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.
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 Russell 2000
®
Index (Bloomberg ticker: RTY) and the EURO STOXX 50
®
Index (Bloomberg ticker: SX5E)
(each of the Russell 2000
®
Index and the EURO STOXX 50
®
Index, an “Index” and collectively,
the “Indices”) and the PowerShares QQQ Trust
SM
, Series 1 (Bloomberg ticker: QQQ) (the “Fund”)
(each of the Indices and the Fund, an “Underlying” and collectively, the “Underlyings”)
Interest
Payments:
If
the notes have not been previously redeemed early, you will receive on the applicable Interest Payment Date for each $1,000 principal
amount note an Interest Payment equal to at least $6.875 (equivalent to an Interest Rate of at least 8.25% per annum, payable at
a rate of at least 0.6875% per month) (to be provided in the pricing supplement).
Interest
Rate:
At least
8.25% per annum, payable at a rate of at least 0.6875% per month (to be provided in the pricing supplement)
Trigger Value:
With
respect to each Underlying, 70.00% of its Initial Value
Pricing
Date:
On or about October 19, 2017
Original
Issue Date (Settlement Date):
On or about October 26, 2017
Optional Call Payment Dates*:
January 26, 2018, April 26, 2018, July 26, 2018, October 26, 2018 and January 29, 2019
Interest
Payment Dates*:
November 28, 2017, December 27, 2017, January 26, 2018, February 27, 2018, March 26, 2018, April 26,
2018, May 29, 2018, June 26, 2018, July 26, 2018, August 27, 2018, September 26, 2018, October 26, 2018, November 27, 2018, December
27, 2018, January 29, 2019, February 26, 2019, March 26, 2019 and the Maturity Date
Observation
Date*:
April 23, 2019
Maturity
Date*:
April 30, 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
Multiple Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying
product supplement
|
Early Redemption:
We, at our election, may redeem the notes early, in whole but
not in part, on any of the Optional Call Payment Dates at a price, for each $1,000 principal amount note, equal to $1,000
plus
the Interest Payment applicable to the Interest Payment Date corresponding to that Optional Call Payment Date. If we intend to
redeem your notes early, we will deliver notice to The Depository Trust Company, or DTC, at least five business days before the
applicable Optional Call Payment Date on which the notes are redeemed early.
Payment at Maturity:
If the notes have not been redeemed early and (i) the Final Value
of each Underlying is greater than or equal to its Initial Value or (ii) a Trigger Event has not occurred, you will receive a cash
payment at maturity, for each $1,000 principal amount note, equal to (a) $1,000
plus
(b) the Interest Payment applicable
to the Maturity Date.
If the notes have not been redeemed early and (i) the Final Value
of any Underlying is less than its Initial Value and (ii) a Trigger Event has occurred, your payment at maturity per $1,000 principal
amount note, in addition to the Interest Payment applicable to the Maturity Date, will be calculated as follows:
$1,000 + ($1,000 × Least Performing
Underlying Return)
If the notes have not been redeemed early and (i) the Final
Value of any Underlying is less than its Initial Value and (ii) a Trigger Event has occurred, you will lose some or all of your
principal amount at maturity.
Trigger Event:
A Trigger Event occurs if, on any day during the Monitoring Period, the closing value of any Underlying is less than its Trigger
Value.
Monitoring Period:
The period from but excluding the Pricing Date to and including the Observation Date
Least Performing Underlying:
The Underlying with the Least Performing Underlying Return
Least Performing Underlying Return:
The lowest 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
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
Callable Yield Notes Linked to the Least Performing of the Russell 2000
®
Index, the EURO STOXX 50
®
Index and the PowerShares QQQ Trust
SM
, Series 1
|
|
Supplemental
Terms of the Notes
All references in this pricing supplement to the
closing value of each Index mean the closing level of that 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.
