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.
The
notes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency and
are not obligations of, or guaranteed by, a bank.
You 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.
Key
Terms Relating to the Reference Stocks
The Reference
Stocks and the Bloomberg ticker symbol, the Strike Price, the Interest Barrier and the Trigger Level of each Reference Stock are
set forth below:
Reference Stock
|
Ticker Symbol
|
Strike Price
|
Interest Barrier/
Trigger Level
|
American depositary shares, each representing one share of capital stock, of Banco Santander, S.A.
|
SAN
|
$4.56
|
$2.736
|
American depositary shares, each representing one ordinary share, of Banco Bilbao Vizcaya Argentaria, S.A.
|
BBVA
|
$6.62
|
$3.972
|
JPMorgan Structured Investments
|
PS-
1
|
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the American Depositary Shares of Banco Santander, S.A. and the American Depositary Shares of Banco Bilbao Vizcaya Argentaria, S.A.
|
What
Are the Payments on the Notes, Assuming a Range of Performances for the Lesser Performing Reference Stock?
If the notes
have not been automatically called and, (1) with respect to the first Review Date, the closing price of one share of each Reference
Stock or, (2) with respect to the final Review Date, the Final Stock Price of each Reference Stock is greater than or equal to
its Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal amount note a Contingent
Interest Payment equal to $69.25. If, (1) with respect to the first Review Date, the closing price of one share of either Reference
Stock or, (2) with respect to the final Review Date, the Final Stock Price of either Reference Stock is less than its Interest
Barrier, no Contingent Interest Payment will be made with respect to that Review Date. We refer to the Interest Payment Date immediately
following any Review Date on which the closing price of one share of either Reference Stock or Final Stock Price of either Reference
Stock, as applicable, is less than its Interest Barrier as a “No-Coupon Date.” The following table reflects the Contingent
Interest Payment of $69.25 per $1,000 principal amount note and illustrates the hypothetical total Contingent Interest Payments
per $1,000 principal amount note over the term of the notes depending on how many No-Coupon Dates occur.
Number of
No-Coupon Dates
|
Total Contingent Coupon Payments
|
0 No-Coupon Dates
|
$138.50
|
1 No-Coupon Date
|
$69.25
|
2 No-Coupon Dates
|
$0.00
|
The following
table illustrates the hypothetical payments on the notes in different hypothetical scenarios.
Each hypothetical payment set
forth below assumes that the Lesser Performing Reference Stock are the American depositary shares of Banco Santander, S.A. and
that the closing price of the other Reference Stock on each Review Date is greater than or equal to its Strike Price (and, therefore,
its Interest Barrier and Trigger Level). We make no representation or warranty as to which of the Reference Stocks will be the
Lesser Performing Reference Stock for purposes of calculating your actual payment at maturity, if any, or as to what the closing
price of one share of either Reference Stock will be on any Review Date.
In addition, the following table and examples assume
an Strike Price for the Lesser Performing Reference Stock of $4.50 and an Interest Barrier and Trigger Level for the Lesser Performing
Reference Stock of $2.70 (equal to 60% of the hypothetical Strike Price) and reflects the Contingent Interest Payment of $69.25.
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 table and examples have been rounded for ease of analysis.
First Review Date
|
Final Review Date
|
Closing Price of One Share of the Lesser Performing Reference Stock
|
Lesser Performing Reference Stock Appreciation / Depreciation at Review Date
|
Payment on Interest Payment Date or Call Settlement Date (1)(2)
|
Final Stock Price of the Lesser Performing Reference Stock
|
Lesser Performing Reference Stock Appreciation / Depreciation at Final Review Date
|
Payment at Maturity If a Trigger Event Has Not Occurred (2)(3)
|
Payment at Maturity If a Trigger Event Has Occurred (3)
|
$8.10000
|
80.00%
|
$1,069.25
|
$8.10000
|
80.00%
|
$1,069.25
|
N/A
|
$7.65000
|
70.00%
|
$1,069.25
|
$7.65000
|
70.00%
|
$1,069.25
|
N/A
|
$7.20000
|
60.00%
|
$1,069.25
|
$7.20000
|
60.00%
|
$1,069.25
|
N/A
|
$6.75000
|
50.00%
|
$1,069.25
|
$6.75000
|
50.00%
|
$1,069.25
|
N/A
|
$6.30000
|
40.00%
|
$1,069.25
|
$6.30000
|
40.00%
|
$1,069.25
|
N/A
|
$5.85000
|
30.00%
|
$1,069.25
|
$5.85000
|
30.00%
|
$1,069.25
|
N/A
|
$5.40000
|
20.00%
|
$1,069.25
|
$5.40000
|
20.00%
|
$1,069.25
|
N/A
|
$5.17500
|
15.00%
|
$1,069.25
|
$5.17500
