Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-209682 and
333-209682-01
Pricing Supplement to
the Prospectus and Prospectus Supplement, each dated April 15, 2016
,
the Underlying Supplement No. 1-I dated April 15, 2016
and
the Product Supplement No. 4-I dated April 15, 2016
JPMorgan
Chase Financial Company LLC
Medium-Term
Notes, Series A
$1,000,000
Capped Buffered Enhanced Participation Equity Notes due 2019
(Linked to the MSCI EAFE
®
Index)
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
The notes do not bear interest.
The amount
that you will be paid on your notes on the stated maturity date (January 10, 2019, subject to adjustment) is based on the performance
of the MSCI EAFE
®
Index (which we refer to as the underlier) as measured from and including the trade date (May
22, 2017) to and including the determination date (January 7, 2019, subject to adjustment). If the final underlier level
on the determination date is greater than the initial underlier level, the return on your notes will be positive, subject to the
maximum settlement amount of $1,196.50 for each $1,000 principal amount note. If the final underlier level declines
by up to 10.00% from the initial underlier level, you will receive the principal amount of your notes. If the final
underlier level declines by more than 10.00% from the initial underlier level, the return on your notes will be negative.
You
could lose your entire investment in the notes. Any payment on the notes is subject to the credit risk of JPMorgan Chase
Financial Company LLC (“JPMorgan Financial”), as issuer of the notes, and the credit risk of JPMorgan Chase & Co.,
as guarantor of the notes.
To determine your payment at maturity, we will calculate the
underlier return, which is the percentage increase or decrease in the final underlier level from the initial underlier level. On
the stated maturity date, for each $1,000 principal amount note, you will receive an amount in cash equal to:
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·
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if the underlier return is
positive
(the final underlier level is
greater than
the initial underlier level),
the
sum
of (i) $1,000
plus
(ii) the
product
of (a) $1,000
times
(b) 1.50
times
(c) the underlier
return, subject to the maximum settlement amount;
|
|
·
|
if the underlier return is
zero
or
negative
but
not below
-10.00% (the final underlier level is
equal
to
or
less than
the initial underlier level but not by more than 10.00%), $1,000; or
|
|
·
|
if the underlier return is
negative
and is
below
-10.00% (the final underlier level is
less than
the initial
underlier level by more than 10.00%), the
sum
of (i) $1,000
plus
(ii) the
product
of (a) $1,000
times
(b) approximately 1.1111
times
(c) the
sum
of the underlier return
plus
10.00%. You will receive
less than $1,000.
|
Your investment in the notes involves certain risks, including,
among other things, our credit risk. See “Risk Factors” on page PS-10 of the accompanying product supplement,
“Risk Factors” on page US-2 of the accompanying underlying supplement and “Selected Risk Factors” on page
PS-12 of this pricing supplement.
The foregoing is only a brief summary of the terms of your notes. You
should read the additional disclosure provided herein so that you may better understand the terms and risks of your investment.
The estimated value of the notes, when the terms of the
notes were set, was $997.70 per $1,000 principal amount note.
See “Summary Information — The Estimated
Value of the Notes” on page PS-7 of this pricing supplement for additional information about the estimated value of the notes
and “Summary Information — Secondary Market Prices of the Notes” on page PS-8 of this pricing supplement for
information about secondary market prices of the notes.
Original issue date (settlement date):
May 30, 2017
Original issue price:
100.00% of the principal amount
Underwriting commission/discount:
0.00% of the principal
amount
Net proceeds to the issuer:
100.00% of the principal amount
See “Summary Information — Supplemental Use of Proceeds”
on page PS-8 of this pricing supplement for information about the components of the original issue price of the notes.
J.P. Morgan Securities LLC, which we refer to as JPMS, acting
as agent for JPMorgan Financial, will not receive selling commissions for these notes and will sell the notes to an unaffiliated
dealer at 100.00% of the principal amount.
See “Plan of Distribution (Conflicts of Interest)” on
page PS-88 of the accompanying product supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any other regulatory body has approved or disapproved of these securities or passed upon the accuracy or adequacy of this pricing
supplement, the accompanying product supplement, the accompanying underlying supplement, the accompanying prospectus supplement
or the accompanying prospectus. Any representation to the contrary is a criminal offense.
The notes are not bank deposits, are not insured by the Federal
Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Pricing Supplement dated May 22, 2017
The original issue price, fees and commissions and net proceeds
listed above relate to the notes we sell initially. We may decide to sell additional notes after the date of this pricing
supplement, at issue prices and with fees and commission and net proceeds that differ from the amounts set forth above. The
return (whether positive or negative) on your investment in notes will depend in part on the price you pay for your notes.
We may use this pricing supplement in the initial sale of the
notes. In addition, JPMS or any other affiliate of ours may use this pricing supplement in a market-making transaction
in a note after its initial sale.
Unless JPMS or its agents inform the purchaser otherwise in the confirmation
of sale, this pricing supplement is being used in a market-making transaction.
SUMMARY
INFORMATION
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 and the accompanying underlying
supplement.
This pricing supplement, together with the documents listed below, contains the terms of the notes and
supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative
pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational
materials of ours.
You should carefully consider, among other things, the matters set forth in the “Risk Factors”
sections of the accompanying product supplement and the accompanying underlying supplement, as the notes involve risks not associated
with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers
before you invest in the notes.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
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●
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Product supplement no. 4-I dated April 15, 2016:
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http://www.sec.gov/Archives/edgar/data/19617/000095010316012644/crt_dp64831-424b2.pdf
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●
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Underlying supplement no. 1-I dated April 15, 2016:
|
http://www.sec.gov/Archives/edgar/data/19617/000095010316012649/crt-dp64909_424b2.pdf
|
●
|
Prospectus supplement and prospectus, each dated April
15, 2016:
|
http://www.sec.gov/Archives/edgar/data/19617/000095010316012636/crt_dp64952-424b2.pdf
Our Central Index Key, or CIK, on the SEC website is 1665650,
and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us”
and “our” refer to JPMorgan Financial.
