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Share Name | Share Symbol | Market | Type |
---|---|---|---|
JP Morgan Chase and Co | NYSE:JPM | NYSE | Common Stock |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
-0.86 | -0.45% | 190.80 | 192.529 | 188.46 | 192.00 | 8,922,779 | 01:00:00 |
PRICING SUPPLEMENT NO. 500
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-209682 and 333-209682-01
Dated July 27, 2016
|
Investment Description
|
Features
|
Key Dates
|
q | Automatically Callable: JPMorgan Financial will automatically call the Notes and pay you the principal amount plus the Contingent Coupon otherwise due for a monthly Observation Date (after an initial one-year non-call period) if the closing price of one share of the Underlying on that monthly Observation Date is equal to or greater than the Initial Value. No further payments will be made on the Notes. |
q | Contingent Coupon: If the closing price of one share of the Underlying on a monthly Observation Date (including the Final Valuation Date) is equal to or greater than the Coupon Barrier, JPMorgan Financial will make a Contingent Coupon payment with respect to that Observation Date. Otherwise, no coupon will be payable with respect to that Observation Date. |
q
|
Downside Exposure with Contingent Repayment of Principal Amount at Maturity:
If by maturity the Notes have not been called and the Underlying closes at or above the Downside Threshold on the Final Valuation Date, JPMorgan Financial will pay you the principal amount per Note at maturity, in addition to the Contingent Coupon. If by maturity the Notes have not been called and the Underlying closes below the Downside Threshold on the Final Valuation Date, JPMorgan Financial will repay less than the principal amount, if anything, at maturity, resulting in a loss on your principal amount that is proportionate to the decline in the Underlying from the Initial Value to the Final Value. The contingent repayment of principal applies only if you hold the Notes until maturity. Any payment on the Notes, including any repayment of principal, is subject to the creditworthiness of JPMorgan Financial and JPMorgan Chase & Co.
|
Trade Date
|
July 27, 2016
|
Original Issue Date (Settlement Date)
|
July 29, 2016
|
Observation Dates
1
|
Monthly (callable beginning July 27, 2017) (see page 5)
|
Final Valuation Date
1
|
July 27, 2021
|
Maturity Date
1
|
July 30, 2021
|
1 | Subject to postponement in the event of a market disruption event and as described under “General Terms of Notes — Postponement of a Payment Date” and “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)” in the accompanying product supplement |
THE NOTES ARE SIGNIFICANTLY RISKIER THAN CONVENTIONAL DEBT INSTRUMENTS. JPMORGAN FINANCIAL IS NOT NECESSARILY OBLIGATED TO REPAY THE FULL PRINCIPAL AMOUNT OF THE NOTES AT MATURITY, AND THE NOTES CAN HAVE DOWNSIDE MARKET RISK SIMILAR TO THE UNDERLYING. THIS MARKET RISK IS IN ADDITION TO THE CREDIT RISK INHERENT IN PURCHASING A DEBT OBLIGATION OF JPMORGAN FINANCIAL FULLY AND UNCONDITIONALLY GUARANTEED BY JPMORGAN CHASE & CO.
YOU SHOULD NOT PURCHASE THE NOTES IF YOU DO NOT UNDERSTAND OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS INVOLVED IN INVESTING IN THE NOTES.
YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER “KEY RISKS” BEGINNING ON PAGE 8 OF THIS PRICING SUPPLEMENT, UNDER “RISK FACTORS” BEGINNING ON PAGE PS-10 OF THE ACCOMPANYING PRODUCT SUPPLEMENT AND UNDER “RISK FACTORS” BEGINNING ON PAGE US-2 OF THE ACCOMPANYING UNDERLYING SUPPLEMENT BEFORE PURCHASING ANY NOTES. EVENTS RELATING TO ANY OF THOSE RISKS, OR OTHER RISKS AND UNCERTAINTIES, COULD ADVERSELY AFFECT THE MARKET VALUE OF, AND THE RETURN ON, YOUR NOTES. YOU MAY LOSE SOME OR ALL OF YOUR INITIAL INVESTMENT IN THE NOTES. THE NOTES WILL NOT BE LISTED ON ANY SECURITIES EXCHANGE.