How
the Notes Work
Payment at Maturity If
the Notes Have Not Been Redeemed Early
Total Interest Payments
The table below illustrates the hypothetical total
Interest Payments per $1,000 principal amount note over the term of the notes based on a hypothetical Interest Rate of 8.25% per
annum, depending on how many Interest Payments are made prior to early redemption or maturity. If the notes have not been redeemed
early, the hypothetical total Interest Payments per $1,000 principal amount note over the term of the notes will be equal to the
maximum amount shown in the table below. The actual Interest Rate will be provided in the pricing supplement and will be at least
8.25% per annum.
Number of Interest Payments
|
Total Interest Payments
|
18
|
$123.750
|
15
|
$103.125
|
12
|
$82.500
|
9
|
$61.875
|
6
|
$41.250
|
3
|
$20.625
|
Hypothetical
Payout Examples
The following examples illustrate payments on
the notes linked to three hypothetical Underlyings, assuming a range of performances for the hypothetical Least Performing Underlying
on the Observation Date.
In addition, the hypothetical payments set forth
below assume the following:
|
·
|
the notes have not been redeemed early;
|
|
·
|
an Initial Value for the Least Performing Underlying of 100.00;
|
|
·
|
a Trigger Value for the Least Performing Underlying of 70.00 (equal to 70.00% of its hypothetical Initial Value); and
|
|
·
|
an Interest Rate of 8.25% per annum (payable at a rate of 0.6875% per month).
|
PS-
2
| Structured Investments
Callable Yield Notes Linked to the Least Performing of the Russell 2000
®
Index, the EURO STOXX 50
®
Index and the PowerShares QQQ Trust
SM
, Series 1
|
|
The hypothetical Initial Value of the Least
Performing Underlying of 100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial Value
of any Underlying. The actual Initial Value of each Underlying will be the closing value of that Underlying on the Pricing Date
and will be provided in the 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 payment set forth below is
for illustrative purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing
in the following examples have been rounded for ease of analysis.
Example 1 — Notes have NOT been redeemed
early, the Final Value of the Least Performing Underlying is greater than or equal to its Initial Value and a Trigger Event has
occurred.
Date
|
Closing Value of Least Performing Underlying
|
Payment (per $1,000 principal amount note)
|
Observation Date
|
105.00
|
Final Value of Least Performing Underlying is greater than or equal to its Initial Value
|
|
Total Payment
|
$1,123.75 (12.375% return)
|
Because the notes have not been redeemed early
and Final Value of the Least Performing Underlying is greater than or equal to its Initial Value, even though a Trigger Event has
occurred, the payment at maturity, for each $1,000 principal amount note, will be $1,006.875 (or $1,000
plus
the Interest
Payment applicable to the Maturity Date). When added to the Interest Payments received with respect to the prior Interest Payment
Dates, the total amount paid, for each $1,000 principal amount note, is $1,123.75.
Example 2 — Notes have NOT been redeemed
early, the Final Value of the Least Performing Underlying is less than its Initial Value and a Trigger Event has NOT occurred.
Date
|
Closing Value of Least Performing Underlying
|
Payment (per $1,000 principal amount note)
|
Observation Date
|
90.00
|
Final Value of Least Performing Underlying is less than its Initial Value
|
|
Total Payment
|
$1,123.75 (12.375% return)
|
Because the notes have not been redeemed early
and a Trigger Event has not occurred, even though the Final Value of the Least Performing Underlying is less than its Initial Value,
the payment at maturity, for each $1,000 principal amount note, will be $1,006.875 (or $1,000
plus
the Interest Payment
applicable to the Maturity Date). When added to the Interest Payments received with respect to the prior Interest Payment Dates,
the total amount paid, for each $1,000 principal amount note, is $1,123.75.
Example
3 — Notes have NOT been redeemed early, the Final Value of the Least Performing Underlying is less than its Initial Value
and a Trigger Event has occurred
.
