Linked to the Class A common stock of Under Armour, Inc. due
on or about October 30, 2017
* The Initial Value is the closing price of one share of the
Underlying on October 25, 2016 and is not the closing price of one share of the Underlying on the Trade Date.
Additional Information about JPMorgan Financial, JPMorgan Chase & Co. and the Notes
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You
may revoke your offer to purchase the Notes at any time prior to the time at which we accept such offer by notifying the agent.
We reserve the right to change the terms of, or reject any offer to purchase, the Notes prior to their issuance. In the event
of any changes to the terms of the Notes, we will notify you and you will be asked to accept such changes in connection with your
purchase. You may also choose to reject such changes in which case we may reject your offer to purchase.
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.
This amended and restated preliminary pricing supplement amends and restates
and supersedes the preliminary pricing supplement related hereto dated October 26, 2016 to product supplement no. UBS-1-I in its
entirety. You should not rely on the original preliminary pricing supplement related hereto dated October 26, 2016 in making your
decision to invest in the Notes.
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.
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, the “Issuer,” “JPMorgan Financial,” “we,” “us” and “our”
refer to JPMorgan Chase Financial Company LLC.
Supplemental Terms of the Notes
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For
purposes of the accompanying product supplement, the Class A common stock of Under Armour, Inc. is an “Underlying Stock.”
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The Notes may be suitable for you if, among other considerations:
t
You
fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
t
You
can tolerate a loss of all or a substantial portion of your investment and are willing to make an investment that may have similar
downside market risk as an investment in the Underlying.
t
You
believe the Underlying will close at or above the Downside Threshold on the Final Valuation Date.
t
You
believe the Underlying will close at or above the Initial Value on one of the specified Observation Dates.
t
You
understand and accept that you will not participate in any appreciation of the Underlying and that your potential return is limited
to the Coupon payments.
t
You
can tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside price fluctuations
of the Underlying.
t
You
would be willing to invest in the Notes if the Coupon Rate were set equal to the minimum Coupon Rate indicated on the cover hereof
(the actual Coupon Rate will be finalized on the Trade Date and provided in the pricing supplement and is expected to be, but will
not be less than, the minimum Coupon Rate listed on the cover).
t
You
are willing to forgo dividends paid on the Underlying.
t
You
are able and willing to invest in Notes that may be called early or you are otherwise able and willing to hold the Notes to maturity.
t
You
accept that there may be little or no secondary market for the Notes and that any secondary market will depend in large part on
the price, if any, at which J.P. Morgan Securities LLC, which we refer to as JPMS, is willing to trade the Notes.
t
You
understand and accept the risks associated with the Underlying.
t
You
are willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Notes, and
understand that if JPMorgan Financial and JPMorgan Chase & Co. default on their obligations, you may not receive any amounts
due to you including any repayment of principal.
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|
The Notes may not be suitable for you if, among other considerations:
t
You
do not fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
t
You
cannot tolerate a loss of all or a substantial portion of your investment and are unwilling to make an investment that may have
similar downside market risk as an investment in the Underlying.
t
You
require an investment designed to provide a full return of principal at maturity.
t
You
believe that the price of the Underlying will decline during the term of the Notes and the Underlying is likely to close below
the Downside Threshold on the Final Valuation Date.
t
You
seek an investment that participates in the full appreciation of the Underlying or that has unlimited return potential.
t
You
cannot tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside price fluctuations
of the Underlying.
t
You
would not be willing to invest in the Notes if the Coupon Rate were set equal to the minimum Coupon Rate indicated on the cover
hereof (the actual Coupon Rate will be finalized on the Trade Date and provided in the pricing supplement and is expected to be,
but will not be less than, the minimum Coupon Rate listed on the cover).
t
You
prefer to receive the dividends paid on the Underlying.
t
You
are unable or unwilling to invest in Notes that may be called early, or you are otherwise unable or unwilling to hold the Notes
to maturity, or you seek an investment for which there will be an active secondary market.
t
You
do not understand or accept the risks associated with the Underlying.
t
You
are not willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Notes,
including any repayment of principal.
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The suitability considerations identified above are not exhaustive.
Whether or not the Notes are a suitable investment for you will depend on your individual circumstances, and you should reach an
investment decision only after you and your investment, legal, tax, accounting and other advisers have carefully considered the
suitability of an investment in the Notes in light of your particular circumstances. You should also review carefully the “Key
Risks” section of this pricing supplement and the “Risk Factors” section of the accompanying product supplement
for risks related to an investment in the Notes. For more information on the Underlying, please see the section titled “The
Underlying” below.
Issuer
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JPMorgan
Financial Company LLC
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Guarantor
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JPMorgan
Chase & Co.
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Issue
Price
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$1,000
per Note
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Underlying
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Class
A common stock of Under Armour, Inc.
