October 21, 2016
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Registration Statement Nos. 333-209682 and 333-209682-01; Rule 424(b)(2)
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JPMorgan Chase Financial Company LLC
Structured Investments
$2,150,000
Callable Yield Notes Linked to the Lesser
Performing of the Dow Jones Industrial Average
TM
and the EURO STOXX 50
®
Index due April 30, 2018
Fully and Unconditionally Guaranteed by
JPMorgan Chase & Co.
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·
|
The notes are designed for investors who seek a higher interest rate than the yield on a conventional debt security with the
same maturity issued by us. The notes will pay 6.00% per annum interest over the term of the notes, assuming no early redemption,
payable at a rate of 1.50% per quarter.
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·
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The notes may be redeemed early, in whole but not in part, at our option on any of the Interest Payment Dates (other than the
final Interest Payment Date).
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·
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The earliest date on which the notes may be redeemed early is January 30, 2017.
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·
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Investors in the notes should be willing to accept the risk of losing some or all of their principal and be willing to forgo
dividend payments, in exchange for Interest Payments.
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·
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The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan
Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co.
Any payment on the notes
is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as
guarantor of the notes.
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·
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Payments on the notes are not linked to a basket composed of the Indices. Payments on the notes are linked to the performance
of each of the Indices individually, as described below.
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·
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Minimum denominations of $10,000 and integral multiples of $1,000, in excess thereof
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The notes priced on October 21, 2016 and are expected to settle on or about October 28, 2016
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Investing in the notes involves a number of risks. See
“Risk Factors” beginning on page PS-10 of the accompanying product supplement, “Risk Factors” beginning
on page US-2 of the accompanying underlying supplement and “Selected Risk Considerations” beginning on page PS-3 of
this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this
pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
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Price to Public (1)
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Fees and Commissions (2)
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Proceeds to Issuer
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Per note
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$1,000
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$15
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$985
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Total
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$2,150,000
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$32,250
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$2,117,750
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(1) See “Supplemental Use of Proceeds”
in this pricing supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer
to as JPMS, acting as agent for JPMorgan Financial., will pay all of the selling commissions of $15.00 per $1,000 principal amount
note it receives from us to other affiliated or unaffiliated dealers. See “Plan of Distribution (Conflicts of Interest)”
in the accompanying product supplement.
|
The estimated value of the notes, when the terms of the
notes were set, was $975.00 per $1,000 principal amount note. See “The Estimated Value of the Notes” in this pricing
supplement for additional information.
The notes are not bank deposits, are not insured by the Federal
Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Pricing supplement to product supplement no. 4-I
dated April 15, 2016, underlying supplement no. 1-I dated April 15, 2016
and the prospectus and prospectus supplement, each dated April 15, 2016
Key
Terms
Issuer:
JPMorgan
Chase Financial Company LLC
Guarantor:
JPMorgan
Chase & Co.
Indices:
T
he
Dow Jones Industrial Average™ (Bloomberg ticker: INDU) and the EURO STOXX 50
®
Index (Bloomberg ticker: SX5E)
Interest Payments:
If the notes have not been previously redeemed early, you will
receive on the applicable Interest Payment Date for each $1,000 principal amount note an Interest Payment equal to $15.00 (equivalent
to an Interest Rate of 6.00% per annum, payable at a rate of 1.50% per quarter).
Interest Rate:
6.00% per annum, payable at a rate of 1.50% per quarter
Trigger
Value:
With respect to each Index, 70.00% of its Initial Value, which is 12,701.997
for the Dow Jones Industrial Average™ and 2,154.355 for the EURO STOXX 50
®
Index
Pricing
Date:
October 21, 2016
Original Issue
Date (Settlement Date):
On or about October 28, 2016
Observation
Date*:
April 23, 2018
Interest Payment
Dates*:
January 30, 2017, April 28, 2017, July 28, 2017, October 30,
2017, January 29, 2018 and the Maturity Date
Maturity Date*:
April 30, 2018
* 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 Indices” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying
product supplement
Early Redemption:
We, at our election, may redeem the notes early, in whole
but not in part, on any of the Interest Payment Dates (other than the final Interest Payment Date) at a price, for each $1,000
principal amount note, equal to $1,000
plus
the Interest Payment applicable to that Interest Payment Date. If we intend
to redeem your notes early, we will deliver notice to The Depository Trust Company, or DTC, at least five business days before
the applicable Interest Payment Date on which the notes are redeemed early.
