All references in this pricing supplement to the
closing value of each Index mean the closing level of that Index as defined in the accompanying product supplement, and all references
in this pricing supplement to the closing value of the Fund mean the closing price of one share of the Fund as defined in the accompanying
product supplement.
How
the Notes Work
Payments in Connection with Review Dates
Preceding the Final Review Date
Payment at Maturity If the Notes Have Not
Been Automatically Called
Total Interest Payments
The table below illustrates the total Interest
Payments per $1,000 principal amount note over the term of the notes based on the Interest Rate of 6.00% per annum, depending on
how many Interest Payments are made prior to automatic call or maturity. If the notes have not been automatically called, the hypothetical
total Interest Payments per $1,000 principal amount note over the term of the notes will be equal to the maximum amount shown in
the table below.
Number
of Interest Payments
|
Total
Interest Payments
|
15
|
$75.00
|
12
|
$60.00
|
9
|
$45.00
|
6
|
$30.00
|
PS-
2
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of the S&P 500
®
Index, the Russell 2000
®
Index and the iShares
®
MSCI EAFE ETF
|
|
Number
of Interest Payments
|
Total
Interest Payments
|
3
|
$15.00
|
Hypothetical
Payout Examples
The following examples illustrate payments on
the notes linked to three hypothetical Underlyings, assuming a range of performances for the hypothetical Least Performing Underlying
on the Review Dates.
Each hypothetical payment set forth below assumes that the closing value of each Underlying that is not
the Least Performing Underlying on each Review Date is greater than or equal to its Initial Value.
In addition, the hypothetical payments set forth
below assume the following:
|
·
|
an Initial Value for the Least Performing Underlying of 100.00;
|
|
·
|
a Trigger Value for the Least Performing Underlying of 63.00
(equal to 63.00% of its hypothetical Initial Value); and
|
|
·
|
an Interest Rate of 6.00% per annum (payable at a rate of
0.50% per month).
|
The
hypothetical Initial Value of the Least Performing Underlying of 100.00 has been chosen for illustrative purposes only and does
not represent the actual Initial Value of any Underlying. The actual Initial Value of each Underlying is the closing value of
that Underlying on the Pricing Date and is specified under “Key Terms – Initial Value” in this pricing supplement.
For historical data regarding the actual closing values of each Underlying, please see the historical information set forth under
“The Underlyings” in this pricing supplement.
Each
hypothetical payment set forth below is for illustrative purposes only and may not be the actual payment applicable to a purchaser
of the notes. The numbers appearing in the following examples have been rounded for ease of analysis.
Example
1 — Notes are automatically called on the first Review Date.
Date
|
Closing
Value of Least Performing Underlying
|
|
First Review Date
|
105.00
|
Notes are automatically called
|
|
Total Payment
|
$1,015.00 (1.50% return)
|
Because the closing value of each Underlying on
the first Review Date is greater than or equal to its Initial Value, the notes will be automatically called for a cash payment,
for each $1,000 principal amount note, of $1,005.00 (or $1,000
plus
the Interest Payment applicable to the corresponding
Interest Payment Date), payable on the applicable Call Settlement Date. When added to the Interest Payments received with
respect to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $1,015.00.
No further payments will be made on the notes.
Example
2 — Notes have NOT been automatically called and the Final Value of the Least Performing Underlying is greater than or equal
to its Initial Value and a Trigger Event has occurred.
Date
|
Closing
Value of Least Performing Underlying
|
|
First Review Date
|
95.00
|
Notes NOT automatically called
|
Second Review Date
|
90.00
|
Notes NOT automatically called
|
Third Review Date
|
85.00
|
Notes NOT automatically called
|
Fourth Review Date
|
90.00
|
Notes NOT automatically called
|
Final Review Date
|
105.00
|
Final Value of Least Performing Underlying is greater than its Initial Value
|
|
Total Payment
|
$1,075.00 (7.50% return)
|
Because
the notes have not been automatically called and the Final Value of the Least Performing Underlying is greater than or equal to
its Initial Value, even though a Trigger Event has occurred, the payment at maturity, for each $1,000 principal amount note, will
be $1,005.00 (or $1,000
plus
the Interest Payment applicable to the Maturity Date). When added to the Interest Payments
received with respect to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $1,075.00.