Key Terms
Issuer:
JPMorgan Chase Financial Company LLC, an indirect,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor:
JPMorgan Chase & Co.
Underlier:
the MSCI EAFE
®
Index (Bloomberg
symbol, “MXEA Index”), as maintained by MSCI Inc. (“MSCI”). The accompanying product supplement
refers to the underlier as the “Index.”
Principal amount:
each note will have a principal amount
of $1,000; $1,000,000 in the aggregate for all the offered notes; the aggregate principal amount of the offered notes may be increased
if the issuer, at its sole option, decides to sell an additional amount of the offered notes on a date subsequent to the date of
this pricing supplement
Purchase at amount other than principal amount:
the amount
we will pay you at the stated maturity date for your notes will not be adjusted based on the price you pay for your notes, so if
you acquire notes at a premium to the principal amount and hold them to the stated maturity date, it could affect your investment
in a number of ways. The return on your investment in the notes will be lower than it would have been had you purchased
the notes at the principal amount. Also, the stated buffer level would not offer the same benefit to your investment
as would be the case if you had purchased the notes at the principal amount. Additionally, the cap level would be triggered
at a lower percentage return than indicated below, relative to your initial investment. See “Selected Risk Factors
— If You Purchase Your Notes at a Premium to the Principal Amount, the Return on Your Investment Will Be Lower Than the Return
on Notes Purchased at the Principal Amount and the Impact of Certain Key Terms of the Notes Will Be Negatively Affected”
on page PS-15 of this pricing supplement.
Payment on the stated maturity date:
for each $1,000 principal
amount note, we will pay you on the stated maturity date an amount in cash equal to:
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·
|
if the final underlier level is
greater than
or
equal to
the cap level, the maximum settlement amount;
|
|
·
|
if the final underlier level is
greater than
the initial underlier level but
less than
the cap level, the
sum
of (i) $1,000
plus
(ii) the
product
of (a) $1,000
times
(b) the upside participation rate
times
(c)
the underlier return;
|
|
·
|
if the final underlier level is
equal to
or
less than
the initial underlier level but
greater than
or
equal to
the buffer level, $1,000; or
|
|
·
|
if the final underlier level is
less than
the buffer level, the
sum
of (i) $1,000
plus
(ii) the
product
of (a) $1,000
times
(b) the buffer rate
times
(c) the
sum
of the underlier return
plus
the buffer amount. You
will receive less than $1,000.
|
Initial underlier level (the closing level of the underlier
on the trade date):
1,893.34. The accompanying product supplement refers to the initial underlier level as the “Initial
Value.”
Final underlier level:
the closing level of the underlier
on the determination date. In certain circumstances, the closing level of the underlier will be based on the alternative
calculation of the underlier 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)” on page PS-45
of the accompanying product supplement or “The Underlyings — Indices — Discontinuation of an Index; Alteration
of Method of Calculation” on page PS-70 of the accompanying product supplement. The accompanying product supplement
refers to the final underlier level as the “Final Value.”
Underlier return:
the
quotient
of (i) the final
underlier level
minus
the initial underlier level
divided
by (ii) the initial underlier level, expressed as a percentage
Upside participation rate:
1.50
Cap level:
113.10% of the initial underlier level
Maximum settlement amount:
$1,196.50
Buffer level:
90.00% of the initial underlier level
Buffer amount:
10.00%
Buffer rate:
the
quotient
of the initial underlier
level
divided
by the buffer level, which equals approximately 1.1111
Trade date:
May 22, 2017
Original issue date (settlement date):
May 30, 2017
Determination date:
January 7, 2019, 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)”
on page PS-45 of the accompanying product supplement
Stated maturity date:
January 10, 2019, subject to postponement
in the event of a market disruption event and as described under “General Terms of Notes — Postponement of a Payment
Date” on page PS-45 of the accompanying product supplement. The accompanying product supplement refers to the
stated maturity date as the “maturity date.”
No interest:
The offered notes do not bear interest.
No listing:
The offered notes will not be listed on any
securities exchange or interdealer quotation system.
No redemption:
The offered notes will not be subject to
redemption right or price dependent redemption right.
Closing level:
as described under “The Underlyings
— Indices — Level of an Index” on page PS-66 of the accompanying product supplement
Business day:
as described under “General Terms
of Notes — Postponement of a Payment Date” on page PS-45 of the accompanying product supplement
Scheduled trading day:
notwithstanding anything to the
contrary under “General Terms of Notes — Postponement of a Determination Date — Additional Defined Terms”
on page PS-49 of the accompanying product supplement, for the purposes of the notes offered by this pricing supplement, a “scheduled
trading day” means, with respect to the underlier or any relevant successor index (as defined in the accompanying product
supplement), a day, as determined by the calculation agent, on which (i) the Index Sponsor (as defined in the accompanying product
supplement) of the underlier or that successor index, as applicable, is scheduled to publish the closing level of the underlier
or that successor index, as applicable, and (ii) each exchange or quotation system where trading has a material effect (as determined
by the calculation agent) on the overall market for futures or options contracts relating to the underlier or that successor index,
as applicable, is scheduled to be open for trading for its regular trading session.