Date
|
Closing Value of Least Performing Underlying
|
Payment (per $1,000 principal amount note)
|
Observation Date
|
50.00
|
Final Value of Least Performing Underlying is less than its Initial Value
|
|
Total Payment
|
$623.75 (-37.625% return)
|
Because the notes have not been redeemed early,
the Final Value of the Least Performing Underlying is less than its Initial Value, a Trigger Event has occurred and the Least Performing
Underlying Return is -50.00%, the payment at maturity will be $506.875 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)] + $6.875
= 506.875
When added to the Interest Payments received
with respect to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $623.75.
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.
|
·
|
YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
|
PS-
3
| Structured Investments
Callable Yield Notes Linked to the Least Performing of the Russell 2000
®
Index, the EURO STOXX 50
®
Index and the PowerShares QQQ Trust
SM
, Series 1
|
|
The notes do not guarantee any return
of principal. If the notes have not been redeemed early and (i) the Final Value of any Underlying is less than its Initial Value
and (ii) a Trigger Event has occurred, you will lose 1% of the principal amount of your notes for every 1% that the Final Value
of the Least Performing Underlying is less than its Initial Value. Accordingly, under these circumstances, you will lose some or
all of your principal amount at maturity.
|
·
|
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.
|
·
|
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.
|
·
|
THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF THE INTEREST PAYMENTS PAID OVER THE TERM OF THE NOTES,
|
regardless of any appreciation of any
Underlying, which may be significant. You will not participate in any appreciation of any Underlying.
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.
|
·
|
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 any 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 any other Underlying.
|
·
|
YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING UNDERLYING.
|
|
·
|
THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON ANY DAY DURING THE MONITORING PERIOD —
|
If, on any day during the Monitoring
Period, the closing value of any Underlying is less than its Trigger Value (
i.e.
, a Trigger Event occurs) and the notes
have not been redeemed early, the benefit provided by the Trigger Value will terminate and you will be fully exposed to any depreciation
of the Least Performing Underlying. You will be subject to this potential loss of principal even if that Underlying subsequently
recovers such that the closing value of that Underlying is greater than or equal to its Trigger Value.
|
·
|
THE OPTIONAL EARLY REDEMPTION FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
|
If we elect to redeem your notes early,
the term of the notes may be reduced to as short as approximately three months and you will not receive any Interest Payments after
the applicable Interest Payment Date. There is no guarantee that you would be able to reinvest the proceeds from an investment
in the notes at a comparable return and/or with a comparable interest rate for a similar level of risk. Even in cases where we
elect to redeem your notes before maturity, you are not entitled to any fees and commissions described on the front cover of this
pricing supplement.
PS-
4
| Structured Investments
Callable Yield Notes Linked to the Least Performing of the Russell 2000
®
Index, the EURO STOXX 50
®
Index and the PowerShares QQQ Trust
SM
, Series 1
|
|
|
·
|
YOU WILL NOT RECEIVE DIVIDENDS ON THE FUND OR THE SECURITIES INCLUDED IN OR HELD BY ANY UNDERLYING OR HAVE ANY RIGHTS WITH
RESPECT TO THE FUND OR THOSE SECURITIES.
|
|
·
|
AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH RESPECT TO THE RUSSELL 2000
®
INDEX —
|
Small capitalization companies may be
less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization
companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits
downward stock price pressure under adverse market conditions.
|
·
|
NON-U.S. SECURITIES RISK WITH RESPECT TO THE EURO STOXX 50
®
INDEX AND THE FUND—
|
Some or all of the equity securities
included in the EURO STOXX 50
®
Index or held by the Fund 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 home counties and/or 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 EURO STOXX 50
®
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 EURO
STOXX 50
®
Index are based, although any currency fluctuations could affect the performance of the EURO STOXX 50
®
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.
|
·
|
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 of 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.
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 payment on the notes.
|
·
|
THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED —
|
The calculation agent will make adjustments
to the Share Adjustment Factor 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.
