JPMorgan Chase Financial Company LLC Trigger Autocallable Contingent
Yield Notes
$1,267,000 Linked to the common stock of DowDuPont Inc. due November
16, 2020
$8,218,500 Linked to the common stock of Intel Corporation due
November 16, 2020
Additional Information about JPMorgan Financial, JPMorgan Chase & Co. and the Notes
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This pricing supplement relates to two (2) separate Note offerings.
Each issue of the offered Notes is linked to one, and only one, Underlying. The purchaser of a Note will acquire a Note linked
to a single Underlying (not to a basket or index that includes the other Underlyings). You may participate in any of the two (2)
Note offerings or, at your election, in both of the offerings. We reserve the right to withdraw, cancel or modify any of the offerings
and to reject orders in whole or in part. While each Note offering relates only to a single Underlying identified on the cover
page, you should not construe that fact as a recommendation of the merits of acquiring an investment linked to that Underlying
(or any other Underlying) or as to the suitability of an investment in 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.
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” section of the accompanying product
supplement, as the Notes involve risks not associated with conventional debt securities.
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, the “Issuer,” “JPMorgan
Financial,” “we,” “us” and “our” refer to JPMorgan Chase Financial Company LLC.
Supplemental Terms of the Notes
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For purposes of the accompanying product supplement, each of
the common stock of DowDuPont Inc. and the common stock of Intel Corporation is an “Underlying Stock.”
The Notes may be suitable for you if, among other considerations:
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You fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
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You can tolerate a loss of all or a substantial portion of your investment and are willing to make an investment that may have
the same downside market risk as an investment in the applicable Underlying.
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You accept that you may not receive a Contingent Coupon on some or all of the Coupon Payment Dates.
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You believe the applicable Underlying will close at or above the applicable Coupon Barrier on the Observation Dates and the
applicable Downside Threshold on the Final Valuation Date.
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You believe the applicable Underlying will close at or above the applicable Initial Value on one of the specified Observation
Dates (after an initial six-month non-call period).
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You understand and accept that you will not participate in any appreciation in the price of the applicable Underlying and that
your potential return is limited to the applicable Contingent Coupons.
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You can tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside price
fluctuations of the applicable Underlying.
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You are willing to invest in the Notes based on the applicable Downside Threshold and Coupon Barrier indicated on the cover
hereof.
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You do not seek guaranteed current income from this investment and are willing to forgo dividends paid on the applicable Underlying.
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You are able and willing to invest in Notes that may be called early (after an initial six-month non-call period) or you are
otherwise able and willing to hold the Notes to maturity.
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You accept that there may be little or no secondary market for the Notes and that any secondary market will depend in large
part on the price, if any, at which J.P. Morgan Securities LLC, which we refer to as JPMS, is willing to trade the Notes.
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You understand and accept the single stock risk associated with the Notes and you understand and are willing to accept the
risks associated with the applicable Underlying.
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You are willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Notes,
and understand that if JPMorgan Financial and JPMorgan Chase & Co. default on their obligations, you may not receive any amounts
due to you including any repayment of principal.
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The Notes may not be suitable for you if, among other considerations:
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You do not fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial
investment.
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You cannot tolerate a loss of all or a substantial portion of your investment and are unwilling to make an investment that
may have the same downside market risk as an investment in the applicable Underlying.
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You require an investment designed to provide a full return of principal at maturity.
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You do not accept that you may not receive a Contingent Coupon on some or all of the Coupon Payment Dates.
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You believe that the price of the applicable Underlying will decline during the term of the Notes and is likely to close below
the applicable Coupon Barrier on the Observation Dates and the applicable Downside Threshold on the Final Valuation Date.
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You seek an investment that participates in the full appreciation in the price of the applicable Underlying or that has unlimited
return potential.
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You cannot tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside
price fluctuations of the applicable Underlying.
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You are not willing to invest in the Notes based on the applicable Downside Threshold and Coupon Barrier indicated on the cover
hereof.
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You prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable
maturities and credit ratings.
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You seek guaranteed current income from this investment or prefer to receive the dividends paid on the applicable Underlying.
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You are unable or unwilling to invest in Notes that may be called early (after an initial six-month non-call period), or you
are otherwise unable or unwilling to hold the Notes to maturity, or you seek an investment for which there will be an active secondary
market.
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You do not understand or accept the single stock risk associated with the Notes or you do not understand or are not willing
to accept the risks associated with the applicable Underlying.
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You are not willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the
Notes, including any repayment of principal.
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The suitability considerations identified above are not exhaustive.
Whether or not the Notes are a suitable investment for you will depend on your individual circumstances, and you should reach an
investment decision only after you and your investment, legal, tax, accounting and other advisers have carefully considered the
suitability of an investment in the Notes in light of your particular circumstances. You should also review carefully the “Key
Risks” section of this pricing supplement and the “Risk Factors” section of the accompanying product supplement
for risks related to an investment in the Notes. For more information on the Underlyings, please see the section titled “The
Underlyings” below.
Issuer
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JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
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Guarantor
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JPMorgan Chase & Co.
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Issue Price
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$10 per Note
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Underlying
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Common stock of DowDuPont Inc.
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Common stock of Intel Corporation
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Principal Amount
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$10 per Note (subject to a minimum purchase of 100 Notes or $1,000)
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Term
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Approximately 3 years, unless called earlier
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Automatic Call Feature
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The Notes will be called automatically if the closing price
1
of one share of the applicable Underlying on any Observation Date (after an initial six-month non-call period) is equal to or greater than the applicable Initial Value. If the Notes are called, JPMorgan Financial will pay you on the applicable Call Settlement Date a cash payment per Note equal to the principal amount plus the applicable Contingent Coupon otherwise due for the applicable Observation Date, and no further payments will be made on the Notes.
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Contingent Coupon
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If the closing price
1
of one share of the applicable
Underlying is equal to or greater than the applicable Coupon Barrier on any Observation Date, we will pay you the applicable Contingent
Coupon for that Observation Date on the relevant Coupon Payment Date.
If the closing price
1
of one share of the applicable
Underlying is less than the applicable Coupon Barrier on any Observation Date, the applicable Contingent Coupon for that Observation
Date will not accrue or be payable, and we will not make any payment to you on the relevant Coupon Payment Date.