|
Note Offering
|
Underlying
|
Contingent
Coupon Rate
|
Initial Value
|
Downside Threshold
|
Coupon
Barrier
|
CUSIP /
ISIN
|
VanEck Vectors
TM
Gold Miners ETF (Bloomberg Ticker: GDX)
|
11.45% per annum
|
$29.79
|
$17.87, which is
60% of the Initial
Value
|
$17.87, which is
60% of the Initial
Value
|
46646X506 / US46646X5068
|
Price to Public
(1)
|
Fees and Commissions
(2)
|
Proceeds to Issuer
|
||||
Offering of Notes
|
Total
|
Per Note
|
Total
|
Per Note
|
Total
|
Per Note
|
Notes linked to the VanEck Vectors
TM
Gold Miners ETF
|
$2,575,000
|
$10
|
$64,375
|
$0.25
|
$2,510,625
|
$9.75
|
(1) | See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price to public of the Notes. |
(2) | UBS Financial Services Inc., which we refer to as UBS, will receive selling commissions from us that will not exceed $0.25 per $10 principal amount Note. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement, as supplemented by “Supplemental Plan of Distribution” in this pricing supplement. |
Additional Information about JPMorgan Financial, JPMorgan Chase & Co. and the Notes
|
t | Product supplement no. UBS-1-I dated April 15, 2016: |
t | Underlying supplement no. 1-I dated April 15, 2016: |
t | Prospectus supplement and prospectus, each dated April 15, 2016: |
Supplemental Terms of the Notes
|
Investor Suitability
|
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 the same downside market risk as an investment in the Underlying. |
t | You accept that you may not receive a Contingent Coupon on some or all of the Coupon Payment Dates. |
t | You believe the Underlying will close at or above the Coupon Barrier on the Observation Dates and 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 (after an initial one-year non-call period). |
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 Contingent Coupons. |
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 are willing to invest in the Notes based on the Contingent Coupon Rate indicated on the cover hereof. |
t | You do not seek guaranteed current income from this investment and are willing to forgo dividends paid on the stocks included in the Underlying. |
t | You are able and willing to invest in Notes that may be called early (after an initial one-year non-call period) or you are otherwise 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.
|
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 the same 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 do not accept that you may not receive a Contingent Coupon on some or all of the Coupon Payment Dates. |
t | You believe that the Underlying will decline during the term of the Notes and is likely to close below the Coupon Barrier on the Observation Dates and 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 are not willing to invest in the Notes based on the Contingent Coupon Rate indicated on the cover hereof. |
t | You prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable maturities and credit ratings. |
t | You seek guaranteed current income from this investment or prefer to receive the dividends paid on the stocks included in the Underlying. |
t | You are unable or unwilling to hold Notes that may be called early (after an initial one-year non-call period), 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.
|
Final Terms
|
||
Issuer
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JPMorgan Chase Financial Company LLC
|
|
Guarantor
|
JPMorgan Chase & Co.
|
|
Issue Price
|
$10 per Note
|
|
Underlying
|
VanEck Vectors
TM
Gold Miners ETF
|
|
Principal Amount
|
$10 per Note (subject to a minimum purchase of 100 Notes or $1,000)
|
|
Term
|
Approximately 5 years, unless called earlier
|
|
Automatic Call Feature
|
The Notes will be called automatically if the closing price
2
of one share of the Underlying on any Observation Date (beginning July 27, 2017) 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 Contingent Coupon otherwise due for the applicable Observation Date, and no further payments will be made on the Notes
.
|
|
Contingent Coupon
|
If the closing price
1
of the Underlying is equal to or greater than the Coupon Barrier on any Observation Date, we will pay you the Contingent Coupon for that Observation Date on the relevant Coupon Payment Date.
If the closing price
1
of one share of the Underlying is less than the Coupon Barrier on any Observation Date, the Contingent Coupon for that Observation Date will not accrue or be payable, and we will not make any payment to you on the relevant Coupon Payment Date.
Each Contingent Coupon will be a fixed amount based on equal monthly installments at the Contingent Coupon Rate, which is a per annum rate.
