Additional
Information about JPMorgan Financial, JPMorgan Chase & Co. and the Notes
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes
of which these Notes are a part, and the more detailed information contained in the accompanying product supplement and the accompanying
underlying supplement.
This pricing supplement, together with the documents listed below, contains the terms of the
Notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary
or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures
or other educational materials of ours.
You should carefully consider, among other things, the matters set forth
in the “Risk Factors” sections of the accompanying product supplement and the accompanying underlying supplement, as
the Notes involve risks not associated with conventional debt securities.
You may access these documents on the SEC website
at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
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Product supplement no. UBS-1-I dated April 15, 2016:
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http://www.sec.gov/Archives/edgar/data/19617/000095010316012642/crt-dp64836_424b2.pdf
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Underlying supplement no. 1-I dated April 15, 2016:
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http://www.sec.gov/Archives/edgar/data/19617/000095010316012649/crt-dp64909_424b2.pdf
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Prospectus supplement and prospectus, each dated April
15, 2016:
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http://www.sec.gov/Archives/edgar/data/19617/000095010316012636/crt_dp64952-424b2.pdf
Our Central Index Key, or CIK, on the SEC website
is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, the “Issuer,”
“JPMorgan Financial,” “we,” “us” and “our” refer to JPMorgan Chase Financial Company
LLC.
Supplemental
Terms of the Notes
For purposes of the accompanying product supplement,
each of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
is an “Index.”
Investor
Suitability
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 Least Performing Underlying.
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You are willing to accept the individual market risk of each Underlying on each day of the Quarterly Observation Periods and on the Final Valuation Date and understand that any decline in the level of one Underlying will not be offset or mitigated by a lesser decline or any potential increase in the levels of the other Underlyings.
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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 understand and accept that you will not participate in any appreciation in the level of any Underlying and that your potential return is limited to the 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 fluctuations in the levels of the Underlyings.
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You are willing to invest in the Notes based on the Contingent Coupon Rate 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 stocks included in the Underlyings.
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You are able and willing to invest in Notes that may be called early at JPMorgan Financial’s election 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 risks associated with the Underlyings.
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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 Least Performing Underlying.
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You are unwilling to accept the individual market risk of each Underlying on each day of the Quarterly Observation Periods and on the Final Valuation Date or do not understand that any decline in the level of one Underlying will not be offset or mitigated by a lesser decline or any potential increase in the levels of the other Underlyings.
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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 seek an investment that participates in the full appreciation in the level of any or all Underlyings 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 fluctuations in the levels of the Underlyings.
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You are not willing to invest in the Notes based on the Contingent Coupon Rate 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 stocks included in the Underlyings.
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You are unable or unwilling to invest in Notes that may be called early at JPMorgan Financial’s election, 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 risks associated with the Underlyings.
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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” sections of the accompanying
product supplement and the accompanying underlying supplement for risks related to an investment in the Notes. For more
information on the Underlyings, please see the sections titled “The Russell 2000
®
Index,” “The
S&P 500
®
Index” and “The EURO STOXX 50
®
Index” below.
Issuer:
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JPMorgan Chase Financial Company LLC
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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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Underlyings:
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Russell 2000
®
Index
S&P 500
®
Index
EURO STOXX 50
®
Index
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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 2 years, unless called earlier at the election of JPMorgan Financial
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Issuer Call Feature:
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JPMorgan Financial may elect to call the Notes on any Quarterly Observation End Date (other than the Final Valuation Date), regardless of the closing level of any Underlying on that Quarterly Observation End Date. 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
any Contingent Coupon otherwise due for the Quarterly Observation Period ending on the applicable Quarterly Observation End Date, and no further payments will be made on the Notes. Before JPMorgan Financial elects to call the Notes on a Quarterly Observation End Date, JPMorgan Financial will deliver written notice to The Depository Trust Company (“DTC”) on or before that Quarterly Observation End Date.
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Contingent Coupon:
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If the closing level of each Underlying is equal to or greater
than its Coupon Barrier on each day during a Quarterly Observation Period, we will pay you the Contingent Coupon for that Quarterly
Observation Period on the relevant Coupon Payment Date.
If the closing level of any Underlying is less than its Coupon
Barrier on any day during a Quarterly Observation Period, the Contingent Coupon for that Quarterly Observation Period 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 Contingent Coupon Rate, which is a per annum rate.
Contingent Coupon
payments on the Notes are not guaranteed. We will not pay you the Contingent Coupon for any Quarterly Observation Period
in which the closing level of any Underlying on any day during that Quarterly Observation Period is less than its Coupon Barrier.