Each Contingent Coupon will be a fixed amount based on equal quarterly
installments at the applicable Contingent Coupon Rate, which is a per annum rate. The table below reflects the Contingent Coupon
Rate of (i) 7.00% per annum for Notes linked to the common stock of DowDuPont Inc. and (ii) 8.00% per annum for Notes linked to
the common stock of Intel Corporation.
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Contingent Coupon (per $10 Note)
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Contingent Coupon Payments
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DowDuPont Inc.
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Intel Corporation
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$0.175
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$0.20
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Contingent Coupon payments on the Notes are not guaranteed. We will not pay you the applicable Contingent Coupon for any Observation Date on which the closing price of one share of the applicable Underlying is less than the applicable Coupon Barrier.
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Contingent Coupon Rate
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The Contingent Coupon Rate is (i) 7.00% per annum for Notes linked to the common stock of DowDuPont Inc. and (ii) 8.00% per annum for Notes linked to the common stock of Intel Corporation.
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Coupon Payment Dates
2
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As specified under the “Coupon Payment Dates” column of the table under “Observation Dates and Coupon Payment Dates” below
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Call Settlement Dates
2
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First Coupon Payment Date following the applicable Observation Date
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Payment at Maturity (per $10 Note)
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If the Notes are not automatically called and the applicable
Final Value is equal to or greater than the applicable Downside Threshold,
we will pay you a cash payment at maturity per $10
principal amount Note equal to $10 plus the applicable Contingent Coupon otherwise due on the Maturity Date.
If the Notes are not automatically called and the applicable
Final Value is less than the applicable Downside Threshold,
we will pay you a cash payment at maturity that is less than $10
per $10 principal amount Note resulting in a loss on your principal amount proportionate to the negative Underlying Return, equal
to:
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$10 × (1 + Underlying Return)
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Underlying Return
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(Final Value – Initial Value)
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Initial Value
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Initial Value
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The closing price of one share of the applicable Underlying on the Trade Date, as specified on the cover of this pricing supplement
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Final Value
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The closing price
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of one share of the applicable Underlying on the Final Valuation Date
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Downside Threshold
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A percentage of the Initial Value of the applicable Underlying, as specified on the cover of this pricing supplement.
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Coupon Barrier
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A percentage of the Initial Value of the applicable Underlying, as specified on the cover of this pricing supplement.
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Stock Adjustment Factor
1
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The Stock Adjustment Factor is referenced in determining the closing price of the applicable Underlying. The Stock Adjustment Factor for the applicable Underlying is set initially at 1.0 on the Trade Date.
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The closing price and the Stock Adjustment Factor of the applicable Underlying are subject to adjustments, in the sole discretion of the calculation agent, in the case of certain corporate events described in the accompanying product supplement under “The Underlyings — Underlying Stocks — Anti-Dilution Adjustments” and “The Underlyings — Underlying Stocks — Reorganization Events.”
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See footnote 2 under “Key Dates” on the front cover
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Trade Date
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The closing price of one share of the applicable Underlying (Initial Value) is observed, and the applicable Downside Threshold and the applicable Coupon Barrier are determined.
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Quarterly
(callable after an initial six-month non-call period)
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If the closing price of one share of the applicable Underlying
is equal to or greater than the applicable Coupon Barrier on any Observation Date, JPMorgan Financial will pay you a Contingent
Coupon on the applicable Coupon Payment Date.
The Notes will also be called if the closing price of one share
of the applicable Underlying on any Observation Date (after an initial six-month non-call period) is equal to or greater than the
applicable Initial Value. If the Notes are called, JPMorgan Financial will pay you a cash payment per Note equal to the principal
amount plus the applicable Contingent Coupon otherwise due for the applicable Observation Date, and no further payments will be
made on the Notes.
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Maturity Date
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The applicable Final Value
is determined as of the Final Valuation Date.
If the Notes have not been
called and the applicable Final Value is equal to or greater than the applicable Downside Threshold, at maturity JPMorgan Financial
will repay the principal amount equal to $10.00 per Note plus the applicable Contingent Coupon otherwise due on the Maturity Date.
If the Notes have not been
called and the applicable Final Value is less than the applicable Downside Threshold, JPMorgan Financial will repay less than the
principal amount, if anything, at maturity, resulting in a loss on your principal amount proportionate to the decline of the applicable
Underlying, equal to a return of:
$10 × (1 + Underlying Return) per
Note
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INVESTING IN THE NOTES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE SOME OR ALL OF YOUR PRINCIPAL AMOUNT. ANY PAYMENT ON THE NOTES, INCLUDING ANY REPAYMENT OF PRINCIPAL, IS SUBJECT TO THE CREDITWORTHINESS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. IF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. WERE TO DEFAULT ON THEIR 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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Coupon Observation Dates and Coupon Payment Dates
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Coupon Observation Dates
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Coupon Payment Dates
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February 12, 2018
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February 14, 2018
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May 10, 2018
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May 14, 2018
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August 10, 2018
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August 14, 2018
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November 13, 2018
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November 15, 2018
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February 11, 2019
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February 13, 2019
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May 10, 2019
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May 14, 2019
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August 12, 2019
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August 14, 2019
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November 12, 2019
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November 14, 2019
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February 10, 2020
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February 12, 2020
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May 11, 2020
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May 13, 2020
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August 10, 2020
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August 12, 2020
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November 10, 2020 (the Final Valuation Date)
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November 16, 2020 (the Maturity Date)
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The Notes are not callable until the second
Coupon Observation Date, May 10, 2018.
Each of the Coupon Observation Dates, and therefore the Coupon
Payment Dates, is subject to postponement in the event of a market disruption event and as described under “General Terms
of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single
Underlying (Other Than a Commodity Index)” and “General Terms of Notes — Postponement of a Payment Date”
in the accompanying product supplement.
What Are the Tax Consequences of the Notes?
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You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. UBS-1-I. In determining our reporting responsibilities
we intend to treat (i) the Notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent coupons
and (ii) any Contingent Coupons as ordinary income, as described in the section entitled “Material U.S. Federal Income Tax
Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated Contingent
Coupons” in the accompanying product supplement. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel,
we believe that this is a reasonable treatment, but that there are other reasonable treatments that the IRS or a court may adopt.
Sale, Exchange or Redemption of a Note.