PS-
3
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of the S&P 500
®
Index, the Russell 2000
®
Index and the iShares
®
MSCI EAFE ETF
|
|
Example
3 — Notes have NOT been automatically called, the Final Value of the Least Performing Underlying is less than its Initial
Value and a Trigger Event has NOT occurred.
Date
|
Closing
Value of Least Performing Underlying
|
|
First Review Date
|
95.00
|
Notes NOT automatically called
|
Second Review Date
|
95.00
|
Notes NOT automatically called
|
Third Review Date
|
95.00
|
Notes NOT automatically called
|
Fourth Review Date
|
95.00
|
Notes NOT automatically called
|
Final Review Date
|
70.00
|
Final Value of Least Performing Underlying is less than its Initial Value
|
|
Total Payment
|
$1,075.00 (7.50% return)
|
Because
the notes have not been automatically called and a Trigger Event has not occurred, even though the Final Value of the Least Performing
Underlying is less than its Initial Value, the payment at maturity, for each $1,000 principal amount note, will be $1,005.00 (or
$1,000
plus
the Interest Payment applicable to the Maturity Date). When added to the Interest Payments received with respect
to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $1,075.00.
Example
4 — Notes have NOT been automatically called and the Final Value of the Least Performing Underlying is less than its Initial
Value and a Trigger Event has occurred.
Date
|
Closing
Value of Least Performing Underlying
|
|
First Review Date
|
80.00
|
Notes NOT automatically called
|
Second Review Date
|
70.00
|
Notes NOT automatically called
|
Third Review Date
|
75.00
|
Notes NOT automatically called
|
Fourth Review Date
|
70.00
|
Notes NOT automatically called
|
Final Review Date
|
50.00
|
Final Value of Least Performing Underlying is less than its Initial Value
|
|
Total Payment
|
$575.00 (-42.50% return)
|
Because the notes have not been automatically
called, the Final Value of the Least Performing Underlying is less than its Initial Value, a Trigger Event has occurred and the
Least Performing Underlying Return is -50.00%, the payment at maturity will be $505.00 per $1,000 principal amount note, calculated
as follows:
$1,000 + [$1,000 × (-50.00%)] + $5.00 =
$505.00
When added to the Interest Payments received with
respect to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $575.00.
The hypothetical returns and hypothetical payments
on the notes shown above apply
only if you hold the notes for their entire term or until automatically called.
These hypotheticals
do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses
were included, the hypothetical returns and hypothetical payments shown above would likely be lower.
Selected
Risk Considerations
An investment in the notes involves significant
risks. These risks are explained in more detail in the “Risk Factors” sections of the accompanying product supplement
and underlying supplement.
|
·
|
YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
|
The notes do not guarantee any return
of principal. If the notes have not been automatically called and (i) the Final Value of any Underlying is less than its Initial
Value and (ii) a Trigger Event has occurred, you will lose 1% of the principal amount of your notes
PS-
4
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of the S&P 500
®
Index, the Russell 2000
®
Index and the iShares
®
MSCI EAFE ETF
|
|
for every 1% that the Final Value of
the Least Performing Underlying is less than its Initial Value. Accordingly, under these circumstances, you will lose some or all
of your principal amount at maturity.
|
·
|
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
|
Investors are dependent on our and
JPMorgan Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan
Chase & Co.’s creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely
to adversely affect the value of the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you
may not receive any amounts owed to you under the notes and you could lose your entire investment.
|
·
|
AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
—
|
As a finance subsidiary of JPMorgan
Chase & Co., we have no independent operations beyond the issuance and administration of our securities. Aside from the initial
capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates to
make payments under loans made by us or other intercompany agreements. As a result, we are dependent upon payments from our affiliates
to meet our obligations under the notes. If these affiliates do not make payments to us and we fail to make payments on the notes,
you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank
pari passu
with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
|
·
|
THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF THE INTEREST PAYMENTS PAID OVER
THE TERM OF THE NOTES,
|
regardless of any appreciation in the
value of any Underlying, which may be significant. You will not participate in any appreciation in the value of any Underlying.