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Quarterly Observation Period:
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With respect to each Coupon Payment Date, the period from but excluding the second immediately preceding Quarterly Observation End Date (or, in the case of the first Coupon Payment Date, from but excluding the Pricing Date) to and including the immediately preceding Quarterly Observation End Date.
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Contingent Coupon Rate:
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9.05% per annum
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Contingent Coupon payments:
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$0.2263 per $10 principal amount Note
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Coupon Payment Dates
1
:
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As specified under the “Coupon Payment Dates / Call Settlement Dates (if called)” column of the table under “Quarterly Observation Periods, Quarterly Observation End Dates and Coupon Payment Dates” below.
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Call Settlement Dates
1
:
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First Coupon Payment Date following the applicable Quarterly Observation End Date
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Payment at Maturity (per $10 Note):
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If JPMorgan Financial does not elect to call the
Notes and the Final Value of each Underlying is equal to or greater than its Downside Threshold ,
we will pay you a cash payment
at maturity per $10 principal amount Note equal to $10
plus
any Contingent Coupon otherwise due on the Maturity Date.
If JPMorgan Financial does not elect to call the Notes and
the Final Value of any Underlying is less than its 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
of the Least Performing Underlying, equal to:
$10 × (1 + Least Performing
Underlying Return)
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Underlying Return:
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With respect to each Underlying:
Final Value – Initial Value
Initial Value
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Least Performing Underlying:
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The Underlying with the Lowest Underlying Return
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Least Performing Underlying Return:
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The lowest of the Underlying Returns of the Underlyings
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Initial Value:
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With respect to each Underlying, the closing level of that Underlying on the Trade Date, as specified on the cover of this pricing supplement
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Final Value:
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With respect to each Underlying, the closing level of that Underlying on the Final Valuation Date
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Downside Threshold
2
:
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With respect to each Underlying, a percentage of the Initial Value of that Underlying, as specified on the cover of this pricing supplement
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Coupon Barrier
2
:
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With respect to each Underlying, a percentage of the Initial Value of that Underlying, as specified on the cover of this pricing supplement
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1
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See footnote 2 under “Key Dates” on the front cover
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2
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Rounded to three decimal places for the Russell 2000
®
Index and rounded to two decimal places for the S&P 500
®
Index and the EURO STOXX 50
®
Index
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Trade Date
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The closing level of each Underlying (Initial Value) is observed, and the Downside Threshold and the Coupon Barrier of each Underlying and the Contingent Coupon Rate are determined.
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Quarterly
(callable by JPMorgan Financial
at its election):
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If the closing level of each Underlying is equal to
or greater than its Coupon Barrier on each day during a Quarterly Observation Period, JPMorgan Financial will pay you a Contingent
Coupon on the related Coupon Payment Date.
JPMorgan Financial may, at its election and upon written
notice to DTC, call the Notes on any Quarterly Observation End Date (other than the Final Valuation Date), regardless of the closing
level of any Underlying on that Quarterly Observation End Date. If JPMorgan Financial elects to call the Notes, JPMorgan
Financial will pay you a cash payment per Note equal to the principal amount
plus
any Contingent Coupon otherwise due for
the applicable Quarterly Observation Period, and no further payments will be made on the Notes.
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Maturity Date
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The Final Value
of each Underlying is determined as of the Final Valuation Date.
If JPMorgan
Financial does not elect to call the Notes and the Final Value of each Underlying is equal to or greater than its Downside Threshold,
at maturity JPMorgan Financial will repay the principal amount equal to $10.00 per Note
plus
any Contingent Coupon otherwise
due on the Maturity Date.
If JPMorgan
Financial does not elect to call the Notes and the Final Value of any Underlying is less than its 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 negative Underlying Return of the Least Performing Underlying, equal to a return of:
$10 × (1 + Least
Performing 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 AT MATURITY. YOU MAY RECEIVE FEW OR NO QUARTERLY CONTINGENT COUPONS DURING THE TERM OF THE NOTES. YOU WILL BE EXPOSED TO THE MARKET RISK OF EACH UNDERLYING ON EACH DAY OF THE QUARTERLY OBSERVATION PERIODS AND ON THE FINAL VALUATION DATE AND ANY DECLINE IN THE LEVEL OF ONE UNDERLYING MAY NEGATIVELY AFFECT YOUR RETURN AND WILL NOT BE OFFSET OR MITIGATED BY A LESSER DECLINE OR ANY POTENTIAL INCREASE IN THE LEVELS OF THE OTHER UNDERLYINGS. 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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Quarterly
Observation Periods, Quarterly Observation End Dates and Coupon Payment Dates
Quarterly Observation Periods Ending on the
Following Quarterly Observation End Dates
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Coupon Payment Dates /
Call Settlement Dates (if called)
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April 13, 2017
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April 24, 2017
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July 13, 2017
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July 20, 2017
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October 13, 2017
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October 20, 2017
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January 16, 2018
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January 23, 2018
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April 13, 2018
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April 20, 2018
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July 13, 2018
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July 20, 2018
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October 15, 2018
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October 22, 2018
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January 14, 2019* (the Final Valuation Date)
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January 22, 2019* (the Maturity Date)
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*The
Notes are not callable at
JPMorgan Financial’s election on the Final Valuation Date. Thus, the Maturity Date is not a Call Settlement Date.
