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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
To prospectus dated April 15, 2016, prospectus supplement dated April 15, 2016, product supplement no. 4-I dated April 15, 2016 and
underlying supplement no. 1-I dated April 15, 2016
JPMorgan Chase Financial Company LLC
|
Registration Statement Nos. 333-209682 and 333-209682-01
Dated October 20, 2016
Rule 424(b)(2)
|
Structured
Investments |
$1,600,000
Capped Dual Directional Contingent Buffered Equity Notes Linked to the S&P 500
®
Index due October 25, 2021
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
|
· |
The notes are designed for investors who seek an unleveraged return equal to any appreciation (up to the Maximum Upside Return of 200.00%), or an unleveraged return equal to the absolute value of any depreciation (up to 38.05%), of the S&P 500
®
Index at maturity.
|
· |
Investors should be willing to forgo interest and dividend payments and, if the Ending Index Level is less than the Initial Index Level by more than 38.05%, be willing to lose some or all of their principal amount at maturity.
|
· |
The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co.
Any payment on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor of the notes.
|
· |
Minimum denominations of $10,000 and integral multiples of $1,000 in excess thereof
|
Issuer:
|
JPMorgan Chase Financial Company LLC
|
|
Guarantor:
|
JPMorgan Chase & Co.
|
|
Index:
|
The S&P 500
®
Index (Bloomberg ticker: SPX)
|
|
Payment at Maturity:
|
If the Ending Index Level is greater than the Initial Index Level, at maturity you will receive a cash payment that provides you with a return per $1,000 principal amount note equal to the Index Return, subject to the Maximum Upside Return. Accordingly, under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows:
|
|
$1,000 + ($1,000 × Index Return), subject to the Maximum Upside Return
|
||
If the Ending Index Level is equal to the Initial Index Level, you will receive the principal amount of your notes at maturity.
If the Ending Index Level is less than the Initial Index Level by up to the Contingent Buffer Amount, you will receive at maturity a cash payment that provides you with a return per $1,000 principal amount note equal to the Absolute Index Return, and your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Absolute Index Return)
Because the payment at maturity will not reflect the Absolute Index Return if the Ending Index Level is less than the Initial Index Level by more than the Contingent Buffer Amount of 38.05%, your maximum payment at maturity if the Index Return is negative is $1,380.50 per $1,000 principal amount note.
|
||
If the Ending Index Level is less than the Initial Index Level by more than the Contingent Buffer Amount, you will lose 1% of the principal amount of your notes for every 1% that the Ending Index Level is less than the Initial Index Level. Under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows:
|
||
$1,000 + ($1,000 × Index Return)
|
||
If the Ending Index Level is less than the Initial Index Level by more than the Contingent Buffer Amount of 38.05%, you will lose more than 38.05% of your principal amount at maturity and may lose all of your principal amount at maturity.
|
||
Maximum Upside Return:
|
200.00%. For example, if the Index Return is equal to or greater than 200.00%, you will receive the Maximum Upside Return of 200.00%, which entitles you to a maximum payment at maturity of $3,000 per $1,000 principal amount note that you hold.
|
|
Contingent Buffer Amount:
|
38.05%
|
|
Index Return:
|
(Ending Index Level – Initial Index Level)
Initial Index Level
|
|
Absolute Index Return:
|
The absolute value of the Index Return. For example, if the Index Return is -5%, the Absolute Index Return will equal 5%.
|
|
Initial Index Level:
|
The closing level of the Index on the Pricing Date, which was 2,141.34
|
|
Ending Index Level:
|
The arithmetic average of the closing levels of the Index on the Ending Averaging Dates
|
|
Pricing Date:
|
October 20, 2016
|
|
Original Issue Date:
|
On or about October 25, 2016 (Settlement Date)
|
|
Ending Averaging Dates*:
|
October 14, 2021, October 15, 2021, October 18, 2021, October 19, 2021 and October 20, 2021
|
|
Maturity Date*:
|
October 25, 2021
|
|
CUSIP:
|
46646E2H4
|
* |
Subject to postponement in the event of certain market disruption events 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
|
Price to Public (1)
|
Fees and Commissions (2)
|
Proceeds to Issuer
|
|
Per note
|
$1,000
|
$30
|
$970
|
Total
|
$1,600,000
|
$48,000
|
$1,552,000
|
(1) |
See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price to public of the notes.