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Principal
Amount
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$1,000
per Note
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Term
1
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Approximately,
1 year, unless called earlier
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Automatic
Call Feature
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The
Notes will be called automatically if the closing price
2
of one share of the Underlying on any Observation Date
is equal to or greater than the Initial Value. If the Notes are called, JPMorgan Financial will pay you on the
applicable Call Settlement Date a cash payment per Note equal to the principal amount
plus
the Coupon accruing on the
applicable Call Settlement Date, and no further payments will be made on the Notes.
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Coupon
Rate
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At
least 7.60% per annum. The actual Coupon Rate will be finalized on the Trade Date and provided in the pricing supplement
and is expected to be, but will not be less than, 7.60% per annum.
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Coupon
Payments
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At
least $6.3333 per $1,000 principal amount Note. The actual Coupon payments will be based on the Coupon Rate and
finalized on the Trade Date and provided in the pricing supplement.
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Coupon
Payment Dates
3
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As
specified under “Observation Dates and Coupon Payment Dates/Call Settlement Dates”
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Call
Settlement Dates
3
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First
Coupon Payment Date following the applicable Observation Date
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Payment at Maturity (per $1,000 Note)
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If the Notes are not
automatically called and the Final Value is equal to or greater than the Downside Threshold,
we will pay you a cash
payment at maturity per $1,000 principal amount Note equal to $1,000
plus
the final Coupon.
If the Notes are not
automatically called and the Final Value is less than the Downside Threshold,
we will, in addition to paying the final
Coupon, pay you a cash payment at maturity per $1,000 principal amount Note equal to:
$1,000
+ [$1,000 × (Underlying Return + Threshold Percentage) × Downside Gearing]
In
this scenario, you will lose 1.17647% of your principal amount for every 1% that the Underlying has declined by more than the
Threshold Percentage. You will lose some or all of your principal amount.
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Underlying
Return
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(Final
Value – Initial Value)
Initial
Value
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Initial
Value
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The
closing price of one share of the Underlying on October 25, 2016.
The Initial Value is not the closing price
of one share of the Underlying on the Trade Date.
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Final
Value
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The
closing price
2
of one share of the Underlying on the Final Valuation Date
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Downside
Threshold
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A
percentage of the Initial Value of the Underlying, as specified on the cover of this pricing supplement
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Threshold
Percentage
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15%
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Downside
Gearing
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1.17647,
equal to 1 / (100% - Threshold Percentage)
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Stock
Adjustment Factor
2
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The
Stock Adjustment Factor is referenced in determining the closing price of the Underlying. The Stock Adjustment
Factor is set initially at 1.0 on the October 25, 2016.
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1
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See footnote 1 under “Key Dates” on the front cover
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2
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The closing price and the Stock Adjustment Factor are subject to adjustments, in the sole discretion of the calculation agent, in the case of certain corporate events described in the accompanying product supplement under “The Underlyings — Underlying Stocks — Anti-Dilution Adjustments” and “The Underlyings — Underlying Stocks — Reorganization Events.”
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3
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See footnote 2 under “Key Dates” on the front cover
|
October
25, 2016
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|
The closing price of one share
of the Underlying (Initial Value) is observed and the Downside Threshold is determined.
|
|
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Trade
Date
(October 27, 2016)
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The Coupon Rate is
finalized.
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Monthly
(including at maturity, if not previously called)
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JPMorgan Financial will
pay you a Coupon on the applicable Coupon Payment Date.
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Quarterly
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The Notes will be
called if the closing price of one share of the Underlying on any Observation Date is equal to or greater than the Initial
Value. If the Notes are called, JPMorgan Financial will pay you a cash payment per Note equal to the principal
amount
plus
the Coupon for the Coupon Payment Date accruing on the applicable Call Settlement Date, and no further
payments will be made on the Notes.
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Maturity
Date
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The
Final Value is determined as of the Final Valuation Date.
If
the Notes are not automatically called and the Final Value is equal to or greater than the Downside Threshold, at maturity
JPMorgan Financial will repay the principal amount equal to $1,000 per Note
plus
the final Coupon.
If
the Notes are not automatically called and the Final Value is less than the Downside Threshold, JPMorgan Financial will,
in addition to paying the final Coupon, pay you a cash payment at maturity per $1,000 principal amount Note equal to:
$1,000
+ [$1,000 × (Underlying Return + Threshold Percentage) × Downside Gearing]
n
this scenario, you will lose 1.17647% of your principal amount for every 1% that the Underlying has declined by more than
the Threshold Percentage. You will lose some or all of your principal amount.