PS-
5
| Structured Investments
Callable Yield Notes Linked to the Least Performing of the Russell 2000
®
Index, the EURO STOXX 50
®
Index and the PowerShares QQQ Trust
SM
, Series 1
|
|
|
·
|
THE RISK OF THE CLOSING VALUE OF AN UNDERLYING FALLING BELOW ITS TRIGGER VALUE 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 FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT —
|
You should consider your potential investment
in the notes based on the minimums for the estimated value of the notes and the Interest Rate.
|
·
|
THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES —
|
The estimated value of the notes is only
an estimate determined by reference to several factors. The original issue price of the notes will exceed the estimated value of
the notes because costs associated with selling, structuring and hedging the notes are included in the original issue price of
the notes. These costs include the selling commissions, the projected profits, if any, that our affiliates expect to realize for
assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the
notes. See “The Estimated Value of the Notes” in this pricing supplement.
|
·
|
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. 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
PS-
6
| Structured Investments
Callable Yield Notes Linked to the Least Performing of the Russell 2000
®
Index, the EURO STOXX 50
®
Index and the PowerShares QQQ Trust
SM
, Series 1
|
|
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-
7
| Structured Investments
Callable Yield Notes Linked to the Least Performing of the Russell 2000
®
Index, the EURO STOXX 50
®
Index and the PowerShares QQQ Trust
SM
, Series 1
|
|
The
Underlyings
The Russell 2000
®
Index consists of
the middle 2,000 companies included in the Russell 3000E™ Index and, as a result of the index calculation methodology, consists
of the smallest 2,000 companies included in the Russell 3000
®
Index. The Russell 2000
®
Index is designed
to track the performance of the small capitalization segment of the U.S. equity market. For additional information about the Russell
2000
®
Index, see “Equity Index Descriptions — The Russell Indices” in the accompanying underlying
supplement.
The EURO STOXX 50
®
Index consists
of 50 component stocks of market sector leaders from within the Eurozone. The EURO STOXX 50
®
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 EURO STOXX 50
®
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 EURO STOXX 50
®
Index, see “Equity Index Descriptions
— The EURO STOXX 50
®
Index” in the accompanying underlying supplement.
The Fund is an exchange-traded fund that seeks to
provide investment results that, before expenses, generally correspond to the price and yield performance of the NASDAQ-100 Index
®
,
which we refer to as the Underlying Index with respect to the Fund. The NASDAQ-100 Index
®
is a modified market capitalization-weighted
index of stocks of the 100 largest non-financial companies listed on The NASDAQ Stock Market based on market capitalization. For
additional information about the Fund, see Annex A in this pricing 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 Russell 2000
®
Index on October 17, 2017 was 1,497.499. The closing value of the EURO STOXX
50
®
Index on October 17, 2017 was 3,607.77. The closing value of the Fund on October 17, 2017 was $149.04. 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 any Underlying
on the Pricing Date, the Observation Date or any day during the Monitoring Period. There can be no assurance that the performance
of the Underlyings will result in the return of any of your principal amount.
PS-
8
| Structured Investments
Callable Yield Notes Linked to the Least Performing of the Russell 2000
®
Index, the EURO STOXX 50
®
Index and the PowerShares QQQ Trust
SM
, Series 1
|
|
Tax
Treatment
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. Based on the
advice of Davis Polk & Wardwell LLP, our special tax counsel, and on current market conditions, in determining our reporting
responsibilities we intend to treat the notes for U.S. federal income tax purposes as units each comprising: (x) a cash-settled
Put Option written by you that is terminated if an early redemption occurs and that, if not terminated, in circumstances where
the payment due at maturity is less than the principal amount (excluding accrued but unpaid interest), requires you to pay us an
amount equal to the principal amount multiplied by the absolute value of the Least Performing Underlying Return and (y) a Deposit
of $1,000 per $1,000 principal amount note to secure your potential obligation under the Put Option, as more fully described in
“Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Units Each
Comprising a Put Option and a Deposit” in the accompanying product supplement, and in particular in the subsection thereof
entitled “— Notes with a Term of More than One Year.” By purchasing the notes, you agree (in the absence
of an administrative determination or judicial ruling to the contrary) to follow this treatment and the allocation described in
the following paragraph. However, there are other reasonable treatments that the IRS or a court may adopt, 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 on a number of issues, the most relevant of which for investors in the notes
are the character of income or loss (including whether the Put Premium might be currently included as ordinary income) and the
degree, if any, to which income realized by non-U.S. investors should be subject to withholding tax. While it is not clear
whether the notes would be viewed as similar to the typical prepaid forward contract described in
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Callable Yield Notes Linked to the Least Performing of the Russell 2000
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Index, the EURO STOXX 50
®
Index and the PowerShares QQQ Trust
SM
, Series 1
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the notice, it is possible that any Treasury
regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences
of an investment in the notes, possibly with retroactive effect.