|
(2) |
J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions of $30.00 per $1,000 principal amount note it receives from us to other affiliated or unaffiliated dealers. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement
|
·
|
Product supplement no. 4-I dated April 15, 2016:
|
·
|
Underlying supplement no. 1-I dated April 15, 2016:
|
·
|
Prospectus supplement and prospectus, each dated April 15, 2016:
|
JPMorgan Structured Investments —
Capped Dual Directional Contingent Buffered Equity Notes Linked to the S&P 500
®
Index
|
PS-
1
|
Ending Index
Level
|
Index
Return
|
Absolute
Index
Return
|
Total Return
|
7,700.00
|
250.00%
|
N/A
|
200.00%
|
7,150.00
|
225.00%
|
N/A
|
200.00%
|
6,600.00
|
200.00%
|
N/A
|
200.00%
|
6,050.00
|
175.00%
|
N/A
|
175.00%
|
5,500.00
|
150.00%
|
N/A
|
150.00%
|
4,950.00
|
125.00%
|
N/A
|
125.00%
|
4,400.00
|
100.00%
|
N/A
|
100.00%
|
4,180.00
|
90.00%
|
N/A
|
90.00%
|
3,960.00
|
80.00%
|
N/A
|
80.00%
|
3,740.00
|
70.00%
|
N/A
|
70.00%
|
3,630.00
|
65.00%
|
N/A
|
65.00%
|
3,300.00
|
50.00%
|
N/A
|
50.00%
|
3,080.00
|
40.00%
|
N/A
|
40.00%
|
2,860.00
|
30.00%
|
N/A
|
30.00%
|
2,640.00
|
20.00%
|
N/A
|
20.00%
|
2,420.00
|
10.00%
|
N/A
|
10.00%
|
2,310.00
|
5.00%
|
N/A
|
5.00%
|
2,255.00
|
2.50%
|
N/A
|
2.50%
|
2,200.00
|
0.00%
|
N/A
|
0.00
%
|
2,145.00
|
-2.50%
|
2.50%
|
2.50%
|
2,090.00
|
-5.00%
|
5.00%
|
5.00%
|
1,980.00
|
-10.00%
|
10.00%
|
10.00%
|
1,870.00
|
-15.00%
|
15.00%
|
15.00%
|
1,760.00
|
-20.00%
|
20.00%
|
20.00%
|
1,540.00
|
-30.00%
|
30.00%
|
30.00%
|
1,362.90
|
-38.05%
|
38.05%
|
38.05%
|
1,362.68
|
-38.06%
|
N/A
|
-38.06%
|
1,320.00
|
-40.00%
|
N/A
|
-40.00%
|
1,100.00
|
-50.00%
|
N/A
|
-50.00%
|
880.00
|
-60.00%
|
N/A
|
-60.00%
|
660.00
|
-70.00%
|
N/A
|
-70.00%
|
440.00
|
-80.00%
|
N/A
|
-80.00%
|
220.00
|
-90.00%
|
N/A
|
-90.00%
|
0.00
|
-100.00%
|
N/A
|
-100.00%
|
JPMorgan Structured Investments —
Capped Dual Directional Contingent Buffered Equity Notes Linked to the S&P 500
®
Index
|
PS-
2
|
JPMorgan Structured Investments —
Capped Dual Directional Contingent Buffered Equity Notes Linked to the S&P 500
®
Index
|
PS-
3
|
·
|
CAPPED, UNLEVERAGED APPRECIATION POTENTIAL IF THE INDEX RETURN IS POSITIVE
— The notes provide the opportunity to earn a capped, unleveraged return equal to a positive Index Return, up to the Maximum Upside Return of 200.00%. Accordingly, the maximum payment at maturity if the Index Return is positive is $3,000 per $1,000 principal amount note.
Because the notes are our unsecured and unsubordinated obligations, the payment of which is fully and unconditionally guaranteed by JPMorgan Chase & Co., payment of any amount on the notes is subject to our ability to pay our obligations as they become due and JPMorgan Chase & Co.’s ability to pay its obligations as they become due.
|
· |
POTENTIAL FOR UP TO A 38.05% RETURN ON THE NOTES EVEN IF THE INDEX RETURN IS NEGATIVE
— If the Ending Index Level is less than the Initial Index Level by up to the Contingent Buffer Amount, you will earn a positive, unleveraged return on the notes equal to the Absolute Index Return. Under these circumstances, you will earn a positive return on the notes even though the Ending Index Level is less than the Initial Index Level. For example, if the Index Return is -5%, the Absolute Index Return will equal 5%. Because the payment at maturity will not reflect the Absolute Index Return if the Ending Index Level is less than the Initial Index Level by more than the Contingent Buffer Amount of 38.05%, your maximum payment at maturity if the Index Return is negative is $1,380.50 per $1,000 principal amount note.
|
· |
RETURN LINKED TO THE S&P 500
®
INDEX
— The S&P 500
®
Index consists of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For additional information about the S&P 500
®
Index, see the information set forth under “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying underlying supplement.
|
· |
TAX TREATMENT
—
You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-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.
|
JPMorgan Structured Investments —
Capped Dual Directional Contingent Buffered Equity Notes Linked to the S&P 500
®
Index
|
PS-
4
|
· |
YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS
— The notes do not guarantee any return of principal. The return on the notes at maturity is linked to the performance of the Index and will depend on whether, and the extent to which, the Index Return is positive or negative. If the Ending Index Level is less than the Initial Index Level by more than the Contingent Buffer Amount of 38.05%, you will lose 1% of the principal amount of your notes for every 1% that the Ending Index Level is less than the Initial Index Level. Accordingly, under these circumstances, you will lose more than 38.05% of your principal amount at maturity and may lose all of your principal amount at maturity.