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INVESTING IN THE NOTES INVOLVES
SIGNIFICANT RISKS. YOU MAY LOSE SOME OR ALL OF YOUR PRINCIPAL AMOUNT. ANY PAYMENT ON THE NOTES, INCLUDING ANY REPAYMENT
OF PRINCIPAL, IS SUBJECT TO THE CREDITWORTHINESS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. IF JPMORGAN
FINANCIAL AND JPMORGAN CHASE & CO. WERE TO DEFAULT ON THEIR 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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Observation Dates and Coupon Payment Dates/Call Settlement Dates
|
Observation Dates
|
Coupon Payment Dates/Call Settlement Dates
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—
|
November 30, 2016
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—
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December 30, 2016
|
January 25, 2017
|
January 30, 2017
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—
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March 2, 2017
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—
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March 30, 2017
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April 25, 2017
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April 28, 2017
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—
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May 31, 2017
|
—
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June 29, 2017
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July 25, 2017
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July 28, 2017
|
—
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August 30, 2017
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—
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September 28, 2017
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October 25, 2017 (the Final Valuation Date)
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October 30, 2017 (the Maturity Date)
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Each of the Observation Dates and the Coupon Payment Dates/Call
Settlement Dates is 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.
What Are the Tax Consequences of the Notes?
|
You
should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product
supplement no. UBS-1-I. The following discussion, when read in combination with that section, constitutes the full opinion of
our special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning
and disposing of Notes.
Based
on current market conditions, in the opinion of our special tax counsel it is reasonable to treat the Notes as units each comprising
a Put Option and a debt component for U.S. federal income tax purposes. We will determine the portion of each Coupon Payment that
we will allocate to interest on the debt component and to Put Premium, respectively, and will provide that allocation in the pricing
supplement for the Notes. By purchasing the Notes, you agree to treat the Notes for U.S. federal income tax purposes consistently
with the treatment and allocation as described above. We will follow this approach in determining our information reporting responsibilities,
if any. If the Notes had priced on October 27, 2016, we would have allocated approximately 1.34% per annum to interest on the
debt component and 6.26% per annum to Put Premium.
The
actual Coupon Rate and allocation that we will determine for this Note offering will be finalized on the Trade Date and provided
in the pricing supplement, may differ from the hypothetical Coupon Rate and allocation, and will depend upon a variety of factors,
including actual market conditions and our borrowing costs for debt instruments of comparable maturities on the Trade Date. Assuming
the treatment and allocation described above are respected, (a) interest on the debt component will be taxed as ordinary income,
while the Put Premium will not be taken into account prior to maturity, sale or automatic call, and (b) assuming that you are
an initial purchaser of Notes purchasing the Notes at the Issue Price for cash, at maturity or upon automatic call you will recognize
short-term capital gain in an amount equal to the total Put Premium received.
There
are, however, other reasonable treatments that the IRS or a court may adopt for the Notes, in which case the timing and character
of your income or loss 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.
Withholding
under legislation commonly referred to as “FATCA” will apply to amounts treated as interest or other “fixed
or determinable annual or periodical” income (“FDAP Income”) for U.S. federal income tax purposes paid with
respect to the Notes. Under a recent IRS notice, withholding under FATCA will not apply to payments of gross proceeds (other than
any amount treated as FDAP Income) of a taxable disposition, including an automatic call 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, the issues presented by the notice and the potential application of the withholding
requirements under FATCA to the Notes. 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 debt component and the Put Option.
An
investment in the Notes involves significant risks. Investing in the Notes is not equivalent to investing directly in the Underlying.
These risks are explained in more detail in the “Risk Factors” section of the accompanying product supplement. We
also urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the Notes.
Risks Relating to the Notes Generally
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t
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Your
Investment in the Notes May Result in a Loss
— The Notes differ from ordinary debt securities in that JPMorgan Financial
will not necessarily repay the full principal amount of the Notes. If the Notes are not called and the closing price of one share
of the Underlying has declined below the Downside Threshold on the Final Valuation Date, you will have exposure to any additional
decline of the Underlying in excess of the Threshold Percentage, multiplied by the Downside Gearing. In this case, JPMorgan Financial
will, in addition to paying the final Coupon, pay you less than the full principal amount, if anything, at maturity, resulting
in a loss of 1.17647% of your principal amount for every 1% that the Underlying has declined by more than the Threshold Percentage.
As a result, your investment in the Notes may not perform as well as an investment in a security that does not have the potential
for full downside exposure to the Underlying at maturity.
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t
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Credit
Risks of JPMorgan Financial and JPMorgan Chase & Co.
— The Notes are unsecured and unsubordinated debt obligations
of the Issuer, JPMorgan Chase Financial Company LLC, the payment on which is fully and unconditionally guaranteed by JPMorgan
Chase & Co. The Notes will rank
pari passu
with all of our other unsecured and unsubordinated obligations, and the
related guarantee JPMorgan Chase & Co. will rank
pari passu
with all of JPMorgan Chase & Co.’s other unsecured
and unsubordinated obligations. The Notes and related guarantees are not, either directly or indirectly, an obligation of any
third party. Any payment to be made on the Notes, including any repayment of principal, depends on the ability of JPMorgan Financial
and JPMorgan Chase & Co. to satisfy their obligations as they come due. As a result, the actual and perceived creditworthiness
of JPMorgan Financial and JPMorgan Chase & Co. may affect the market value of the Notes and, in the event JPMorgan Financial
and JPMorgan Chase & Co. were to default on their obligations, you may not receive any amounts owed to you under the terms
of the Notes and you could lose your entire investment.