Each of the Quarterly Observation End 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 Multiple Underlyings” and “General
Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement.
What
Are the Tax Consequences of the Notes?
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 upon early redemption or redemption
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 a Quarterly Observation End 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, a recent IRS notice excludes from the scope of Section 871(m)
instruments issued in 2017 that are not “delta-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.
Key
Risks
An
investment in the Notes involves significant risks. Investing in the Notes is not equivalent to investing directly in any or all
of the Underlyings. These risks are explained in more detail in the “Risk Factors” sections of the accompanying product
supplement and the accompanying underlying 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
— The Notes differ from ordinary debt securities in that JPMorgan Financial will not necessarily repay the full principal
amount of the Notes. If JPMorgan Financial does not elect to call the Notes and the closing level of any Underlying
has declined below its Downside Threshold on the Final Valuation Date, you will be fully exposed to any depreciation of the Least
Performing Underlying from its Initial Value to its 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
of the Least Performing Underlying. Under these circumstances, you will lose 1% of your principal for every 1% that
the Final Value of the Least Performing Underlying is less than its 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 any Underlying.
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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 level of any Underlying is less
than its Coupon Barrier on any day during a Quarterly Observation Period, we will not pay you the Contingent Coupon for that Quarterly
Observation Period and the Contingent Coupon that would otherwise be payable will not be accrued and will be lost. This will be
the case even if the closing levels of the other Underlyings are greater than or equal to their respective Coupon Barriers on
each day during that Quarterly Observation Period, and even if the closing level of that Underlying was higher than its Coupon
Barrier on every other day during the Quarterly Observation Period. If the closing level of any Underlying is less
than its Coupon Barrier on any day during each Quarterly Observation Period, 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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Each Quarterly Contingent Coupon Is Based on the Closing
Levels of the Underlyings on Each Day During the Applicable Quarterly Observation Period
— Whether a Contingent Coupon
will be payable with respect to a Quarterly Observation Period will be based solely on the closing levels of the Underlyings on
each day during that Quarterly Observation Period. If the closing level of any Underlying on any day during a Quarterly
Observation Period is less than its Coupon Barrier, you will not receive any Contingent Coupon with respect to that Quarterly
Observation Period. As a result, a Contingent Coupon for a Quarterly Observation Period may be lost after the first day of such
period, but you will not know whether you will receive a Contingent Coupon for a Quarterly Observation Period until the end of
the related period.
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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 Any Underlying
— The return potential of the Notes is limited
to the specified Contingent Coupon Rate, regardless of the appreciation of any Underlying, which may be significant. In
addition, the total return on the Notes will vary based on the number of Quarterly Observation Periods during which the requirements
for a Contingent Coupon have been met prior to maturity or JPMorgan Financial electing to call the Notes. Further,
if JPMorgan Financial elects to call the Notes, you will not receive any Contingent Coupons or any other payments in respect of
any Quarterly Observation Periods after the Call Settlement Date. If JPMorgan Financial does not elect to call the
Notes, you may be subject to the risk of decline in the level of each Underlying, even though you are not able to participate
in any potential appreciation of any Underlying. As a result, the return on an investment in the Notes could be less
than the return on a hypothetical direct investment in any Underlying. In addition, if JPMorgan Financial does not
elect to call the Notes and the Final Value of any Underlying is below its Downside Threshold, you will lose some or all of 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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Because the Notes Are Linked to the Least Performing
Underlying, You Are Exposed to Greater Risks of No Contingent Coupons and Sustaining a Significant Loss on Your Investment at
Maturity Than If the Notes Were Linked to a Single
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Underlying
— The risk
that you will not receive any Contingent Coupons and lose some or all of your initial investment in the Notes at maturity is greater
if you invest in the Notes as opposed to substantially similar securities that are linked to the performance of a single Underlying
or to two Underlyings. With three Underlyings, it is more likely that the closing level of an Underlying will be less
than its Coupon Barrier on any day during the Quarterly Observation Periods or less than its Downside Threshold on the Final Valuation
Date. Therefore, it is more likely that you will not receive any Contingent Coupons and that you will suffer a significant
loss on your investment at maturity. In addition, the performance of the Underlyings may not be correlated or may be
negatively correlated.
