial Index Level of 125 to an Ending Index Level of 84.875.
Although
the Index Return is negative, because the Ending Index Level of 84.875 is less than the Initial Index Level of 125 by up to the
Contingent Buffer Amount of 32.10%, the investor receives a payment at maturity of $1,000 per $1,000 principal amount note.
Example
3: The level of the Index decreases from the Initial Index Level of 125 to an Ending Index Level of 50.
Because
the Ending Index Level of 50 is less than the Initial Index Level of 125 by more than the Contingent Buffer Amount of 20% and
the Index Return is -60%, the investor receives a payment at maturity of $400 per $1,000 principal amount note, calculated as
follows:
$1,000
+ ($1,000 × -60%) = $400
The hypothetical
returns and hypothetical payments on the notes shown above apply
only if you hold the notes for their entire term.
These
hypotheticals do not reflect 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.
JPMorgan Structured Investments
|
PS-
3
|
Contingent Buffered Equity Notes Linked to the EURO STOXX
®
Banks Index
|
Selected
Purchase Considerations
|
·
|
UNCAPPED
APPRECIATION POTENTIAL
— The notes provide the opportunity to earn an uncapped, unleveraged return equal to any positive
Index Return. The notes are not subject to a predetermined maximum gain and, accordingly, any return at maturity will be determined
based on the movement of the level of the Index.
Because the notes are our unsecured and unsubordinated obligations, the payment
of which is fully and unconditionally guaranteed by JPMorgan Chase & Co., payment of any amount on the notes is subject to
our ability to pay our obligations as they become due and JPMorgan Chase & Co.’s ability to pay its obligations as they
become due.
|
|
·
|
LIMITED
PROTECTION AGAINST LOSS
— We will pay you your principal back at maturity if the Ending Index Level is equal to the
Initial Index Level or is less than the Initial Index Level by up to the Contingent Buffer Amount of 32.10%. If the Ending Index
Level is less than the Initial Index Level by more than the Contingent Buffer Amount, for every 1% that the Ending Index Level
is less than the Initial Index Level, you will lose an amount equal to 1% of the principal amount of your notes. Under these circumstances,
you will lose more than 32.10% of your principal amount at maturity and may lose all of your principal amount at maturity.
|
|
·
|
RETURN
LINKED TO THE EURO STOXX
®
BANKS INDEX
— The return on the notes is linked to the EURO STOXX
®
Banks Index. The EURO STOXX
®
Banks Index is a free-float market capitalization index that currently includes
25 stocks of banks market sector leaders from 11 Eurozone countries: Austria, Belgium, Finland, France, Germany, Ireland, Italy,
Luxembourg, the Netherlands, Portugal and Spain. Not all 11 countries are represented in the EURO STOXX
®
Banks
Index at any given time. The EURO STOXX
®
Banks 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 EURO STOXX
®
Banks 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
®
Banks Index, see “Equity Index Descriptions — The
EURO STOXX
®
Banks Index” in the accompanying underlying supplement.
|
|
·
|
TAX
TREATMENT
—
You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences”
in the accompanying product supplement no. 4-I. The following discussion, when read in combination with that section, constitutes
the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences
of owning and disposing of notes.
|
Based
on current market conditions, in the opinion of our special tax counsel it is reasonable to treat the notes as “open transactions”
that are not debt instruments for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income
Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments”
in the accompanying product supplement. Assuming this treatment is respected, the gain or loss on your notes should be treated
as long-term capital gain or loss if you hold your notes for more than a year, whether or not you are an initial purchaser of
notes at the issue price. However, the IRS or a court may not respect this treatment, in which case the timing and character
of any income or loss on the notes could be materially and adversely affected. In addition, in 2007 Treasury and the IRS
released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and
similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income
over the term of their investment. It also asks for comments on a number of related topics, including the character of income
or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to which the
instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should
be subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership”
regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional
interest charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations
or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of
an investment in the 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.
Withholding
under legislation commonly referred to as “FATCA” may (if the notes are recharacterized as debt instruments) apply
to amounts treated as interest paid with respect to the notes. Under a recent IRS notice, withholding under FATCA will not
apply to payments of gross proceeds (other than any amount treated as interest) of a taxable disposition, including redemption
at maturity, of the notes. You should consult your tax adviser regarding the potential application of FATCA to the notes.