Disrupted day:
notwithstanding anything to the contrary
under “General Terms of Notes — Postponement of a Determination Date — Additional Defined Terms” on page
PS-49 of the accompanying product supplement, for the purposes of the notes offered by this pricing supplement, a “disrupted
day” means, with respect to the underlier or any relevant successor index, (a) a day that is not a scheduled trading day
or (b) a scheduled trading day on which (i) the closing level of the underlier or that successor index, as applicable, is not calculated
and published by the Index Sponsor of the underlier or that successor index, as applicable, (ii) any exchange or quotation system
where trading has a material effect (as determined by the calculation agent) on the overall market for futures or options contracts
relating to the underlier or that successor index, as applicable, fails to open for trading during its regular trading session
or (iii) a market disruption event has occurred.
Use of proceeds and hedging:
as described under “Use
of Proceeds and Hedging” on page PS-44 of the accompanying product supplement, as supplemented by “ — Supplemental
Use of Proceeds” below
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.
Based on current market conditions, in the opinion of our special
tax counsel it is reasonable to treat the notes as “open transactions” that are not debt instruments for U.S. federal
income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences to
U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement. Assuming
this treatment is respected, the gain or loss on your notes should be treated as long-term capital gain or loss if you hold your
notes for more than a year, whether or not you are an initial purchaser of notes at the issue price. However, the IRS
or a court may not respect this treatment, in which case the timing and character of any income or loss on the notes could be materially
and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S.
federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses
in particular on whether to require investors in these instruments to accrue income over the term of their investment. It
also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments;
the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any,
to which income (including any mandated accruals) realized by non-U.S. investors should be subject to
withholding tax; and whether these instruments are or should
be subject to the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term
capital gain as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate
transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues
could materially and adversely affect the tax consequences of an investment in the notes, possibly with retroactive effect. You
should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, including possible
alternative treatments and the issues presented by this notice.
Withholding under legislation commonly referred to as “FATCA”
may (if the notes are recharacterized as debt instruments) apply to amounts treated as interest paid with respect to the notes,
as well as to payments of gross proceeds of a taxable disposition, including redemption at maturity, of a note. However, under
a recent IRS notice, this regime will not apply to payments of gross proceeds (other than any amount treated as interest) with
respect to dispositions occurring before January 1, 2019. You should consult your tax adviser regarding the potential application
of FATCA to the notes.
ERISA:
as described under “Benefit Plan Investor
Considerations” on page PS-100 of the accompanying product supplement
Supplemental plan of distribution:
as described under
“Plan of Distribution (Conflicts of Interest)” on page PS-88 of the accompanying product supplement; we estimate that
our share of the total offering expenses will be approximately $10,000. We have agreed to sell to JPMS, and JPMS has
agreed to purchase from us, the aggregate principal amount of the notes specified on the front cover of this pricing supplement. JPMS
proposes initially to offer the notes to the public at the original issue price set forth on the cover page of this pricing supplement,
and to certain unaffiliated securities dealers at that price.
We will deliver the notes against payment therefor in New York,
New York on May 30, 2017, which is the fifth scheduled business day following the date of this pricing supplement and of the pricing
of the notes. Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally
are required to settle in three business days, unless the parties to any such trade expressly agree otherwise. Accordingly,
purchasers who wish to trade notes on any date prior to three business days before delivery will be required, by virtue of the
fact that the notes will initially settle in five business days (T + 5), to specify alternative settlement arrangements to prevent
a failed settlement.
Conflicts of interest:
JPMS has a “conflict of interest”
within the meaning of FINRA Rule 5121 in any offering of the notes in which it participates because JPMorgan Chase & Co. owns,
directly or indirectly, all of the outstanding equity securities of JPMS, because JPMS and we are under common control by JPMorgan
Chase & Co. and because the net proceeds received from the sale of the notes will be used, in part, by JPMS or its affiliates
in connection with hedging our obligations under the notes. The offering of the notes will comply with the requirements of Rule
5121 of Financial Industry Regulatory Authority, Inc. (“FINRA”) regarding a FINRA member firm’s underwriting
of securities of an affiliate. In accordance with FINRA Rule 5121, neither JPMS nor any other affiliated agent of ours may make
sales in the offering of the notes to any of its discretionary accounts without the specific written approval of the customer.
Calculation agent:
JPMS
CUSIP no.:
46647MCS0
ISIN no.:
US46647MCS08
FDIC:
the notes are not bank deposits and are not insured
by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed by, a
bank.
Supplemental Terms of the Notes
For purposes of the notes offered by this pricing supplement,
(a) any reference to “calculating the closing level of
that Index last in effect prior to the commencement of the market disruption event (or prior to the non-trading day)” 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” in the accompanying product
supplement will be deemed to refer to “calculating the closing level of that Index last in effect prior to the commencement
of the initial Disrupted Day”; and
(b) all references to each of the following terms used in the
accompanying product supplement will be deemed to refer to the corresponding term used in this pricing supplement, as set forth
in the table below:
Product Supplement Term
|
Pricing Supplement Term
|
Index
|
underlier
|
Initial Value
|
initial underlier level
|
Final Value
|
final underlier level
|
pricing date
|
trade date
|
maturity date
|
stated maturity date
|
term sheet
|
preliminary pricing supplement
|
In addition, the following terms used in this pricing supplement
are not defined in the accompanying product supplement: underlier return, upside participation rate, maximum settlement amount,
cap level, buffer level, buffer amount and buffer rate. Accordingly, please refer to “Key Terms” on page
PS-3 of this pricing supplement for the definitions of these terms.
The Estimated Value of the Notes
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, set forth on the cover of this pricing supplement is equal to the
sum of the values of the following hypothetical components: (1) a fixed-income debt component with the same maturity as the notes,
valued using the internal funding rate described below, and (2) the derivative or derivatives underlying the economic terms of
the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing to buy
your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination
of the estimated value of the notes is based on, among other things, our and our affiliates’ view of the funding value of
the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison to those
costs for the conventional fixed-rate debt of JPMorgan Chase & Co. For additional information, see “Selected
Risk Factors — The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate” on page PS-13
of this pricing supplement. The value of the derivative or derivatives underlying the economic terms of the notes is
derived from internal pricing models of our affiliates. These models are dependent on inputs such as the traded market
prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which can include
volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments. Accordingly,
the estimated value of the notes is determined when the terms of the notes are set based on market conditions and other relevant
factors and assumptions existing at that time. See “Selected Risk Factors — The Estimated Value of the Notes
Does Not Represent Future Values of the Notes and May Differ from Others’ Estimates” on page PS-13 of this pricing
supplement.