We will determine the portion of each Interest
Payment on the notes that we will allocate to interest on the Deposit and to Put Premium, respectively, and will provide that allocation
in the pricing supplement for the notes. If the notes had priced on October 17, 2017, we would have allocated approximately
20.36% of each Interest Payment to interest on the Deposit and the remainder to Put Premium. The actual allocation that we
will determine for the notes may differ from this hypothetical allocation, and will depend upon a variety of factors, including
actual market conditions and our borrowing costs for debt instruments of comparable maturities on the Pricing Date. Assuming
that the treatment of the notes as units each comprising a Put Option and a Deposit is respected, amounts treated as interest on
the Deposit will be taxed as ordinary income, while the Put Premium will not be taken into account prior to sale or settlement,
including a settlement following an early redemption.
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, we expect that Section
871(m) will 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. If necessary, further information regarding the
potential application of Section 871(m) will be provided in the pricing supplement for the notes. 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” will apply to amounts treated as interest or other “fixed or determinable annual or periodical”
income (“FDAP Income”) for U.S. federal income tax purposes paid with respect to the notes, and (if they are treated,
in whole or in part, as debt instruments) could also apply to payments of gross proceeds of a taxable disposition, including an
early redemption or 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 FDAP Income) with respect to dispositions occurring before January 1, 2019.
You should consult your tax adviser regarding the potential application of FATCA to the notes.
You should consult your tax adviser regarding
all aspects of the U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments
and the issues presented by the 2007 notice. Purchasers who are not initial purchasers of notes at the issue price should
also consult their tax advisers with respect to the tax consequences of an investment in the notes, including possible alternative
treatments, as well as the allocation of the purchase price of the notes between the Deposit and the Put Option.
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
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| Structured Investments
Callable Yield Notes Linked to the Least Performing of the Russell 2000
®
Index, the EURO STOXX 50
®
Index and the PowerShares QQQ Trust
SM
, Series 1
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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 will be
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 Will Be 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 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 “How the Notes Work”
and “Hypothetical Payout Examples” 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 fifth business day following the Pricing Date of the notes (this settlement cycle being referred to as “T+5”).
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.
Additional
Terms Specific to the Notes
You may revoke your offer to purchase the notes
at any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the
terms of, or reject any offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes,
we will notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject
such changes, in which case we may reject your offer to purchase.
You should read this pricing supplement together
with the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term
notes of which these notes are a part, and the more detailed information contained in the accompanying product supplement 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
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®
Index and the PowerShares QQQ Trust
SM
, Series 1
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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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®
Index and the PowerShares QQQ Trust
SM
, Series 1
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Annex
A
PowerShares QQQ Trust
SM
,
Series 1
All information contained
in this pricing supplement regarding the PowerShares QQQ Trust
SM
, Series 1 (the “QQQ Fund”) has been derived
from publicly available information, without independent verification. This information reflects the policies of, and is subject
to change by, The Bank of New York Mellon, as trustee of the QQQ Fund (the “QQQ Fund Trustee”), and Invesco PowerShares
Capital Management LLC, as sponsor of the QQQ Fund (the “QQQ Fund Sponsor”). The QQQ Fund is a unit investment trust
that issues securities called “PowerShares QQQ Shares.” The QQQ Fund is an exchange-traded fund that trades on The
NASDAQ Stock Market under the ticker symbol “QQQ.”