Assuming the treatment
described above is respected, upon a sale or exchange of the Notes (including redemption upon an automatic call or at maturity),
you should recognize capital gain or loss equal to the difference between the amount realized on the sale or exchange and your
tax basis in the Notes, which should equal the amount you paid to acquire the Notes (assuming Contingent Coupons are properly treated
as ordinary income, consistent with the position referred to above). This gain or loss should be short-term capital gain or loss
unless you hold the Notes for more than one year, in which case the gain or loss should be long-term capital gain or loss, whether
or not you are an initial purchaser of the Notes at the issue price. The deductibility of capital losses is subject to limitations.
If you sell your Notes between the time your right to a Contingent Coupon is fixed and the time it is paid, it is likely that you
will be treated as receiving ordinary income equal to the Contingent Coupon. Although uncertain, it is possible that proceeds received
from the sale or exchange of your Notes prior to an Observation Date but that can be attributed to an expected Contingent Coupon
payment could be treated as ordinary income. You should consult your tax adviser regarding this issue.
As described above, 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 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 and the relevance of factors such as the nature of the underlying property
to which the instruments are linked. 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 affect the tax consequences
of an investment in the Notes, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal
income tax consequences of an investment in the Notes, including possible alternative treatments and the issues presented by this
notice.
Non-U.S. Holders — Tax Considerations.
The U.S.
federal income tax treatment of Contingent Coupons is uncertain, and although we believe it is reasonable to take a position that
Contingent Coupons are not subject to U.S. withholding tax (at least if an applicable Form W-8 is provided), a withholding agent
may nonetheless withhold on these payments (generally at a rate of 30%, subject to the possible reduction of that rate under an
applicable income tax treaty), unless income from your Notes is effectively connected with your conduct of a trade or business
in the United States (and, if an applicable treaty so requires, attributable to a permanent establishment in the United States).
If you are not a United States person, you are urged to consult your tax adviser regarding the U.S. federal income tax consequences
of an investment in the Notes in light of your particular circumstances.
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 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.
FATCA
. Withholding under legislation commonly referred
to as “FATCA” could apply to payments with respect to the Notes that are treated as U.S.-source “fixed or determinable
annual or periodical” income (“FDAP Income”) for U.S. federal income tax purposes (such as interest, if the Notes
are recharacterized, in whole or in part, as debt instruments, or Contingent Coupons if they are otherwise treated as FDAP Income).
If the Notes are recharacterized, in whole or in part, as debt instruments, withholding could also apply to payments of gross proceeds
of a taxable disposition, including an early redemption or redemption at maturity. 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.
In the event of any withholding on the Notes, we will not be
required to pay any additional amounts with respect to amounts so withheld.
An investment in the Notes involves significant risks. Investing
in the Notes is not equivalent to investing directly in the applicable Underlying. These risks are explained in more detail in
the “Risk Factors” section of the accompanying product supplement. We also urge you to consult your investment, legal,
tax, accounting and other advisers before you invest in the Notes.
Risks Relating to the Notes Generally
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Your Investment in the Notes May Result in a Loss
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The Notes differ from ordinary debt securities in that JPMorgan Financial will not necessarily repay the full principal amount
of the Notes. If the Notes are not called and the closing price of one share of the applicable Underlying has declined below the
applicable Downside Threshold on the Final Valuation Date, you will be fully exposed to any depreciation in the closing price of
one share of the applicable Underlying from the applicable Initial Value to the applicable Final Value. In this case, JPMorgan
Financial will repay less than the full principal amount at maturity, resulting in a loss of principal that is proportionate to
the negative Underlying Return. Under these circumstances, you will lose 1% of your principal for every 1% that the applicable
Final Value is less than the applicable Initial Value and could lose your entire principal amount. As a result, your investment
in the Notes may not perform as well as an investment in a security that does not have the potential for full downside exposure
to the applicable Underlying at maturity.
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Credit Risks of JPMorgan Financial and JPMorgan Chase & Co.
— The Notes are unsecured and unsubordinated debt obligations of the Issuer, JPMorgan Chase Financial Company LLC, the payment
on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. The Notes will rank
pari passu
with all of
our other unsecured and unsubordinated obligations, and the related guarantee JPMorgan Chase & Co. will rank
pari passu
with all of JPMorgan Chase & Co.’s other unsecured and unsubordinated obligations. The Notes and related guarantees are
not, either directly or indirectly, an obligation of any third party. Any payment to be made on the Notes, including any repayment
of principal, depends on the ability of JPMorgan Financial and JPMorgan Chase & Co. to satisfy their obligations as they come
due. As a result, the actual and perceived creditworthiness of JPMorgan Financial and JPMorgan Chase & Co. may affect the market
value of the Notes and, in the event JPMorgan Financial and JPMorgan Chase & Co. were to default on their obligations, you
may not receive any amounts owed to you under the terms of the Notes and you could lose your entire investment.
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As a Finance Subsidiary, JPMorgan Financial Has No Independent Operations
and Limited Assets
— As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond
the issuance and administration of our securities. Aside from the initial capital contribution from JPMorgan Chase & Co., substantially
all of our assets relate to obligations of our affiliates to make payments under loans made by us or other intercompany agreements.
As a result, we are dependent upon payments from our affiliates to meet our obligations under the Notes. If these affiliates do
not make payments to us and we fail to make payments on the Notes, you may have to seek payment under the related guarantee by
JPMorgan Chase & Co., and that guarantee will rank
pari passu
with all other unsecured and unsubordinated obligations
of JPMorgan Chase & Co.
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You Are Not Guaranteed Any Contingent Coupons
—
We will not necessarily make periodic coupon payments on the Notes. If the closing price of one share of the applicable Underlying
on an Observation Date is less than the applicable Coupon Barrier, we will not pay you the applicable Contingent Coupon for that
Observation Date and the applicable Contingent Coupon that would otherwise be payable will not be accrued and will be lost. If
the closing price of one share of the applicable Underlying is less than the applicable Coupon Barrier on each of the Observation
Dates, we will not pay you any Contingent Coupon during the term of, and you will not receive a positive return on, your Notes.
Generally, this non-payment of the Contingent Coupon coincides with a period of greater risk of principal loss on your Notes.