|
15.00%
|
$1,069.25
|
N/A
|
$4.95000
|
10.00%
|
$1,069.25
|
$4.95000
|
10.00%
|
$1,069.25
|
N/A
|
$4.72500
|
5.00%
|
$1,069.25
|
$4.72500
|
5.00%
|
$1,069.25
|
N/A
|
$4.50000
|
0.00%
|
$1,069.25
|
$4.50000
|
0.00%
|
$1,069.25
|
N/A
|
$4.27500
|
-5.00%
|
$69.25
|
$4.27500
|
-5.00%
|
$1,069.25
|
N/A
|
$4.05000
|
-10.00%
|
$69.25
|
$4.05000
|
-10.00%
|
$1,069.25
|
N/A
|
$3.60000
|
-20.00%
|
$69.25
|
$3.60000
|
-20.00%
|
$1,069.25
|
N/A
|
$3.15000
|
-30.00%
|
$69.25
|
$3.15000
|
-30.00%
|
$1,069.25
|
N/A
|
$2.70000
|
-40.00%
|
$69.25
|
$2.70000
|
-40.00%
|
N/A
|
$600.00
|
$2.69955
|
-40.01%
|
N/A
|
$2.69955
|
-40.01%
|
N/A
|
$599.90
|
$2.25000
|
-50.00%
|
N/A
|
$2.25000
|
-50.00%
|
N/A
|
$500.00
|
$1.80000
|
-60.00%
|
N/A
|
$1.80000
|
-60.00%
|
N/A
|
$400.00
|
$1.35000
|
-70.00%
|
N/A
|
$1.35000
|
-70.00%
|
N/A
|
$300.00
|
$0.90000
|
-80.00%
|
N/A
|
$0.90000
|
-80.00%
|
N/A
|
$200.00
|
$0.45000
|
-90.00%
|
N/A
|
$0.45000
|
-90.00%
|
N/A
|
$100.00
|
$0.00000
|
-100.00%
|
N/A
|
$0.00000
|
-100.00%
|
N/A
|
$0.000
|
|
(1)
|
The
notes will be automatically called if the closing price of one share of each Reference Stock on the first Review Date is greater
than or equal to its Strike Price.
|
|
(2)
|
You
will receive a Contingent Interest Payment in connection with a Review Date if, (1) with respect to the first Review Date, the
closing price of one share of each Reference Stock or, (2) with respect to the final Review Date, the Final Stock Price of each
Reference Stock is greater than or equal to its Interest Barrier
plus
, with respect to the final Review Date, any previously
unpaid Contingent Interest Payment for the first
|
JPMorgan Structured Investments
|
PS-
2
|
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the American Depositary Shares of Banco Santander, S.A. and the American Depositary Shares of Banco Bilbao Vizcaya Argentaria, S.A.
|
Review
Date. The applicable amount shown in the table above does not include any previously unpaid Contingent Interest Payment
that may be payable on the applicable Interest Payment Date.
|
(3)
|
A Trigger
Event occurs if the Final Stock Price of either Reference Stock (
i.e.,
the arithmetic average of the closing prices of
one share of either Reference Stock on the Ending Averaging Dates) is less than its Trigger Level.
|
Hypothetical
Examples of Amounts Payable on the Notes
The following
examples illustrate how payments on the notes in different hypothetical scenarios are calculated.
Example
1: The price of one share of the Lesser Performing Reference Stock increases from its Strike Price of $4.50 to a closing level
of $5.40 on the first Review Date.
Because the closing price of one share of the Lesser Performing Reference Stock on the
first Review Date is greater than its Interest Barrier, the investor is entitled to receive a Contingent Interest Payment in connection
with the that Review Date. In addition, because the closing price of one share of the Lesser Performing Reference Stock on the
first Review Date is greater than its Strike Price, the notes are automatically called. Accordingly, the investor receives a payment
of $1,069.25 per $1,000 principal amount note on the relevant Call Settlement Date, consisting of a Contingent Interest Payment
of $69.25 per $1,000 principal amount note and repayment of principal equal to $1,000 per $1,000 principal amount note.
Example
2: The notes are not automatically called prior to maturity, a Contingent Interest Payment is paid in connection with the first
Review Date and the price of one share of the Lesser Performing Reference Stock increases from its Strike Price of $4.50 to an
Final Stock Price of $5.40 — A Trigger Event has not occurred.
The investor receives a payment of $69.25 per $1,000
principal amount note in connection with the first Review Date. Because the notes are not automatically called prior to
maturity and a Trigger Event has not occurred, the investor receives at maturity a payment of $1,069.25 per $1,000 principal amount
note. This payment consists of a Contingent Interest Payment of $69.25 per $1,000 principal amount note and repayment of
principal equal to $1,000 per $1,000 principal amount note. The total amount paid on the notes over the term of the notes
is $1,138.50 per $1,000 principal amount note.
This represents the maximum total payment an investor may receive over
the term of the notes.
Example
3: The notes are not automatically called prior to maturity, a Contingent Interest Payment is not paid in connection with the
first Review Date and the price of one share of the Lesser Performing Reference Stock decreases from its Strike Price of $4.50
to a Final Stock Price of $2.70 — A Trigger Event has not occurred.
