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 no. 595 to product supplement
no. 4-I dated April 15, 2016, underlying supplement no. 1-I dated April 15, 2016
and the prospectus and prospectus supplement, each dated April 15, 2016
Key
Terms
Issuer:
JPMorgan
Chase Financial Company LLC
Guarantor:
JPMorgan
Chase & Co.
Indices:
The
S&P 500
®
Index
(Bloomberg ticker: SPX) and the Russell 2000
®
Index (Bloomberg ticker: RTY)
Contingent Interest Payment
s
:
If the notes
have not been automatically called and the closing level of each Index on any Review Date is greater than or equal to its Interest
Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal amount note a Contingent Interest Payment
of $18.125 (equivalent to a Contingent Interest Rate of 7.25% per annum, payable at a rate of 1.8125% per quarter).
If the closing level
of either Index on any Review Date is less than its Interest Barrier, no Contingent Interest Payment will be made with respect
to that Review Date.
Contingent Interest Rate:
7.25%
per annum, payable at a rate of 1.8125% per quarter.
Interest Barrier/Trigger Value:
With
respect to each Index, 65.00% of its Initial Value, which is 1,419.5155 for the S&P 500
®
Index and 803.89985 for the Russell 2000
®
Index
Pricing Date:
August
19, 2016
Original Issue Date (Settlement Date):
On or about August 24, 2016
Review Dates*:
November
21, 2016, February 21, 2017, May 22, 2017, August 21, 2017 and November 20, 2017 (final Review Date)
Interest Payment Dates*:
November
25, 2016, February 24, 2017, May 25, 2017, August 24, 2017 and the Maturity Date
Maturity Date*:
November
24, 2017
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
|
|
Lesser Performing Index:
The
Index with the Lesser Performing Index Return
Lesser Performing Index Return:
The
lower of the Index Returns of the Indices
Index Return:
With
respect to each Index,
(Final Value – Initial
Value)
Initial Value
Initial Value:
With
respect to each Index, the closing level of that Index on the Pricing Date, which was 2,183.87 for the S&P 500
®
Index and 1,236.769 for the Russell 2000
®
Index
Final Value:
With
respect to each Index, the closing level of that Index on the final Review Date
Trigger Event:
A
Trigger Event occurs if, on any day during the Monitoring Period, the closing level of either Index is less than its Trigger Value
Monitoring Period:
The
period from but excluding the Pricing Date to and including the final Review Date
Automatic Call:
If the closing level of each Index 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 (i) the Final Value of each Index is greater than or equal to its Initial Value or
(ii) a Trigger Event has not occurred, you will receive a cash payment at maturity, for each $1,000 principal amount note, equal
to (a) $1,000 plus (b) the Contingent Interest Payment applicable to the final Review Date.
If the
notes have not been automatically called and (i) the Final Value of either Index is less than its Initial Value and (ii) a Trigger
Event has occurred, your payment at maturity per $1,000 principal amount note, in addition to any Contingent Interest Payment,
will be calculated as follows:
$1,000
+ ($1,000 × Lesser Performing Index Return)
If the notes have not
been automatically called and (i) the Final Value of either Index is less than its Initial Value and (ii) a Trigger Event has occurred,
you will lose some or all of your principal amount at maturity.
|
PS-
1
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the S&P 500
®
Index and the Russell 2000
®
Index
|
|
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)
Payment
at Maturity If the Notes Have Not Been Automatically Called
PS-
2
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the S&P 500
®
Index and the Russell 2000
®
Index
|
|
Total
Contingent Interest Payments
The
table below illustrates the total Contingent Interest Payments per $1,000 principal amount note over the term of the notes based
on the Contingent Interest Rate of 7.25% 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
|
5
|
$90.625
|
4
|
$72.500
|
3
|
$54.375
|
2
|
$36.250
|
1
|
$18.125
|
0
|
$0.000
|
Hypothetical
Payout Examples
The following examples illustrate payments on
the notes linked to two hypothetical Indices, assuming a range of performances for the hypothetical Lesser Performing Index on
the Review Dates.