Payment at Maturity:
If the notes have not been redeemed early and the Final Value
of each Index is greater than or equal to its Trigger Value, you will receive a cash payment at maturity, for each $1,000 principal
amount note, equal to (a) $1,000
plus
(b) the Interest Payment applicable to the Maturity Date.
If the notes
have not been redeemed early and the Final Value of either Index is less than its Trigger Value,
your
payment at maturity per $1,000 principal amount note, in addition to the Interest Payment applicable to the Maturity Date, will
be calculated as follows:
$1,000 + ($1,000 × Lesser Performing
Index Return)
If the notes have not been
redeemed early and the Final Value of either Index is less than its Trigger Value, you will lose more than 30.00% of your principal
amount at maturity and could lose all of your principal amount at maturity.
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 18,145.71
for the Dow Jones Industrial Average™ and 3,077.65 for the EURO STOXX 50
®
Index
Final Value:
With respect to each Index, the closing level of that Index on the
Observation Date
PS-
1
| Structured Investments
Callable Yield Notes Linked to the Lesser Performing of the Dow Jones
Industrial Average
TM
and the EURO STOXX 50
®
Index
|
|
How
the Notes Work
Payment at Maturity If the Notes Have Not
Been Redeemed Early
Total Interest Payments
The table below illustrates the hypothetical total
Interest Payments per $1,000 principal amount note over the term of the notes based on the Interest Rate of 6.00% per annum, depending
on how many Interest Payments are made prior to early redemption or maturity. If the notes have not been redeemed early, the total
Interest Payments per $1,000 principal amount note over the term of the notes will be equal to the maximum amount shown in the
table below.
Number of Interest Payments
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Total Interest Payments
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6
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$90.00
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5
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$75.00
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4
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$60.00
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3
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$45.00
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2
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$30.00
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1
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$15.00
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Hypothetical
Payout Examples
The following examples illustrate payments on
the notes linked to two hypothetical Indices, assuming a range of performances for the Lesser Performing Index on the Observation
Date.
In addition, the hypothetical payments set forth
below assume the following:
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·
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the notes have not been redeemed early;
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·
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an Initial Value for the Lesser Performing Index of 100.00;
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a Trigger Value for the Lesser Performing Index of 70.00 (equal to 70.00% of its hypothetical Initial Value); and
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an Interest Rate of 6.00% per annum (payable at a rate of 1.50% per quarter).
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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.
PS-
2
| Structured Investments
Callable Yield Notes Linked to the Lesser Performing of the Dow Jones
Industrial Average
TM
and the EURO STOXX 50
®
Index
|
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Example 1 — Notes have NOT been redeemed
early and the Final Value of the Lesser Performing Index is greater than or equal to its Trigger Value.
Date
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Closing Level of Lesser Performing Index
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Payment (per $1,000 principal amount note)
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Observation Date
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80.00
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Final Value of Lesser Performing Index is greater than or equal to its Trigger Value
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Total Payment
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$1,090.00 (9.00% return)
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Because the notes have not been redeemed early
and the Final Value of the Lesser Performing Index is greater than or equal to its Trigger Value, the payment at maturity, for
each $1,000 principal amount note, will be $1,015.00 (or $1,000
plus
the Interest Payment applicable to the Maturity Date).
When added to the Interest Payments received with respect to the prior Interest Payment Dates, the total amount paid, for each
$1,000 principal amount note, is $1,090.00.
Example 2 — Notes have NOT been redeemed
early and the Final Value of the Lesser Performing Index is less than its Trigger Value.
