October 13,
2017
|
Registration Statement Nos. 333-209682 and 333-209682-01; Rule 424(b)(2)
|
JPMorgan Chase Financial Company LLC
Structured Investments
$1,642,000
Capped Contingent Buffered Return Enhanced Notes
Linked to the Lesser Performing of the EURO STOXX 50
®
Index and the iShares
®
MSCI EAFE ETF due October
16, 2020
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
|
·
|
The notes are designed for investors who seek a return of 4.15 times any appreciation of the lesser performing of the EURO
STOXX 50
®
Index and the iShares
®
MSCI EAFE ETF, which we refer to as the Underlyings, up to a maximum
return of 60.00%, at maturity.
|
|
·
|
Investors should be willing to forgo interest and dividend payments and 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.
|
|
·
|
Payments on the notes are not linked to a basket composed of the Underlyings. Payments on the notes are linked to the performance
of each of the Underlyings individually, as described below.
|
|
·
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Minimum denominations of $1,000 and integral multiples thereof
|
|
·
|
The notes priced on October 13, 2017 and are expected to settle on or about October 18, 2017.
|
Investing in the notes involves a number of risks. See “Risk
Factors” beginning on page PS-10 of the accompanying product supplement, “Risk Factors” beginning on page US-2
of the accompanying underlying supplement and “Selected Risk Considerations” beginning on page PS-3 of this pricing
supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this
pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
|
Price to Public (1)
|
Fees and Commissions (2)
|
Proceeds to Issuer
|
Per note
|
$1,000
|
$5.8042
|
$994.1958
|
Total
|
$1,642,000
|
$9,530.50
|
$1,632,469.50
|
(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 it receives from us to other affiliated
or unaffiliated dealers. These selling commissions will vary and will be up to $6.50 per $1,000 principal amount note See “Plan
of Distribution (Conflicts of Interest)” in the accompanying product supplement.
|
The estimated value of the notes, when the terms of the notes were
set, was $976.00 per $1,000 principal amount note. See “The Estimated Value of the Notes” in this pricing supplement
for additional information.
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 to product supplement no.
4-I dated April 15, 2016, underlying supplement no. 1-I dated April 15, 2016
and the prospectus and prospectus supplement, each dated April 15, 2016
Key
Terms
Issuer:
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of
JPMorgan Chase & Co.
Guarantor:
JPMorgan Chase & Co.
Underlyings:
The EURO STOXX 50
®
Index (Bloomberg ticker: SX5E) (the “Index”)
and the iShares
®
MSCI EAFE ETF (Bloomberg ticker: EFA) (the “Fund”) (each of the Index and the Fund,
an “Underlying” and collectively, the “Underlyings”)
Maximum
Return:
60.00% (corresponding to a maximum payment at maturity of $1,600.00 per $1,000
principal amount note)
Upside Leverage Factor:
4.15
Contingent Buffer Amount
:
30.00%
Pricing
Date:
October 13, 2017
Original
Issue Date (Settlement Date):
On or about October 18, 2017
Observation
Date*:
October 13, 2020
Maturity
Date*:
October 16, 2020
* 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
Multiple Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying
product supplement
|
Payment at Maturity:
If the Final Value of each Underlying is greater than its Initial
Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing
Underlying Return × Upside Leverage Factor), subject to the Maximum Return
If (i) the Final Value of one Underlying is greater than its
Initial Value and the Final Value of the other Underlying is equal to its Initial Value or is less than its Initial Value by up
to the Contingent Buffer Amount or (ii) the Final Value of each Underlying is equal to its Initial Value or is less than its Initial
Value by up to the Contingent Buffer Amount, you will receive the principal amount of your notes at maturity.
If the Final Value of either Underlying is less than its Initial
Value by more than the Contingent Buffer Amount, your payment at maturity per $1,000 principal amount note will be calculated as
follows:
$1,000 + ($1,000 × Lesser Performing
Underlying Return)
If the Final Value of either Underlying is less than its
Initial Value by more than the Contingent Buffer Amount, you will lose more than 70.00% of your principal amount at maturity and
could lose all of your principal amount at maturity.
Lesser Performing Underlying:
The Underlying with the Lesser Performing Underlying Return
Lesser Performing Underlying Return:
The lower of the Underlying Returns of the Underlyings
Underlying Return:
With respect to each Underlying,
(Final Value – Initial Value)
Initial Value
Initial
Value:
With respect to each Underlying
, t
he closing
value of that Underlying on the Pricing Date, which was 3,604.55 for the Index and $69.57 for the Fund
Final
Value:
With respect to each Underlying, the closing value of that Underlying on the
Observation Date
Share Adjustment Factor:
The
Share Adjustment Factor is referenced in determining the closing value of the Fund and is set equal to 1.0 on the Pricing Date.
