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 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 Index Strike
Level of 1,700 and reflects the Upside Leverage Factor of 2.00, the Maximum Return of 32.10%, the Buffer Amount of 15% and the
Downside Leverage Factor of 1.17647. 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
|
3,060.00
|
80.00%
|
32.10%
|
2,805.00
|
65.00%
|
32.10%
|
2,550.00
|
50.00%
|
32.10%
|
2,380.00
|
40.00%
|
32.10%
|
2,210.00
|
30.00%
|
32.10%
|
2,040.00
|
20.00%
|
32.10%
|
1,972.85
|
16.05%
|
32.10%
|
1,955.00
|
15.00%
|
30.00%
|
1,870.00
|
10.00%
|
20.00%
|
1,785.00
|
5.00%
|
10.00%
|
1,742.50
|
2.50%
|
5.00%
|
1,700.00
|
0.00%
|
0.000%
|
1,657.50
|
-2.50%
|
0.000%
|
1,615.00
|
-5.00%
|
0.000%
|
1,530.00
|
-10.00%
|
0.000%
|
1,445.00
|
-15.00%
|
0.000%
|
1,360.00
|
-20.00%
|
-5.882%
|
1,190.00
|
-30.00%
|
-17.647%
|
1,020.00
|
-40.00%
|
-29.412%
|
850.00
|
-50.00%
|
-41.176%
|
680.00
|
-60.00%
|
-52.941%
|
510.00
|
-70.00%
|
-64.706%
|
340.00
|
-80.00%
|
-76.471%
|
170.00
|
-90.00%
|
-88.235%
|
0.00
|
-100.00%
|
-100.000%
|
JPMorgan Structured Investments —
Capped Buffered Return Enhanced Notes Linked to the MSCI EAFE
®
Index
|
PS-
2
|
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 Index Strike Level of 1,700 to an Ending Index Level of 1,785.
Because the Ending Index Level of 1,785 is greater
than the Index Strike Level of 1,700 and the Index Return of 5% multiplied by 2.00 does not exceed the Maximum Return of 32.10%,
the investor receives a payment at maturity of $1,100 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × 5%
× 2.00) = $1,100
Example 2: The level of the Index decreases
from the Index Strike Level of 1,700 to an Ending Index Level of 1,445.
Although the Index Return is negative, because
the Ending Index Level of 1,445 is less than the Index Strike Level of 1,700 by up to the Buffer Amount of 15%, the investor receives
a payment at maturity of $1,000 per $1,000 principal amount note.
Example 3: The level of the Index increases
from the Index Strike Level of 1,700 to an Ending Index Level of 2,040.
Because the Ending Index Level of 2,040 is greater
than the Index Strike Level of 1,700 and the Index Return of 20% multiplied by 2.00 exceeds the Maximum Return of 32.10%, the investor
receives a payment at maturity of $1,321 per $1,000 principal amount note, the maximum payment at maturity.
Example 4: The level of the Index decreases
from the Index Strike Level of 1,700 to an Ending Index Level of 1,020.
Because the Ending Index Level of 1,020 is less
than the Index Strike Level of 1,700 by more than the Buffer Amount of 15% and the Index Return is -40%, the investor receives
a payment at maturity of $705.88 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-40%
+ 15%) × 1.17647] = $705.88
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 —
Capped Buffered Return Enhanced Notes Linked to the MSCI EAFE
®
Index
|
PS-
3
|
Selected Purchase Considerations
|
·
|
CAPPED APPRECIATION POTENTIAL
— The notes provide the opportunity to enhance equity returns by multiplying a positive Index Return by 2.00, up to the Maximum
Return of 32.10%.
Accordingly, the
maximum payment at maturity is $1,321 per $1,000 principal amount note.