Date
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Closing Level of Lesser Performing Index
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Payment (per $1,000 principal amount note)
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Observation Date
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50.00
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Final Value of Lesser Performing Index is less than its Trigger Value
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Total Payment
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$590.00 (-41.00% return)
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Because the notes have not been redeemed early,
the Final Value of the Lesser Performing Index is less than its Trigger Value and the Lesser Performing Index Return is -50.00%,
the payment at maturity will be $515.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)] + $15.00 =
$515.00
When added to the Interest Payments received with
respect to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $590.00.
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 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.
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YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
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The notes do not guarantee any return
of principal. If the notes have not been redeemed early and the Final Value of either Index is less than its Trigger Value, you
will lose 1% of the principal amount of your notes for every 1% that the Final Value of the Lesser Performing Index is less than
its Initial Value. Accordingly, under these circumstances, you will lose more than 30.00% of your principal amount and at maturity
and could lose all of your principal amount at maturity.
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CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
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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.
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AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
—
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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
PS-
3
| Structured Investments
Callable Yield Notes Linked to the Lesser Performing of the Dow Jones
Industrial Average
TM
and the EURO STOXX 50
®
Index
|
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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.
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THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF THE INTEREST PAYMENTS PAID OVER
THE TERM OF THE NOTES,
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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.
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.
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JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE DOW JONES INDUSTRIAL
AVERAGE
TM
,
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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 Dow Jones Industrial
Average
TM
.
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YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX —
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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 your payment at maturity and will not be offset or mitigated by
positive performance by the other Index.
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YOUR PAYMENT AT MATURITY MAY BE DETERMINED BY THE LESSER PERFORMING INDEX.
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THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE OBSERVATION DATE —
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If
the Final Value of either Index is less than its Trigger Value and the notes have not been redeemed early, 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.
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THE OPTIONAL EARLY REDEMPTION FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
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If we elect to redeem early, the term
of the notes may be reduced to as short as approximately three months and you will not receive any Interest Payments after the
applicable Interest Payment 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 we elect to
redeem your notes before maturity, you are not entitled to any fees and commissions described on the front cover of this pricing
supplement.
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YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN EITHER INDEX OR HAVE ANY RIGHTS WITH
RESPECT TO THOSE SECURITIES.
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NON-U.S. SECURITIES RISK WITH RESPECT TO THE EURO STOXX 50
®
INDEX —
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The equity securities included in the
EURO STOXX 50
®
Index have been issued by non-U.S. companies. Investments in securities linked to the value of such
non-U.S. equity securities involve risks associated with the securities markets in the home countries of the issuers of those non-U.S.
equity securities. Also, there is generally less publicly available information about companies in some of these jurisdictions
than there is about U.S. companies that are subject to the reporting requirements of the SEC.
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NO DIRECT EXPOSURE TO FLUCTUATIONS IN FOREIGN EXCHANGE RATES WITH RESPECT TO THE EURO STOXX 50
®
INDEX —
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The value of your notes will not be
adjusted for exchange rate fluctuations between the U.S. dollar and the currencies upon which the equity securities included in
the EURO STOXX 50
®
Index are based, although any currency fluctuations could affect the performance of the EURO
STOXX 50
®
Index.
PS-
4
| Structured Investments
Callable Yield Notes Linked to the Lesser Performing of the Dow Jones
Industrial Average
TM
and the EURO STOXX 50
®
Index
|
|
|
·
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THE RISK OF THE CLOSING LEVEL OF AN INDEX FALLING BELOW ITS TRIGGER VALUE IS GREATER IF THE VALUE
OF THAT INDEX IS VOLATILE.
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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.
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·
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THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE
NOTES —
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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.
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·
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THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS’ ESTIMATES —
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See “The Estimated Value of the
Notes” in this pricing supplement.
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·
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THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
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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.
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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).
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·
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SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES —
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Any secondary market prices of the
notes will likely be lower than the original issue price of the notes because, among other things, secondary market prices take
into account our internal secondary market funding rates for structured debt issuances and, also, because secondary market prices
(a) exclude selling commissions and (b) may exclude projected hedging profits, if any, and estimated hedging costs that are included
in the original issue price of the notes. As a result, the price if any, at which JPMS will be willing to buy the notes from you
in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the
Maturity Date could result in a substantial loss to you.