Contingent Coupon payments on the Notes are not guaranteed. We will not pay you the Contingent Coupon for any Observation Date on which the closing price of one share of the Underlying is less than the Coupon Barrier.
|
|
Contingent Coupon Rate
|
11.45% per annum
|
|
Contingent Coupon payments
|
$0.0954 per $10 principal amount Note
|
|
Coupon Payment Dates
2
|
2nd business day following the applicable Observation Date, except that the Coupon Payment Date for the Final Valuation Date is the Maturity Date
|
|
Call Settlement Dates
2
|
First Coupon Payment Date following the applicable Observation Date
|
|
Payment at Maturity
(per $10 Note)
|
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 $10 principal amount Note equal to $10
plus
the Contingent Coupon otherwise due on the Maturity Date.
If the Notes are not automatically called and the Final Value is less than the Downside Threshold,
we will pay you a cash payment at maturity that is less than $10 per $10 principal amount Note resulting in a loss on your principal amount proportionate to the negative Underlying Return, equal to:
$10 × (1 + Underlying Return)
|
|
Underlying Return
|
Final Value – Initial Value
Initial Value
|
|
Initial Value
|
The closing price of one share of the Underlying on the Trade Date, as specified on the cover of this pricing supplement
|
|
Final Value
|
The closing price
1
of one share of the Underlying on the Final Valuation Date
|
|
Share Adjustment Factor
1
|
The Share Adjustment Factor is referenced in determining the closing price of one share of the Underlying. The Share Adjustment Factor is set initially at 1.0 on the Trade Date.
|
|
Downside Threshold
|
A percentage of the Initial Value, as specified on the cover of this pricing supplement
|
|
Coupon Barrier
|
A percentage of the Initial Value, as specified on the cover of this pricing supplement
|
|
1 | The closing price and the Share Adjustment Factor of the Fund are subject to adjustments, in the sole discretion of the calculation agent, in the case of certain events described in the accompanying product supplement under “The Underlyings — Funds — Anti-Dilution Adjustments” |
3 | See footnote 1 under “Key Dates” on the front cover |
Investment Timeline
|
|
Observation Dates and Coupon Payment Dates
|
† | The Notes are not callable until the twelfth Observation Date, July 27, 2017. |
What Are the Tax Consequences of the Notes?
|
Key Risks
|
t | 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 be fully exposed to any depreciation of the Underlying from the Initial Value to the Final Value. In this case, JPMorgan Financial will repay less than the full principal amount at maturity, resulting in a loss of principal that is proportionate to the negative Underlying Return. Under these circumstances, you will lose 1% of your principal for every 1% that the Final Value is less than the Initial Value and could lose your entire principal amount. 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. |
t | 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. |
t | 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. |
t | You Are Not Guaranteed Any Contingent Coupons — We will not necessarily make periodic coupon payments on the Notes. If the closing price of one share of the Underlying on an Observation Date is less than the Coupon Barrier, we will not pay you the Contingent Coupon for that Observation Date, and the Contingent Coupon that would otherwise be payable will not be accrued and will be lost. If the closing price of one share of the Underlying is less than the Coupon Barrier on each of the Observation Dates, we will not pay you any Contingent Coupon during the term of, and you will not receive a positive return on, your Notes. Generally, this non-payment of the Contingent Coupon coincides with a period of greater risk of principal loss on your Notes. |
t | Return on the Notes Limited to the Sum of Any Contingent Coupons and You Will Not Participate in Any Appreciation of the Underlying — The return potential of the Notes is limited to the specified Contingent Coupon Rate, regardless of the appreciation of the Underlying, which may be significant. In addition, the total return on the Notes will vary based on the number of Observation Dates on which the requirements for a Contingent Coupon have been met prior to maturity or an automatic call. Further, if the Notes are called, you will not receive any Contingent Coupons or any other payments in respect of any Observation Dates after the Call Settlement Date. Because the Notes could be called as early as the twelfth Observation Date, the total return on the Notes could be minimal. If the Notes are not called, you may be subject to the risk of decline of the Underlying 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 to recover 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 hypothetical direct investment in the Underlying. In addition, if the Notes are not called and the Final Value is below the Downside Threshold, you will have a loss on 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. |