The estimated value of the notes is lower than the original issue
price of the notes because costs associated with structuring and hedging the notes are included in the original issue price of
the notes. These costs include the projected profits, if any, that our affiliates expect to realize for assuming risks
inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. Because
hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may result in a profit
that is more or less than expected, or it may result in a loss. A portion of the profits realized in hedging our obligations
under the notes, if any, may be allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will
retain any remaining hedging profits. See “Selected Risk Factors — The Estimated Value of the Notes Is Lower
Than the Original Issue Price of the Notes” on page PS-13 of this pricing supplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondary
market prices of the notes, see “Selected Risk Factors — Secondary Market Prices of the Notes Will Be Impacted by Many
Economic and Market Factors” on page PS-14 of this pricing supplement. In addition, we generally expect that some
of the costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases
of your notes by JPMS in an amount that will decline to zero over the period from the trade date through August 22, 2017. The
length of any such initial period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection
with our hedging activities, the estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates. See
“Selected Risk Factors — 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” on page PS-13 of
this pricing supplement.
Supplemental Use of Proceeds
The notes are offered to meet investor demand for products that
reflect the risk-return profile and market exposure provided by the notes. See “Hypothetical Examples” on
page PS-9 of this pricing supplement for an illustration of the risk-return profile of the notes and “The Underlier”
on page PS-17 of this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the estimated
value of the notes plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent
in hedging our obligations under the notes, plus the estimated cost of hedging our obligations under the notes.
Validity of the Notes and the Guarantee
In the opinion
of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes
offered by this pricing supplement have been executed and issued by JPMorgan Financial and authenticated by the trustee pursuant
to the indenture, and delivered against payment as contemplated herein, such notes will be valid and binding obligations of JPMorgan
Financial and the related guarantee will constitute a valid and binding obligation of JPMorgan Chase & Co., enforceable in
accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally,
concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith,
fair dealing and the lack of bad faith),
provided
that such counsel expresses no opinion as to the effect of fraudulent
conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above. This opinion
is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State of
Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions
about the trustee’s authorization, execution and delivery of the indenture and its authentication of the notes and the validity,
binding nature and enforceability of the indenture with respect to the trustee, all as stated in the letter of such counsel dated
February 24, 2016, which was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase
& Co. on February 24, 2016.
HYPOTHETICAL EXAMPLES
The following table and chart are provided for purposes of illustration
only. They should not be taken as an indication or prediction of future investment results and are intended merely to
illustrate the impact that the various hypothetical underlier levels on the determination date could have on the payment at maturity
assuming all other variables remain constant.
The examples below are based on a range of final underlier levels
that are entirely hypothetical; no one can predict what the underlier level will be on any day throughout the term of your notes,
and no one can predict what the final underlier level will be on the determination date. The underlier has been highly
volatile in the past — meaning that the underlier level has changed considerably in relatively short periods — and
its performance cannot be predicted for any future period.
The information in the following examples reflects hypothetical
rates of return on the offered notes assuming that they are purchased on the original issue date at the principal amount and held
to the stated maturity date. If you sell your notes in a secondary market prior to the stated maturity date, your return
will depend upon the market value of your notes at the time of sale, which may be affected by a number of factors that are not
reflected in the table below, such as interest rates, the volatility of the underlier and our and JPMorgan Chase & Co.’s
creditworthiness. In addition, the estimated value of the notes is less than the original issue price. For
more information on the estimated value of the notes, see “Summary Information — The Estimated Value of the Notes”
on page PS-7 of this pricing supplement. The information in the table also reflects the key terms and assumptions in
the box below.
Key Terms and Assumptions
|
Principal amount
|
$1,000
|
Upside participation rate
|
1.50
|
Cap level
|
113.10% of the initial underlier level
|
Maximum settlement amount
|
$1,196.50
|
Buffer level
|
90.00% of the initial underlier level
|
Buffer rate
|
approximately 1.1111
|
Buffer amount
|
10.00%
|
The originally scheduled determination date is not a disrupted
day
During the term of the notes, the underlier is not discontinued,
the method of calculating the underlier does not change in any material respect and the underlier is not modified so that its level
does not, in the opinion of the calculation agent, fairly represent the level of the underlier had those modifications not been
made
Notes purchased on original issue date at the principal amount
and held to the stated maturity date
|
For these reasons, the actual performance of the underlier over
the term of your notes, as well as the amount payable at maturity, if any, may bear little relation to the hypothetical examples
shown below or to the historical underlier levels shown elsewhere in this pricing supplement. For information about
the historical levels of the underlier during recent periods, see “The Underlier — Historical Closing Levels of the
Underlier” below. Before investing in the offered notes, you should consult publicly available information to
determine the levels of the underlier between the date of this pricing supplement and the date of your purchase of the offered
notes.
Also, the hypothetical examples shown below do not take into
account the effects of applicable taxes. Because of the U.S. tax treatment applicable to your notes, tax liabilities
could affect the after-tax rate of return on your notes to a comparatively greater extent than the after-tax return on the underlier
stocks.