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 VALUE OF EACH UNDERLYING —
|
Payments on the notes are not linked
to a basket composed of the Underlyings and are contingent upon the performance of each individual Underlying. Poor performance
by any of the Underlyings over the term of the notes may result in the notes not being automatically called on a Review Date, may
negatively affect your payment at maturity and will not be offset or mitigated by positive performance by the other Underlying.
|
·
|
YOUR PAYMENT AT MATURITY MAY BE DETERMINED BY THE LEAST PERFORMING UNDERLYING.
|
|
·
|
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 value of any Underlying 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 value of the Least Performing Underlying. You will be subject to this potential loss of principal
even if that Underlying subsequently recovers such that the closing value of that Underlying is greater than or equal to its Trigger
Value.
|
·
|
THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
|
If your notes are automatically called,
the term of the notes may be reduced to as short as approximately three months and you will not receive any Interest Payments after
the applicable Call Settlement Date. There is no guarantee that you would be able to reinvest the proceeds from an investment in
the notes at a comparable return and/or with a comparable interest rate for a similar level of risk.
Even
in cases where the notes are called before maturity, noteholders are not entitled to any fees and commissions described on the
front cover of this pricing supplement.
PS-
5
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of the S&P 500
®
Index, the Russell 2000
®
Index and the iShares
®
MSCI EAFE ETF
|
|
|
·
|
YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN ANY UNDERLYING 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.
|
|
·
|
THERE ARE RISKS ASSOCIATED WITH THE FUND —
|
The Fund is subject to management risk,
which is the risk that the investment strategies of the Fund’s investment adviser, the implementation of which is subject
to a number of constraints, may not produce the intended results. These constraints could adversely affect the market price of
the shares of the Fund and, consequently, the value of the notes.
|
·
|
THE PERFORMANCE AND MARKET VALUE OF THE FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY,
MAY NOT CORRELATE WITH THE PERFORMANCE OF THE FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE —
|
The Fund does not fully replicate its
Underlying Index (as defined under “The Underlyings” below) and may hold securities different from those included in
the Underlying Index. In addition, the performance of the Fund will reflect additional transaction costs and fees that are not
included in the calculation of its Underlying Index. All of these factors may lead to a lack of correlation between the performance
of the Fund and its Underlying Index. In addition, corporate actions with respect to the equity securities underlying the Fund
(such as mergers and spin-offs) may impact the variance between the performances of the Fund and its Underlying Index. Finally,
because the shares in the Fund are traded on a securities exchange and are subject to market supply and investor demand, the market
value of one share of the Fund may differ from the net asset value per share of the Fund.
During periods of market volatility,
securities underlying the Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately
the net asset value per share of the Fund and the liquidity of the Fund may be adversely affected. This kind of market volatility
may also disrupt the ability of market participants to create and redeem shares in the Fund. Further, market volatility may adversely
affect, sometimes materially, the prices at which market participants are willing to buy and sell shares of the Fund. As a result,
under these circumstances, the market value of shares of the Fund may vary substantially from the net asset value per share of
the Fund. For all of the foregoing reasons, the performance of the Fund may not correlate with the performance of its Underlying
Index as well as the net asset value per share of the Fund, which could materially and adversely affect the value of the notes
in the secondary market and/or reduce your payment at maturity.
|
·
|
NON-U.S. SECURITIES RISK WITH RESPECT TO THE FUND —
|
The equity securities held by the Fund
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.