t | 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 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 Contingent Coupon, or, if the Underlying closes below the Downside Threshold on the Final Valuation Date, JPMorgan Financial will repay less than the principal amount, if anything, at maturity, resulting in a loss on your principal amount that is proportionate to the decline of the Underlying from the Initial Value to the Final Value. This contingent repayment of principal applies only if you hold your Notes to maturity. |
t | A Higher Contingent Coupon Rate and/or a Lower Coupon Barrier and/or 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 Coupon Barrier on any Observation Date, resulting in the loss of one or more, or all, Contingent Coupon payments, or 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 Contingent Coupon Rate, the Coupon Barrier 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 Contingent 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 Coupon Barrier and/or a lower Downside Threshold as compared to otherwise comparable securities. Accordingly, a higher Contingent Coupon Rate will generally be indicative of a greater risk of loss while a lower Coupon Barrier or Downside Threshold does not necessarily indicate that the Notes have a greater likelihood of paying Contingent Coupon payments or returning your principal at maturity. You should be willing to accept the downside market risk of each Underlying and the potential loss of some or all of your principal at maturity. |
t | Reinvestment Risk — If your Notes are called early, the holding period over which you would have the opportunity to receive any Contingent Coupons could be as short as approximately one year. 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 called prior to the Maturity Date. |
t | 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. |
t | Each Contingent Coupon Is Based Solely on the Closing Price of One Share of the Underlying on the Applicable Observation Date — Whether a Contingent Coupon will be payable with respect to an Observation Date will be based solely on the closing price of one share of the Underlying on that Observation Date. As a result, you will not know whether you will receive a Contingent Coupon until the related Observation Date. Moreover, because each Contingent Coupon is based solely on the closing price of one share of the Underlying on the applicable Observation Date, if the closing price of one share of the Underlying is less than the Coupon Barrier, you will not receive any Contingent Coupon with respect to that Observation Date, even if the closing price of one share of the Underlying was higher on other days during the period before that Observation Date. |
t | 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, 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. |
t | 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. |
t | 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. |
t | 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 |
t | 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. |
t | 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: |
t
|
any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
|
t | customary bid-ask spreads for similarly sized trades; |
t | our internal secondary market funding rates for structured debt issuances; |
t | the actual and expected volatility in the price of one share of the Underlying; |
t | the time to maturity of the Notes; |
t | the likelihood of an automatic call being triggered; |
t | whether the closing price of one share of the Underlying has been, or is expected to be, less than the Coupon Barrier on any Observation Date and whether the Final Value is expected to be less than the Downside Threshold; |
t | the dividend rates on the Underlying and the equity securities held by the Underlying; |
t | the occurrence of certain events affecting the Underlying that may or may not require an adjustment to the closing price and the Share Adjustment Factor of the Underlying, including a merger or acquisition; |
t | interest and yield rates in the market generally; |
t | the exchange rates and the volatility of the exchange rates between the U.S. dollar and each of the currencies in which the non U.S. equity securities held by the Underlying trade and the correlation among those rates and the price of the Underlying; and |
t | a variety of other economic, financial, political, regulatory and judicial events. |
t | Investing in the Notes Is Not Equivalent to Investing in the Underlying or the Equity Securities Composing the Underlying — Investing in the Notes is not equivalent to investing in the Underlying or the equity securities held by the Underlying. As an investor in the Notes, you will not have any ownership interest or rights in the Underlying or the equity securities held by the Underlying, such as voting rights, dividend payments or other distributions. |
t | Your Return on the Notes Will Not Reflect Dividends on the Underlying or the Equity Securities Composing the Underlying — Your return on the Notes will not reflect the return you would realize if you actually owned the Underlying or the equity securities held by the Underlying and received the dividends on the Underlying or those equity securities. This is because the calculation agent will determine whether the Notes will be called and whether a Contingent Coupon is payable and will calculate the amount payable to you at maturity of the Notes by reference to the closing price of one share of the Underlying on the relevant Observation Date without taking into consideration the value of dividends on the Underlying or the equity securities held by the Underlying. |