The levels in the left column of the table below represent hypothetical
final underlier levels and are expressed as percentages of the initial underlier level. The amounts in the right column
represent the hypothetical payments at maturity, based on the corresponding hypothetical final underlier level (expressed as a
percentage of the initial underlier level), and are expressed as percentages of the principal amount of a note (rounded to the
nearest one-thousandth of a percent). Thus, a hypothetical
payment at maturity of 100.000% means that the value of the cash
payment that we would deliver for each $1,000 of the outstanding principal amount of the offered notes on the stated maturity date
would equal 100.000% of the principal amount of a note, based on the corresponding hypothetical final underlier level (expressed
as a percentage of the initial underlier level) and the assumptions noted above.
Hypothetical Final Underlier Level
(as Percentage of Initial Underlier Level)
|
Hypothetical Payment at Maturity
(as Percentage of Principal Amount)
|
150.000%
|
119.650%
|
140.000%
|
119.650%
|
130.000%
|
119.650%
|
120.000%
|
119.650%
|
113.100%
|
119.650%
|
110.000%
|
115.000%
|
105.000%
|
107.500%
|
102.500%
|
103.750%
|
100.000%
|
100.000%
|
95.000%
|
100.000%
|
90.000%
|
100.000%
|
80.000%
|
88.889%
|
75.000%
|
83.333%
|
50.000%
|
55.556%
|
25.000%
|
27.778%
|
0.000%
|
0.000%
|
If, for example, the final underlier level were determined to
be 25.000% of the initial underlier level, the payment that we would deliver on your notes at maturity would be approximately 27.778%
of the principal amount of your notes, as shown in the table above. As a result, if you purchased your notes on the
original issue date at the principal amount and held them to the stated maturity date, you would lose approximately 72.222% of
your investment (if you purchased your notes at a premium to principal amount you would lose a correspondingly higher percentage
of your investment). In addition, if the final underlier level were determined to be 150.000% of the initial underlier
level, the payment that we would deliver on your notes at maturity would be capped at the maximum settlement amount (expressed
as a percentage of the principal amount), or 119.650% of each $1,000 principal amount note, as shown in the table above. As
a result, if you held your notes to the stated maturity date, you would not benefit from any increase in the final underlier level
over 113.100% of the initial underlier level.
The following chart also shows a graphical illustration of the
hypothetical payments at maturity (expressed as a percentage of the principal amount of your notes) that we would pay on your notes
on the stated maturity date, if the final underlier level (expressed as a percentage of the initial underlier level) were any of
the hypothetical levels shown on the horizontal axis. The chart shows that any hypothetical final underlier level (expressed
as a percentage of the initial underlier level) of less than 90.000% (the section left of the 90.000% marker on the horizontal
axis) would result in a hypothetical payment at maturity of less than 100.000% of the principal amount of your notes (the section
below the 100.000% marker on the vertical axis) and, accordingly, in a loss of principal to the holder of the notes. The
chart also shows that any hypothetical final underlier level (expressed as a percentage of the initial underlier level) of greater
than or equal to 113.100% (the section right of the 113.100% marker on the horizontal axis) would result in a capped return on
your investment.
The payments at maturity shown above are entirely hypothetical;
they are based on closing levels for the underlier that may not be achieved on the determination date and on assumptions that may
prove to be erroneous. The actual market value of your notes on the stated maturity date or at any other time, including
any time you may wish to sell your notes, may bear little relation to the hypothetical payments at maturity shown above, and these
amounts should not be viewed as an indication of the financial return on an investment in the offered notes. The hypothetical
payments at maturity on notes held to the stated maturity date in the examples above assume you purchased your notes at their principal
amount and have not been adjusted to reflect the actual price you pay for your notes. The return on your investment
(whether positive or negative) in your notes will be affected by the amount you pay for your notes. If you purchase
your notes for a price other than the principal amount, the return on your investment will differ from, and may be significantly
lower than, the hypothetical returns suggested by the above examples. Please read “Selected Risk Factors —
Secondary Market Prices of the Notes Will Be Impacted by Many Economic and Market Factors” on page PS-14 of this pricing
supplement.
The hypothetical returns on the notes shown above apply
only
if you hold the notes for their entire term
. 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 shown above
would likely be lower.
We cannot predict the actual final
underlier level or what the market value of your notes will be on any particular day, nor can we predict the relationship between
the underlier level and the market value of your notes at any time prior to the stated maturity date. The actual amount
that you will receive, if any, at maturity and the rate of return on the offered notes will depend on the actual final underlier
level determined by the calculation agent as described above. Moreover, the assumptions on which the hypothetical returns
are based may turn out to be inaccurate. Consequently, the amount of cash to be paid in respect of your notes, if any,
on the stated maturity date may be very different from the information reflected in the table and chart above.
Selected
Risk Factors
An investment in your notes is subject
to the risks described below, as well as the risks described under the “Risk Factors” sections of the accompanying
product supplement and the accompanying underlying supplement. Your notes are a riskier investment than ordinary debt
securities. Also, your notes are not equivalent to investing directly in the underlier stocks, i.e., the stocks underlying
the underlier to which your notes are linked. You should carefully consider whether the offered notes are suited to
your particular circumstances.
You May Lose Some or All of Your Investment
in the Notes
The notes do not guarantee any return of principal. The
return on the notes at maturity is linked to the performance of the underlier and will depend on whether, and the extent to which,
the underlier return is positive or negative. Your investment will be exposed to loss on a leveraged basis if the final
underlier level is less than the initial underlier level by more than 10%. For every 1% that the final underlier level
is less than the initial underlier level by more than 10%, you will lose an amount equal to approximately 1.1111% of the principal
amount of your notes. Accordingly, you could lose some or all of your initial investment at maturity. Also,
the market price of your notes prior to the stated maturity date may be significantly lower than the purchase price you pay for
your notes. Consequently, if you sell your notes before the stated maturity date, you may receive far less than the
amount of your investment in the notes.