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Return on the Notes Limited to the Sum of Any Contingent Coupons
and You Will Not Participate in Any Appreciation of the Applicable Underlying
— The return potential of the Notes
is limited to the specified Contingent Coupon Rate, regardless of the appreciation in the closing price of one share of the applicable
Underlying, which may be significant. In addition, the total return on the Notes will vary based on the number of Observation Dates
on which the requirements for a Contingent Coupon have been met prior to maturity or an automatic call. Further, if the Notes are
called, you will not receive any Contingent Coupons or any other payments in respect of any Observation Dates after the applicable
Call Settlement Date. Because the Notes could be called as early as the second Coupon Observation Date, the total return on the
Notes could be minimal. If the Notes are not called, you may be subject to the applicable Underlying’s risk of decline even
though you are not able to participate in any potential appreciation in the price of the applicable Underlying. Generally,
the longer the Notes remain outstanding, the less likely it is that they will be automatically called, due to the decline in the
price of the applicable Underlying and the shorter time remaining for the price of the applicable Underlying to recover to or above
the applicable Initial Value on a subsequent Observation Date. As a result, the return on an investment in the Notes could be less
than the return on a direct investment in the applicable Underlying. In addition, if the Notes are not called and the applicable
Final Value is below the applicable Downside Threshold, you will have a loss on your principal amount and the overall return on
the Notes may be less than the amount that would be paid on a conventional debt security of JPMorgan Financial of comparable maturity.
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Contingent Repayment of Principal Applies Only If You Hold the Notes
to Maturity
— If you are able to sell your Notes in the secondary market, if any, prior to maturity, you may have
to sell them at a loss relative to your initial investment even if the applicable stock price is above the applicable Downside
Threshold. If by maturity the Notes have not been called, either JPMorgan Financial will repay you the full principal amount per
Note plus the applicable Contingent Coupon, or if the price of one share of the applicable Underlying closes below the applicable
Downside Threshold on the Final Valuation Date, JPMorgan Financial will repay less than the principal amount, if anything, at maturity,
resulting in a loss on your principal amount that is proportionate to the decline in the closing price of one share of the applicable
Underlying from the applicable Initial Value to the applicable Final Value. This contingent repayment of principal applies only
if you hold your Notes to maturity.
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A Higher Applicable Contingent Coupon Rate and/or a Lower Applicable
Coupon Barrier and/or Applicable Downside Threshold May Reflect Greater Expected Volatility of the Applicable Underlying, Which
Is Generally Associated With a Greater Risk of Loss —
Volatility is a measure of the degree of variation in the
price of the applicable Underlying over a period of time. The greater the expected volatility of the applicable Underlying at the
time the terms of the Notes are set, the greater the expectation is at that time that the price of the applicable Underlying could
close below the applicable Coupon Barrier on any Observation Date, resulting in the loss of one or more, or all, Contingent Coupon
payments, or below the applicable Downside Threshold on the Final Valuation Date, resulting in the loss of a significant portion
or all of your principal at maturity. In addition, the economic terms of the Notes, including the applicable Contingent Coupon
Rate, the applicable Coupon Barrier and the applicable Downside Threshold, are based, in part, on the expected volatility of the
applicable Underlying at the time the terms of the Notes are set, where a higher expected volatility will generally be reflected
in a higher applicable Contingent Coupon Rate than the fixed rate we would pay on conventional debt securities of the same maturity
and/or on otherwise comparable securities and/or a lower applicable Coupon Barrier and/or a lower applicable Downside Threshold
as compared to otherwise comparable securities. Accordingly, a higher applicable Contingent Coupon Rate will generally be indicative
of a greater risk of loss while a lower applicable Coupon Barrier or applicable Downside Threshold does not necessarily indicate
that the Notes have a greater likelihood of paying Contingent Coupon payments or returning your principal at maturity. You should
be willing to accept the downside market risk of the applicable Underlying and the potential loss of some or all of your principal
at maturity.
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|
t
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Reinvestment Ris
k
— If your Notes are called
early, the holding period over which you would have the opportunity to receive any Contingent Coupons could be as short as approximately
six months. There is no guarantee that you would be able to reinvest the proceeds from an investment in the Notes at a comparable
return and/or with a comparable interest rate for a similar level of risk in the event the Notes are called prior to the maturity
date.
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t
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Potential Conflicts
— We and our affiliates play
a variety of roles in connection with the issuance of the Notes, including acting as calculation agent and hedging our obligations
under the Notes and making the assumptions used to determine the pricing of the Notes and the estimated value of the Notes when
the terms of the Notes are set, which we refer to as the estimated value of the Notes. In performing these duties, our and JPMorgan
Chase & Co.’s economic interests and the economic interests of the calculation agent and other affiliates of ours are
potentially adverse to your interests as an investor in the Notes. In addition, our and JPMorgan Chase & Co.’s business
activities, including hedging and trading activities, could cause our and JPMorgan Chase & Co.’s economic interests to
be adverse to yours and could adversely affect any payment on the Notes and the value of the Notes. It is possible that hedging
or trading activities of ours or our affiliates in connection with the Notes could result in substantial returns for us or our
affiliates while the value of the Notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest”
in the accompanying product supplement for additional information about these risks. We and/or our affiliates may also currently
or from time to time engage in business with the issuer of the applicable Underlying, including extending loans to, or making equity
investments in, the issuer of the applicable Underlying or providing advisory services to the issuer of the applicable Underlying.
As a prospective purchaser of the Notes, you should undertake an independent investigation of the issuer of the applicable Underlying
as in your judgment is appropriate to make an informed decision with respect to an investment in the Notes.
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t
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Each Contingent Coupon Is Based Solely on the Closing Price of One
Share of the Applicable Underlying on the Applicable Observation Date
— Whether a Contingent Coupon will be payable
with respect to an Observation Date will be based solely on the closing price of one share of the applicable Underlying on that
Observation Date. As a result, you will not know whether you will receive a Contingent Coupon until the related Observation Date.
Moreover, because each Contingent Coupon is based solely on the closing price of one share of the applicable Underlying on the
applicable Observation Date, if that closing price is less than the applicable Coupon Barrier, you will not receive any Contingent
Coupon with respect to that Observation Date, even if the closing price of one share of the applicable Underlying was higher on
other days during the period before that Observation Date.
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t
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Single Stock Risk
— The price of the applicable
Underlying can rise or fall sharply due to factors specific to that Underlying and its issuer, such as stock price volatility,
earnings, financial conditions, corporate, industry and regulatory developments, management changes and decisions and other events,
as well as general market factors, such as general stock market volatility and levels, interest rates and economic and political
conditions. For additional information regarding each Underlying and its issuer, please see “The Underlyings” and the
section applicable to that Underlying issuer in this pricing supplement and that issuer’s SEC filings referred to in those
sections. We urge you to review financial and other information filed periodically with the SEC by the applicable Underlying issuer.