The Share Adjustment Factor is subject to adjustment upon the occurrence of certain events affecting the Fund. See “The Underlyings
— Funds — Anti-Dilution Adjustments” in the accompanying product supplement for further information.
|
PS-
1
| Structured Investments
Capped Contingent Buffered Return Enhanced Notes Linked to the Lesser Performing of the EURO STOXX 50
®
Index and the iShares
®
MSCI EAFE ETF
|
|
Supplemental
Terms of the Notes
All references in this pricing supplement to the
closing value of the Index mean the closing level of the Index as defined in the accompanying product supplement, and all references
in this pricing supplement to the closing value of the Fund mean the closing price of one share of the Fund as defined in the accompanying
product supplement.
Hypothetical
Payout Profile
The following table illustrates the hypothetical
total return and payment at maturity on the notes linked to two hypothetical Underlyings. The “total return” as used
in this pricing supplement is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000
principal amount note to $1,000. The hypothetical total returns and payments set forth below assume the following:
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·
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an Initial Value for the Lesser Performing Underlying of 100.00;
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|
·
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a Maximum Return of 60.00%;
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·
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an Upside Leverage Factor of 4.15; and
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·
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a Contingent Buffer Amount of 30.00%.
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The hypothetical Initial Value of the Lesser
Performing Underlying of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value
of either Underlying. The actual Initial Value of each Underlying is the closing value of that Underlying on the Pricing Date and
is specified under “Key Terms — Initial Value” in this pricing supplement. For historical data regarding the
actual closing values of each Underlying, please see the historical information set forth under “The Underlyings” in
this pricing supplement.
Each hypothetical total return or hypothetical
payment at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity
applicable to a purchaser of the notes. The numbers appearing in the following table have been rounded for ease of analysis.
Final Value of the Lesser Performing Underlying
|
Lesser Performing Underlying Return
|
Total Return on the Notes
|
Payment at Maturity
|
180.00000
|
80.00000%
|
60.000%
|
$1,600.00
|
165.00000
|
65.00000%
|
60.000%
|
$1,600.00
|
150.00000
|
50.00000%
|
60.000%
|
$1,600.00
|
140.00000
|
40.00000%
|
60.000%
|
$1,600.00
|
130.00000
|
30.00000%
|
60.000%
|
$1,600.00
|
120.00000
|
20.00000%
|
60.000%
|
$1,600.00
|
114.45783
|
14.45783%
|
60.000%
|
$1,600.00
|
110.00000
|
10.00000%
|
41.500%
|
$1,415.00
|
105.00000
|
5.00000%
|
20.750%
|
$1,207.50
|
102.50000
|
2.50000%
|
10.375%
|
$1,103.75
|
100.00000
|
0.0000%
|
0.000%
|
$1,000.00
|
95.00000
|
-5.0000%
|
0.000%
|
$1,000.00
|
90.00000
|
-10.0000%
|
0.000%
|
$1,000.00
|
80.00000
|
-20.0000%
|
0.000%
|
$1,000.00
|
70.00000
|
-30.0000%
|
0.000%
|
$1,000.00
|
69.99000
|
-30.01000%
|
-30.010%
|
$699.90
|
60.00000
|
-40.0000%
|
-40.000%
|
$600.00
|
50.00000
|
-50.0000%
|
-50.000%
|
$500.00
|
40.00000
|
-60.0000%
|
-60.000%
|
$400.00
|
30.00000
|
-70.0000%
|
-70.000%
|
$300.00
|
20.00000
|
-80.0000%
|
-80.000%
|
$200.00
|
10.00000
|
-90.0000%
|
-90.000%
|
$100.00
|
0.00000
|
-100.0000%
|
-100.000%
|
$0.00
|
PS-
2
| Structured Investments
Capped Contingent Buffered Return Enhanced Notes Linked to the Lesser Performing of the EURO STOXX 50
®
Index and the iShares
®
MSCI EAFE ETF
|
|
How
the Notes Work
Upside Scenario:
If the Final Value of each Underlying is greater
than its Initial Value, investors will receive at maturity the $1,000 principal amount
plus
a return equal to the Lesser
Performing Underlying Return
times
the Upside Leverage Factor of 4.15, subject to the Maximum Return of 60.00%, at maturity.