Your Maximum Gain on the Notes Is Limited
to the Maximum Settlement Amount
If the final underlier level is greater than the initial underlier
level, for each $1,000 principal amount note, you will receive at maturity a payment that will not exceed the maximum settlement
amount, regardless of the appreciation in the underlier, which may be significant. Accordingly, the amount payable on
your notes may be significantly less than it would have been had you invested directly in the underlier. The maximum
settlement amount is $1,196.50.
The Notes Are Subject to the 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 of Interest
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. Also,
the distributor from which you purchase the notes may conduct hedging activities for us in connection with the notes. In
performing these duties, our and JPMorgan Chase & Co.’s economic interests, the economic interests of any distributor
performing such duties 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,
and the business activities of any distributor from which you purchase the notes, 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. If the distributor
from which you purchase notes is to conduct hedging activities for us in connection with the notes, that distributor may profit
in connection with such hedging activities and such profit, if any, will be in addition to the compensation that the distributor
receives for the sale of the notes to you. You should be aware that the potential to earn fees in connection with hedging
activities may create a further incentive for the distributor to sell the notes to you in addition to the compensation they would
receive for the sale of the notes. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest”
on page PS-16 of the accompanying product supplement for additional information about these risks.
The Estimated Value of the Notes Is Lower
Than the Original Issue Price 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 structuring and hedging the notes are included in the original issue price of the notes. These
costs include 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 “Summary Information —
The Estimated Value of the Notes” on page PS-7 of 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 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 “Summary Information
— The Estimated Value of the Notes” on page PS-7 of this pricing supplement.
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 “Summary
Information — The Estimated Value of the Notes” on page PS-7 of 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
“Summary Information — Secondary Market Prices of the Notes” on page
PS-8 of 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 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.
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”
on page PS-16 of this pricing supplement.
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 projected
hedging profits, if any, estimated hedging costs and the level of the underlier, 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 underlier;
|
|
·
|
the time to maturity of the notes;
|
|
·
|
the dividend rates on the underlier stocks;
|
|
·
|
interest and yield rates in the market generally;
|
|
·
|
the exchange rates and the volatility of the exchange rates between the U.S. dollar and the currencies in which the underlier
stocks are traded and the correlation between those rates and the closing levels of the underlier; and
|
|
·
|
a variety of other economic, financial, political, regulatory and judicial events.
|
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.
We May Sell an Additional Aggregate Principal
Amount of the Notes at a Different Issue Price
At our sole option, we may decide to sell an additional aggregate
principal amount of the notes subsequent to the date of this pricing supplement. The issue price of the notes in the
subsequent sale may differ substantially (higher or lower) from the original issue price you paid as provided on the cover of this
pricing supplement.
If You Purchase Your Notes at a Premium
to the Principal Amount, the Return on Your Investment Will Be Lower Than the Return on Notes Purchased at the Principal Amount
and the Impact of Certain Key Terms of the Notes Will Be Negatively Affected
The amount you will be paid for your notes on the stated maturity
date will not be adjusted based on the price you pay for the notes. If you purchase notes at a price that differs from
the principal amount of the notes, then the return on your investment in the notes held to the stated maturity date will differ
from, and may be substantially less than, the return on notes purchased at the principal amount. If you purchase your
notes at a premium to the principal amount and hold them to the stated maturity date the return on your investment in the notes
will be lower than it would have been had you purchased the notes at the principal amount. In addition, the impact of
the buffer level and the cap level on the return on your investment will depend upon the price you pay for your notes relative
to the principal amount. For example, if you purchase your notes at a premium to the principal amount, the cap level
will permit only a lower percentage increase in your investment in the notes than would have been the case for notes purchased
at the principal amount. Similarly, the buffer level, while still providing an increase in the return on the notes if
the final underlier level is greater than or equal to the buffer level but less than the cap level, will allow a greater percentage
decrease in your investment in the notes than would have been the case for notes purchased at the principal amount.
No Interest or Dividend Payments or Voting
Rights
As a holder of the notes, you will not receive interest payments. As
a result, even if the amount payable for your notes on the stated maturity date exceeds the principal amount of your notes, the
overall return you earn on your notes may be less than you would have earned by investing in a non-index-linked debt security of
comparable maturity that bears interest at a prevailing market rate. In addition, as a holder of the notes, you will
not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of the underlier
stocks would have.
The Notes Are Subject to Currency Exchange
Risk
Because the prices of the underlier stocks are converted into
U.S. dollars for purposes of calculating the level of the underlier, holders of the notes will be exposed to currency exchange
rate risk with respect to each of the currencies in which the underlier stocks 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 the underlier stocks
denominated in each of those currencies. If, taking into account the relevant weighting, the U.S. dollar strengthens
against those currencies, the level of the underlier will be adversely affected and the payment at maturity, if any, 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.
|
All of these factors are in turn sensitive to the monetary, fiscal
and trade policies pursued by the governments of the countries issuing those currencies and the United States and other countries
important to international trade and finance.
The Notes Are Subject to Risks Associated
with Securities Issued by Non-U.S. Companies
The underlier stocks 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, and generally non-U.S.
companies are subject to accounting, auditing and financial reporting standards and requirements and securities trading rules different
from those applicable to U.S. reporting companies. The prices of securities in foreign markets may be affected by political,
economic, financial and social factors in those countries, or global regions, including changes in government, economic and fiscal
policies and currency exchange laws.
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.