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t
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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.
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t
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The Estimated Value of the Notes Does Not Represent Future Values
of the Notes and May Differ from Others’ Estimates
— The estimated value of the Notes is determined by reference
to internal pricing models of our affiliates when the terms of the Notes are set. This estimated value of the Notes is based on
market conditions and other relevant factors existing at that time and assumptions about market parameters, which can include volatility,
dividend rates, interest rates and other factors. Different pricing models and assumptions could provide valuations for 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
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may impact the price, if any, at
which JPMS would be willing to buy Notes from you in secondary market transactions. See “The Estimated Value of the Notes”
in this pricing supplement.
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t
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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.
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t
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The Value of the Notes as Published by JPMS (and Which May Be Reflected
on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period
— We generally expect that some of the costs included in the original issue price of the Notes will be partially paid back
to you in connection with any repurchases of your Notes by JPMS in an amount that will decline to zero over an initial predetermined
period. These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated hedging
costs and our internal secondary market funding rates for structured debt issuances. See “Secondary Market Prices of the
Notes” in this pricing supplement for 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).
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t
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Secondary Market Prices of the Notes Will
Likely Be Lower Than the Original Issue Price of the Notes
— Any secondary
market prices of the Notes will likely be lower than the original issue price of the Notes because, among other things, secondary
market prices take into account our internal secondary market funding rates for structured debt issuances and, also, because secondary
market prices (a) exclude selling commissions and (b) may exclude projected hedging profits, if any, and estimated hedging costs
that are included in the original issue price of the Notes. As a result, the price, if any, at which JPMS will be willing to buy
Notes from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you
prior to the Maturity Date could result in a substantial loss to you. See the immediately following risk factor for information
about additional factors that will impact any secondary market prices of the Notes.
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The Notes are
not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity.
See “— Lack of Liquidity” below.
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t
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Many Economic and Market Factors Will Impact
the Value of the Notes
— As described under “The Estimated Value of
the Notes” in this pricing supplement, the Notes can be thought of as securities that combine a fixed-income debt component
with one or more derivatives. As a result, the factors that influence the values of fixed-income debt and derivative instruments
will also influence the terms of the Notes at issuance and their value in the secondary market. Accordingly, the secondary
market price of the Notes during their term will be impacted by a number of economic and market factors, which may either offset
or magnify each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and the price
of the applicable Underlying, including:
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t
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any actual or potential change in our or JPMorgan
Chase & Co.’s creditworthiness or credit spreads;
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t
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customary bid-ask spreads for similarly sized trades;
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t
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our internal secondary market funding rates for structured
debt issuances;
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t
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the actual and expected volatility in the closing
price of one share of the applicable Underlying;
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t
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the time to maturity of the Notes;
|
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t
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the likelihood of an automatic call being triggered;
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t
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whether the closing price of one share of the applicable
Underlying has been, or is expected to be, less than the applicable Coupon Barrier on any Observation Date and whether the applicable
Final Value is expected to be less than the Downside Threshold;
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t
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the dividend rate on the applicable Underlying;
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t
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the occurrence of certain events affecting the issuer
of the applicable Underlying that may or may not require an adjustment to the closing price and the Stock Adjustment Factor of
the applicable Underlying, including a merger or acquisition;
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t
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interest and yield rates in the market generally;
and
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t
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a variety of other economic, financial, political,
regulatory and judicial events.
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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.
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t
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No Dividend Payments or Voting Rights in the Applicable Underlying
— As a holder of the Notes, you will not have any ownership interest or rights in the applicable Underlying, such
as voting rights or dividend payments. In addition, the issuer of the applicable Underlying will not have any obligation to consider
your interests as a holder of the Notes in taking any corporate action that might affect the value of the applicable Underlying
and the Notes.
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t
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No Affiliation with the Applicable Underlying Issuer
— We are not affiliated with the issuer of the applicable Underlying. We have not independently verified any of the information
about the applicable Underlying issuer contained in this pricing
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supplement. You should make your
own investigation into the applicable Underlying and its issuer. We are not responsible for the applicable Underlying issuer’s
public disclosure of information, whether contained in SEC filings or otherwise.
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t
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No Assurances That the Investment View Implicit in the Notes Will
Be Successful
— While the Notes are structured to provide for Contingent Coupons if the applicable Underlying
does not close below the applicable Coupon Barrier on the Observation Dates, we cannot assure you of the economic environment during
the term or at maturity of your Notes.
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Lack of Liquidity
— The Notes will not be listed
on any securities exchange. JPMS intends to offer to purchase the Notes in the secondary market, but is not required to do so.
Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes easily. Because
other dealers are not likely to make a secondary market for the Notes, the price at which you may be able to trade your Notes is
likely to depend on the price, if any, at which JPMS is willing to buy the Notes.
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Anti-Dilution Protection Is Limited and May Be Discretionary
— Although the calculation agent will adjust the closing price and the Stock Adjustment Factor of the applicable Underlying
for certain corporate events (such as stock splits and stock dividends) affecting the applicable Underlying, the calculation agent
is not required to make an adjustment for every corporate event that can affect the applicable Underlying. If an event occurs that
does not require the calculation agent to make these adjustments, the market value of your Notes, whether the Notes will be automatically
called and any payment on the Notes may be materially and adversely affected. You should also be aware that the calculation agent
may make any such adjustment, determination or calculation in a manner that differs from what is described in the accompanying
product supplement as it deems necessary to ensure an equitable result. Subject to the foregoing, the calculation agent is under
no obligation to consider your interests as a holder of the Notes in making these determinations.
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Potentially Inconsistent Research, Opinions or Recommendations by
JPMS, UBS or Their Affiliates
— JPMS, UBS or their affiliates may publish research, express opinions or provide
recommendations (for example, with respect to the issuer of the applicable Underlying) that are inconsistent with investing in
or holding the Notes, and that may be revised at any time. Any such research, opinions or recommendations may or may not recommend
that investors buy or hold the applicable Underlying and could affect the value of the applicable Underlying, and therefore the
market value of the Notes.
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t
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Tax Treatment
— Significant aspects of the tax
treatment of the Notes are uncertain. You should consult your tax adviser about your tax situation.
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Potential JPMorgan Financial Impact on the Market Price of the Applicable
Underlying
— Trading or transactions by JPMorgan Financial or its affiliates in the applicable Underlying and/or
over-the-counter options, futures or other instruments with returns linked to the performance of the applicable Underlying may
adversely affect the market price of the applicable Underlying and, therefore, the market value of the Notes.