|
· |
YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE MAXIMUM UPSIDE RETURN AND THE CONTINGENT BUFFER AMOUNT
— If the Ending Index Level is greater than the Initial Index Level, for each $1,000 principal amount note, you will receive at maturity $1,000
plus
an additional return that will not exceed the Maximum Upside Return of 200.00%, regardless of the appreciation in the Index, which may be significant. In addition, if the Ending Index Level is less than the Initial Index Level by up to the Contingent Buffer Amount of 38.05%, you will receive at maturity $1,000
plus
an additional return equal to the Absolute Index Return, up to 38.05%. Because the payment at maturity will not reflect the Absolute Index Return if the Ending Index Level is less than the Initial Index Level by more than the Contingent Buffer Amount of 38.05%, your maximum payment at maturity is $1,380.50 per $1,000 principal amount note.
|
· |
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO.
— The notes are subject to our and JPMorgan Chase & Co.’s credit risks, and our and JPMorgan Chase & Co.’s credit ratings and credit spreads may adversely affect the market value of the notes. Investors are dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely affect the value of the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed to you under the notes and you could lose your entire investment.
|
· |
AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS —
As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of our securities. Aside from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates to make payments under loans made by us or other intercompany agreements. As a result, we are dependent upon payments from our affiliates to meet our obligations under the notes. If these affiliates do not make payments to us and we fail to make payments on the notes, you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
|
· |
POTENTIAL CONFLICTS
— We and our affiliates play a variety of roles in connection with the issuance of the notes, including acting as calculation agent and as an agent of the offering of the notes, hedging our obligations under the notes and making the assumptions used to determine the pricing of the notes and the estimated value of the notes when the terms of the notes are set, which we refer to as the estimated value of the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests and the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the notes. In addition, our and JPMorgan Chase & Co.’s business activities, including hedging and trading activities, could cause our and JPMorgan Chase & Co.’s economic interests to be adverse to yours and could adversely affect any payment on the notes and the value of the notes. It is possible that hedging or trading activities of ours or our affiliates in 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.
|
· |
THE BENEFIT PROVIDED BY THE CONTINGENT BUFFER AMOUNT MAY TERMINATE ON THE FINAL ENDING AVERAGING DATE
— If the Ending Index Level is less than the Initial Index Level by more than the Contingent Buffer Amount, the benefit provided by the Contingent Buffer Amount will terminate and you will be fully exposed to any depreciation in the Index.
|
· |
THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES
— The estimated value of the notes is only an estimate determined by reference to several factors. The original issue price of the notes exceeds the estimated value of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. See “The Estimated Value of the Notes” in this pricing supplement.
|
· |
THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES
— 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
|
JPMorgan Structured Investments —
Capped Dual Directional Contingent Buffered Equity Notes Linked to the S&P 500
®
Index
|
PS-
5
|
· |
THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE
— The internal funding rate used in the determination of the estimated value of the notes is based on, among other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any secondary market prices of the notes. See “The Estimated Value of the Notes” in this pricing supplement.
|
· |
THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD
— We generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period. These costs can include projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates for structured debt issuances. See “Secondary Market Prices of the Notes” in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account statements).
|
· |
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 consideration for information about additional factors that will impact any secondary market prices of the notes.
|
· |
SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS
— The secondary market price of the notes during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and the level of the Index, including:
|
·
|
any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
|
· |
customary bid-ask spreads for similarly sized trades;
|
· |
our internal secondary market funding rates for structured debt issuances;
|
· |
the actual and expected volatility of the Index;
|
· |
the time to maturity of the notes;
|
· |
the dividend rates on the equity securities included in the Index;
|
· |
interest and yield rates in the market generally; and
|
· |
a variety of other economic, financial, political, regulatory and judicial events.
|
· |
NO INTEREST OR DIVIDEND PAYMENTS OR VOTING RIGHTS
— As a holder of the notes, you will not receive interest payments, and you will not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of securities
included in
the Index would have.
|
· |
VOLATILITY RISK
— Greater expected volatility with respect to the Index indicates a greater likelihood as of the Pricing Date that the Ending Index Level could be less than the Initial Index Level by more than the Contingent Buffer Amount. The Index’s volatility, however, can change significantly over the term of the notes. The Index closing level could fall sharply during the term of the notes, which could result in your losing some or all of your principal amount at maturity.
|
· |
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
|
JPMorgan Structured Investments —
Capped Dual Directional Contingent Buffered Equity Notes Linked to the S&P 500
®
Index
|
PS-
6
|
JPMorgan Structured Investments —
Capped Dual Directional Contingent Buffered Equity Notes Linked to the S&P 500
®
Index
|
PS-
7
|
JPMorgan Structured Investments —
Capped Dual Directional Contingent Buffered Equity Notes Linked to the S&P 500
®
Index
|
PS-
8
|
JPMorgan Structured Investments —
Capped Dual Directional Contingent Buffered Equity Notes Linked to the S&P 500
®
Index
|
PS-
9
|
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