t | No Affiliation with the Underlying or the Issuers of the Equity Securities Composing the Underlying — We are not affiliated with the Underlying or, to our knowledge, the issuers of the equity securities held by the Underlying. We have not independently verified the information about the Underlying or the issuers of the equity securities held by the Underlying contained in this pricing supplement. You should make your own investigation into the Underlying and the issuers of the equity securities held by the Underlying. We are not responsible for the public disclosure of information by the Underlying or the issuers of the equity securities held by the Underlying, whether contained in SEC filings or otherwise |
t | No Assurances That the Investment View Implicit in the Notes Will Be Successful — While the Notes are structured to provide for Contingent Coupons if the Underlying does not close below the Coupon Barrier on the Observation Dates, we cannot assure you of the economic environment during the term or at maturity of your Notes. |
t | 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. |
t | 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 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 price of the Underlying, and therefore the market value of the Notes. |
t | Tax Treatment — Significant aspects of the tax treatment of the Notes are uncertain. You should consult your tax adviser about your tax situation. |
t | Potential JPMorgan Financial Impact on the 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 price of the Underlying and, therefore, the market value of the Notes. |
t | There Are Risks Associated with the Underlying — Although shares of the Underlying are listed for trading on a securities exchange and a number of similar products have been trading on a securities exchange for varying periods of time, there is no assurance that an active trading market will continue for the shares of the Underlying or that there will be liquidity in the trading market. The Underlying is subject to management risk, which is the risk that the investment strategies of the Underlying’s investment adviser, the implementation of which is subject to a number of constraints, may not produce the intended results. These constraints could adversely affect the market price of the shares of the Underlying, and consequently, the value of the Notes . |
t | The Performance and Market Value of the Underlying, Particularly During Periods of Market Volatility, May Not Correlate with the Performance of the Underlying’s Underlying Fund as well as the Net Asset Value per Share — The Underlying does not fully replicate its Underlying Fund (as defined under “The Underlying” below) and may hold securities different from those included in its Underlying Fund. In addition, the performance of the Underlying will reflect additional transaction costs and fees that are not included in the calculation of its Underlying Fund. All of these factors may lead to a lack of correlation between the performance of the Underlying and its Underlying Fund. In addition, corporate actions with respect to the equity securities underlying the Underlying (such as mergers and spin-offs) may impact the variance between the performances of the Underlying and its Underlying Fund. Finally, because the shares of the Underlying are traded on a securities exchange and are subject to market supply and investor demand, the market value of one share of the Underlying may differ from the net asset value per share of the Underlying . |
t | Risks Associated with the Gold and Silver Mining Industries — All or substantially all of the equity securities held by the Underlying are issued by gold or silver mining companies. Because the value of the Notes is linked to the performance of the Underlying, an investment in these securities will be concentrated in the gold and silver mining industries. Competitive pressures may have a significant effect on the financial condition of companies in these industries. Also, these companies are highly dependent on the price of gold or silver, as applicable. These prices fluctuate widely and may be affected by numerous factors. Factors affecting gold prices include economic factors, including, among other things, the structure of and confidence in the global monetary system, expectations of the future rate of inflation, the relative strength of, and confidence in, the U.S. dollar (the currency in which the price of gold is generally quoted), interest rates, gold borrowing and lending rates, and global or regional economic, financial, political, regulatory, judicial or other events. Factors affecting silver prices include general economic trends, technical developments, substitution issues and regulation, as well as specific factors including industrial and jewelry demand, expectations with respect to the rate of inflation, the relative strength of the U.S. dollar (the currency in which the price of silver is generally quoted) and other currencies, interest rates, central bank sales, forward sales by producers, global or regional political or economic events, and production costs and disruptions in major silver producing countries such as Mexico, China and Peru . |