The lower the correlation between
any two of the Underlyings, the greater the potential for one of those Underlyings to close below its Coupon Barrier or Downside
Threshold on any day during a Quarterly Observation Period or the Final Valuation Date, respectively, and with three Underlyings
there is a greater potential that one pair of Underlyings will have low or negative correlation. See “Correlation
of the Underlyings” below. Although the correlation of the Underlyings’ performance may change over the
term of the Notes, the Contingent Coupon Rate is determined, in part, based on the correlation of the Underlyings’ performance,
as calculated using internal models of our affiliates at the time when the terms of the Notes are finalized. A higher
Contingent Coupon Rate is generally associated with lower correlation of the Underlyings, which reflects a greater potential for
loss on your investment at maturity.
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You Are Exposed to the Risk of Decline in the Level
of Each Underlying
— Your return on the Notes and your payment at maturity, if any, is not linked to a basket consisting
of the Underlyings. If JPMorgan Financial does not elect to call the Notes, your payment at maturity is contingent
upon the performance of each individual Underlying such that you will be equally exposed to the risks related to each of the Underlyings. In
addition, the performance of the Underlyings may not be correlated. Poor performance by any of the Underlyings over
the term of the Notes may negatively affect whether you will receive a Contingent Coupon on any Coupon Payment Date and your payment
at maturity and will not be offset or mitigated by positive performance by any of the other Underlyings. Accordingly,
your investment is subject to the risk of decline in the value of each Underlying.
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Your Payment at Maturity May Be Determined By the
Least Performing Underlying
— Because the payment at maturity will be determined based on the performance of the Least
Performing Underlying, you will not benefit from the performance of any of the other Underlyings. Accordingly, if JPMorgan
Financial does not elect to call the Notes and the Final Value of any Underlying is less than its Downside Threshold, you will
lose some or all of your principal amount at maturity, even if the Final Value of either or both of the other Underlyings is greater
than or equal to its Initial Value.
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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 closing levels of all of the Underlyings are
above their respective Downside Thresholds. If by maturity the Notes have not been called, either JPMorgan Financial
will repay you the full principal amount per Note, with or without the Contingent Coupon, or, if any Underlying closes below its
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 level of the Least
Performing Underlying from its Initial Value to its Final Value. This contingent repayment of principal applies only
if you hold your Notes to maturity.
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A Higher Contingent Coupon Rate and/or a Lower Coupon
Barrier and/or Downside Threshold May Reflect Greater Expected Volatility of the Underlyings, Which Is Generally Associated With
a Greater Risk of Loss
— Volatility is a measure of the degree of variation in the levels of the Underlyings over a
period of time.
The greater the expected volatilities
of the Underlyings at the time the terms of the Notes are set, the greater the expectation is at that time that the level of an
Underlying could close below its Coupon Barrier on any day during any Quarterly Observation Period, resulting in the loss of one
or more, or all, Contingent Coupon payments, or below its 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 Contingent Coupon Rate, the Coupon Barrier and the Downside Threshold,
are based, in part, on the expected volatilities of the Underlyings at the time the terms of the Notes are set, where higher expected
volatilities will generally be reflected in a higher 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 Coupon Barrier and/or a lower Downside
Threshold as compared to otherwise comparable securities.
Accordingly,
a higher Contingent Coupon Rate will generally be indicative of a greater risk of loss while a lower Coupon Barrier or 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 each Underlying and the potential loss of some or all of your principal at maturity.
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Call and Reinvestment Risk
— JPMorgan Financial
may, in its sole discretion, elect to call the Notes on any Quarterly Observation End Date (other than the Final Valuation Date),
regardless of the closing level of any Underlying on that Quarterly Observation End Date. If JPMorgan Financial elects
to call your Notes early, you will no longer have the opportunity to receive any Contingent Coupons after the applicable Call
Settlement Date. The first Quarterly Observation End Date, and the first potential date on which JPMorgan Financial may elect
to call the Notes, occurs after three months and therefore you may not have the opportunity to receive any Contingent Coupons
after three months. In the event JPMorgan Financial elects to call the Notes, there is no guarantee that you will 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.
|
It is more likely that JPMorgan
Financial will elect to call the Notes prior to maturity when the expected interest payable on the Notes is greater than the interest
that would be payable on other instruments issued by JPMorgan Financial of comparable maturity, terms and credit rating trading
in the market. The greater likelihood of JPMorgan Financial calling the Notes in that environment increases the risk
that you will not be able to reinvest the proceeds from the called Notes in an equivalent investment with a similar interest rate.