An investor will realize the maximum payment at maturity at a Final Value of the Lesser Performing Underlying of approximately
114.45783% or more of its Initial Value.
|
·
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If the closing value of the Lesser Performing Underlying increases 10.00%, investors will receive at maturity a 41.50% return,
or $1,415.00 per $1,000 principal amount note
|
|
·
|
If the closing value of the Lesser Performing Underlying increases 80.00%, investors will receive at maturity a 60.00% return,
or $1,600.00 per $1,000 principal amount note, which is the maximum payment at maturity.
|
Par Scenario:
If (i) the Final Value of one Underlying is greater
than its Initial Value and the Final Value of the other Underlying is equal to its Initial Value or is less than its Initial Value
by up to the Contingent Buffer Amount of 30.00% or (ii) the Final Value of each Underlying is equal to its Initial Value or is
less than its Initial Value by up to the Contingent Buffer Amount of 30.00%, investors will receive at maturity the principal amount
of their notes.
Downside Scenario:
If the Final Value of either Underlying is less
than its Initial Value by more than the Contingent Buffer Amount of 30.00%, investors will lose 1% of the principal amount of their
notes for every 1% that the Final Value of the Lesser Performing Underlying is less than its Initial Value.
|
·
|
For example, if the closing level of the Lesser Performing Underlying declines 50.00%, investors will lose 50.00% of their
principal amount and receive only $500.00 per $1,000 principal amount note at maturity.
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The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect the fees or
expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical
returns and hypothetical payments shown above would likely be lower.
Selected
Risk Considerations
An investment in the notes involves significant
risks. These risks are explained in more detail in the “Risk Factors” sections of the accompanying product supplement
and underlying supplement.
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·
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YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
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The notes do not guarantee any return
of principal. If the Final Value of either Underlying is less than its Initial Value by more than 30.00%, you will lose 1% of the
principal amount of your notes for every 1% that the Final Value of the Lesser Performing Underlying is less than its Initial Value.
Accordingly, under these circumstances, you will lose more than 70.00% of your principal amount at maturity and could lose all
of your principal amount at maturity.
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·
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YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE MAXIMUM RETURN,
|
regardless of any appreciation
of either Underlying, which may be significant.
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·
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CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
|
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.
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·
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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.
PS-
3
| Structured Investments
Capped Contingent Buffered Return Enhanced Notes Linked to the Lesser Performing of the EURO STOXX 50
®
Index and the iShares
®
MSCI EAFE ETF
|
|
We and our affiliates play a variety
of roles in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests
are potentially adverse to your interests as an investor in 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.
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·
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YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE VALUE OF EACH UNDERLYING —
|
Payments on the notes are not linked
to a basket composed of the Underlyings and are contingent upon the performance of each individual Underlying. Poor performance
by either of the Underlyings over the term of the notes may negatively affect your payment at maturity and will not be offset or
mitigated by positive performance by the other Underlying.
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·
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YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LESSER PERFORMING UNDERLYING.
|
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·
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THE BENEFIT PROVIDED BY THE CONTINGENT BUFFER AMOUNT MAY TERMINATE ON THE OBSERVATION DATE —
|
If the Final Value of either Underlying
is less than its Initial Value 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 of the Lesser Performing Underlying.
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·
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THE NOTES DO NOT PAY INTEREST.
|
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·
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YOU WILL NOT RECEIVE DIVIDENDS ON THE FUND OR THE SECURITIES INCLUDED IN OR HELD BY EITHER UNDERLYING OR HAVE ANY RIGHTS
WITH RESPECT TO THE FUND OR THOSE SECURITIES.
|
|
·
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NON-U.S. SECURITIES RISK —
|
The equity securities included in or
held by the Underlyings 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. 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.
|
·
|
NO DIRECT EXPOSURE TO FLUCTUATIONS IN FOREIGN EXCHANGE RATES WITH RESPECT TO THE INDEX —
|
The value of your notes
will not be adjusted for exchange rate fluctuations between the U.S. dollar and the currencies upon which the equity securities
included in the Index are based, although any currency fluctuations could affect the performance of the Index
.
|
·
|
THERE ARE RISKS ASSOCIATED WITH THE FUND —
|
The Fund is subject to management risk,
which is the risk that the investment strategies of the Fund’s investment adviser, the implementation of which is subject
to a number of constraints, may not produce the intended results. These constraints could adversely affect the market price of
the shares of the Fund and, consequently, the value of the notes.