The QQQ Fund is a registered
investment company. Information provided to or filed with the SEC by the QQQ Fund pursuant to the Securities Act of 1933, as amended,
and the Investment Company Act of 1940, as amended, can be located by reference to SEC file numbers 333-61001 and 811- 08947, respectively,
through the SEC’s website at http://www.sec.gov. For additional information regarding the QQQ Fund, the QQQ Fund Trustee
and the QQQ Fund Sponsor, please see the QQQ Fund’s prospectus. In addition, information about the QQQ Fund, the QQQ Fund
Trustee and the QQQ Fund Sponsor may be obtained from other sources including, but not limited to, press releases, newspaper articles
and other publicly disseminated documents and the QQQ Fund website at www.powershares.com/qqq. Information contained in the QQQ
Fund’s website and in the QQQ Fund’s prospectus is not incorporated by reference in, and should not be considered a
part of, this pricing supplement.
Investment Objective and
Strategy
The QQQ Fund is a unit investment
trust, which is a registered investment company. The objective of the QQQ Fund is to provide investment results that, before expenses,
generally correspond to the price and yield performance of the NASDAQ-100 Index
®
. The NASDAQ-100 Index
®
is a modified market capitalization-weighted index of 100 of the largest non-financial securities listed on The NASDAQ Stock Market
based on market capitalization. For additional information about the NASDAQ-100 Index
®
, see “Equity Index
Descriptions — The NASDAQ-100 Index
®
” in the accompanying underlying supplement.
The QQQ Fund holds securities
and cash and is not actively managed by traditional methods, which typically involve effecting changes in the holdings of securities
on the basis of judgments made relating to economic, financial and market considerations. To maintain the correspondence between
the composition and weighs of the securities held by the QQQ Fund and the component securities of the Underlying Index (“QQQ
Index Securities”), the QQQ Fund Trustee adjusts the holdings of the QQQ Fund from time to time to conform to periodic changes
in the identity and/or relative weights of the QQQ Index Securities.
The QQQ Fund Trustee aggregates
certain of these adjustments and makes conforming changes to the holdings of the QQQ Fund at least monthly; however, adjustments
are made more frequently in the case of significant changes to the Underlying Index. Any change in the identity of a QQQ Index
Security (
i.e.
, a substitution of one security in place of another) will result in a corresponding adjustment to the prescribed
holdings of the Fund within three business days before or after the day on which the change in the identity of that QQQ Index Security
is scheduled to take effect at the close of the market. The value of the shares of the QQQ Fund fluctuates in relation to changes
in the value of the holdings of the QQQ Fund. The market price of each individual share of the QQQ Fund may not be identical to
the net asset value of the share of the QQQ Fund.
Although the QQQ Fund may
at any time fail to own certain of the QQQ Index Securities, the QQQ Fund will be substantially invested in the QQQ Index Securities
at all times. It is possible that, for a short period of time, the QQQ Fund may not fully replicate the performance of NASDAQ-100
Index
®
due to temporary unavailability of certain QQQ Index Securities in the secondary market or due to other extraordinary
circumstances. In addition, the QQQ Fund is not able to replicate exactly the performance of the NASDAQ-100 Index
®
because the total return generated by the QQQ Fund’s portfolio of securities and cash is reduced by the expenses of the QQQ
Fund and transaction costs incurred in adjusting the actual balance of the QQQ Fund’s portfolio.
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| Structured Investments
Callable Yield Notes Linked to the Least Performing of
the Russell 2000
®
Index, the EURO STOXX 50
®
Index and the PowerShares QQQ Trust
SM
, Series
1
|
|
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