JPMorgan Financial is less likely to call the Notes prior to maturity when the expected interest payable on the Notes is less than
the interest that would be payable on other comparable instruments issued by JPMorgan Financial, which includes when the level
of
any of the Underlyings is less than
its Coupon Barrier. Therefore, the Notes are more likely to remain outstanding when the expected interest payable on
the Notes is less than what would be payable on other comparable instruments and when your risk of not receiving a Contingent Coupon
is relatively higher.
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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.
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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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The Estimated Value of the Notes Does Not Represent
Future Values of the Notes and May Differ from Others’ Estimates
— The estimated value of the Notes is determined
by reference to internal pricing models of our affiliates when the terms of the Notes are set. This estimated value
of the Notes is based on market conditions and other relevant factors existing at that time and assumptions about market parameters,
which can include volatility, dividend rates, interest rates and other factors. Different pricing models and assumptions
could provide valuations for the Notes that are greater than or less than the estimated value of the Notes. In addition,
market conditions and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On
future dates, the value of the Notes could change significantly based on, among other things, changes in market conditions, our
or JPMorgan Chase & Co.’s creditworthiness, interest rate movements and other relevant factors, which may impact the
price, if any, at which JPMS would be willing to buy Notes from you in secondary market transactions. See “The
Estimated Value of the Notes” in this pricing supplement.
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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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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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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.
|
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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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 levels of the Underlyings, including:
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any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
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customary bid-ask spreads for similarly sized trades;
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our internal secondary market funding rates for structured debt issuances;
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the actual and expected volatility in the levels of the Underlyings;
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the time to maturity of the Notes;
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whether the closing level of any Underlying has been, or is expected to be, less than its Coupon Barrier on any day during
any Quarterly Observation Period and whether the Final Value of any Underlying is expected to be less than its Downside Threshold;
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the dividend rates on the equity securities underlying the Underlyings;
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the actual and expected positive or negative correlation between any two of the Underlyings, or the actual or expected absence
of any such correlation;
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interest and yield rates in the market generally;
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the exchange rates and the volatility of the exchange rates between the U.S. Dollar and each of the currencies in which the
equity securities included in the EURO STOXX 50
®
Index trade and the correlation among those rates and the levels
of the EURO STOXX 50
®
Index; and
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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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Investing in the Notes Is Not Equivalent to Investing
in the Stocks Composing the Underlyings
— Investing in the Notes is not equivalent to investing in the stocks included
in the Underlyings. As an investor in the Notes, you will not have any ownership interest or rights in the stocks included in
the Underlyings, such as voting rights, dividend payments or other distributions.
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We Cannot Control
Actions by the Sponsor of Any Underlying and That Sponsor Has No Obligation to Consider Your Interests
— We and our
affiliates are not affiliated with the sponsor of any Underlying and have no ability to control or predict its actions, including
any errors in or discontinuation of public disclosure regarding methods or policies relating to the calculation of that Underlying.
The sponsor of each Underlying is not involved in this Note offering in any way and has no obligation to consider your interest
as an owner of the Notes in taking any actions that might affect the market value of your Notes.
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Your Return on the Notes Will Not Reflect Dividends
on the Stocks Composing the Underlyings
— Your return on the Notes will not reflect the return you would realize if
you actually owned the stock included in the Underlyings and received the dividends on the stock included in the Underlyings.
This is because the calculation agent will determine whether a Contingent Coupon is payable and, if the Notes are not called,
will calculate the amount payable to you at maturity of the Notes by reference to the closing level of each Underlying on each
day during the relevant Quarterly Observation Period and the Final Valuation Date, respectively, without taking into consideration
the value of dividends on the stock included in that Underlying.
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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 each Underlying does
not close below its Coupon Barrier on any day during the Quarterly Observation Periods, 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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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
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 Underlyings and could affect the level of
an Underlying, and therefore the market value of the Notes.
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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 Level of
an Underlying
— Trading or transactions by JPMorgan Financial or its affiliates in an Underlying and/or over-the-counter
options, futures or other instruments with returns linked to the performance of an Underlying may adversely affect the level of
that Underlying and, therefore, the market value of the Notes.