t | Non-U.S. Securities Risk — A portion of the equity securities held by the Underlying have been issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity securities involve risks associated with the securities markets in the home countries of the issuers of those non-U.S. equity securities, including risks of volatility in those markets, governmental intervention in those markets and cross shareholdings in companies in certain countries. Also, there is generally less publicly available information about companies in some of these jurisdictions than there is about U.S. companies that are subject to the reporting requirements of the SEC . |
t | The Notes Are Subject to Currency Exchange Risk — Because the prices of the non-U.S. equity securities held by the Underlying are converted into U.S. dollars for purposes of calculating the net asset value of the Underlying, holders of the Notes will be exposed to currency exchange rate risk with respect to each of the currencies in which the non-U.S. equity securities held by the Underlying trade. Your net exposure will depend on the extent to which those currencies strengthen or weaken against the U.S. dollar and the relative weight of equity securities held by the Underlying denominated in each of those currencies. If, taking into account the relevant weighting, the U.S. dollar strengthens against those currencies, the price of the Underlying will be adversely affected and any payment on the Notes may be reduced. Of particular importance to potential currency exchange risk are: |
¨ | existing and expected rates of inflation; |
¨ | existing and expected interest rate levels; |
¨ | the balance of payments in the countries issuing those currencies and the United States and between each country and its major trading partners; |
¨ | political, civil or military unrest in the countries issuing those currencies and the United States; and |
¨ | the extent of government surpluses or deficits in the countries issuing those currencies and the United States. |
¨ | Anti-Dilution Protection Is Limited — Although the calculation agent will adjust the closing price of one share of the Underlying for certain events affecting the Underlying, the calculation agent is not required to make an adjustment for every event that can affect the Underlying. If an event occurs that does not require the calculation agent to adjust the closing price of one share of the Underlying, the market value of your Notes and any payment on the Notes may be materially and adversely affected. |
Hypothetical Examples
|
Principal Amount:
|
$10.00
|
Term:
|
Approximately five years (unless earlier called)
|
Hypothetical Initial Value:
|
$100.00
|
Contingent Coupon Rate:
|
11.45% per annum (or 0.954% per month)
|
Observation Dates:
|
Monthly (callable after one year)
|
Hypothetical Downside Threshold:
|
$60.00 (which is 60.00% of the hypothetical Initial Value)
|
Hypothetical Coupon Barrier:
|
$60.00 (which is 60.00% of the hypothetical Initial Value)
|
* | The actual value of any Contingent Coupon payments you will receive over the term of the Notes and the actual value of the payment upon automatic call or at maturity applicable to your Notes may be more or less than the amounts displayed in these hypothetical scenarios. |
Date
|
Closing Price
|
Payment (per Note)
|
|
First Observation Date
|
$110.00 (at or above Coupon Barrier)
|
$0.0954 (Contingent Coupon)
|
|
Second Observation Date
|
$50.00 (below Coupon Barrier)
|
$0.00
|
|
Third Observation Date
|
$55.00 (below Coupon Barrier)
|
$0.00
|
|
Fourth to Fifty-Ninth
Observation Dates
|
Various (all below Coupon Barrier)
|
$0.00
|
|
Final Valuation Date
|
$85.00 (at or above Downside Threshold; below Initial Value)
|
$10.0954 (Payment at Maturity)
|
|
Total Payment:
|
$10.1908 (1.9084% return)
|
Date
|
Closing Price
|
Payment (per Note)
|
|
First Observation Date
|
$50.00 (below Coupon Barrier)
|
$0.00
|
|
Second Observation Date
|
$50.00 (below Coupon Barrier)
|
$0.00
|
|
Third Observation Date
|
$55.00 (below Coupon Barrier)
|
$0.00
|
|
Fourth to Fifty-Ninth
Observation Dates
|
Various (all below Coupon Barrier)
|
$0.00
|
|
Final Valuation Date
|
$50.00 (below Downside Threshold)
|
$10.00 × (1 + Underlying Return) =
$10.00 × (1 + -50%) =
$10.00 × 50% =
$5.00 (Payment at Maturity)
|
|
Total Payment:
|
$5.00 (-50.00% return)
|
The Underlying
|
* | As of the date of this pricing supplement, available information for the third calendar quarter of 2016 includes data for the period from April 1, 2016 through July 27, 2016. Accordingly, the “Quarterly High,” “Quarterly Low” and “Close” data indicated are for this shortened period only and do not reflect complete data for the third calendar quarter of 2016. |
|
Supplemental Plan of Distribution
|
The Estimated Value of the Notes
|
Secondary Market Prices of the Notes
|
Supplemental Use of Proceeds
|
Validity of the Notes and the Guarantee
|
1 Year JP Morgan Chase Chart |
1 Month JP Morgan Chase Chart |
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