Each hypothetical payment set forth below assumes that the closing level of the Index that is not the Lesser
Performing Index 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 Lesser Performing Index of 100.00;
|
|
●
|
an Interest Barrier and a Trigger Value for the
Lesser Performing Index
of 65.00 (equal to
65.00% of its hypothetical Initial Value); and
|
|
●
|
a Contingent Interest Rate of
7.25%
per annum (payable at a rate of
1.8125%
per quarter).
|
The hypothetical Initial Value of the Lesser Performing
Index of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value of either Index.
The actual Initial Value of each Index is the
closing level of that Index on the Pricing Date and is specified under “Key Terms - Initial Value” in this pricing
supplement. For historical data regarding the actual closing levels of each Index, please see the historical information set forth
under “The Indices” in this pricing supplement.
Each hypothetical payment set forth below is for
illustrative purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing in the
following examples have been rounded for ease of analysis.
Example
1 — Notes are automatically called on the second Review Date.
Date
|
Closing Level of Lesser Performing
Index
|
Payment (per $1,000 principal amount
note)
|
First Review Date
|
105.00
|
$18.125
|
Second Review Date
|
105.00
|
$1,018.125
|
|
Total Payment
|
$1,036.25 (3.625% return)
|
Because the closing level of each Index 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 $1,018.125 (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 level of each Index on the first Review Date is greater than its Initial Value. When added to the
Contingent Interest Payment received with respect to the prior Review Date, the total amount paid, for each $1,000 principal amount
note, is $1,036.25. No further payments will be made on the notes.
PS-
3
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the S&P 500
®
Index and the Russell 2000
®
Index
|
|
Example
2 — Notes are automatically called on the third Review Date.
Date
|
Closing Level of Lesser Performing
Index
|
Payment (per $1,000 principal amount
note)
|
First Review Date
|
95.00
|
$18.125
|
Second Review Date
|
50.00
|
$0
|
Third Review Date
|
105.00
|
$1,018.125
|
|
Total Payment
|
$1,036.25 (3.625% return)
|
Because
the closing level of each Index on the third 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 $1,018.125 (or $1,000
plus
the Contingent Interest
Payment applicable to the third Review Date), payable on the applicable Call Settlement 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 $1,036.25.
No further payments will be made on the notes.
Example
3 — Notes have NOT been automatically called, the Final Value of the Lesser Performing Index
is greater than or equal
to its Initial Value and a Trigger Event has occurred.
Date
|
Closing Level of Lesser Performing
Index
|
Payment (per $1,000 principal amount
note)
|
First Review Date
|
95.00
|
$18.125
|
Second Review Date
|
85.00
|
$18.125
|
Third Review Date
|
50.00
|
$0
|
Fourth Review Date
|
45.00
|
$0
|
Final Review Date
|
105.00
|
$1,018.125
|
|
Total Payment
|
$1,054.375 (5.4375% return)
|
Because
the notes have not been automatically called and the Final Value of the Lesser Performing Index is greater than or equal to its
Initial Value (and, therefore, the Interest Barrier), even though a Trigger Event has occurred, the payment at maturity, for each
$1,000 principal amount note, will be $1,018.125 (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 $1,054.375.
Example
4 — Notes have NOT been automatically called, the Final Value of the Lesser Performing Index is less than its Initial Value
but is greater than or equal to its Interest Barrier and a Trigger Event has NOT occurred.
Date
|
Closing Level of Lesser Performing
Index
|
Payment (per $1,000 principal amount
note)
|
First Review Date
|
95.00
|
$18.125
|
Second Review Date
|
95.00
|
$18.125
|
Third Review Date
|
85.00
|
$18.125
|
Fourth Review Date
|
85.00
|
$18.125
|
Final Review Date
|
70.00
|
$1,018.125
|
|
Total Payment
|
$1,090.625 (9.0625% return)
|
Because the notes have not been automatically
called, the Final Value of the Lesser Performing Index is less than its Initial Value but is greater than or equal to its Interest
Barrier and a Trigger Event has not occurred, the payment at maturity, for each $1,000 principal amount note, will be $1,018.125
(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 $1,090.625.
PS-
4
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the S&P 500
®
Index and the Russell 2000
®
Index
|
|
Example
5 — Notes have NOT been automatically called, the Final Value of the Lesser Performing Index is less than its Initial Value
but is greater than or equal to its Interest Barrier and a Trigger Event has occurred.