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Limited Trading History —
The common stock of DowDuPont Inc. began trading on the New York Stock Exchange on September 1, 2017 and therefore has a limited
performance history. Accordingly, historical information for the common stock of DowDuPont Inc. is available only since that
date. Past performance should not be considered indicative of future performance.
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Hypothetical terms only. Actual terms
may vary. See the cover page for actual offering terms.
The examples below illustrate the hypothetical payments on a
Coupon Payment Date, upon an automatic call or at maturity under different hypothetical scenarios for a $10.00 Note on an offering
of the Notes linked to a hypothetical Underlying and assume an Initial Value of $100, a Downside Threshold and Coupon Barrier of
$80.00* (which is 80.00%* of the hypothetical Initial Value) and a Contingent Coupon Rate of 7.00% per annum. The hypothetical
Initial Value of $100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value for any
Underlying. For historical data regarding the actual closing prices of one share of each Underlying, please see the historical
information set forth under “The Underlyings” in this pricing supplement.
Principal Amount:
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$10.00
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Term:
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Approximately three years (unless earlier called)
|
Hypothetical Initial Value:
|
$100.00
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Hypothetical Contingent Coupon Rate:
|
7.00% per annum (or 1.75% per quarter)
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Observation Dates:
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Quarterly (callable after six months)
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Hypothetical Downside Threshold:
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$80.00 (which is 80.00%* of the hypothetical Initial Value)
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Hypothetical Coupon Barrier:
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$80.00 (which is 80.00%* of the hypothetical Initial Value)
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*
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The actual value of any Contingent Coupon payments you will receive over the term of the Notes, the actual value of the payment upon automatic call or at maturity and the actual Initial Value, Downside Threshold and Coupon Barrier for each Underlying applicable to your Notes may be more or less than the amounts displayed in these hypothetical scenarios. The actual Contingent Coupon Rate, Initial Value, Downside Threshold and Coupon Barrier for each Underlying are specified on the cover of this pricing supplement.
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The examples below are purely hypothetical and are not based
on any specific offering of Notes linked to any specific Underlying. These examples are intended to illustrate how the value of
any payment on the Notes will depend on the closing price on the Observation Dates.
Example 1 — Notes Are Automatically Called on the Second
Observation Date
Date
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Closing Price
|
Payment (per Note)
|
First Observation Date
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$105.00 (at or above Initial Value; Notes NOT called because Observation Date is prior to the second Observation Date)
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$0.175 (Contingent Coupon)
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Second Observation Date
|
$110.00 (at or above Initial Value)
|
$10.175
|
|
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Total Payment:
|
$10.35 (3.50% return)
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Although the closing price is above the Initial Value on the
first Observation Date, the Notes are not called because the Notes cannot be called before the second Observation Date. Because
the Notes are automatically called on the second Observation Date, we will pay you on the applicable Call Settlement Date a total
of $10.175 per Note, reflecting your principal amount
plus
the applicable Contingent Coupon. When that amount is added to
the Contingent Coupon payment of $0.175 received in respect of prior Observation Dates, we will have paid you a total of $10.35
per Note for a 3.50% total return on the Notes. No further amounts will be owed on the Notes.
Example 2 — Notes Are Automatically Called on the Eleventh
Observation Date
Date
|
Closing Price
|
Payment (per Note)
|
First Observation Date
|
$90.00 (at or above Coupon Barrier; below Initial Value)
|
$0.175 (Contingent Coupon)
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Second Observation Date
|
$85.00 (at or above Coupon Barrier; below Initial Value)
|
$0.175 (Contingent Coupon)
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Third through Tenth Observation Dates
|
Various (all at or above Coupon Barrier, all below Initial Value)
|
$1.40 (Contingent Coupons)
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Eleventh Observation Date
|
$105.00 (at or above Initial Value)
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$10.175 (Payment upon Automatic Call)
|
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Total Payment:
|
$11.925 (19.25% return)
|
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Because the Notes are automatically called on the eleventh Observation
Date, we will pay you on the applicable Call Settlement Date a total of $10.175 per Note, reflecting your principal amount
plus
the applicable Contingent Coupon. When that amount is added to the Contingent Coupon payments of $1.75 received in respect of prior
Observation Dates, we will have paid you a total of $11.925 per Note for a 19.25% total return on the Notes. No further amounts
will be owed on the Notes.
Example 3 — Notes Are NOT Automatically Called
and
the Final Value Is at or above the Downside Threshold
Date
|
Closing Price
|
Payment (per Note)
|
First Observation Date
|
$90.00 (at or above Coupon Barrier; below Initial Value)
|
$0.175 (Contingent Coupon)
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Second Observation Date
|
$85.00 (at or above Coupon Barrier; below Initial Value)
|
$0.175 (Contingent Coupon)
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Third through Eleventh Observation Dates
|
Various (all below Coupon Barrier)
|
$0.00
|
Final Valuation Date
|
$85.00 (at or above Downside Threshold; below Initial Value)
|
$10.175 (Payment at Maturity)
|
|
|
|
|
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Total Payment:
|
$10.525 (5.25% return)
|
|
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At maturity, we will pay you a total of $10.175 per Note, reflecting
your principal amount
plus
the applicable Contingent Coupon. When that amount is added to the Contingent Coupon payments
of $0.35 received in respect of prior Observation Dates, we will have paid you a total of $10.525 per Note for a 5.25% total return
on the Notes.
Example 4 — Notes Are NOT Automatically Called
and
the Final Value Is below the Downside Threshold
Date
|
Closing Price
|
Payment (per Note)
|
First Observation Date
|
$90.00 (at or above Coupon Barrier; below Initial Value)
|
$0.175 (Contingent Coupon)
|
Second Observation Date
|
$85.00 (at or above Coupon Barrier; below Initial Value)
|
$0.175 (Contingent Coupon)
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Third through Eleventh Observation Dates
|
Various (all at or above Coupon Barrier; all below Initial Value)
|
$1.575 (Contingent Coupons)
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Final Valuation Date
|
$60.00 (below Downside Threshold)
|
$10.00 × (1 + Underlying Return) =
$10.00 × (1 + -40%) =
$10.00 × 60% =
$6.00 (Payment at Maturity)
|
|
|
|
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Total Payment:
|
$7.925 (-20.75% return)
|
|
|
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Because the Notes are not called and the Final Value of $60.00
is below the Downside Threshold, at maturity we will pay you $6.00 per Note. When that amount is added to the Contingent Coupon
payments of $1.925 received in respect of prior Observation Dates, we will have paid you $7.925 per Note for a loss on the Notes
of 20.75%.