JPMorgan Structured Investments
|
PS-
4
|
Contingent Buffered Equity Notes Linked to the EURO STOXX
®
Banks Index
|
Selected
Risk Considerations
An investment
in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Index or any of
the component securities of the Index. These risks are explained in more detail in the “Risk Factors” sections of
the accompanying product supplement and the accompanying underlying supplement.
|
·
|
YOUR
INVESTMENT IN THE NOTES MAY RESULT IN A LOSS
— The notes do not guarantee any return of principal. The return on the
notes at maturity is linked to the performance of the Index and will depend on whether, and the extent to which, the Index Return
is positive or negative. If the Ending Index Level is less than the Initial Index Level by more than the Contingent Buffer Amount
of 32.10%, the benefit provided by the Contingent Buffer Amount will terminate and you will be exposed to a loss. In this
case, for every 1% that the Ending Index Level is less than the Initial Index Level, you will lose an amount equal to 1% of the
principal amount of your notes. Under these circumstances, you will lose more than 32.10% of your principal amount at maturity
and may all of your principal amount at maturity.
|
|
·
|
CREDIT RISKS OF JPMORGAN
FINANCIAL AND JPMORGAN CHASE & CO.
— The notes are subject to our and JPMorgan Chase & Co.’s credit risks,
and our and JPMorgan Chase & Co.’s credit ratings and credit spreads may adversely affect the market value of the notes.
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.
|
|
·
|
POTENTIAL CONFLICTS
— We and our affiliates play a variety of roles in connection with the issuance of the notes, including acting as calculation
agent and as an agent of the offering of the notes, hedging our obligations under the notes and making the assumptions used to
determine the pricing of the notes and the estimated value of the notes when the terms of the notes are set, which we refer to
as the estimated value of the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests and
the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor
in the notes. In addition, our and JPMorgan Chase & Co.’s business activities, including hedging and trading activities,
could cause our and JPMorgan Chase & Co.’s economic interests to be adverse to yours and could adversely affect any
payment on the notes and the value of 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
for additional information about these risks.
|
|
·
|
THE BENEFIT PROVIDED
BY THE CONTINGENT BUFFER AMOUNT MAY TERMINATE ON THE FINAL ENDING AVERAGING DATE
— If the Ending Index Level is less
than the Initial Index Level by more than the Contingent Buffer Amount, the benefit provided by the Contingent Buffer Amount will
terminate and you will be fully exposed to any depreciation of the Index from the Initial Index Level to the Ending Index Level.
|
|
·
|
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
—
The estimated value of the notes is determined by reference to internal pricing models of our affiliates when the terms of the
notes are set. This estimated value of the notes is based on market conditions and other relevant factors existing at that time
and assumptions about market parameters, which can include volatility, dividend rates, interest rates and other factors. Different
pricing models and assumptions could provide valuations for the 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. 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
|
JPMorgan Structured Investments
|
PS-
5
|
Contingent Buffered Equity Notes Linked to the EURO STOXX
®
Banks Index
|
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. 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. 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 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. See the immediately following
risk consideration for information about additional factors that will impact any secondary market prices of the 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. See “
— Lack of Liquidity” below.
|
·
|
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 level of the Index, including:
|
|
·
|
any
actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
|
|
·
|
customary
bid-ask spreads for similarly sized trades;
|
|
·
|
our
internal secondary market funding rates for structured debt issuances;
|
|
·
|
the
actual and expected volatility of the Index;
|
|
·
|
the
time to maturity of the notes;
|
|
·
|
the
dividend rates on the equity securities included in the Index;
|
|
·
|
interest
and yield rates in the market generally;
|
|
·
|
the
exchange rates and the volatility of the exchange rates between the U.S. dollar and each of the currencies in which the equity
securities included in the Index trade and the correlation among those rates and the level of the Index; and
|
|
·
|
a
variety of other economic, financial, political, regulatory and judicial events.
|
Additionally,
independent pricing vendors and/or third party broker-dealers may publish a price for the 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.
|
·
|
NO
INTEREST OR DIVIDEND PAYMENTS OR VOTING RIGHTS —
As a holder of the notes, you will not receive interest payments, and
you will not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of securities
included in the Index would have.
|
|
·
|
NON-U.S.