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·
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THE PERFORMANCE AND MARKET VALUE OF THE FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH THE
PERFORMANCE OF THE FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE —
|
The Fund does not fully replicate its
Underlying Index (as defined under “The Underlyings” below) and may hold securities different from those included in
its Underlying Index. In addition, the performance of the Fund will reflect additional transaction costs and fees that are not
included in the calculation of its Underlying Index. All of these factors may lead to a lack of correlation between the performance
of the Fund and its Underlying Index. In addition, corporate actions with respect to the equity securities underlying the Fund
(such as mergers and spin-offs) may impact the variance between the performances of the Fund and its Underlying Index. Finally,
because the shares in the Fund are traded on a securities exchange and are subject to market supply and investor demand, the market
value of one share of the Fund may differ from the net asset value per share of the Fund.
PS-
4
| Structured Investments
Capped Contingent Buffered Return Enhanced Notes Linked to the Lesser Performing of the EURO STOXX 50
®
Index and the iShares
®
MSCI EAFE ETF
|
|
During periods of market volatility,
securities underlying the Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately
the net asset value per share of the Fund and the liquidity of the Fund may be adversely affected. This kind of market volatility
may also disrupt the ability of market participants to create and redeem shares of the Fund. Further, market volatility may adversely
affect, sometimes materially, the prices at which market participants are willing to buy and sell shares of the Fund. As a result,
under these circumstances, the market value of shares of the Fund may vary substantially from the net asset value per share of
the Fund. For all of the foregoing reasons, the performance of the Fund may not correlate with the performance of its Underlying
Index as well as the net asset value per share of the Fund, which could materially and adversely affect the value of the notes
in the secondary market and/or reduce any payments on the notes.
|
·
|
THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK WITH RESPECT TO THE FUND —
|
Because the prices of the equity securities
held by the Fund are converted into U.S. dollars for purposes of calculating the net asset value of the Fund, holders of the notes
will be exposed to currency exchange rate risk with respect to each of the currencies in which the equity securities held by the
Fund trade. Your net exposure will depend on the extent to which those currencies strengthen or weaken against the U.S. dollar
and the relative weight of equity securities held by a Fund denominated in each of those currencies. If, taking into account the
relevant weighting, the U.S. dollar strengthens against those currencies, the price of a Fund will be adversely affected and any
payment on the notes may be reduced.
|
·
|
THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED —
|
The calculation agent will make adjustments
to the Share Adjustment Factor for the Fund for certain events affecting the shares of the Fund. However, the calculation agent
will not make an adjustment in response to all events that could affect the shares of the Fund. If an event occurs that does not
require the calculation agent to make an adjustment, the value of the notes may be materially and adversely affected.
|
·
|
THE RISK OF THE CLOSING VALUE OF AN UNDERLYING FALLING BELOW ITS INITIAL VALUE BY MORE THAN THE CONTINGENT BUFFER AMOUNT
IS GREATER IF THE VALUE OF THAT UNDERLYING IS VOLATILE.
|
The notes will not be listed on any securities
exchange. Accordingly, 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. You may not be able to sell your 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.
|
·
|
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
—
|
See “The Estimated Value of the
Notes” in 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 “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. See “Secondary Market Prices
of the Notes” in this pricing supplement for additional information relating to this initial period.
PS-
5
| Structured Investments
Capped Contingent Buffered Return Enhanced Notes Linked to the Lesser Performing of the EURO STOXX 50
®
Index and the iShares
®
MSCI EAFE ETF
|
|
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 the 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.
|
·
|
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 values of the Underlyings. 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. See “Risk Factors — Risks Relating to the Estimated Value
and Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market
factors” in the accompanying product supplement.
PS-
6
| Structured Investments
Capped Contingent Buffered Return Enhanced Notes Linked to the Lesser Performing of the EURO STOXX 50
®
Index and the iShares
®
MSCI EAFE ETF
|
|
The
Underlyings
The Index consists of 50 component stocks of market
sector leaders from within the Eurozone. The Index and STOXX are the intellectual property (including registered trademarks) of
STOXX Limited, Zurich, Switzerland and/or its licensors (the “Licensors”), which are used under license. The notes
based on the Index are in no way sponsored, endorsed, sold or promoted by STOXX Limited and its Licensors and neither STOXX Limited
nor any of its Licensors shall have any liability with respect thereto. For additional information about the Index, see “Equity
Index Descriptions — The EURO STOXX 50
®
Index” in the accompanying underlying supplement.