Example 5 — Notes Are NOT Automatically Called
and
the Final Value is below the Downside Threshold
Date
|
Closing Price
|
Payment (per Note)
|
First Observation Date
|
$65.00 (below Coupon Barrier)
|
$0.00
|
Second Observation Date
|
$60.00 (below Coupon Barrier)
|
$0.00
|
Third through Eleventh Observation Dates
|
Various (all below Coupon Barrier)
|
$0.00
|
Final Valuation Date
|
$50.00 (below Downside Threshold)
|
$10.00 × (1 + Underlying Return) =
$10.00 × (1 + -50%) =
$10.00 × 50% =
$5.00 (Payment at Maturity)
|
|
|
|
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Total Payment:
|
$5.00 (-50.00% return)
|
|
|
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Because the Notes are not called, the Final Value is below the
Downside Threshold and the Underlying Return is -50%, at maturity we will pay you $5.00 per Note for a loss on the Notes of 50.00%.
Because there is no Contingent Coupon paid during the term of the Notes, that represents the total payment on the Notes.
The hypothetical returns and hypothetical payments on the Notes
shown above apply
only if you hold the Notes for their entire term or until called
. These hypotheticals do not reflect fees
or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical
returns and hypothetical payments shown above would likely be lower.
Included on the following pages is a brief description of the
issuers of the Underlyings. This information has been obtained from publicly available sources, without independent verification.
Set forth below is a table that provides the quarterly high and low closing prices of one share of each Underlying. Except as set
forth below, the information given below is for the four calendar quarters in each of 2012, 2013, 2014, 2015, 2016 and the first,
second and third calendar quarters of 2017. Partial data is provided for the fourth calendar quarter of 2017. We obtained the closing
price information set forth below from the Bloomberg Professional
®
service (“Bloomberg”), without independent
verification. You should not take the historical prices of any Underlying as an indication of future performance.
Each of the Underlyings is registered under the Securities Exchange
Act of 1934, as amended (the “Exchange Act”). Companies with securities registered under the Exchange Act are required
to file financial and other information specified by the SEC periodically. Information filed by the issuer of each Underlying with
the SEC can be reviewed electronically through a web site maintained by the SEC. The address of the SEC’s web site is http://www.sec.gov.
Information filed with the SEC by the issuer of each Underlying under the Exchange Act can be located by reference to its SEC file
number provided below. In addition, information filed with the SEC can be inspected and copied at the Public Reference Section
of the SEC, 100 F Street, N.E., Room 1580, Washington, D.C. 20549. Copies of this material can also be obtained from the Public
Reference Section, at prescribed rates. We do not make any representation that these publicly available documents are accurate
or complete.
According to its publicly available filings with the SEC, DowDuPont
Inc., which we refer to as DowDuPont, is a holding company comprised of The Dow Chemical Company, which we refer to as Dow, and
E. I. du Pont de Nemours and Company, which we refer to as DuPont, with the intent to form publicly traded companies in agriculture,
materials science and specialty products. Upon the completion of the merger between Dow and DuPont on August 31, 2017, Dow
and DuPont became wholly owned subsidiaries of DowDuPont. The common stock of DowDuPont, par value $0.01 per share (Bloomberg
ticker: DWDP), is listed on the New York Stock Exchange, which we refer to as the Relevant Exchange for purposes of DowDuPont in
the accompanying product supplement. DowDuPont’s SEC file number is 001-38196.
Historical Information Regarding the Common Stock of DowDuPont
The following table* sets forth the quarterly high and low closing
prices of one share of the common stock of Dow, par value $2.50 per share, and the common stock of DowDuPont, based on daily closing
prices on the primary exchange for Dow and DowDuPont, as reported by Bloomberg. The common stock of Dow was traded on the
New York Stock Exchange prior to September 1, 2017. The common stock of DowDuPont commenced trading on the New York Stock
Exchange on September 1, 2017 and therefore has a limited performance history. The closing price of one share of the common
stock of DowDuPont on November 10, 2017 was $69.97. We obtained the closing prices above and below from Bloomberg, without
independent verification. The closing prices may have been adjusted by Bloomberg for corporate actions such as stock splits,
public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
Since their inception, the prices of the common stock of Dow
and the common stock of DowDuPont have experienced significant fluctuations. The historical performance of the common stock
of Dow and the common stock of DowDuPont should not be taken as an indication of future performance, and no assurance can be given
as to the closing prices of one share of the common stock of DowDuPont during the term of the Notes. We cannot give you assurance
that the performance of the common stock of DowDuPont will result in the return of any of your principal amount.
Quarter Begin
|
Quarter End
|
Quarterly Closing High
|
Quarterly Closing Low
|
Close
|
1/1/2012
|
3/31/2012
|
$35.68
|
$29.79
|
$34.64
|
4/1/2012
|
6/30/2012
|
$36.08
|
$29.39
|
$31.50
|
7/1/2012
|
9/30/2012
|
$32.25
|
$28.45
|
$28.96
|
10/1/2012
|
12/31/2012
|
$32.79
|
$27.74
|
$32.32
|
1/1/2013
|
3/31/2013
|
$34.73
|
$30.64
|
$31.84
|
4/1/2013
|
6/30/2013
|
$35.82
|
$30.18
|
$32.17
|
7/1/2013
|
9/30/2013
|
$40.86
|
$32.43
|
$38.40
|
10/1/2013
|
12/31/2013
|
$44.86
|
$38.31
|
$44.40
|
1/1/2014
|
3/31/2014
|
$50.64
|
$41.89
|
$48.59
|
4/1/2014
|
6/30/2014
|
$53.15
|
$46.95
|
$51.46
|
7/1/2014
|
9/30/2014
|
$54.80
|
$50.97
|
$52.44
|
10/1/2014
|
12/31/2014
|
$52.84
|
$42.71
|
$45.61
|
1/1/2015
|
3/31/2015
|
$49.85
|
$43.03
|
$47.98
|
4/1/2015
|
6/30/2015
|
$53.59
|
$47.90
|
$51.17
|
7/1/2015
|
9/30/2015
|
$53.04
|
$39.39
|
$42.40
|
10/1/2015
|
12/31/2015
|
$56.97
|
$42.98
|
$51.48
|
1/1/2016
|
3/31/2016
|
$51.66
|
$41.32
|
$50.86
|
4/1/2016
|
6/30/2016
|
$53.70
|
$48.50
|
$49.71
|
7/1/2016
|
9/30/2016
|
$54.29
|
$48.12
|
$51.83
|
10/1/2016
|
12/31/2016
|
$59.08
|
$51.86
|
$57.22
|
1/1/2017
|
3/31/2017
|
$65.00
|
$57.09
|
$63.54
|
4/1/2017
|
6/30/2017
|
$65.26
|
$60.20
|
$63.07
|
7/1/2017
|
9/30/2017
|
$70.41
|
$63.11
|
$69.23
|
10/1/2017
|
11/10/2017**
|
$73.32
|
$69.97
|
$69.97
|
*
|
The data in the table above prior to September 1, 2017 reflects the performance of the common stock of Dow and the data on and after September 1, 2017 reflects the performance of the common stock of DowDuPont.