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Risks
Relating to the Underlyings
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An Investment in the Notes is Subject to Risks Associated
with Small Capitalization Stocks with Respect to the
Russell 2000
®
Index
— The equity securities included in the
Russell 2000
®
Index
are issued by companies with relatively small market capitalization. The stock prices of smaller companies may
be more volatile than stock prices of large capitalization companies. Small capitalization companies may be less able
to withstand adverse economic, market, trade and competitive conditions relative to larger companies. These companies
tend to be less well-established than large market capitalization 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.
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JPMorgan Chase & Co. Is Currently One of the Companies
that Make Up the S&P 500
®
Index —
JPMorgan Chase & Co. is currently one of the companies that
make up the S&P 500
®
Index. JPMorgan Chase & Co. will not have any obligation to consider
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your interests as a holder of the
Notes in taking any corporate action that might affect the value of the S&P 500
®
Index and the Notes.
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Non-U.S. Securities
Risk with Respect to the EURO STOXX 50
®
Index —
The equity securities included in the EURO STOXX 50
®
Index have been issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S.
equity securities involve risks associated with the securities markets in the home countries of the issuers of those non-U.S.
equity securities, including risks of volatility in those markets, governmental intervention in those markets and cross shareholdings
in companies in certain countries. Also, there is generally less publicly available information about companies in
some of these jurisdictions than about U.S. companies that are subject to the reporting requirements of the SEC.
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No Direct Exposure
to Fluctuations in Foreign Exchange Rates with Respect to the EURO STOXX 50
®
Index —
The value of the
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. Therefore, if the applicable currencies appreciate or depreciate
relative to the U.S. dollar over the term of the Notes, you will not receive any additional payment or incur any reduction in
any payment on the Notes.
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Hypothetical
Examples
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 issuer-elected call or at maturity under different hypothetical scenarios for a $10.00 Note on
an offering of the Notes, with the assumptions set forth below.* We cannot predict the closing level of any Underlying
on any day during the term of the Notes, including on any day during any Quarterly Observation Period or on the Final Valuation
Date. You should not take these examples as an indication or assurance of the expected performance of the Notes. Numbers
in the examples below have been rounded for ease of analysis. In these examples, we refer to the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index as the “RTY Index,” the “SPX
Index” and the “SX5E Index,” respectively.
Principal Amount:
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$10.00
|
Term:
|
Approximately 2 years (unless earlier called)
|
Hypothetical Initial Value:
|
100.000 for the RTY Index, 100.00 for the SPX Index and 100.00 for the SX5E Index
|
Contingent Coupon Rate:
|
9.05% per annum (or 2.263% per quarter)
|
Quarterly Observation Periods/Quarterly
Observation End Dates:
|
Quarterly
|
Hypothetical Downside Threshold:
|
65.000 for the RTY Index, 65.00 for the SPX Index and 65.00 for the SX5E Index (which, with respect to each Underlying, is 65% of the hypothetical Initial Value of that Underlying)
|
Hypothetical Coupon Barrier:
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65.000 for the RTY Index, 65.00 for the SPX Index and 65.00 for the SX5E Index (which, with respect to each Underlying, is 65% of the hypothetical Initial Value of that Underlying)
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*
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Terms used for purposes of these hypothetical examples do not represent the actual Initial Values, Coupon Barriers or Downside Thresholds. The hypothetical Initial Values of 100.000 for the RTY Index, 100.00 for the SPX Index and 100.00 for the SX5E Index have been chosen for illustrative purposes only and do not represent the actual Initial Value for any Underlying. The actual Initial Value and resulting Downside Threshold and Coupon Barrier of each Underlying are based on the closing level of that Underlying on the Trade Date and are specified on the cover of this pricing supplement. For historical data regarding the actual closing levels of the Underlyings, please see the historical information set forth under the sections titled “The Russell 2000
®
Index,” “The S&P 500
®
Index” and “The EURO STOXX 50
®
Index” below.
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The examples below are hypothetical. These
examples are intended to illustrate (a) the effect of an issuer-elected call, (b) how the payment of a Contingent Coupon with respect
to any Quarterly Observation Period will depend on whether the closing level of any Underlying is less than its Coupon Barrier
on any day during that Quarterly Observation Period, (c) how the value of the payment at maturity on the Notes will depend on whether
the Final Value of any Underlying is less than its Downside Threshold and (d) how the total return on the Notes may be less than
the total return on a direct investment in any or all Underlyings in certain scenarios. The “total return”
as used in this pricing supplement is the number, expressed as a percentage, that results from comparing the total payments per
$10.00 principal amount Note over the term of the Notes to the $10.00 initial issue price.