Because the notes are not automatically called
prior to maturity and a Trigger Event has not occurred, even though the Final Stock Price of the Lesser Performing Reference Stock
is less than its Strike Price, the investor receives at maturity a payment of $1,138.50 per $1,000 principal amount note.
This payment consists of Contingent Interest Payments of $138.50 per $1,000 principal amount note (reflecting the Contingent Interest
Payment for the final Review Date and the unpaid Contingent Interest Payment for the first Review Date) and repayment of principal
equal to $1,000 per $1,000 principal amount note. The total amount paid on the notes over the term of the notes is $1,138.50
per $1,000 principal amount note.
This represents the maximum total payment an investor may receive over the term
of the notes
.
Example
4: The notes are not automatically called prior to maturity, a Contingent Interest Payment is paid in connection with the first
Review Date and the price of one share of the Lesser Performing Reference Stock decreases from its Strike Price of $4.50 to a
Final Stock Price of $1.80 — A Trigger Event has occurred.
The investor receives a payment of $69.25 per $1,000 principal
amount note in connection with the first Review Date. Because the notes are not automatically called prior to maturity and a Trigger
Event has occurred, the investor receives at maturity of $400 per $1,000 principal amount note, calculated as follows:
$1,000 +
($1,000 × -60%) = $400
The total
value of the payments on the notes over the term of the notes is $469.25 per $1,000 principal amount note.
Example
5: The notes are not automatically called prior to maturity, no Contingent Interest Payment is paid in connection with the first
Review Date and the price of one share of the Lesser Performing Reference Stock decreases from its Strike Price of $4.50 to a
Final Stock Price of $1.35 — A Trigger Event has occurred.
Because the notes are not automatically called prior to maturity,
no Contingent Interest Payment is paid in connection with the first Review Date and a Trigger Event has occurred, the investor
receives no payments over the term of the notes, other than a payment at maturity of $300 per $1,000 principal amount note, calculated
as follows:
$1,000 +
($1,000 × -70%) = $300
The 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 fees or expenses that would be associated with any sale in the secondary market. If these fees and
expenses were included, the hypothetical payments shown above would likely be lower.
JPMorgan Structured Investments
|
PS-
3
|
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the American Depositary Shares of Banco Santander, S.A. and the American Depositary Shares of Banco Bilbao Vizcaya Argentaria, S.A.
|
Selected
Purchase Considerations
|
·
|
CONTINGENT
INTEREST PAYMENTS
— The notes offer the potential to earn a Contingent Interest Payment in connection with each Review
Date of $69.25 per $1,000 principal amount note. If the notes have not been automatically called and, (1) with respect to the
first Review Date, the closing price of one share of each Reference Stock or, (2) with respect to the final Review Date, the Final
Stock Price of each Reference Stock is greater than or equal to its Interest Barrier, you will receive on the applicable Interest
Payment Date a Contingent Interest Payment for that Review Date
plus
, with respect to the final Review Date, any previously
unpaid Contingent Interest Payments for the first Review Date. If, (1) with respect to the first Review Date, the closing price
of one share of either Reference Stock or, (2) with respect to the final Review Date, the Final Stock Price of either Reference
Stock is less than its Contingent Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date.
You will not receive any unpaid Contingent Interest Payment if the Final Stock Price of either Reference Stock on the final Review
Date is less than its Interest Barrier. If the closing price of one share of either Reference Stock or the Final Stock Price
of either Reference Stock on the final Review Date is less than its Interest Barrier, you will not receive any Contingent Interest
Payments over the term of the notes. If payable, a Contingent Interest Payment will be made to the holders of record at the close
of business on the business day immediately preceding the applicable Interest Payment Date.
Because the notes are our unsecured
and unsubordinated obligations, the payment of which is fully and unconditionally guaranteed by JPMorgan Chase & Co., payment
of any amount on the notes is subject to our ability to pay our obligations as they become due and JPMorgan Chase & Co.’s
ability to pay its obligations as they become due.
|
|
·
|
POTENTIAL
EARLY EXIT AS A RESULT OF THE AUTOMATIC CALL FEATURE
— If the closing price of one share of each Reference Stock on
the first Review Date is greater than or equal to its Strike Price, your notes will be automatically called prior to the Maturity
Date. Under these circumstances, you will receive a cash payment, for each $1,000 principal amount note, equal to (a) $1,000
plus
(b) the Contingent Interest Payment applicable to that Review Date, payable on the Call Settlement Date. 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.
|
|
·
|
THE
NOTES DO NOT GUARANTEE THE RETURN OF YOUR PRINCIPAL IF THE NOTES HAVE NOT BEEN AUTOMATICALLY CALLED
— If the notes have
not been automatically called, we will pay you your principal back at maturity only if a Trigger Event has not occurred.