The Tax Consequences of an Investment
in the Notes Are Uncertain
There is no direct legal authority as to the proper U.S. federal
income tax characterization of the notes, and we do not intend to request a ruling from the IRS. The IRS might not accept,
and a court might not uphold, the treatment of the notes described in “Key Terms — Tax treatment” in this pricing
supplement and in “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement. If
the IRS were successful in asserting an alternative treatment for the notes, the timing and character of any income or loss on
the notes could differ materially and adversely from our description herein. In addition, in 2007 Treasury and the IRS
released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar
instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income
over the term of their investment. It also asks for comments on a number of related topics, including the character
of income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to
which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors
should be subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership”
regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional
interest charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury
regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences
of an investment in the notes, possibly with retroactive effect. You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement and consult your tax adviser regarding the U.S.
federal income tax consequences of an investment in the notes, including possible alternative treatments and the issues presented
by this notice.
THE Underlier
The MSCI EAFE
®
Index is a free float-adjusted market capitalization index intended to measure the equity market performance of certain developed
markets, excluding the United States and Canada. Effective with the November 2015 semi-annual index review, companies
traded outside of their country of classification (
i.e.
, “foreign listed companies”) are eligible for inclusion
in the MSCI Country Investable Market Indexes along with the applicable MSCI Global Index. In order for a MSCI Country
Investable Market Index to be eligible to include foreign listed companies, the relevant country must meet the foreign listing
materiality requirement. To meet the foreign listing materiality requirement, MSCI determines which securities represented
by a foreign listing would be included in a country’s MSCI Country Investable Market Index if foreign securities were eligible
from that country. The aggregate free-float adjusted market capitalization for all such securities should represent
at least (i) 5% of the free float-adjusted market capitalization of the relevant MSCI Country Investable Market Index and (ii)
0.05% of the free-float adjusted market capitalization of the MSCI ACWI Investable Market Index. Once a country meets
the foreign listing materiality requirement, foreign listed companies will remain eligible for inclusion even if changes in free-float
adjusted market capitalization over time cause that requirement no longer to be satisfied. In connection with the November
2015 semi-annual index review, three of the MSCI Country Investable Market Index included in the MSCI EAFE
®
Index
(the MSCI Hong Kong Index, the MSCI Israel Index and the MSCI Netherlands Index) became eligible to include foreign listed companies. The
newly eligible foreign listed securities were added at half their free float-adjusted market capitalization as part of the November
2015 semi-annual index review, and their remaining free float-adjusted market capitalization was added as part of the May 2016
semi-annual index review. For additional information about the MSCI EAFE
®
Index, see the information
set forth under “Equity Index Descriptions — The MSCI Indices” on page US-36 of the accompanying underlying supplement. Additional
information about the underlier is available on the following website: msci.com/index-methodology. We are not incorporating
by reference the website or any material it includes in this pricing supplement.
MSCI
EAFE Index
Underlier Stock Weighting by Country as
of April 28, 2017
Country
:
|
Percentage
(%)*
|
Japan
|
23.09%
|
United Kingdom
|
17.76%
|
France
|
10.47%
|
Germany
|
9.55%
|
Switzerland
|
8.75%
|
Other
|
30.38%
|
* Source: MSCI. Percentages may not sum to 100% due
to rounding.
MSCI divides the companies included in the MSCI EAFE Index into
eleven Global Industry Classification Sectors: Consumer Discretionary, Consumer Staples, Energy, Financials, Health Care, Industrials,
Information Technology, Materials, Real Estate, Telecommunication Services and Utilities.
MSCI
EAFE Index
Underlier Stock Weighting by Sector as
of April 28, 2017
Sector
**
|
Percentage
(%)*
|
Consumer Discretionary
|
12.37%
|
Consumer Staples
|
11.35%
|
Energy
|
4.83%
|
Financials
|
21.39%
|
Health Care
|
10.74%
|
Industrials
|
14.52%
|
Information Technology
|
5.70%
|
Materials
|
7.81%
|
Real Estate
|
3.70%
|
Telecommunication Services
|
4.25%
|
Utilities
|
3.34%
|
* Source: MSCI. Percentages
may not sum to 100% due to rounding.
** Sector designations
are determined by the underlier sponsor using criteria it has selected or developed. Index sponsors may use very different standards
for determining sector designations. In addition, many companies operate in a number of sectors, but are listed in only one sector
and the basis on which that sector is selected may also differ. As a result, sector comparisons between indices with different
index sponsors may reflect differences in methodology as well as actual differences in the sector composition of the indices.
Historical Closing Levels of the Underlier
The closing level of the underlier has fluctuated in the past
and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the closing
level of the underlier during any period shown below is not an indication that the underlier is more or less likely to increase
or decrease at any time during the term of your notes.
You should not take the historical levels of the underlier
as an indication of the future performance of the underlier.
We cannot give you any assurance that the future performance
of the underlier or the underlier stocks will result in a return of any of your initial investment on the stated maturity date. In
light of the increased volatility currently being experienced by the financial services sector and U.S. and global securities markets,
and recent market declines, it may be substantially more likely that you could lose all or a substantial portion of your investment
in the notes.
Neither we nor any of our affiliates make any representation
to you as to the performance of the underlier. The actual performance of the underlier over the term of the offered
notes, as well as the amount payable at maturity, may bear little relation to the historical levels shown below.
The graph below shows the closing levels of the underlier on
each day from January 2, 2012 through May 22, 2017. The closing level of the underlier on May 22, 2017 was 1,893.34. We
obtained the closing levels listed in the graph above and below from the Bloomberg Professional
®
service (“Bloomberg”),
without independent verification.