Date
|
Closing Level of Lesser Performing
Index
|
Payment (per $1,000 principal amount
note)
|
First Review Date
|
50.00
|
$0
|
Second Review Date
|
45.00
|
$0
|
Third Review Date
|
40.00
|
$0
|
Fourth Review Date
|
35.00
|
$0
|
Final Review Date
|
65.00
|
$
668.125
|
|
Total Payment
|
$
668.125
(-
33.1875%
return)
|
Because
the notes have not been automatically called, the Final Value of the Lesser Performing Index is less than its Initial Value but
is greater than or equal to its Interest Barrier, a Trigger Event has occurred and the Lesser Performing Index Return is -
35.00
%,
the payment at maturity will be $
668.125
per
$1,000 principal amount note, calculated as follows:
$1,000
+ [$1,000 × (-
35.00
%)] + $18.125 = $
668.125
Example
6 — Notes have NOT been automatically called, the Final Value of the Lesser Performing Index is less than its Initial Value
and its Interest Barrier and a Trigger Event has occurred.
Date
|
Closing Level of Lesser Performing
Index
|
Payment (per $1,000 principal amount
note)
|
First Review Date
|
55.00
|
$0
|
Second Review Date
|
50.00
|
$0
|
Third Review Date
|
45.00
|
$0
|
Fourth Review Date
|
40.00
|
$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 Lesser Performing Index is less than its Initial Value and
its Interest Barrier, a Trigger Event has occurred and the Lesser Performing Index Return is -50.00%, the payment at maturity
will be $500.00 per $1,000 principal amount note, calculated as follows:
$1,000
+ [$1,000 × (-50.00%)] = $500.00
The
hypothetical returns and hypothetical payments on the notes shown above apply
only if you hold the notes for their entire term
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
either Index is less than its Initial Value and (ii) a Trigger Event has occurred, you will lose 1% of the principal amount of
your notes for every 1% that the Final Value of the Lesser Performing Index is less than its Initial Value. Accordingly, under
these circumstances, you will lose some or all of your principal amount at maturity.
|
|
●
|
THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL
—
If the notes have not been automatically called we will make a Contingent Interest Payment with respect to a Review Date only if
the closing level of each Index on that Review Date is greater than or equal to its Interest Barrier. If the closing level of either
Index on that Review Date is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Review
Date.
|
PS-
5
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the S&P 500
®
Index and the Russell 2000
®
Index
|
|
Accordingly, if the closing level of
either Index on each Review Date is less than its Interest Barrier, you will not receive any interest payments over the term of
the notes.
|
●
|
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO.
—
Investors are dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts due on the notes. Any actual or
potential change in our or JPMorgan Chase & Co.'s creditworthiness or credit spreads, as determined by the market for taking
that credit risk, is likely to adversely affect the value of the notes. If we and JPMorgan Chase & Co. were to default on our
payment obligations, you may not receive any amounts owed to you under the notes and you could lose your entire investment.
|
|
●
|
AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
—
As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of
our securities. Aside from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate
to obligations of our affiliates to make payments under loans made by us or other intercompany agreements. As a result, we are
dependent upon payments from our affiliates to meet our obligations under the notes. If these affiliates do not make payments to
us and we fail to make payments on the notes, you may have to seek payment under the related guarantee by JPMorgan Chase &
Co., and that guarantee will rank pari passu with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
|
|
●
|
THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS THAT MAY BE PAID OVER
THE TERM OF THE NOTES,
regardless of any appreciation in the level of either Index, which may be significant. You will not participate in any appreciation
in the level of either Index.
|
|
●
|
POTENTIAL CONFLICTS
—
We and our affiliates play a variety of roles in connection with the notes. In performing these duties, our and JPMorgan Chase
& Co.'s economic interests are potentially adverse to your interests as an investor in the notes. It is possible that hedging
or trading activities of ours or our affiliates in connection with the notes could result in substantial returns for us or our
affiliates while the value of the notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest”
in the accompanying product supplement.
|
|
●
|
JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500
®
INDEX,
but JPMorgan Chase & Co. will not have any obligation to consider your interests in taking any corporate action that might
affect the level of the S&P 500
®
Index.
