September 28, 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
$2,500,000
Callable Yield Notes Linked to the Common Stock
of Microsoft Corporation due October 5, 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 either the current dividend yield on the Reference
Stock or the yield on a conventional debt security with the same maturity issued by us. The Notes will pay 8.00% per annum interest
over the term of the Notes, assuming the Notes are not redeemed early, payable at a rate of 2.00% per quarter.
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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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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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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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Minimum denominations of $1,000 and integral multiples thereof
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The Notes priced on September 28, 2016 and are expected to settle on or about September 30, 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 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, 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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$5
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$995
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Total
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$2,500,000
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$12,500
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$2,487,500
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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 $5.00 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.
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The estimated value of the Notes, when the terms of the Notes
were set, was $987.40 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 and the prospectus and prospectus supplement, each dated April 15, 2016
Key
Terms
Issuer:
JPMorgan Chase Financial Company LLC
Guarantor:
JPMorgan Chase & Co.
Reference Stock:
The common stock, par value $0.00000625 per share, of Microsoft Corporation
(Bloomberg ticker: “MSFT”). We refer to Microsoft Corporation as “Microsoft.”
Interest Payments:
If the Notes have not been redeemed early, you will receive on
each Interest Payment Date for each $1,000 principal amount Note an Interest Payment equal to $20.00 (equivalent to an Interest
Rate of 8.00% per annum, payable at a rate of 2.00% per quarter).
Interest Rate:
8.00% per annum, payable at a rate of 2.00% per quarter
Trigger
Value:
$46.424, which is 80.00% of the Initial Value
Pricing
Date:
September 28, 2016
Original Issue
Date (Settlement Date):
On or about September 30 2016
Interest Payment
Dates*:
January 5, 2017, April 4, 2017, July 6, 2017, October 5, 2017,
January 5, 2018, April 5, 2018, July 6, 2018, and the Maturity Date
Valuation Date*:
September 28, 2018
Maturity Date*:
October 5, 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 a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General
Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
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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
is greater than or equal to the 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
is less than the 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 × Stock Return)
If the Notes have not been
redeemed early and the Final Value is less than the Trigger Value, you will lose more than 20.00% of your principal amount at maturity
and could lose all of your principal amount at maturity.
Initial Value:
The closing price of one share of the Reference Stock on the Pricing
Date, which is $58.03
Final Value:
The closing price of one share of the Reference Stock on the Valuation
Date
Stock Return:
(Final
Value – Initial Value)
Initial Value
Stock Adjustment Factor:
The Stock Adjustment Factor is referenced in determining the
closing price of one share of the Reference Stock and is set equal to 1.0 on the Pricing Date. The Stock Adjustment Factor is subject
to adjustment upon the occurrence of certain corporate events affecting the Reference Stock. See “The Underlyings —
Reference Stocks — Anti-Dilution Adjustments” and “The Underlyings — Reference Stocks — Reorganization
Events” in the accompanying product supplement for further information.
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PS-
1
| Structured Investments
Callable Yield Notes Linked to the Common Stock of Microsoft Corporation
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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 8.00% 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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8
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$160.00
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7
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$140.00
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6
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$120.00
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5
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$100.00
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4
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$80.00
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3
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$60.00
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2
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$40.00
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1
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$20.00
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0
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$0.00
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Hypothetical
Payout Examples
The following examples illustrate payments on
the Notes linked to a hypothetical Reference Stock. The hypothetical payments set forth below assume the following:
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the Notes have not been redeemed early;
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an Initial Value of $100.00;
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a Trigger Value of $80.00 (equal to 80.00% of the hypothetical Initial Value); and
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an Interest Rate of 8.00% per annum (payable at a rate of 2.00% per quarter).
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The hypothetical Initial Value of $100.00 has
been chosen for illustrative purposes only and does not represent the actual Initial Value. The actual Initial Value is the closing
price of one share of the Reference Stock on the Pricing Date and is specified under “Key Terms – Initial Value”
in this pricing supplement. For historical data regarding the actual closing prices of one share of the Reference Stock, please
see the historical information set forth under “The Reference Stock” 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 Common Stock of Microsoft Corporation
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Example 1 — Notes have NOT been redeemed
early and the Final Value is greater than or equal to the Trigger Value.
Date
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Closing Price
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Payment (per $1,000 principal amount Note)
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Valuation Date
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$85.00
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Final Value is greater than or equal to Trigger Value
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Total Payment
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$1,160.00 (16.00% return)
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Because the Notes have not been redeemed early
and the Final Value is greater than the Trigger Value, the payment at maturity, for each $1,000 principal amount Note, will be
$1,020.00 (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 $1,160.00.
Example 2 — Notes have NOT been redeemed
early and the Final Value is less than the Trigger Value.
Date
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Closing Price
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Payment (per $1,000 principal amount Note)
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Valuation Date
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$50.00
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Final Value is less than Trigger Value
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Total Payment
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$660.00
†
(-34.00% return)
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Because the Notes have not been redeemed early,
the Final Value is less than the Trigger Value and the Stock Return is -50.00%, the payment at maturity will be $520.00 per $1,000
principal amount Note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)] + $20.00
= $520.00
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 $660.00.
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” section of the accompanying product 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 is less than the Trigger Value, you will lose 1% of
the principal amount of your notes for every 1% that the Final Value is less than the Initial Value. Accordingly, under these circumstances,
you will lose more than 20.00% 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 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 price of the Reference Stock, which may be significant. You will not participate in any appreciation in the price of the Reference
Stock.