Example 1 — JPMorgan Financial Elects to Call
the Notes on the First Quarterly Observation End Date
Quarterly Observation Period
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Lowest Closing Level During Applicable Quarterly Observation Period
|
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Payment (per Note)
|
First Quarterly Observation Period
|
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RTY Index: 105.000
SPX Index: 110.00
SX5E Index: 90.00
|
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Issuer elects to call the Notes. Closing level of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer pays Contingent Coupon of $0.2263 on Call Settlement Date.
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Total Payments (per $10.00 Note):
|
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Payment on Call Settlement Date:
|
$10.2263 ($10.00 + $0.2263)
|
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Total:
|
$10.2263
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Total Return:
|
2.263%
|
On the first Quarterly Observation End Date, JPMorgan
Financial elects to call the Notes. Because the closing level of each Underlying is above its applicable Coupon Barrier on each
day during the first Quarterly Observation Period, JPMorgan Financial will pay you on the Call Settlement Date $10.2263 per $10.00
principal amount Note, which is equal to your principal amount
plus
the Contingent Coupon due on the Coupon Payment Date
that is also the Call Settlement Date. No further amounts will be owed to you under the Notes.
Example 2 — Notes Are NOT Called and the Final
Value of Each Underlying Is Above Its Downside Threshold
Quarterly Observation Period
|
|
Lowest Closing Level During Applicable Quarterly Observation Period
|
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Final Value
|
|
Payment (per Note)
|
First Quarterly Observation Period
|
|
RTY Index:
115.000
SPX Index:
110.00
SX5E Index:
105.00
|
|
N/A
|
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Notes NOT called at the election of the Issuer. Closing level of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer pays Contingent Coupon of $0.2263 on first Coupon Payment Date.
|
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Second Quarterly Observation Period
|
|
RTY Index: 80.000
SPX Index: 80.00
SX5E Index: 90.00
|
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N/A
|
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Notes NOT called at the election of the Issuer. Closing level of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer pays Contingent Coupon of $0.2263 on second Coupon Payment Date.
|
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Third Quarterly Observation Period
|
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RTY Index:
85.000
SPX Index:
80.00
SX5E Index:
45.00
|
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N/A
|
|
Notes NOT called at the election of the Issuer. Closing level of SX5E Index below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent Coupon on third Coupon Payment Date.
|
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Fourth to Seventh Quarterly Observation Periods
|
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Various (at least one Underlying below Coupon Barrier)
|
|
N/A
|
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Notes NOT called at the election of the Issuer. Closing level of at least one Underlying below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent Coupon on any of the fourth to seventh Coupon Payment Dates.
|
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Eighth Quarterly Observation Period (the final Quarterly Observation Period)
|
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RTY Index:
110.000
SPX Index:
85.00
SX5E Index:
80.00
|
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RTY Index:
110.000
SPX Index:
90.00
SX5E Index:
85.00
|
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Notes NOT callable. Final Value of each Underlying above its Downside Threshold and closing level of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer repays principal
plus
pays Contingent Coupon of $0.2263 on Maturity Date.
|
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|
Total Payments (per $10.00 Note):
|
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Payment at Maturity:
|
$10.2263 ($10.00 + $0.2263)
|
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Prior Contingent Coupons:
|
$0.4526 ($0.2263 × 2)
|
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Total:
|
$10.6789
|
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Total Return:
|
6.789%
|
In this example, the Issuer does not elect to call
the Notes and the Notes remain outstanding until maturity. Because the Final Value of each Underlying is greater than or equal
to its Downside Threshold and the closing level of each Underlying is greater than or equal to its Coupon Barrier on each day during
the final Quarterly Observation Period, JPMorgan Financial will pay you on the Maturity Date $10.2263 per $10.00 principal amount
Note, which is equal to your principal amount
plus
the Contingent Coupon due on the Coupon Payment Date that is also the
Maturity Date.
In addition, because the closing level of each Underlying
was greater than or equal to its Coupon Barrier on each day during the first and second Quarterly Observation Periods, JPMorgan
Financial will pay the Contingent Coupon of $0.2263 on the first and second Coupon Payment Dates. However, because the closing
level of at least one Underlying was less than its Coupon Barrier on at least one day during each of the third through seventh
Quarterly Observation Periods, JPMorgan Financial will not pay any Contingent Coupon on the Coupon Payment Dates following the
applicable Quarterly Observation Periods. Accordingly, JPMorgan Financial will have paid a total of $10.6789 per $10.00 principal
amount Note for a 6.789% total return over the approximately two (2) year term of the Notes.