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t
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As
a Finance Subsidiary, JPMorgan Financial Has No Independent Operations and 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.
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t
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Your
Return on the Notes Is Limited to the Sum of the Coupon Payments and You Will Not Participate in Any Appreciation of the Underlying
— The return potential of the Notes is limited to the specified Coupon Rate, regardless of any appreciation of the Underlying,
which may be significant. In addition, if the Notes are called, you will not receive any Coupons or any other payments in respect
of any Observation Dates after the applicable Call Settlement Date. Because the Notes could be called as early as the first Observation
Date, the total return on the Notes could be minimal. If the Notes are not called, you may be subject to the Underlying’s
risk of decline, even though you are not able to participate in any potential appreciation of the Underlying. Generally,
the longer the Notes remain outstanding, the less likely it is that they will be automatically called, due to the decline in the
price of the Underlying and the shorter time remaining for the price of the Underlying to increase to or above the Initial Value
on a subsequent Observation Date. As a result, the return on an investment in the Notes could be less than the return on a direct
investment in the Underlying. In addition, if the Notes are not called and the Final Value is below the Downside Threshold, you
will lose some or all of your principal amount and the overall return on the Notes may be less than the amount that would be paid
on a conventional debt security of JPMorgan Financial of comparable maturity.
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t
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Contingent
Repayment of Principal Applies Only If You Hold the Notes to Maturity
— If you are able to sell your Notes in the secondary
market, if any, prior to maturity, you may have to sell them at a loss relative to your initial investment even if the closing
price of one share of the Underlying is above the Downside Threshold. If by maturity the Notes have not been called, either JPMorgan
Financial will repay you the full principal amount per Note
plus
the final Coupon or, if the Underlying closes below the
Downside Threshold on the Final Valuation Date, JPMorgan Financial will, in addition to paying the final Coupon, repay less than
the principal amount, if anything, at maturity, resulting in a loss of 1.17647% of your principal amount for every 1% that the
Underlying has declined by more than the Threshold Percentage. This contingent repayment of principal applies only if you hold
your Notes to maturity.
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t
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A
Higher Coupon Rate and/or a Lower Downside Threshold May Reflect Greater Expected Volatility of the Underlying, Which Is Generally
Associated With a Greater Risk of Loss —
Volatility is a measure of the degree of variation in the price of the Underlying
over a period of time. The greater the expected volatility of the Underlying at the time the terms of the Notes are set, the greater
the expectation is at that time that the price of the Underlying could close below the Downside Threshold on the Final Valuation
Date, resulting in the loss of a significant portion or all of your principal at maturity. In addition, the economic terms of
the Notes, including the Coupon Rate and the Downside Threshold, are based, in part, on the expected volatility of the Underlying
at the time the terms of the Notes are set, where a higher expected volatility will generally be reflected in a higher Coupon
Rate than the fixed rate we would pay on conventional debt securities of the same maturity and/or on otherwise comparable securities
and/or a lower Downside Threshold as compared to otherwise comparable securities. Accordingly, a higher Coupon Rate will generally
be indicative of a greater risk of loss while a lower Downside Threshold does not
|
necessarily
indicate that the Notes have a greater likelihood of returning your principal at maturity. You should be willing to accept the
downside market risk of the Underlying and the potential loss of some or all of your principal at maturity.
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t
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Reinvestment
Risk
— If your Notes are called early, the holding period in which you will be able to receive Coupons could be as short
as approximately three months. There is no guarantee that you will 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 called
prior to the Maturity Date.
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t
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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 hedging our obligations under the Notes and making the assumptions used to determine the pricing of the
Notes and the estimated value of the Notes when the terms of the Notes are set, which we refer to as the estimated value of the
Notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests and the economic interests of the
calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the Notes. In addition,
our and JPMorgan Chase & Co.’s business activities, including hedging and trading activities, could cause our and JPMorgan
Chase & Co.’s economic interests to be adverse to yours and could adversely affect any payment on the Notes and the
value of the Notes. It is possible that hedging or trading activities of ours or our affiliates in connection with the Notes could
result in substantial returns for us or our affiliates while the value of the Notes declines. Please refer to “Risk Factors
— Risks Relating to Conflicts of Interest” in the accompanying product supplement for additional information about
these risks. We and/or our affiliates may also currently or from time to time engage in business with the issuer of the Underlying,
including extending loans to, or making equity investments in, the issuer of the Underlying or providing advisory services to
the issuer of the Underlying. As a prospective purchaser of the Notes, you should undertake an independent investigation of the
issuer of the Underlying as in your judgment is appropriate to make an informed decision with respect to an investment in the
Notes.