We and JPMorgan Chase & Co. have not authorized anyone to
provide any information other than that contained or incorporated by reference in this pricing supplement, the accompanying underlying
supplement, the accompanying product supplement and the accompanying prospectus supplement and prospectus with respect to the notes
offered by this pricing supplement and with respect to JPMorgan Financial or JPMorgan Chase & Co. We and JPMorgan
Chase & Co. take no responsibility for, and can provide no assurance as to the reliability of, any other information that others
may give you. This pricing supplement, together with the accompanying underlying supplement, the accompanying product
supplement and the accompanying prospectus supplement and prospectus, 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. The information in this pricing supplement, the accompanying underlying supplement, the accompanying product
supplement and the accompanying prospectus supplement and prospectus may be accurate only as of the dates of each of these documents,
respectively. This pricing supplement, the accompanying underlying supplement, the accompanying product supplement and
the accompanying prospectus supplement and prospectus do not constitute an offer to sell or a solicitation of an offer to buy the
notes in any circumstances in which such offer or solicitation is unlawful.
TABLE OF CONTENTS
Pricing Supplement
Page
Summary Information
|
|
PS-3
|
Hypothetical Examples
|
|
PS-9
|
Selected Risk Factors
|
|
PS-12
|
The Underlier
|
|
PS-17
|
|
|
|
Product Supplement No. 4-I dated April 15, 2016
|
|
Description of Notes
|
|
PS-1
|
Estimated Value and Secondary Market Prices of the Notes
|
|
PS-8
|
Risk Factors
|
|
PS-10
|
Use of Proceeds and Hedging
|
|
PS-44
|
General Terms of Notes
|
|
PS-45
|
The Underlyings
|
|
PS-54
|
Material U.S. Federal Income Tax Consequences
|
|
PS-78
|
Plan of Distribution (Conflicts of Interest)
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PS-88
|
Notice to Investors
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PS-90
|
Benefit Plan Investor Considerations
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PS-100
|
|
|
|
Underlying Supplement No. 1-I dated April 15, 2016
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|
Supplemental Terms of Notes
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US-1
|
Risk Factors
|
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US-2
|
Equity Index Descriptions
|
|
US-21
|
The Dow Jones Industrial Average
TM
|
|
US-21
|
The EURO STOXX 50
®
Index
|
|
US-23
|
The EURO STOXX
®
Banks Index
|
|
US-27
|
The FTSE
®
100 Index
|
|
US-31
|
The JPX-Nikkei Index 400
|
|
US-33
|
The MSCI Indices
|
|
US-36
|
The MSCI 25/50 Indices
|
|
US-48
|
The NASDAQ-100 Index
®
|
|
US-53
|
The Nikkei 225 Index
|
|
US-58
|
The Russell Indices
|
|
US-62
|
The S&P/ASX 200 Index
|
|
US-73
|
The S&P Select Industry Indices
|
|
US-78
|
The S&P Select Sector Indices
|
|
US-85
|
The S&P U.S. Indices
|
|
US-89
|
The Swiss Market Index
|
|
US-95
|
The TOPIX
®
Index
|
|
US-97
|
Commodity Index Descriptions
|
|
US-100
|
The Bloomberg Commodity Indices
|
|
US-100
|
The S&P GSCI
®
Indices
|
|
US-111
|
Fund Descriptions
|
|
US-120
|
The iShares
®
20+ Year Treasury Bond ETF
|
|
US-120
|
The iShares
®
ETFs
|
|
US-124
|
The Market Vectors Gold Miners ETF
|
|
US-128
|
The Select Sector SPDR
®
Funds
|
|
US-132
|
The SPDR
®
EURO STOXX 50
®
ETF
|
|
US-134
|
The SPDR
®
Gold Trust
|
|
US-135
|
The SPDR
®
S&P 500
®
ETF Trust
|
|
US-136
|
The SPDR
®
S&P
®
Industry ETFs
|
|
US-137
|
The United States Oil Fund, LP
|
|
US-139
|
The Vanguard FTSE Emerging Markets ETF
|
|
US-140
|
The Vanguard Total Stock Market ETF
|
|
US-151
|
The WisdomTree Japan Hedged Equity Fund
|
|
US-157
|
|
|
|
Prospectus Supplement dated April 15, 2016
|
|
About This Prospectus Supplement
|
|
S-1
|
Foreign Currency Risks
|
|
S-2
|
Description of Notes of JPMorgan Chase & Co.
|
|
S-4
|
Description of Warrants of JPMorgan Chase & Co.
|
|
S-10
|
Description of Units of JPMorgan Chase & Co.
|
|
S-13
|
Description of Notes of JPMorgan Chase Financial Company LLC
|
|
S-16
|
Description of Warrants of JPMorgan Chase Financial Company LLC
|
|
S-22
|
United States Federal Taxation
|
|
S-27
|
Plan of Distribution (Conflicts of Interest)
|
|
S-28
|
|
|
|
Prospectus dated April 15, 2016
|
|
Where You Can Find More Information
|
|
1
|
JPMorgan Chase & Co.
|
|
2
|
JPMorgan Chase Financial Company LLC .
|
|
2
|
Consolidated Ratios of Earnings to Fixed Charges
|
|
3
|
Use of Proceeds
|
|
3
|
Important Factors That May Affect Future Results
|
|
4
|
Description of Debt Securities of JPMorgan Chase & Co.
|
|
6
|
Description of Warrants of JPMorgan Chase & Co.
|
|
12
|
Description of Units of JPMorgan Chase & Co.
|
|
15
|
Description of Purchase Contracts of JPMorgan Chase & Co.
|
|
17
|
Description of Debt Securities of JPMorgan Chase Financial Company LLC
|
|
19
|
Description of Warrants of JPMorgan Chase Financial Company LLC
|
|
27
|
Forms of Securities
|
|
33
|
Plan of Distribution (Conflicts of Interest)
|
|
37
|
Independent Registered Public Accounting Firm
|
|
40
|
Legal Matters
|
|
40
|
Benefit Plan Investor Considerations
|
|
40
|
$1,000,000
JPMorgan Chase Financial Company LLC
Capped Buffered Enhanced Participation Equity Notes due 2019
(Linked to the MSCI EAFE
®
Index)
Medium-Term Notes, Series A
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
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