|
·
|
THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK WITH RESPECT TO THE FUND —
|
Because the prices of the equity securities
held by the Fund are converted into U.S. dollars for purposes of calculating the net asset value of the Fund, holders of the notes
will be exposed to currency exchange rate risk with respect to each of the currencies in which the equity securities held by the
Fund 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 equity securities held by the Fund denominated in each of those currencies. If, taking into account
the relevant weighting, the U.S. dollar strengthens against those currencies, the price of the Fund will be adversely affected
and any payment on the notes may be reduced.
|
·
|
THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED —
|
The calculation agent will make adjustments
to the Share Adjustment Factor for certain events affecting the shares of the Fund. However, the calculation agent will not make
an adjustment in response to all events that could affect the shares of the Fund. If an event occurs that does not require the
calculation agent to make an adjustment, the value of the notes may be materially and adversely affected.
|
·
|
THE RISK OF THE CLOSING VALUE OF AN UNDERLYING FALLING BELOW ITS TRIGGER VALUE IS GREATER IF THE
VALUE OF THAT UNDERLYING IS VOLATILE.
|
PS-
6
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of the S&P 500
®
Index, the Russell 2000
®
Index and the iShares
®
MSCI EAFE ETF
|
|
The notes will not be listed on any
securities exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any,
at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term
trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
|
·
|
THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE
NOTES —
|
The estimated value of the notes is
only an estimate determined by reference to several factors. The original issue price of the notes exceeds the estimated value
of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue price
of the notes. These costs include the selling commissions, the projected profits, if any, that our affiliates expect to realize
for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under
the notes. See “The Estimated Value of the Notes” in this pricing supplement.
|
·
|
THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS’ ESTIMATES —
|
See “The Estimated Value of the
Notes” in this pricing supplement.
|
·
|
THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
|
The internal
funding rate used in the determination of the estimated value of the notes is based on, among other things, our and our affiliates’
view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the
notes
in comparison to those costs for the conventional fixed-rate debt of JPMorgan Chase
& Co
. The use of an internal funding rate and any potential changes to that rate may have
an adverse effect on the terms of the notes and any secondary market prices of the notes. See “The Estimated Value of the
Notes” in this pricing supplement.
|
·
|
THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS)
MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
|
We generally expect that some of the
costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of
your notes by JPMS in an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices
of the Notes” in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated
value of your notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be
shown on your customer account statements).
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES —
|
Any secondary market prices of the
notes will likely be lower than the original issue price of the notes because, among other things, secondary market prices take
into account our internal secondary market funding rates for structured debt issuances and, also, because secondary market prices
(a) exclude selling commissions and (b) may exclude projected hedging profits, if any, and estimated hedging costs that are included
in the original issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy the notes from you
in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the
Maturity Date could result in a substantial loss to you.
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
|
The secondary market price of the notes
during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside
from the selling commissions, projected hedging profits, if any, estimated hedging costs and the values of the Underlyings. 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-
7
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of the S&P 500
®
Index, the Russell 2000
®
Index and the iShares
®
MSCI EAFE ETF
|
|
The Underlyings
The
S&P 500
®
Index consists of stocks of 500 companies selected to provide a performance benchmark for the U.S.
equity markets. For additional information about the
S&P 500
®
Index, see “Equity
Index Descriptions — The S&P U.S. Indices” in the accompanying underlying supplement.
The
Russell 2000
®
Index consists of the middle 2,000 companies included in the Russell 3000E™ Index and, as a
result of the index calculation methodology, consists of the smallest 2,000 companies included in the Russell 3000
®
Index. The Russell 2000
®
Index is designed to track the performance of the small capitalization segment of the
U.S. equity market. For additional information about the Russell 2000
®
Index, see “Equity Index Descriptions
— The Russell Indices” in the accompanying underlying supplement.