However,
if the notes have not been automatically called and a Trigger Event has occurred, you will lose some or all of the principal amount
of your notes at maturity.
|
|
·
|
EXPOSURE
TO EACH OF THE REFERENCE STOCKS
— The return on the notes is linked to the Lesser Performing Reference Stock, which
will be one of the two Reference Stocks. See “Key Terms Relating to the Reference Stocks” and “The Reference
Stocks” in this pricing supplement for more information.
|
|
·
|
TAX
TREATMENT —
You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences”
in the accompanying product supplement no. 4-I. In determining our reporting responsibilities we intend to treat (i) the notes
for U.S. federal income tax purposes as prepaid forward contracts with associated contingent coupons and (ii) any Contingent Interest
Payments as ordinary income, as described in the section entitled “Material U.S. Federal Income Tax Consequences —
Tax Consequences to U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated Contingent Coupons”
in the accompanying product supplement. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel, we believe
that this is a reasonable treatment, but that there are other reasonable treatments that the IRS or a court may adopt, in which
case the timing and character of any income or loss on the notes could be materially affected. In addition, in 2007 Treasury and
the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts”
and similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income
over the term of their investment. It also asks for comments on a number of related topics, including the character of income
or loss with respect to these instruments and the relevance of factors such as the nature of the underlying property to which
the instruments are linked. While the notice requests comments on appropriate transition rules and effective dates, any Treasury
regulations or other guidance promulgated after consideration of these issues could materially affect the tax consequences of
an investment in the notes, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income
tax consequences of an investment in the notes, including possible alternative treatments and the issues presented by this notice.
|
Non-U.S.
Holders — Tax Considerations
. The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and
although we believe it is reasonable to take a position that Contingent Interest Payments are not subject to U.S. withholding
tax (at least if an applicable Form W-8 is provided), a withholding agent may nonetheless withhold on these payments (generally
at a rate of 30%, subject to the possible reduction of that rate under an applicable income tax treaty), unless income from your
notes is effectively connected with your conduct of a trade or business in the United States (and, if an applicable treaty so
requires, attributable to a permanent establishment in the United States). If you are not a United States person, you are urged
to consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes in light of your
particular circumstances.
FATCA.
Withholding under legislation commonly referred to as “FATCA” could apply to payments with respect to the notes that
are treated as U.S.-source “fixed or determinable annual or periodical” income (“FDAP Income”) for U.S.
federal income tax purposes (such as interest, if the notes are recharacterized, in whole or in part, as debt instruments, or
Contingent Interest Payments if they are otherwise treated as FDAP Income). Under a recent IRS notice, withholding under
FATCA will not apply to payments of gross proceeds (other than any amount treated as FDAP Income) of a taxable disposition, including
an early redemption or redemption at maturity, of the notes. You should consult your tax adviser regarding the potential
application of FATCA to the notes.
In the
event of any withholding on the notes, we will not be required to pay any additional amounts with respect to amounts so withheld.
JPMorgan Structured Investments
|
PS-
4
|
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the American Depositary Shares of Banco Santander, S.A. and the American Depositary Shares of Banco Bilbao Vizcaya Argentaria, S.A.
|
Selected
Risk Considerations
An investment
in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Reference Stock.
These risks are explained in more detail in the “Risk Factors” sections of the accompanying product 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 a Trigger Event has occurred, you will lose 1% of the principal amount of your notes at maturity
for every 1% that the Final Stock Price of the Lesser Performing Reference Stock is less than its Strike Price. Under these circumstances,
you will lose more than 40.00% of your principal amount at maturity and could lose all of the principal amount of your notes at
maturity.
|
|
·
|
THE
NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL —
The terms of the notes differ from
those of conventional debt securities in that, among other things, whether we pay interest is linked to the performance of the
Reference Stock. Contingent Interest Payments should not be viewed as periodic interest payments. If the notes have not been automatically
called and if, (1) with respect to the first Review Date, the closing price of one share of each Reference Stock or, (2) with
respect to the final Review Date, the Final Stock Price of each Reference Stock is greater than or equal to its Interest Barrier,
we will make a Contingent Interest Payment with respect to that Review Date (and will pay you any previously unpaid Contingent
Interest Payment for the first Review Date). If, (1) with respect to the first Review Date, the closing price of one share of
either Reference Stock or, (2) with respect to the final Review Date, the Final Stock Price of either Reference Stock is less
than its Contingent Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date. You will not
receive any unpaid Contingent Interest Payment if the Final Stock Price of either Reference Stock on the final Review Date is
less than its Interest Barrier. Accordingly, if, (1) with respect to the first Review Date, the closing price of one share of
either Reference Stock or, (2) with respect to the final Review Date, the Final Stock Price of either Reference Stock is less
than its Interest Barrier, you will not receive any Contingent Interest Payments over the term of the notes.