|
**
|
As of the date of this pricing supplement, available information for the fourth calendar quarter of 2017 includes data for the period from October 1, 2017 through November 10, 2017. Accordingly, the “Quarterly Closing High,” “Quarterly Closing Low” and “Close” data indicated are for this shortened period only and do not reflect complete data for the fourth calendar quarter of 2017.
|
The graph below illustrates the daily performance of the common
stock of DowDuPont from January 3, 2007 through November 10, 2017, based on information from Bloomberg, without independent verification.
The dotted line represents the Downside Threshold and Coupon Barrier of $51.08, equal to 73% of the closing price on November 10,
2017.
Past performance of the Underlying is not indicative of
the future performance of the Underlying.
†
The vertical line in the graph indicates
September 1, 2017, which was the first day of trading of the common stock of DowDuPont. In the graph, the performance to
the left of the vertical line reflects the common stock of Dow and the performance to the right of the vertical line reflects the
performance of the common stock of DowDuPont.
According to its publicly available filings with the SEC, Intel
Corporation, which we refer to as Intel, designs and manufactures products and technologies that power the cloud and an increasingly
smart, connected world and delivers computer, networking, and communications platforms to customers. The common stock of Intel,
par value $0.001 per share (Bloomberg ticker: INTC), is listed on The NASDAQ Stock Market, which we refer to as the Relevant Exchange
for purposes of Intel in the accompanying product supplement. Intel’s SEC file number is 000-06217.
Historical Information Regarding the Common Stock of Intel
The following table sets forth the quarterly high and low closing
prices of one share of the common stock of Intel, based on daily closing prices on the primary exchange for Intel, as reported
by Bloomberg. The closing price of one share of the common stock of Intel on November 10, 2017 was $45.58. We obtained the closing
prices above and below from Bloomberg, without independent verification. The closing prices may have been adjusted by Bloomberg
for corporate actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
Since its inception, the price of the common stock of Intel has
experienced significant fluctuations. The historical performance of the common stock of Intel should not be taken as an indication
of future performance, and no assurance can be given as to the closing prices of one share of the common stock of Intel during
the term of the Notes. We cannot give you assurance that the performance of the common stock of Intel will result in the return
of any of your principal amount.
Quarter Begin
|
Quarter End
|
Quarterly Closing High
|
Quarterly Closing Low
|
Close
|
1/1/2012
|
3/31/2012
|
$28.19
|
$24.54
|
$28.11
|
4/1/2012
|
6/30/2012
|
$29.18
|
$25.04
|
$26.65
|
7/1/2012
|
9/30/2012
|
$26.88
|
$22.51
|
$22.68
|
10/1/2012
|
12/31/2012
|
$22.84
|
$19.36
|
$20.63
|
1/1/2013
|
3/31/2013
|
$22.68
|
$20.23
|
$21.85
|
4/1/2013
|
6/30/2013
|
$25.47
|
$20.94
|
$24.22
|
7/1/2013
|
9/30/2013
|
$24.24
|
$21.90
|
$22.92
|
10/1/2013
|
12/31/2013
|
$25.96
|
$22.48
|
$25.96
|
1/1/2014
|
3/31/2014
|
$26.67
|
$23.52
|
$25.81
|
4/1/2014
|
6/30/2014
|
$30.93
|
$25.82
|
$30.90
|
7/1/2014
|
9/30/2014
|
$35.33
|
$30.79
|
$34.82
|
10/1/2014
|
12/31/2014
|
$37.67
|
$30.85
|
$36.29
|
1/1/2015
|
3/31/2015
|
$36.91
|
$29.89
|
$31.27
|
4/1/2015
|
6/30/2015
|
$34.46
|
$30.39
|
$30.42
|
7/1/2015
|
9/30/2015
|
$30.56
|
$25.87
|
$30.14
|
10/1/2015
|
12/31/2015
|
$35.44
|
$30.00
|
$34.45
|
1/1/2016
|
3/31/2016
|
$33.99
|
$28.22
|
$32.35
|
4/1/2016
|
6/30/2016
|
$32.99
|
$29.63
|
$32.80
|
7/1/2016
|
9/30/2016
|
$37.75
|
$32.68
|
$37.75
|
10/1/2016
|
12/31/2016
|
$38.10
|
$33.61
|
$36.27
|
1/1/2017
|
3/31/2017
|
$37.98
|
$35.04
|
$36.07
|
4/1/2017
|
6/30/2017
|
$37.43
|
$33.54
|
$33.74
|
7/1/2017
|
9/22/2017
|
$38.08
|
$33.46
|
$38.08
|
10/1/2017
|
11/10/2017*
|
$47.10
|
$39.04
|
$45.58
|
*
|
As of the date of this pricing supplement, available information for the fourth calendar quarter of 2017 includes data for the period from October 1, 2017 through November 10, 2017. Accordingly, the “Quarterly Closing High,” “Quarterly Closing Low” and “Close” data indicated are for this shortened period only and do not reflect complete data for the fourth calendar quarter of 2017.
|
The graph below illustrates the daily performance of the common
stock of Intel from January 3, 2007 through November 10, 2017, based on information from Bloomberg, without independent verification.
The dotted line represents the Downside Threshold and Coupon Barrier of $32.82, equal to 72% of the closing price on November 10,
2017.
Past performance of the Underlying is not indicative of
the future performance of the Underlying.