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t
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Single
Stock Risk
— The price of the Underlying can rise or fall sharply due to factors specific to that Underlying and its
issuer, such as stock price volatility, earnings, financial conditions, corporate, industry and regulatory developments, management
changes and decisions and other events, as well as general market factors, such as general stock market volatility and levels,
interest rates and economic and political conditions. For additional information regarding the Underlying and its issuer, please
see “The Underlying” in this pricing supplement and that issuer’s SEC filings. We urge you to review financial
and other information filed periodically with the SEC by the Underlying issuer.
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t
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The
Estimated Value of the Notes Will Be 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 will
exceed 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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t
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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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t
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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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t
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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 selling commissions, 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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t
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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 substantial loss to you. See the immediately following risk factor 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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t
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Many
Economic and Market Factors Will Impact the Value of the Notes
— As described under “The Estimated Value of the
Notes” in this pricing supplement, the Notes can be thought of as securities that combine a fixed-income debt component
with one or more derivatives. As a result, the factors that influence the values of fixed-income debt and derivative instruments
will also influence the terms of the Notes at issuance and their value in the secondary market. Accordingly, 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 Underlying, including:
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t
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any
actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
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t
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customary
bid-ask spreads for similarly sized trades;
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t
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our
internal secondary market funding rates for structured debt issuances;
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t
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the
actual and expected volatility in the closing price of one share of the Underlying;
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t
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the
time to maturity of the Notes;
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t
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the
likelihood of an automatic call being triggered;
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t
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whether
the Final Value is expected to be less than the Downside Threshold;
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t
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the
dividend rate on the Underlying;
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t
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the
occurrence of certain events affecting the issuer of the Underlying that may or may not require an adjustment to the closing price
and the Stock Adjustment Factor, including a merger or acquisition;
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t
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interest
and yield rates in the market generally; and
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t
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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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t
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No
Dividend Payments or Voting Rights in the Underlying
— As a holder of the Notes, you will not have any ownership interest
or rights in the Underlying, such as voting rights or dividend payments. In addition, the issuer of the Underlying 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 Underlying and the Notes.
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t
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No
Affiliation with the Underlying Issuer
— We are not affiliated with the issuer of the Underlying. We have not independently
verified any of the information about the Underlying issuer contained in this pricing supplement. You should make your own investigation
into the Underlying and its issuer. We are not responsible for the Underlying issuer’s public disclosure of information,
whether contained in SEC filings or otherwise.
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t
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No
Assurances That the Investment View Implicit in the Notes Will Be Successful
— While the Notes are structured to provide
for the payment of Coupons and the return of principal at maturity if the Final Value is at or above the Downside Threshold, we
cannot assure you of the economic environment during the term or at maturity of your Notes.
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t
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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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t
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Anti-Dilution
Protection Is Limited and May Be Discretionary
— Although the calculation agent will adjust the closing price and the
Stock Adjustment Factor for certain corporate events (such as stock splits and stock dividends) affecting the Underlying, the
calculation agent is not required to make an adjustment for every corporate event that can affect the Underlying. If an event
occurs that does not require the calculation agent to make these adjustments, the market value of your Notes, whether the Notes
will be automatically called and any payment on the Notes may be materially and adversely affected. You should also be aware that
the calculation agent may make any such adjustment, determination or calculation in a manner that differs from what is described
in the accompanying product supplement as it deems necessary to ensure an equitable result. Subject to the foregoing, the calculation
agent is under no obligation to consider your interests as a holder of the Notes in making these determinations.
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t
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Potentially
Inconsistent Research, Opinions or Recommendations by JPMS, UBS or Their Affiliates
— JPMS, UBS or their affiliates
may publish research, express opinions or provide recommendations (for example, with respect to the issuer of the Underlying)
that are inconsistent with investing in or holding the Notes, and that may be revised at any time. Any such research, opinions
or recommendations may or may not recommend that investors buy or hold the Underlying and could affect the value of the Underlying,
and therefore the market value of the Notes.
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t
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Tax
Treatment
— Significant aspects of the tax treatment of the Notes are uncertain. You should consult your tax adviser
about your tax situation.
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t
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Potential
JPMorgan Financial Impact on the Market Price of the Underlying
— Trading or transactions by JPMorgan Financial or its
affiliates in the Underlying and/or over-the-counter options, futures or other instruments with returns linked to the performance
of the Underlying may adversely affect the market price of the Underlying and, therefore, the market value of the Notes.
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t
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The
Final Terms and Valuation of the Notes Will Be Finalized on the Trade Date and Provided in the Pricing Supplement
—
The final terms of the Notes will be based on relevant market conditions when the terms of the Notes are set and will be finalized
on the Trade Date and provided in the pricing supplement. In particular, each of the estimated value of the Notes and the Coupon
Rate will be finalized on the Trade Date and provided in the pricing supplement, and each may be as low as the applicable minimum
set forth on the cover of this pricing supplement. Accordingly, you should consider your potential investment in the Notes based
on the minimums for the estimated value of the Notes and the Coupon Rate.
|
Hypothetical terms only. Actual terms
may vary. See the cover page for actual offering terms.