|
|
·
|
CREDIT
RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
The notes are subject to our and JPMorgan Chase & Co.’s
credit risks, and our and JPMorgan Chase & Co.’s credit ratings and credit spreads may adversely affect the market value
of the notes. Investors are dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts due on the
notes. Any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads, as determined
by the market for taking that credit risk, is likely to adversely affect the value of the notes. If we and JPMorgan Chase
& Co. were to default on our payment obligations, you may not receive any amounts owed to you under the notes and you could
lose your entire investment.
|
|
·
|
AS
A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS —
As a finance subsidiary
of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of our securities. Aside
from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of
our affiliates to make payments under loans made by us or other intercompany agreements. As a result, we are dependent upon payments
from our affiliates to meet our obligations under the notes. If these affiliates do not make payments to us and we fail to make
payments on the notes, you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee
will rank pari passu with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
|
|
·
|
THE
AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT
— If the notes are automatically called, the amount of Contingent
Interest Payments made on the notes may be less than the amount of Contingent Interest Payments that might have been payable if
the notes were held to maturity, and, for each $1,000 principal amount note, you will receive on the Call Settlement Date $1,000
plus
the Contingent Interest Payment applicable to the relevant Review Date.
|
|
·
|
REINVESTMENT
RISK
— If your notes are automatically called, the term of the notes may be reduced to as short as approximately six
months and you will not receive any Contingent Interest Payments after the 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 in the event the notes are automatically called prior to the Maturity Date.
|
|
·
|
THE
APPRECIATION POTENTIAL OF THE NOTES IS LIMITED, AND YOU WILL NOT PARTICIPATE IN ANY APPRECIATION OF EITHER REFERENCE STOCK
— The appreciation potential of the notes is limited to the sum of any Contingent Interest Payments that may be paid over
the term of the notes, regardless of any appreciation of either Reference Stock, which may be significant. You will not participate
in any appreciation of either Reference Stock. Accordingly, the return on the notes may be significantly less than the return
on a direct investment in either Reference Stock during the term of the notes.
|
|
·
|
POTENTIAL
CONFLICTS —
We and our affiliates play a variety of roles in connection with the issuance of the notes, including acting
as calculation agent and as an agent of the offering of the notes, hedging our obligations under the notes and making the assumptions
used to determine the pricing of the notes and the estimated value of the notes when the terms of the notes are set, which we
refer to as the estimated value of the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests
and the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as
an investor in the notes. In addition, our and JPMorgan Chase & Co.’s business activities, including hedging and trading
activities, could cause our and JPMorgan Chase & Co.’s economic interests to be adverse to yours and could adversely
affect any payment on the notes and the value of the notes. It is possible that hedging or trading activities of ours or our affiliates
in
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JPMorgan Structured Investments
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PS-
5
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Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the American Depositary Shares of Banco Santander, S.A. and the American Depositary Shares of Banco Bilbao Vizcaya Argentaria, S.A.
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connection
with the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer
to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement for additional
information about these risks.
We and/or
our affiliates may also currently or from time to time engage in business with the Reference Stock issuers, including extending
loans to, or making equity investments in, those issuers or providing advisory services to those issuers. In addition, one
or more of our affiliates may publish research reports or otherwise express opinions with respect to the Reference Stock issuers,
and these reports may or may not recommend that investors buy or hold the Reference Stocks. As a prospective purchaser of
the notes, you should undertake an independent investigation of the Reference Stock issuers that in your judgment is appropriate
to make an informed decision with respect to an investment in the notes.
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·
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YOU
ARE EXPOSED TO THE RISK OF DECLINE IN THE CLOSING PRICE OF ONE SHARE OF EACH REFERENCE STOCK
— Your return on the notes
and your payment at maturity, if any, is not linked to a basket consisting of the Reference Stocks. If the notes have not been
automatically called, your payment at maturity is contingent upon the performance of each individual Reference Stock such that
you will be equally exposed to the risks related to either of the Reference Stocks. Poor performance by either of the Reference
Stocks over the term of the notes may negatively affect whether you will receive a Contingent Interest Payment on any Interest
Payment Date and your payment at maturity and will not be offset or mitigated by positive performance by the other Reference Stock.
Accordingly, your investment is subject to the risk of decline in the closing price of one share of each Reference Stock.
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·
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YOUR
PAYMENT AT MATURITY MAY BE DETERMINED BY THE LESSER PERFORMING REFERENCE STOCK —
Because the payment at maturity will
be determined based on the performance of the Lesser Performing Reference Stock, you will not benefit from the performance of
the other Reference Stock. Accordingly, if the notes have not been automatically called and a Trigger Event has occurred, you
will lose some or all of your principal amount at maturity, even if the Final Stock Price of the other Reference Stock is greater
than or equal to its Strike Price.
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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 —
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 —
The estimated value of the notes is determined by reference to internal pricing models of our affiliates when the terms of
the notes are set. This estimated value of the notes is based on market conditions and other relevant factors existing at that
time and assumptions about market parameters, which can include volatility, dividend rates, interest rates and other factors.