The
Fund is an exchange-traded fund of iShares
®
Trust, a registered investment company, which seeks to track the investment
results, before fees and expenses, of an index composed of large and mid-capitalization developed market equities, excluding the
United States and Canada, which we refer to as the Underlying Index with respect to the Fund. The Underlying Index for the Fund
is currently 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 Fund, see “Fund Descriptions — The iShares
®
MSCI EAFE ETF”
in the accompanying underlying supplement.
Historical
Information
The
following graphs set forth the historical performance of each Underlying based on the weekly historical closing values from January
7, 2011 through July 22, 2016. The closing value of the S&P 500
®
Index on July 26, 2016 was 2,173.02. The closing
value of the Russell 2000
®
Index on July 26, 2016 was 1,209.745. The closing value of the Fund on July 12, 2016
was $57.16. We obtained the closing values above and below from the Bloomberg Professional
®
service (“Bloomberg”),
without independent verification. The closing values of the Fund above and below may have been adjusted by Bloomberg for actions
taken by the Fund, such as stock splits
The
historical closing values of each Underlying should not be taken as an indication of future performance, and no assurance can
be given as to the closing value of any Underlying on any Review Date. There can be no assurance that the performance of the Underlyings
will result in the return of any of your principal amount.
PS-
8
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of the S&P 500
®
Index, the Russell 2000
®
Index and the iShares
®
MSCI EAFE ETF
|
|
Tax
Treatment
You
should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product
supplement no. 4-I. Based on the advice of Sidley Austin
LLP
, our special tax counsel, and
on current market conditions, in determining our reporting responsibilities we intend to treat the notes for U.S. federal income
tax purposes as units each comprising: (x) a Put Option written by you that is terminated if an Automatic Call occurs and that,
if not terminated, in circumstances where the payment due at maturity is less than $1,000 (excluding accrued and unpaid interest),
requires you to pay us an amount equal to $1,000 multiplied by the absolute value of the Least Performing Underlying Return and
(y) a Deposit of $1,000 per $1,000 principal amount note to secure your potential obligation under the Put Option. 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
PS-
9
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of the S&P 500
®
Index, the Russell 2000
®
Index and the iShares
®
MSCI EAFE ETF
|
|
reasonable
treatments that the Internal Revenue Service (the “IRS”) or a court may adopt, in which case the timing and character
of any income or loss on the notes could be significantly and adversely affected. In addition, in 2007, the Treasury Department
and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts”
and similar instruments. While it is not clear whether the notes would be viewed as similar to the typical prepaid forward contract
described in the notice, it is possible that any Treasury regulations or other guidance promulgated after consideration of these
issues could materially and adversely affect the tax consequences of an investment in the notes, possibly with retroactive effect.
The notice focuses on a number of issues, the most relevant of which for holders of the notes are the character of income or loss
(including whether the Put Premium might be currently included as ordinary income) and the degree, if any, to which income realized
by Non-U.S. Holders should be subject to withholding tax.
In
determining our reporting responsibilities, we intend to treat 21.00% of each interest payment to interest on the Deposit and
79.00% of each interest payment to Put Premium. Assuming that the treatment of the notes as units each comprising a Put Option
and a Deposit is respected, amounts treated as interest on the Deposit will be taxed as ordinary income, while the Put Premium
will not be taken into account prior to sale or settlement, including a settlement following an Automatic Call.
Non-U.S.
Holders – Additional Tax Consideration
Non-U.S.
Holders should note that final Treasury regulations were released on legislation that imposes a withholding tax of 30% on payments
to certain foreign entities unless information reporting and diligence requirements are met, as described in “Material U.S.
Federal Income Tax Consequences-FATCA” in the accompanying product supplement. Pursuant to the final regulations, such withholding
tax will generally apply to obligations that are issued on or after July 1, 2014; therefore, the notes will generally be subject
to this withholding tax. However, the withholding tax described above will not apply to payments of gross proceeds from the sale,
exchange or other disposition (including upon maturity) of the notes made before January 1, 2019.
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.