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 Index Strike Level or is less
than the Index Strike Level by up to 15%. If the Ending Index Level is less than the Index Strike Level by more than 15%, for every
1% that the Ending Index Level is less than the Index Strike Level by more than 15%, you will lose an amount equal to 1.17647%
of the principal amount of your notes. Accordingly, you may lose some or all of your principal amount at maturity.
|
|
·
|
RETURN LINKED TO THE MSCI EAFE
®
INDEX
—
The return on the notes is linked to the performance of the MSCI EAFE
®
Index. The MSCI EAFE
®
Index is a free float-adjusted market capitalization index intended to measure the equity market performance of the developed equity
markets in Europe, Asia, Australia and New Zealand. For additional information about the MSCI EAFE
®
Index,
see the information set forth under “Equity Index Descriptions — The MSCI Indices” 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, as well as to payments of gross proceeds of a taxable disposition, including redemption at maturity,
of a note. However, under a recent IRS notice, this regime will not apply to payments of gross proceeds (other than any amount
treated as interest) with respect to dispositions occurring before January 1, 2019. You should consult your tax adviser regarding
the potential application of FATCA to the notes.
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. Your investment
will be exposed to a loss on a leveraged basis if the Ending Index Level is less than the Index Strike Level by more than 15%.
For every 1% that the Ending Index Level is less than the Index Strike Level by more than 15%, you will lose an amount equal to
1.17647% of the principal amount of your notes. Accordingly, you may lose some or all of your principal amount at maturity.
|
|
·
|
YOUR MAXIMUM GAIN ON THE NOTES IS
LIMITED TO THE MAXIMUM RETURN
—
If the Ending Index Level
is greater than the Index Strike Level, for each $1,000 principal amount note, you will receive at maturity $1,000
plus
an additional return that will not exceed the Maximum Return of 32.10%, regardless of the appreciation in the Index, which may
be significant.
|
|
·
|
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE &
CO.
— The notes are subject to
|
JPMorgan Structured Investments —
Capped Buffered Return Enhanced Notes Linked to the MSCI EAFE
®
Index
|
PS-
4
|
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 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 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 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 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.
JPMorgan Structured Investments —
Capped Buffered Return Enhanced Notes Linked to the MSCI EAFE
®
Index
|
PS-
5
|
|
·
|
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,
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.
|
|
·
|
THE NOTES
ARE SUBJECT TO CURRENCY EXCHANGE RISK
— Because the prices of the equity securities included in the Index are converted
into U.S. dollars for purposes of calculating the value of the Index, your notes will be exposed to currency exchange rate risk
with respect to each of the currencies in which the equity securities included in the Index trade. Your net exposure will
depend on the extent to which those currencies strengthen or weaken against the U.S. dollar and the relative weight of the equity
securities included in the Index denominated in those currencies. If, taking into account the relevant weighting, the U.S.
dollar strengthens against those currencies, the value of the Index will be adversely affected and the payment at maturity, if
any, may be reduced.
|
Of particular importance to potential
currency exchange risk are:
|
·
|
existing
and expected rates of inflation;
|
|
·
|
existing
and expected interest rate levels;
|
|
·
|
the
balance of payments in the countries issuing those currencies and the United States and between each country and its major trading
partners;
|
|
·
|
political,
civil or military unrest in the countries issuing those currencies and the United States; and
|
|
·
|
the
extent of governmental surplus or deficit in the countries issuing those currencies and the United States.
|
All of these factors are,
in turn, sensitive to the monetary, fiscal and trade policies pursued by the governments of the countries issuing those currencies,
the United States and those of other countries important to international trade and finance.
|
·
|
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 —
Capped Buffered Return Enhanced Notes Linked to the MSCI EAFE
®
Index
|
PS-
6
|
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 7, 2011 through October 14, 2016. The closing
level of the Index on October 14, 2016 was
1,664.72.
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.
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 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 loss that is more or less
than expected, or it may result in a profit.
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 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.”
JPMorgan Structured Investments —
Capped Buffered Return Enhanced Notes Linked to the MSCI EAFE
®
Index
|
PS-
7
|
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 MSCI EAFE
®
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, minus
(plus) the projected losses (profits) 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 —
Capped Buffered Return Enhanced Notes Linked to the MSCI EAFE
®
Index
|
PS-
8
|
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