Different pricing models and assumptions could provide valuations for 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. 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 —
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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·
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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. These costs can include projected hedging profits,
if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates for structured debt
issuances. See “Secondary Market Prices of the Notes” in this pricing supplement for additional information relating
to this initial period. Accordingly, the estimated value of your notes during this initial period may be lower than the value
of the notes as published by JPMS (and which may be shown on your customer account statements).
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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 —
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 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
|
JPMorgan Structured Investments
|
PS-
6
|
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the American Depositary Shares of Banco Santander, S.A. and the American Depositary Shares of Banco Bilbao Vizcaya Argentaria, S.A.
|
substantial
loss to you. See the immediately following risk consideration for information about additional factors that will impact any secondary
market prices of the notes.
The
notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to
maturity. See “— Lack of Liquidity” below.
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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 price of one share of each
Reference Stock, including:
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·
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any
actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
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·
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customary
bid-ask spreads for similarly sized trades;
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·
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our
internal secondary market funding rates for structured debt issuances;
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·
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the
actual and expected volatility of the Reference Stocks;
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·
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the
time to maturity of the notes;
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·
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whether
the closing price of one share of either Reference Stock or the Final Stock Price of either Reference Stock, as applicable, has
been, or is expected to be, less than its Interest Barrier on any Review Date and whether a Trigger Event is expected to occur;
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·
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the
likelihood of an automatic call being triggered;
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·
|
the
dividend rates on the Reference Stocks;
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·
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interest
and yield rates in the market generally;
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·
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the
exchange rate and the volatility of the exchange rate between the U.S. dollar and the European Union euro and the correlation
between that rate and the prices of the Reference Stocks;
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·
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the
occurrence of certain events affecting the issuer of a Reference Stock that may or may not require an adjustment to the Stock
Adjustment Factor for that Reference Stock, including a merger or acquisition; and
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·
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a
variety of other economic, financial, political, regulatory and judicial events.
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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.
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·
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NO
OWNERSHIP OR DIVIDEND RIGHTS IN THE REFERENCE STOCKS —
As a holder of the notes, you will not have any ownership interest
or rights in either of the Reference Stocks, such as voting rights or dividend payments. In addition, the issuers of the Reference
Stocks will not have any obligation to consider your interests as a holder of the notes in taking any corporate action that might
affect the value of the Reference Stocks and the notes.
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·
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NO
AFFILIATION WITH THE REFERENCE STOCK ISSUERS
—
We are not affiliated with the issuers of the Reference Stocks.
We have not independently verified any of the information about the Reference Stock issuers contained in this pricing supplement.
You should undertake your own investigation into the Reference Stocks and their issuers. We are not responsible for the Reference
Stock issuers' public disclosure of information, whether contained in SEC filings or otherwise.
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·
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THERE
ARE IMPORTANT DIFFERENCES BETWEEN THE RIGHTS OF HOLDERS OF AMERICAN DEPOSITARY SHARES OF BANCO SANTANDER AND BBVA AND THE RIGHTS
OF HOLDERS OF THE CAPITAL STOCK OF BANCO SANTANDER AND THE ORDINARY SHARES OF BBVA, RESPECTIVELY —
You should be aware
that your return on the notes is linked to the price of each of the American depositary shares (“ADSs”) of Banco Santander
and the ADSs of BBVA and not the shares of capital stock of Banco Santander or the ordinary shares of Banco Bilbao Vizcaya Argentaria,
S.A., as applicable. There are important differences between the rights of holders of ADSs and the rights of holders of the capital
stock or ordinary shares, as applicable. Each ADS is a security evidenced by American depositary receipts that represents one
share of capital stock of Banco Santander or one ordinary share of Banco Bilbao Vizcaya Argentaria, S.A., as applicable. The ADSs
are issued pursuant to a deposit agreement, which sets forth the rights and responsibilities of the ADS depositaries, Banco Santander
and Banco Bilbao Vizcaya Argentaria, S.A., and holders of the ADSs, which may be different from the rights of holders of the shares
of capital stock of Banco Santander, S.A. or the ordinary shares of Banco Bilbao Vizcaya Argentaria, S.A. For example, either
of the ADS depositaries may make distributions in respect of the shares of capital stock or ordinary shares, as applicable, that
are not passed on to the holders of its ADSs. Any such differences between the rights of holders of the ADSs and the rights of
holders of the shares of capital stock or ordinary shares may be significant and may materially and adversely affect the value
of the ADSs and, as a result, the notes.
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·
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RISKS
ASSOCIATED WITH NON-U.S. SECURITIES
—
An investment in notes linked to the value of ADSs representing interests
in the shares of capital stock of Banco Santander or the ordinary shares of BBVA, which are each issued by a Spanish issuer, involves
risks associated with the home country of Banco Santander and BBVA. The prices of non-U.S. equity securities may be affected
by political, economic, financial and social factors in the home country of the issuer of the non-U.S. equity securities (
i.e.
,
Spain), including changes in that country's government, economic and fiscal policies, currency exchange laws or other laws or
restrictions. Moreover, the economy of that country may differ favorably or unfavorably from the economy of the United States
in such respects as growth of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency.