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·
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SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
|
The secondary market price of the notes
during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside
from the selling commissions, projected hedging profits, if any, estimated hedging costs and the levels of the Indices. Additionally,
independent pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on
customer account statements. This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may
be willing to purchase your notes in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value
and Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market
factors” in the accompanying product supplement.
PS-
5
| Structured Investments
Callable Yield Notes Linked to the Lesser Performing of the Dow Jones
Industrial Average
TM
and the EURO STOXX 50
®
Index
|
|
The
Indices
The Dow Jones Industrial Average
TM
consists of 30 common stocks chosen as representative of the broad market of U.S. industry. For additional information about the
Dow Jones Industrial Average
TM
, see “Equity Index Descriptions — The Dow Jones Industrial Average
TM
”
in the accompanying underlying supplement.
The EURO STOXX 50
®
Index consists
of 50 component stocks of market sector leaders from within the Eurozone. The Index and STOXX are the intellectual property (including
registered trademarks) of STOXX Limited, Zurich, Switzerland and/or its licensors (the “Licensors”), which are used
under license. The notes based on the Index are in no way sponsored, endorsed, sold or promoted by STOXX Limited and its Licensors
and neither STOXX Limited nor any of its Licensors shall have any liability with respect thereto. For additional information about
the EURO STOXX 50
®
Index, see “Equity Index Descriptions — The EURO STOXX 50
®
Index”
in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical
performance of each Index based on the weekly historical closing levels from January 7, 2011 through October 21, 2016. The closing
level of the Dow Jones Industrial Average
TM
on October 21, 2016 was 18,145.71. The closing level of the EURO STOXX 50
®
on October 21, 2016 was 3,077.65. We obtained the closing levels of the Indices 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
Observation Date. There can be no assurance that the performance of the Indices will result in the return of any of your principal
amount.
PS-
6
| Structured Investments
Callable Yield Notes Linked to the Lesser Performing of the Dow Jones
Industrial Average
TM
and the EURO STOXX 50
®
Index
|
|
Tax
Treatment
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. Based on the
advice of Davis Polk & Wardwell LLP, our special tax counsel, and on current market conditions, in determining our reporting
responsibilities we intend to treat the notes for U.S. federal income tax purposes as units each comprising: (x) a cash-settled
Put Option written by you that is terminated if an early redemption occurs and that, if not terminated, in circumstances where
the payment due at maturity is less than the principal amount (excluding accrued but unpaid interest), requires you to pay us an
amount equal to that difference and (y) a Deposit of $1,000 per $1,000 principal amount note to secure your potential obligation
under the Put Option, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences
to U.S. Holders — Notes Treated as Units Each Comprising a Put Option and a Deposit” in the accompanying product supplement,
and in particular in the subsection thereof entitled “— Notes with a Term of More than One Year.” By purchasing
the notes, you agree (in the absence of an administrative determination or judicial ruling to the contrary) to follow this treatment
and the allocation described in the following paragraph. However, there are other reasonable treatments that the IRS or a
court may adopt, 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 on a number of issues, the most relevant of which for
investors in the notes are the character of income or loss (including whether the Put Premium might be currently included as ordinary
income) and the degree, if any, to which income realized by non-U.S. investors should be subject to withholding tax. While
it is not clear whether the notes would be viewed as similar to the typical prepaid forward contract described in the notice, it
is possible that any Treasury regulations or other guidance promulgated after consideration of these issues could materially and
adversely affect the tax consequences of an investment in the notes, possibly with retroactive effect.
In determining our reporting responsibilities,
we intend to treat 24.50% of each Interest Payment as interest on the Deposit and the remainder as Put Premium. Assuming that the
treatment of the notes as units each comprising a Put Option and a Deposit is respected, amounts treated as interest on the Deposit
will be taxed as ordinary income, while the Put Premium will not be taken into account prior to sale or settlement, including a
settlement following an early redemption.