Both
U.S. and Non-U.S. Holders should consult their tax advisors regarding all aspects of the U.S. federal income tax consequences
of an investment in the notes, including possible alternative treatments and the issues presented by the 2007 notice. Purchasers
who are not initial purchasers of notes at the issue price should also consult their tax advisors with respect to the tax consequences
of an investment in the notes, including possible alternative treatments, as well as the allocation of the purchase price of the
notes between the Deposit and the Put Option.
The
Estimated Value of the Notes
The
estimated value of the notes set forth on the cover of this pricing supplement is equal to the sum of the values of the following
hypothetical components: (1) a fixed-income debt component with the same maturity as the notes, valued using the internal funding
rate described below, and (2) the derivative or derivatives underlying the economic terms of the notes. The estimated value of
the notes does not represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any
exists) at any time. The internal funding rate used in the determination of the estimated value of the notes is based on, among
other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance, operational
and ongoing liability management costs of the notes
in comparison to those costs for the
conventional fixed-rate debt of JPMorgan Chase & Co
. For additional information, see “Selected
Risk Considerations — The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate” in this
pricing supplement.
The
value of the derivative or derivatives underlying the economic terms of the notes is derived from internal pricing models of our
affiliates. These models are dependent on inputs such as the traded market prices of comparable derivative instruments and on
various other inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates and
other factors, as well as assumptions about future market events and/or environments. Accordingly, the estimated value of the
notes is determined when the terms of the notes are set based on market conditions and other relevant factors and assumptions
existing at that time.
The
estimated value of the notes does not represent future values of the notes and may differ from others’ estimates. Different
pricing models and assumptions could provide valuations for the notes that are greater than or less than the estimated value of
the notes. In addition, market conditions and other relevant factors in the future may change, and any assumptions may prove to
be incorrect. On future dates, the value of the notes could change significantly based on, among other things, changes in market
conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements and other relevant factors, which
may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market transactions.
PS-
10
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of the S&P 500
®
Index, the Russell 2000
®
Index and the iShares
®
MSCI EAFE ETF
|
|
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.
Validity
of the Notes and the Guarantee
In the opinion of Sidley Austin LLP, as counsel
to the Company and the Guarantor, when the notes offered by this pricing supplement have been executed and issued by the Company
and authenticated by the trustee pursuant to the indenture, and delivered against payment as contemplated herein, (a) such notes
will be valid and binding obligations of the Company, enforceable in accordance with their terms, subject to applicable bankruptcy,
insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of
general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided
that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable
law on the conclusions expressed above and (b) the related guarantee will be a valid and binding obligation of the Guarantor, enforceable
in accordance with its terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally,
concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith,
fair dealing and the lack of bad faith), provided that such counsel expresses no opinion as to the effect of fraudulent conveyance,
fraudulent transfer or similar provision of applicable law on the conclusions expressed above. This opinion is given as of the
date hereof and is limited to the laws of the State of New York, the Limited Liability Company Act of Delaware and the General
Corporation Law of the State of Delaware as in effect on the date hereof. In addition, this opinion is subject to customary assumptions
about the trustee’s authorization, execution and delivery of the indenture and the genuineness of signatures and certain
factual matters, all as stated in the letter of such counsel dated February 24, 2016, which has been filed as Exhibit 5.4 to the
Company’s registration statement on Form S-3 filed with the Securities and Exchange Commission on February 24, 2016.
Additional
Terms Specific to the Notes
You should read this pricing supplement together
with the accompanying prospectus, as supplemented by the accompanying prospectus supplement, relating to our Series A medium-term
notes of which these notes are a part, and the more detailed information
PS-
11
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of the S&P 500
®
Index, the Russell 2000
®
Index and the iShares
®
MSCI EAFE ETF
|
|
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.
PS-
12
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of the S&P 500
®
Index, the Russell 2000
®
Index and the iShares
®
MSCI EAFE ETF
|
|
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Apr 2024 to May 2024
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From May 2023 to May 2024