PS-
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| Structured Investments
Callable Yield Notes Linked to the Common Stock of Microsoft Corporation
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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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THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE VALUATION DATE —
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If the Final Value is less than the
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 price of one share of the Reference Stock.
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THE OPTIONAL EARLY REDEMPTION FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
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If your Notes are redeemed 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 the
Notes are called 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 REFERENCE STOCK OR HAVE ANY RIGHTS WITH RESPECT TO THE REFERENCE STOCK.
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NO AFFILIATION WITH THE REFERENCE STOCK ISSUER —
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We have not independently verified
any of the information about the Reference Stock issuer contained in this pricing supplement. You should undertake your own investigation
into the Reference Stock and its issuer. We are not responsible for the Reference Stock issuer’s public disclosure of information,
whether contained in SEC filings or otherwise.
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THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY —
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The calculation agent will not make
an adjustment in response to all events that could affect the Reference Stock. The calculation agent may make adjustments in response
to events that are not described in the accompanying product supplement to account for any diluting or concentrative effect, but
the calculation agent is under no obligation to do so or to consider your interests as a holder of the Notes in making these determinations.
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THE RISK OF THE CLOSING PRICE OF THE REFERENCE STOCK FALLING BELOW THE TRIGGER VALUE IS GREATER IF THE PRICE OF THE REFERENCE
STOCK 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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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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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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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
PS-
4
| Structured Investments
Callable Yield Notes Linked to the Common Stock of Microsoft Corporation
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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 —
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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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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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SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
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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 price of the Reference Stock.
Additionally, independent pricing vendors and/or third party broker-dealers may publish a price for the Notes, which may also be
reflected on customer account statements. This price may be different (higher or lower) than the price of the Notes, if any, at
which JPMS may be willing to purchase your Notes in the secondary market. See “Risk Factors — Risks Relating to the
Estimated Value and Secondary Market Prices of the Notes — Secondary market prices of the Notes will be impacted by many
economic and market factors” in the accompanying product supplement.
The
Reference Stock
All information contained herein on the Reference
Stock and on Microsoft is derived from publicly available sources, without independent verification. According to its publicly
available filings with the SEC, Microsoft develops, licenses and supports a range of software products, services and devices. The
common stock of Microsoft, par value $0.00000625 per share (Bloomberg ticker: MSFT), is registered under the Securities Exchange
Act of 1934, as amended, which we refer to as the Exchange Act, and is listed on the NASDAQ Stock Market, which we refer to as
the relevant exchange for purposes of Microsoft in the accompanying product supplement. Information provided to or filed with the
SEC by Microsoft pursuant to the Exchange Act can be located by reference to SEC file number 001-37845 and 000-14278, and can be
accessed through www.sec.gov. We do not make any representation that these publicly available documents are accurate or complete.
Historical Information
The following graph sets forth the historical
performance of the Reference Stock based on the weekly historical closing prices of one share of the Reference Stock from January
7, 2011 through September 23, 2016. The closing price of one share of the Reference Stock on September 28, 2016 was $58.03. We
obtained the closing prices below from the Bloomberg Professional
®
service
PS-
5
| Structured Investments
Callable Yield Notes Linked to the Common Stock of Microsoft Corporation
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(“Bloomberg”), without independent
verification. The closing prices below may have been adjusted by Bloomberg for corporate actions, such as stock splits, public
offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
The historical closing prices of one share of
the Reference Stock should not be taken as an indication of future performance, and no assurance can be given as to the closing
price of one share of the Reference Stock on the Valuation Date. There can be no assurance that the performance of the Reference
Stock will result in the return of any of your principal amount.
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 approximately 19.38% 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
PS-
6
| Structured Investments
Callable Yield Notes Linked to the Common Stock of Microsoft Corporation
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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 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
PS-
7
| Structured Investments
Callable Yield Notes Linked to the Common Stock of Microsoft Corporation
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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 Reference Stock” in this pricing supplement for a description of the market exposure provided by the
Notes.
The original issue price of the Notes is equal
to the estimated value of the Notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus
(minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the Notes, plus the estimated cost of hedging our obligations under the Notes.
Validity
of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP,
as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the Notes offered by this pricing supplement
have been executed and issued by JPMorgan Financial and authenticated by the trustee pursuant to the indenture, and delivered against
payment as contemplated herein, such Notes will be a valid and binding obligation of JPMorgan Financial and the related guarantee
will constitute a valid and binding obligation of JPMorgan Chase & Co., enforceable in accordance with their terms, subject
to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and
equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack
of bad faith),
provided
that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer
or similar provision of applicable law on the conclusions expressed above. This opinion is given as of the date hereof and is limited
to the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited Liability Company
Act. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution and delivery
of the indenture and its authentication of the Notes and the validity, binding nature and enforceability of the indenture with
respect to the trustee, all as stated in the letter of such counsel dated February 24, 2016, which was filed as an exhibit to the
Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24, 2016.
Additional
Terms Specific to the Notes
You should read this pricing supplement together
with the accompanying prospectus, as supplemented by the accompanying prospectus supplement, relating to our Series A medium-term
notes of which these Notes are a part, and the more detailed information contained in the accompanying product supplement. 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” section of the accompanying
product 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-
8
| Structured Investments
Callable Yield Notes Linked to the Common Stock of Microsoft Corporation
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