Withholding under legislation commonly referred
to as “FATCA” will apply to amounts treated as interest or other “fixed or determinable annual or periodical”
income (“FDAP Income”) for U.S. federal income tax purposes 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 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.
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.
You should consult your tax adviser regarding
all aspects of the U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments
and the issues presented by the 2007 notice. Purchasers who are not initial purchasers of notes at the issue price should
also consult their tax advisers with respect to the tax consequences of an investment in the notes, including possible alternative
treatments, as well as the allocation of the purchase price of the notes between the Deposit and the Put Option.
The
Estimated Value of the Notes
The estimated
value of the notes set forth on the cover of this pricing supplement is equal to the sum of the values of the following hypothetical
components: (1) a fixed-income debt component with the same maturity as the notes, valued using the internal funding rate described
below, and (2) the derivative or derivatives underlying the economic terms of the notes. The estimated value of the notes does
not represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time.
The internal funding rate used in the determination of the estimated value of the notes is based on, among other things, our and
our affiliates’ view of the funding value of the notes as well as the higher issuance, operational and ongoing liability
management costs of the notes
in comparison to those costs for the conventional fixed-rate
debt of JPMorgan Chase & Co
. For additional information, see “Selected Risk Considerations
— The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives
underlying the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent
on inputs such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are
market-observable, and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about
future market events and/or environments. Accordingly, the estimated value of the notes is
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determined when the terms of the notes are
set based on market conditions and other relevant factors and assumptions existing at that time.
The estimated value of the notes does not
represent future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could
provide valuations for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions
and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value
of the notes could change significantly based on, among other things, changes in market conditions, our or JPMorgan Chase &
Co.’s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at which
JPMS would be willing to buy notes from you in secondary market transactions.
The estimated value of the notes is lower
than the original issue price of the notes because costs associated with selling, structuring and hedging the notes are included
in the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated
dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk
and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected,
or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes may be allowed
to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits.
See “Selected Risk Considerations — The Estimated Value of the Notes Is Lower Than the Original Issue Price (Price
to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact
any secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in
the accompanying product supplement. In addition, we generally expect that some of the costs included in the original issue price
of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will
decline to zero over an initial predetermined period. These costs can include projected hedging profits, if any, and, in some circumstances,
estimated hedging costs and our internal secondary market funding rates for structured debt issuances. This initial predetermined
time period is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial
period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities,
the estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates. See “Selected
Risk Considerations — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements)
May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this pricing supplement.
Supplemental
Use of Proceeds
The notes are offered to meet investor demand
for products that reflect the risk-return profile and market exposure provided by the notes. See “How the Notes Work”
and “Hypothetical Payout Examples” in this pricing supplement for an illustration of the risk-return profile of the
notes and “The Indices” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is
equal to the estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers,
plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes, plus the estimated cost of hedging our obligations under the notes.
Supplemental
Plan of Distribution
We expect that delivery of the notes will
be made against payment for the notes on or about the Original Issue Date set forth on the front cover of this pricing supplement,
which will be the fifth business day following the Pricing Date of the notes (this settlement cycle being referred to as T+5).
Under Rule 15c6-1 under the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required
to settle in three business days, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish
to trade notes on the Pricing Date or the succeeding business day will be required to specify an alternate settlement cycle at
the time of any such trade to prevent a failed settlement and should consult their own advisors.
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
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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.
Additional
Terms Specific to the Notes
You should read this pricing supplement together
with the accompanying prospectus, as supplemented by the accompanying prospectus supplement, relating to our Series A medium-term
notes of which these notes are a part, and the more detailed information contained in the accompanying product supplement and the
accompanying underlying supplement. This pricing supplement, together with the documents listed below, contains the terms of the
notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary
or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures
or other educational materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk
Factors” sections of the accompanying product supplement and the accompanying underlying supplement, as the notes involve
risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other
advisers before you invest in the notes.
You may access these documents on the SEC
website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
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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