The issuer's home country may be subjected to different and, in some cases, more adverse economic environments.
|
JPMorgan Structured Investments
|
PS-
7
|
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the American Depositary Shares of Banco Santander, S.A. and the American Depositary Shares of Banco Bilbao Vizcaya Argentaria, S.A.
|
|
·
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CURRENCY
EXCHANGE RATE RISK
—
Because the ADSs of Banco Santander and BBVA are quoted and traded in U.S. dollars on the
New York Stock Exchange and the shares of capital stock of Banco Santander and the ordinary shares of BBVA are quoted and traded
in European Union euros on the Spanish stock exchanges in Madrid, Bilbao, Barcelona and Valencia (the “Spanish Stock Exchanges,
fluctuations in the exchange rate between the European Union euro and the U.S. dollar will likely affect the relative value of
the ADSs and capital stock of Banco Santander and the relative value of the ADSs and the ordinary shares of BBVA, in each case
in the two currencies and, as a result, will likely affect the market price of the ADSs of Banco Santander and BBVA trading on
the New York Stock Exchange. These trading differences and currency exchange rates may affect the market value of the notes
and whether the closing price of one share of either Reference Stock will fall below the Interest Barrier on the first Review
Date or whether the Final Stock Price of either Reference Stock will fall below the Trigger Level. The European Union euro
has been subject to fluctuations against the U.S. dollar in the past and may be subject to significant fluctuations in the future.
Previous fluctuations or periods of relative stability in the exchange rate between the European Union euro and the U.S.
dollar is not necessarily indicative of fluctuations or periods of relative stability in those rates that may occur over the term
of the notes. The exchange rate between the European Union euro and the U.S. dollar is the result of the supply of, and
the demand for, those currencies. Changes in the exchange rates result over time from the interaction of many factors directly
or indirectly affecting economic and political conditions in Spain and the United States, including economic and political developments
in other countries. Of particular importance are rates of inflation, interest rate levels, the balance of payments, any
political, civil or military unrest and the extent of governmental surpluses or deficits in Spain and the United States, all of
which are in turn sensitive to the monetary, fiscal and trade policies pursued by Spain and the United States and other jurisdictions
important to international trade and finance.
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·
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VOLATILITY
RISK —
Greater expected volatility with respect to a Reference Stock indicates a greater likelihood as of the Pricing
Date that the Reference Stock could close below its Strike Price by more than the Contingent Buffer Amount on one or more Ending
Averaging Dates. A Reference Stock’s volatility, however, can change significantly over the term of the notes. The closing
price of one share of a Reference Stock could fall sharply at any time during the term of the notes, which could result in a significant
loss of principal.
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·
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LACK
OF LIQUIDITY
— The notes will not be listed on any securities exchange. JPMS
intends to offer to purchase the notes in the secondary market but is not required to do so. Even if there is a secondary market,
it may not provide enough liquidity to allow you to trade or sell the notes easily. Because other dealers are not likely to make
a secondary market for the notes, the price at which you may be able to trade your notes is likely to depend on the price, if
any, at which JPMS is willing to buy the notes.
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·
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THE
ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY
— The calculation agent will make
adjustments to the Stock Adjustment Factor for certain corporate events affecting the Reference Stock. However, the calculation
agent will not make an adjustment in response to all events that could affect the Reference Stock. 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. You
should also be aware that 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.
|
JPMorgan Structured Investments
|
PS-
8
|
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the American Depositary Shares of Banco Santander, S.A. and the American Depositary Shares of Banco Bilbao Vizcaya Argentaria, S.A.
|
The
Reference Stocks
Public
Information
All information
contained herein on the Reference Stocks is derived from publicly available sources and is provided for informational purposes
only. Companies with securities registered under the Securities Exchange Act of 1934, as amended, which we refer to as the Exchange
Act, are required to periodically file certain financial and other information specified by the SEC. Information provided to or
filed with the SEC by a Reference Stock issuer pursuant to the Exchange Act can be located by reference to SEC file number provided
below, and can be accessed through www.sec.gov. Information provided to or filed with the SEC by a Reference Stock issuer pursuant
to the Exchange Act can be located by reference to the SEC file number provided below, and can be accessed through www.sec.gov.
We do not make any representation that these publicly available documents are accurate or complete.
Banco
Santander, S.A.
According
to its publicly available filings with the SEC, Banco Santander, a Spanish Company, is a financial group operating principally
in Spain, the United Kingdom, other European countries, Brazil and other Latin American countries and the United States, offering
a range of financial products. The American depositary shares, each representing one share of capital stock, of Banco Santander
(Bloomberg ticker: SAN), are listed on the New York Stock Exchange, which we refer to as the relevant exchange for purposes of
Banco Santander in the accompanying product supplement. Banco Santander’s SEC file number is 001-12518.