SECURITIES RISK —
The equity securities included in the 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, including risks of volatility in those markets, governmental
intervention in those markets and cross shareholdings in companies in certain countries. 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 —
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 Index are based,
although any currency fluctuations could affect the performance of the Index. Therefore, if the applicable currencies appreciate
or depreciate relative to the U.S. dollar over the term of the notes, you will not receive any additional payment or incur any
reduction in any payment on the notes.
|
|
·
|
THE
EQUITY SECURITIES INCLUDED IN THE INDEX ARE CONCENTRATED IN THE BANKING INDUSTRY —
Each of the equity securities included
in the Index has been issued by a company whose business is associated with the banking industry. Because the value of the notes
is determined in part by the performance of the Index, an investment in these notes will be concentrated in this industry. As
a result, the value of the notes may be subject to greater volatility and be more adversely affected by a single positive or negative
economic,
|
JPMorgan Structured Investments
|
PS-
6
|
Contingent Buffered Equity Notes Linked to the EURO STOXX
®
Banks Index
|
political
or regulatory occurrence affecting this industry than a different investment linked to securities of a more broadly diversified
group of issuers.
|
·
|
VOLATILITY
RISK
— Greater expected volatility with respect to the Index indicates a greater likelihood as of the Pricing Date that
the Ending Index Level could be less than the Initial Index Level by more than the Contingent Buffer Amount. The Index’s
volatility, however, can change significantly over the term of the notes. The closing level of the Index could fall sharply
during the term of the notes, which could result in your losing some or all of your principal amount at maturity.
|
|
·
|
LACK
OF LIQUIDITY
— The notes will not be listed on any securities exchange. JPMS intends to offer to purchase the notes
in the secondary market but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity
to allow you to trade or sell the notes easily. Because other dealers are not likely to make a secondary market for the notes,
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.
|
JPMorgan Structured Investments
|
PS-
7
|
Contingent Buffered Equity Notes Linked to the EURO STOXX
®
Banks Index
|
Historical Information
The
following graph sets forth the historical performance of the Index based on the weekly historical closing levels of the Index
from January 6, 2012 through March 24, 2017. The closing level of the Index on March 24, 2017 was
125.69.
We obtained
the closing levels of the Index above and below from the Bloomberg Professional
®
service (“Bloomberg”),
without independent verification. The historical levels of the Index should not be taken as an indication of future performance,
and no assurance can be given as to the closing level of the Index on any Ending Averaging Date. There can be no assurance that
the performance of the Index will result in the return of any of your principal amount.
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. See “Selected Risk Considerations —
The Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ from Others’ Estimates”
in this pricing supplement.
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. We or one or more of our affiliates will retain any profits realized
in hedging our obligations under the notes. 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 “Selected Risk Considerations — Secondary
Market Prices of the Notes Will Be Impacted by Many Economic and Market Factors ” in this pricing supplement. In addition,
we generally expect that some of the costs included in the original issue price of the 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 that 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
JPMorgan Structured Investments
|
PS-
8
|
Contingent Buffered Equity Notes Linked to the EURO STOXX
®
Banks Index
|
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.”
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 “What Is the Total Return on the Notes at Maturity, Assuming a Range of Performances for the Index?” and “Hypothetical
Examples of Amount Payable at Maturity” in this pricing supplement for an illustration of the risk-return profile of the
notes and “Selected Purchase Considerations — Return Linked to the EURO STOXX
®
Banks Index” in
this pricing supplement for a description of the market exposure provided by the notes.
The original
issue price of the notes is equal to the estimated value of the notes plus the selling commissions paid to JPMS and other affiliated
or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks
inherent in hedging our obligations under the notes, plus
the estimated cost of hedging our obligations under the notes.
Validity
of the Notes and the Guarantee
In the
opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when
the notes offered by this pricing supplement have been executed and issued by JPMorgan Financial and authenticated by the trustee
pursuant to the indenture, and delivered against payment as contemplated herein, such notes will be valid and binding obligations
of JPMorgan Financial and the related guarantee will constitute a valid and binding obligation of JPMorgan Chase & Co., enforceable
in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights
generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts
of good faith, fair dealing and the lack of bad faith),
provided
that such counsel expresses no opinion as to the effect
of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above. This
opinion is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the
State of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions
about the trustee’s authorization, execution and delivery of the indenture and its authentication of the notes and the validity,
binding nature and enforceability of the indenture with respect to the trustee, all as stated in the letter of such counsel dated
February 24, 2016, which was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan
Chase & Co. on February 24, 2016.
JPMorgan Structured Investments
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PS-
9
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Contingent Buffered Equity Notes Linked to the EURO STOXX
®
Banks Index
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