The examples below illustrate the hypothetical payments on a
Coupon Payment Date, upon an automatic call or at maturity under different hypothetical scenarios for a $1,000 Note on an offering
of the Notes linked to a hypothetical Underlying and assume an Initial Value of $100.00, a Downside Threshold of $90.00 (which
is 90.00% of the hypothetical Initial Value), a hypothetical Downside Gearing of 1.11111, a Threshold Percentage of 10% and a Coupon
Rate of 6.00% per annum. 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 and Downside Threshold are based on the closing price of one share
of the Underlying on October 25, 2016 and are specified on the cover of this pricing supplement. For historical data regarding
the actual closing prices of one share of the Underlying, please see the historical information set forth under “The Underlying”
in this pricing supplement.
The actual Downside Gearing and Threshold Percentage are specified
on the cover of this pricing supplement. The actual Coupon Rate will be finalized on the Trade Date and provided in the pricing
supplement. The hypothetical payments on the Notes in the examples set forth below are for illustrative purposes only and may not
be the actual returns applicable to a purchaser of the Notes. The actual value of any Coupon payment you will receive over the
term of the Notes and the actual value of payment upon automatic call or at maturity may be more or less than the amounts displayed
below and will be determined based on the actual terms of the Notes, including the Initial Value, the Downside Threshold, the Threshold
Percentage, the Downside Gearing and the Coupon Rate to be finalized on the Trade Date and provided in the pricing supplement and
the Final Value on the Final Valuation Date. You should consider carefully whether the Securities are suitable to your investment
goals. We cannot predict the closing price of one share of the Underlying on any day during the term of the Notes, including on
any Observation Date (including the Final Valuation Date). You should not take these examples as an indication or assurance of
the expected performance of the Notes. Numbers in the examples below have been rounded for ease of analysis.
Principal Amount:
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$1,000
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Term:
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One year (unless earlier called)
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Hypothetical Initial Value:
|
$100.00
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Hypothetical Coupon Rate:
|
6.00% per annum (or 0.50% per month)
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Observation Dates:
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Quarterly
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Coupon Payment Dates:
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Monthly
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Hypothetical Downside Threshold:
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$90.00 (which is 90.00% of the hypothetical Initial Value)
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Hypothetical Downside Gearing:
|
1.11111
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Hypothetical Threshold Percentage:
|
10%
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The examples below are purely hypothetical. These examples are
intended to illustrate (a) under what circumstances the Notes will be subject to an automatic call, (b) how the value of the payment
at maturity on the Notes will depend on whether the Final Value is less than its Downside Threshold and (c) how the total return
on the Notes may be less than the total return on a direct investment in the Underlying in certain scenarios. The “total
return” as used in this pricing supplement is the number, expressed as a percentage, that results from comparing the total
payments per $1,000 principal amount Note over the term of the Notes to the $1,000 initial issue price.
Example 1
—
Notes Are Automatically Called on
the First Observation Date
Date
|
|
Closing Price
|
|
Payment (per Note)
|
First Observation Date
|
|
$110.00
|
|
Closing price at or above the Initial Value; Notes are automatically called. Issuer repays principal
plus
pays Coupon of $5.00 on Call Settlement Date.
|
|
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Total Payments (per $1,000 Note):
|
|
Payment on Call Settlement Date
:
|
$1,005.00 ($1,000 + $5.00)
|
|
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Total
:
|
$1,015.00
|
|
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Total Return
:
|
1.50%
|
Because the closing price of one share of the Underlying is greater
than or equal to the Initial Value on the first Observation Date, the Notes are automatically called on that Observation Date.
JPMorgan Financial will pay you on the Call Settlement Date $1,005.00 per $1,000 principal amount Note, which is equal to your
principal amount
plus
the Coupon due on the Coupon Payment Date that is also the Call Settlement Date. When added to the
Coupon payments of $5.00 received on each of the previous Coupon Payment Dates, we will have paid you a total of $1,015.00 per
$1,000 principal amount Note for a 1.50% total return over the three (3) month shortened term of the Notes. No further amounts
will be owed to you under the Notes.
Example 2
—
Notes Are Automatically Called on
the Third Observation Date
Date
|
|
Closing Price
|
|
Payment (per Note)
|
First Observation Date
|
|
$95.00
|
|
Closing price below Initial Value; Notes NOT automatically called. Issuer pays Coupon of $5.00 on third Coupon Payment Date.
|
|
|
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Second Observation Date
|
|
$90.00
|
|
Closing price below Initial Value; Notes NOT automatically called. Issuer pays Coupon of $5.00 on sixth Coupon Payment Date.
|
Third Observation Date
|
|
$110.00
|
|
Closing price at or above the Initial Value; Notes are automatically called. Issuer repays principal
plus
pays Coupon of $5.00 on Call Settlement Date.
|
Total Payments (per $1,000 Note)
:
|
|
Payment on Call Settlement Date
:
|
$1,005.00 ($1,000 + $5.00)
|
|
|
Prior Coupons
:
|
$40 ($5.00 × 8)
|
|
|
Total
:
|
$1,045.00
|
|
|
Total Return
:
|
4.50%
|
Because the closing price of one share of the Underlying is greater
than or equal to the Initial Value on the third Observation Date, the Notes are automatically called on that Observation Date.