|
|
●
|
YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX —
Payments on the notes are not linked to a basket composed of the Indices and are contingent upon the performance of each individual
Index. Poor performance by either of the Indices over the term of the notes may negatively affect whether you will receive a Contingent
Interest Payment on any Interest Payment Date and your payment at maturity and will not be offset or mitigated by positive performance
by the other Index.
|
|
●
|
YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LESSER PERFORMING INDEX.
|
|
●
|
THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON ANY DAY DURING THE MONITORING PERIOD —
If, on any day during the Monitoring Period, the closing level of either Index is less than its Trigger Value (
i.e.,
a Trigger
Event occurs) and the notes have not been 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 Lesser Performing Index. You will be subject to this potential
loss of principal even if that Index subsequently recovers such that the closing level of that Index is greater than or equal to
its Trigger Value.
|
|
●
|
THE 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, 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 EITHER INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES.
|
|
●
|
AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH RESPECT TO THE RUSSELL 2000
®
INDEX —
Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative
to larger companies. Small capitalization companies are less likely to pay dividends on their stocks, and the presence of a dividend
payment could be a factor that limits downward stock price pressure under adverse market conditions.
|
|
●
|
THE RISK OF THE CLOSING LEVEL OF AN INDEX FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS GREATER IF THE LEVEL OF
THAT INDEX IS VOLATILE.
|
PS-
6
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the S&P 500
®
Index and the Russell 2000
®
Index
|
|
|
●
|
LACK OF LIQUIDITY—
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 structuring and hedging the notes are included in
the original issue price of the notes. These costs include 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 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 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
TM
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.
PS-
7
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the S&P 500
®
Index and the Russell 2000
®
Index
|
|
Historical
Information
The
following graphs set forth the historical performance of each Index based on the weekly historical closing levels from January
7, 2011 through August 19, 2016. The closing level of the S&P 500
®
Index on August 19, 2016 was 2,183.87. The
closing level of the Russell 2000
®
Index on August 19, 2016 was 1,236.769. We obtained the closing levels above
and below from the Bloomberg Professional
®
service (“Bloomberg”), without independent verification.
The
historical closing levels of each Index should not be taken as an indication of future performance, and no assurance can be given
as to the closing level of either Index on any Review Date. There can be no assurance that the performance of the Indices will
result in the return of any of your principal amount or the payment of any interest.
Historical Performance
of the S&P 500
®
Index
Source: Bloomberg
|
Historical Performance
of the Russell 2000
®
Index
Source: Bloomberg
|
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
PS-
8
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the S&P 500
®
Index and the Russell 2000
®
Index
|
|
described
in the section entitled “Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders —
Notes Treated as Prepaid Forward Contracts with Associated Contingent Coupons” in the accompanying product supplement. Based
on the advice of Davis Polk & Wardwell LLP, our special tax counsel, we believe that this is a reasonable treatment, but that
there are other reasonable treatments that the IRS or a court may adopt, in which case the timing and character of any income
or loss on the notes could be materially affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments
on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses
in particular on whether to require investors in these instruments to accrue income over the term of their investment. It also
asks for comments on a number of related topics, including the character of income or loss with respect to these instruments and
the relevance of factors such as the nature of the underlying property to which the instruments are linked. While the notice requests
comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration
of these issues could materially affect the tax consequences of an investment in the notes, possibly with retroactive effect.
You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, including
possible alternative treatments and the issues presented by this notice.
Non-U.S.
Holders — Tax Considerations
. The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and
although we believe it is reasonable to take a position that Contingent Interest Payments are not subject to U.S. withholding
tax (at least if an applicable Form W-8 is provided), a withholding agent may nonetheless withhold on these payments (generally
at a rate of 30%, subject to the possible reduction of that rate under an applicable income tax treaty), unless income from your
notes is effectively connected with your conduct of a trade or business in the United States (and, if an applicable treaty so
requires, attributable to a permanent establishment in the United States). If you are not a United States person, you are urged
to consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes in light of your
particular circumstances.
Non-U.S.
holders should also note that recently promulgated Treasury regulations imposing a withholding tax on certain “dividend
equivalents” under certain “equity linked instruments” will not apply to the notes.
FATCA
.