The Fund is an exchange-traded fund of iShares
®
Trust, a registered investment company, that seeks to track the investment results, before fees and expenses, of an index composed
of large- and mid-capitalization developed market equities, excluding the United States and Canada, which we refer to as the Underlying
Index with respect to the Fund. The Underlying Index for the Fund is currently the MSCI EAFE
®
Index. 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. For additional information about the Fund, see “Fund Descriptions —
The iShares
®
ETFs” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical
performance of each Underlying based on the weekly historical closing values from January 6, 2012 through October 13, 2017. The
closing value of the Index on October 13, 2017 was 3,604.55. The closing value of the Fund on October 13, 2017 was $69.57. We obtained
the closing values above and below from the Bloomberg Professional
®
service (“Bloomberg”), without independent
verification. The closing values of the Fund above and below may have been adjusted by Bloomberg for actions taken by the Fund,
such as stock splits.
The historical closing values of each Underlying
should not be taken as an indication of future performance, and no assurance can be given as to the closing value of either Underlying
on the Observation Date. There can be no assurance that the performance of the Underlyings will result in the return of any of
your principal amount.
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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, subject to the possible application of the “constructive
ownership” rules, 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. The notes could be treated as “constructive
ownership transactions” within the meaning of Section 1260 of the Code, in which case any gain recognized in respect of the
notes that would otherwise be long-term capital gain and that was in excess of the “net underlying long-term capital gain”
(as defined in Section 1260) would be treated as ordinary income, and a notional interest charge would apply as if that income
had accrued for tax purposes at a constant yield over your holding period for the notes. Our special tax counsel has not expressed
an opinion with respect to whether the constructive ownership rules apply to the notes. Accordingly, U.S. Holders should consult
their tax advisers regarding the potential application of the constructive ownership rules.
The
IRS or a court may not respect the treatment of the notes described above, in which case the timing and character of any income
or loss on your 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 described above. 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
the potential application of the constructive ownership rules, possible alternative treatments and the issues presented by this
notice.
Section
871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding
tax (unless an income tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain
financial instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions
to this withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in
the applicable Treasury regulations (such an index, a “Qualified Index”). Additionally, the applicable regulations
exclude from the scope of Section 871(m) instruments issued in 2017 that do not have a delta of one with respect to underlying
securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”).
Based on certain determinations made by us, our
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special
tax counsel is of the opinion that Section 871(m) should not apply to the notes with regard to Non-U.S. Holders. Our determination
is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may
depend on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security.
You should consult your tax adviser regarding the potential application of Section 871(m) to the notes.
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.
The
Estimated Value of the Notes
The estimated value of the notes set forth
on the cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income
debt component with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative
or derivatives underlying the economic terms of the notes. The estimated value of the notes does not represent a minimum price
at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time. The internal funding rate
used in the determination of the estimated value of the notes is based on, among other things, our and our affiliates’ view
of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. For additional information, see “Selected
Risk Considerations — The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate” in this
pricing supplement.
The value of the derivative or derivatives
underlying the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent
on inputs such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are
market-observable, and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about
future market events and/or environments. Accordingly, the estimated value of the notes is determined when the terms of the notes
are set based on market conditions and other relevant factors and assumptions existing at that time.
The estimated value of the notes does not
represent future values of the notes and may differ from others’ estimates. 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.
The estimated value of the notes is lower
than the original issue price of the notes because costs associated with selling, structuring and hedging the notes are included
in the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated
dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes and the 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, if any, realized in hedging our obligations under the notes 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 Considerations — The Estimated Value of the Notes Is Lower Than the Original Issue Price (Price
to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact
any secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in
the accompanying product supplement. In addition, we generally expect that some of the costs included in the original issue price
of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will
decline to zero over an initial predetermined period. 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. This initial predetermined
time period is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial
period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities,
the estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates. See “Selected
Risk Considerations — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer
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Account Statements) May Be Higher Than the Then-Current
Estimated Value of the Notes for a Limited Time Period” in 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 Payout Profile”
and “How the Notes Work” in this pricing supplement for an illustration of the risk-return profile of the notes and
“The Underlyings” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal
to the estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus
(minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes, plus the estimated cost of hedging our obligations under the notes.
Supplemental
Plan of Distribution
We expect that delivery of the notes will be
made against payment for the notes on or about the Original Issue Date set forth on the front cover of this pricing supplement,
which will be the third business day following the Pricing Date of the notes (this settlement cycle being referred to as “T+3”).
Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to
settle in two business days, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade
notes on any date prior to two business days before delivery will be required to specify an alternate settlement cycle at the time
of any such trade to prevent a failed settlement and should consult their own advisors.
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.
Additional
Terms Specific to the Notes
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):
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.
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