JPMorgan Financial will pay you on the Call Settlement Date $1,005.00 per $1,000 principal amount Note, which is equal to
your principal amount
plus
the Coupon due on the Coupon Payment Date that is also the Call Settlement Date. When added to
the Coupon payments of $5.00 received on each of the previous Coupon Payment Dates, we will have paid you a total of $1,045.00
per $1,000 principal amount Note for a 4.50% total return over the nine (9) month shortened term of the Notes. No further amounts
will be owed to you under the Notes.
Example 3
—
Notes Are NOT Automatically Called
and the Final Value Is Above the Downside Threshold
Date
|
|
Closing Price
|
|
Payment (per Note)
|
First Observation Date
|
|
$85.00
|
|
Closing price below Initial Value; Notes NOT automatically called. Issuer pays Coupon of $5.00 on third Coupon Payment Date.
|
|
|
|
|
Second Observation Date
|
|
$90.00
|
|
Closing price below Initial Value; Notes NOT automatically
called. Issuer pays Coupon of $5.00 on sixth Coupon Payment Date.
|
Third Observation Date
|
|
$90.00
|
|
Closing price below Initial Value; Notes NOT automatically called. Issuer pays Coupon of $5.00 on the ninth Coupon Payment Date.
|
Fourth Observation Date (the Final Valuation Date)
|
|
$95.00
|
|
Closing price below Initial Value; Notes NOT automatically called. Final Value at or above Downside Threshold; Issuer repays principal
plus
pays Coupon of $5.00 on Maturity Date.
|
|
|
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|
Total Payments (per $1,000 Note)
:
|
|
Payment at Maturity
:
|
$1,005.00 ($1,000 + $5.00)
|
|
|
Prior Coupons
:
|
$55.00 ($5.00 × 11)
|
|
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Total
:
|
$1,060.00
|
|
|
Total Return
:
|
6.00%
|
Because the closing price of one share of the Underlying was
less than the Initial Value on each Observation Date, the Notes are not automatically called. Because the Final Value is greater
than or equal to the Downside Threshold, JPMorgan Financial will pay you on the Maturity Date $1,005.00 per $1,000 principal amount
Note, which is equal to your principal amount
plus
the final Coupon.
In addition, JPMorgan Financial will also pay the Coupon of $5.00
on each of the first to eleventh Coupon Payment Dates. Accordingly, JPMorgan Financial will have paid a total of $1,060.00 per
$1,000 principal amount Note, for a 6.00% total return over the one (1) year term of the Notes.
Example 4
—
Notes Are NOT Automatically Called
and the Final Value Is Below the Downside Threshold
Date
|
|
Closing Price
|
|
Payment (per Note)
|
First Observation Date
|
|
$90.00
|
|
Closing price below Initial Value; Notes NOT automatically called. Issuer pays Coupon of $5.00 on third Coupon Payment Date.
|
Second Observation Date
|
|
$85.00
|
|
Closing price below Initial Value; Notes NOT automatically
called. Issuer pays Coupon of $5.00 on sixth Coupon Payment Date.
|
Third Observation Date
|
|
$80.00
|
|
Closing price below Initial Value; Notes NOT automatically
called. Issuer pays Coupon of $5.00 on the ninth Coupon Payment Date.
|
Fourth Observation Date (the Final Valuation Date)
|
|
$45.00
|
|
Closing price below Initial Value; Notes NOT automatically called. Closing price below Downside Threshold; Issuer pays Coupon on Maturity Date, and Issuer will repay less than the principal amount.
|
Total Payments (per $1,000 Note)
:
|
|
Payment at Maturity
:
|
$505.0005 ($500.0005 + $5.00)
|
|
|
Prior Coupons
:
|
$55.00 ($5.00 × 11)
|
|
|
Total
:
|
$560.0005
|
|
|
Total Return
:
|
-43.99995%
|
Because
the closing price of one share of the Underlying was less than the Initial Value on each Observation Date, the Notes are not automatically
called. Because the Final Value is less than the Downside Threshold on the Final Valuation Date and the Underlying Return is
-55%, at maturity, JPMorgan Financial will pay you $505.0005 per $1,000 principal amount Note, calculated as follows:
$1,000 + [$1,000 × (Underlying Return
+ Threshold Percentage) × Downside Leverage] + the final Coupon
$1,000 + [$1,000 × (-55.00% + 10% )
× 1.11111] + $5.00 = $505.0005
In addition, JPMorgan Financial will also pay the Coupon of $5.00
on each of the first to eleventh Coupon Payment Dates. Accordingly, JPMorgan Financial will have paid a total of $560.0005 per
$1,000 principal amount Note, for a -43.99995% total return over the one (1) year term of the Notes.