Withholding under legislation commonly referred to as “FATCA” could apply to payments with respect to the notes that
are treated as U.S.-source “fixed or determinable annual or periodical” income (“FDAP Income”) for U.S.
federal income tax purposes (such as interest, if the notes are recharacterized, in whole or in part, as debt instruments, or
Contingent Interest Payments if they are otherwise treated as FDAP Income). Under a recent IRS notice, withholding under FATCA
will not apply to payments of gross proceeds (other than any amount treated as FDAP Income) of a taxable disposition, including
an early redemption or redemption at maturity, of the notes. You should consult your tax adviser regarding the potential application
of FATCA to the notes.
In
the event of any withholding on the notes, we will not be required to pay any additional amounts with respect to amounts so withheld.
The
Estimated Value of the Notes
The
estimated value of the notes set forth on the cover of this pricing supplement is equal to the sum of the values of the following
hypothetical components: (1) a fixed-income debt component with the same maturity as the notes, valued using the internal funding
rate described below, and (2) the derivative or derivatives underlying the economic terms of the notes. The estimated value of
the notes does not represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any
exists) at any time. The internal funding rate used in the determination of the estimated value of the notes is based on, among
other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance, operational
and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed-rate debt of JPMorgan
Chase & Co. For additional information, see “Selected Risk Considerations — The Estimated Value of the Notes Is
Derived by Reference to an Internal Funding Rate” in this pricing supplement.
The
value of the derivative or derivatives underlying the economic terms of the notes is derived from internal pricing models of our
affiliates. These models are dependent on inputs such as the traded market prices of comparable derivative instruments and on
various other inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates and
other factors, as well as assumptions about future market events and/or environments. Accordingly, the estimated value of the
notes is determined when the terms of the notes are set based on market conditions and other relevant factors and assumptions
existing at that time.
The
estimated value of the notes does not represent future values of the notes and may differ from others’ estimates. Different
pricing models and assumptions could provide valuations for the notes that are greater than or less than the estimated value of
the notes. In 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.
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The estimated value of the notes is lower than
the original issue price of the notes because costs associated with structuring and hedging the notes are included in the original
issue price of the notes. These costs include the projected profits, if any, that our affiliates expect to realize for assuming
risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. Because
hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may result in a profit
that is more or less than expected, or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations
under the notes may be allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain
any remaining hedging profits. See “Selected Risk Considerations — The Estimated Value of the Notes Is Lower Than the
Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact
any secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in
the accompanying product supplement. In addition, we generally expect that some of the costs included in the original issue price
of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will
decline to zero over an initial predetermined period. These costs can include projected hedging profits, if any, and, in some circumstances,
estimated hedging costs and our internal secondary market funding rates for structured debt issuances. This initial predetermined
time period is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial
period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities,
the estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates. See “Selected
Risk Considerations — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements)
May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this pricing supplement.
Supplemental
Use of Proceeds
The notes are offered to meet investor demand
for products that reflect the risk-return profile and market exposure provided by the notes. See “How the Notes Work”
and “Hypothetical Payout Examples” in this pricing supplement for an illustration of the risk-return profile of the
notes and “The Indices” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal
to the estimated value of the notes plus (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 a valid and binding obligation of JPMorgan Financial and the related guarantee
will constitute a valid and binding obligation of JPMorgan Chase & Co., enforceable in accordance with their terms, subject
to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and
equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack
of bad faith),
provided
that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer
or similar provision of applicable law on the conclusions expressed above. This opinion is given as of the date hereof and is limited
to the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited Liability Company
Act. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution and
delivery of the indenture and its authentication of the notes and the validity, binding nature and enforceability of the indenture
with respect to the trustee, all as stated in the letter of such counsel dated February 24, 2016, which was filed as an exhibit
to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24, 2016.
Additional
Terms Specific to the Notes
You should read this pricing supplement together
with the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term
notes of which these notes are a part, and the more detailed information contained in the accompanying product supplement and the
accompanying underlying supplement. This pricing supplement, together with the documents listed below, contains the terms of the
notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary
or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures
or other educational materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk
Factors” sections of the accompanying product supplement and the accompanying
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underlying supplement, as the notes involve risks
not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers
before you invest in the notes.
You may access these documents on the SEC website
at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website
is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us”
and “our” refer to JPMorgan Financial.
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