Historical
Information Regarding the American Depositary Shares of Banco Santander
The following
graph sets forth the historical performance of the American depositary shares of Banco Santander based on the weekly historical
closing prices of one American depositary share of Banco Santander from January 7, 2011 through October 14, 2016. The closing
price of one American depositary share of Banco Santander on October 20, 2016 was $4.64. We obtained the closing prices above
and below from the Bloomberg Professional
®
service (“Bloomberg”), without independent verification.
The closing prices 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 American depositary share of Banco Santander should not be taken as an indication of future performance,
and no assurance can be given as to the closing price of one American depositary share of Banco Santander on any Ending Averaging
Date or any Review Date, including the final Review Date. There can be no assurance that the performance of the American depositary
shares of Banco Santander, S.A. will result in the return of any of your principal amount at maturity or the payment of any interest.
JPMorgan Structured Investments
|
PS-
9
|
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the American Depositary Shares of Banco Santander, S.A. and the American Depositary Shares of Banco Bilbao Vizcaya Argentaria, S.A.
|
Bilbao
Vizcaya Argentaria, S.A.
According
to its publicly available filings with the SEC, BBVA, a Spanish Company, is an international financial group with operations in
retail banking, asset management, private banking and wholesale banking. The American depositary shares, each representing one
ordinary share, of BBVA (Bloomberg ticker: BBVA), are listed on the New York Stock Exchange, which we refer to as the relevant
exchange for purposes of BBVA in the accompanying product supplement. BBVA’s SEC file number is 001-10110.
Historical
Information Regarding the American Depositary Shares of BBVA
The following
graph sets forth the historical performance of the American depositary shares of BBVA based on the weekly historical closing prices
of one American depositary share of BBVA from January 7, 2011 through October 14, 2016. The closing price of one American depositary
share of BBVA on October 20, 2016 was $6.79. We obtained the closing prices above and below from the Bloomberg Professional
®
service (“Bloomberg”), without independent verification. The closing prices 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 American depositary share of BBVA should not be taken as an indication of future performance, and no assurance
can be given as to the closing price of one American depositary share of BBVA on any Ending Averaging Date or any Review Date,
including the final Review Date. There can be no assurance that the performance of the American depositary shares of BBVA will
result in the return of any of your principal amount at maturity or the payment of any interest.
The
Estimated Value of the Notes
The estimated
value of the notes set forth on the cover of this pricing supplement is equal to the sum of the values of the following hypothetical
components: (1) a fixed-income debt component with the same maturity as the notes, valued using the internal funding rate described
below, and (2) the derivative or derivatives underlying the economic terms of the notes. The estimated value of the notes does
not represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any
time. The internal funding rate used in the determination of the estimated value of the notes is based on, among other things,
our and our affiliates’ view of the funding value of the notes as well as the higher issuance, operational and ongoing liability
management costs of the notes in comparison to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. For
additional information, see “Selected Risk Considerations — The Estimated Value of the Notes Is Derived by Reference
to an Internal Funding Rate” in this pricing supplement. The value of the derivative or derivatives underlying the economic
terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as the
traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and
which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events
and/or environments. Accordingly, the estimated value of the notes is determined when the terms of the notes are set based on
market conditions and other relevant factors and assumptions existing at that time. See “Selected Risk Considerations —
The Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ from Others’ Estimates”
in this pricing supplement.
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
JPMorgan Structured Investments
|
PS-
10
|
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the American Depositary Shares of Banco Santander, S.A. and the American Depositary Shares of Banco Bilbao Vizcaya Argentaria, S.A.
|
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.
We or one or more of our affiliates will retain any profits realized in hedging our obligations under the notes. 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 “Selected Risk Considerations — Secondary
Market Prices of the Notes Will Be Impacted by Many Economic and Market Factors” in this pricing supplement. In addition,
we generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you
in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined
period that is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial
period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities,
the estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates. See “Selected
Risk Considerations — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements)
May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period.”
Supplemental
Use of Proceeds
The notes
are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the notes.
See “What Are the Payments on the Notes, Assuming a Range of Performances for the Reference Stocks?” and “Hypothetical
Examples of Amounts Payable on the Notes” in this pricing supplement for an illustration of the risk-return profile of the
notes and “The Reference Stocks” 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 valid and binding obligations of JPMorgan
Financial and the related guarantee will constitute a valid and binding obligation of JPMorgan Chase & Co., enforceable in
accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally,
concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good
faith, fair dealing and the lack of bad faith),
provided
that such counsel expresses no opinion as to the effect of fraudulent
conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above. This opinion is given
as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware
and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustee’s
authorization, execution and delivery of the indenture and its authentication of the notes and the validity, binding nature and
enforceability of the indenture with respect to the trustee, all as stated in the letter of such counsel dated February 24, 2016,
which was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on
February 24, 2016.
JPMorgan Structured Investments
|
PS-
11
|
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the American Depositary Shares of Banco Santander, S.A. and the American Depositary Shares of Banco Bilbao Vizcaya Argentaria, S.A.
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