The hypothetical returns and hypothetical payments on the Notes
shown above apply
only if you hold the Notes for their entire term or until automatically called
. These hypotheticals do
not reflect 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.
According to its publicly available filings with the SEC, the
principal business activities of Under Armour, Inc., which we refer to as Under Armour, are the development, marketing and distribution
of branded performance apparel, footwear and accessories for men, women and youth. The Class A common stock of Under Armour, par
value $0.0003 1/3 per share (Bloomberg ticker: UA), is listed on the New York Stock Exchange, which we refer to as the relevant
exchange for purposes of Under Armour in the accompanying product supplement. Under Armour’s SEC file number is 001-33202.
Historical Information Regarding the Class A common stock
of Under Armour
The following table sets forth the quarterly high and low closing
prices of one share of the Underlying based on daily closing prices on the primary exchange for the Underlying, as reported by
the Bloomberg Professional
®
service (“Bloomberg”), without independent verification. This information
given below is for the four calendar quarters in each of 2011, 2012, 2013, 2014 and 2015 and the first, second and third calendar
quarters of 2016. Partial data is provided for the fourth calendar quarter of 2016. The closing price of one share of the Underlying
on October 26, 2016 was $31.81. We obtained the closing prices above and below from 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.
Since its inception, the price of one share of the Underlying
has experienced significant fluctuations. The historical performance of the Underlying should not be taken as an indication of
future performance, and no assurance can be given as to the closing prices of one share of the Underlying during the term of the
Notes. There can be no assurance that the performance of the Underlying will result in the return of any of your principal amount.
Quarter Begin
|
Quarter End
|
Quarterly Closing High
|
Quarterly Closing Low
|
Close
|
1/1/2011
|
3/31/2011
|
$9.02
|
$6.84
|
$8.79
|
4/1/2011
|
6/30/2011
|
$10.14
|
$8.07
|
$9.98
|
7/1/2011
|
9/30/2011
|
$10.64
|
$6.82
|
$8.58
|
10/1/2011
|
12/31/2011
|
$11.11
|
$8.34
|
$9.27
|
1/1/2012
|
3/31/2012
|
$12.78
|
$9.32
|
$12.14
|
4/1/2012
|
6/30/2012
|
$13.75
|
$11.49
|
$12.20
|
7/1/2012
|
9/30/2012
|
$15.51
|
$11.74
|
$14.42
|
10/1/2012
|
12/31/2012
|
$15.31
|
$12.25
|
$12.53
|
1/1/2013
|
3/31/2013
|
$13.22
|
$11.85
|
$13.22
|
4/1/2013
|
6/30/2013
|
$16.61
|
$13.06
|
$15.42
|
7/1/2013
|
9/30/2013
|
$20.97
|
$15.45
|
$20.52
|
10/1/2013
|
12/31/2013
|
$22.55
|
$19.72
|
$22.55
|
1/1/2014
|
3/31/2014
|
$32.14
|
$21.18
|
$29.61
|
4/1/2014
|
6/30/2014
|
$30.81
|
$23.89
|
$30.73
|
7/1/2014
|
9/30/2014
|
$37.55
|
$29.44
|
$35.70
|
10/1/2014
|
12/31/2014
|
$37.45
|
$31.84
|
$35.08
|
1/1/2015
|
3/31/2015
|
$42.28
|
$33.17
|
$41.71
|
4/1/2015
|
6/30/2015
|
$45.33
|
$39.64
|
$43.10
|
7/1/2015
|
9/30/2015
|
$53.78
|
$43.53
|
$49.99
|
10/1/2015
|
12/31/2015
|
$53.39
|
$41.52
|
$41.64
|
1/1/2016
|
3/31/2016
|
$44.24
|
$34.67
|
$43.82
|
4/1/2016
|
6/30/2016
|
$46.99
|
$35.92
|
$40.13
|
7/1/2016
|
9/30/2016
|
$43.59
|
$37.97
|
$38.68
|
10/1/2016
|
10/26/2016*
|
$38.82
|
$31.81
|
$31.81
|
*
|
As of the date of this pricing
supplement, available information for the fourth calendar quarter of 2016 includes data for the period from October 1, 2016
through October 26, 2016. Accordingly, the “Quarterly Closing High,” “Quarterly Closing Low”
and “Close” data indicated are for this shortened period only and do not reflect complete data for the fourth
calendar quarter of 2016.
|
The graph below illustrates the daily performance of the Underlying
from January 3, 2006 through October 26, 2016, based on information from Bloomberg, without independent verification. The dotted
line represents the Downside Threshold of $27.96, equal to 85.00% of the closing price on October 25, 2016.
Past performance of the Underlying is not indicative of
the future performance of the Underlying.