Example 3 — Notes Are NOT Called and the Final
Value of Each Underlying Is Above Its Downside Threshold
Quarterly Observation Period
|
|
Lowest Closing Level During Applicable Quarterly Observation Period
|
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Final Value
|
|
Payment (per Note)
|
First Quarterly Observation Period
|
|
RTY Index: 115.000
SPX Index: 110.00
SX5E Index: 105.00
|
|
N/A
|
|
Notes NOT called at the election of the Issuer. Closing level of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer pays Contingent Coupon of $0.2263 on first Coupon Payment Date.
|
|
|
|
|
|
|
|
Second Quarterly Observation Period
|
|
RTY Index: 80.000
SPX Index: 80.00
SX5E Index: 90.00
|
|
N/A
|
|
Notes NOT called at the election of the Issuer. Closing level of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer pays Contingent Coupon of $0.2263 on second Coupon Payment Date.
|
|
|
|
|
|
|
|
Third Quarterly Observation Period
|
|
RTY Index: 85.000
SPX Index: 80.00
SX5E Index: 60.00
|
|
N/A
|
|
Notes NOT called at the election of the Issuer. Closing level of SX5E Index below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent Coupon on third Coupon Payment Date.
|
|
|
|
|
|
|
|
Fourth to Seventh Quarterly Observation Periods
|
|
Various (at least one Underlying below Coupon Barrier)
|
|
N/A
|
|
Notes NOT called at the election of the Issuer. Closing level of at least one Underlying below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent Coupon on any of the fourth to seventh Coupon Payment Dates.
|
|
|
|
|
|
|
|
Eighth Quarterly Observation Period (the final Quarterly Observation Period)
|
|
RTY Index:
90.000
SPX Index:
80.00
SX5E Index:
60.00
|
|
RTY Index:
110.000
SPX Index:
90.00
SX5E Index:
80.00
|
|
Notes NOT callable. Final Value of each Underlying above its Downside Threshold but closing level of SX5E Index below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer repays principal but does not pay Contingent Coupon.
|
|
|
|
|
|
|
|
Total Payments (per $10.00 Note):
|
|
Payment at Maturity:
|
$10.00
|
|
|
Prior Contingent Coupons:
|
$0.4526 ($0.2263 × 2)
|
|
|
Total:
|
$10.4526
|
|
|
Total Return:
|
4.526%
|
In this example, the Issuer does not elect to call the
Notes and the Notes remain outstanding until maturity. Because the Final Value of each Underlying is greater than or equal to its
Downside Threshold but the closing level of at least one Underlying is less than its Coupon Barrier on at least one day during
the final Quarterly Observation Period, JPMorgan Financial will pay you on the Maturity Date $10.00 per $10.00 principal amount
Note, which is equal to your principal amount, but JPMorgan Financial will not pay any Contingent Coupon on the Maturity Date.
In addition, because the closing level of each Underlying
was greater than or equal to its Coupon Barrier on each day during the first and second Quarterly Observation Periods, JPMorgan
Financial will pay the Contingent Coupon of $0.2263 on the first and second Coupon Payment Dates. However, because the closing
level of at least one Underlying was less than its Coupon Barrier on at least one day during each of the third through seventh
Quarterly Observation Periods, JPMorgan Financial will not pay any Contingent Coupon on the Coupon Payment Dates following the
applicable Quarterly Observation Periods. Accordingly, JPMorgan Financial will have paid a total of $10.4526 per $10.00 principal
amount Note for a 4.526% total return over the approximately two (2) year term of the Notes.
Example 4 — Notes Are NOT Called and the Final Value
of Any Underlying Is Below Its Downside Threshold
Quarterly Observation Period
|
|
Lowest Closing Level During Applicable Quarterly Observation Period
|
|
Final Value
|
|
Payment (per Note)
|
First Quarterly Observation Period
|
|
RTY Index:
40.000
SPX Index:
45.00
SX5E Index:
30.00
|
|
N/A
|
|
Notes NOT called at the election of the Issuer. Closing level of each Underlying below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent Coupon on first Coupon Payment Date.
|
|
|
|
|
|
|
|
Second Quarterly Observation Period
|
|
RTY Index:
105.000
SPX Index:
45.00
SX5E Index:
80.00
|
|
N/A
|
|
Notes NOT called at the election of the Issuer. Closing level of SPX Index below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent Coupon on second Coupon Payment Date.
|
|
|
|
|
|
|
|
Third Quarterly Observation Period
|
|
RTY Index: 90.000
SPX Index:
45.00
SX5E Index:
80.00
|
|
N/A
|
|
Notes NOT called at the election of the Issuer. Closing level of SPX Index below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent Coupon on third Coupon Payment Date.
|
|
|
|
|
|
|
|
Fourth to Seventh Quarterly Observation Periods
|
|
Various (at least one Underlying below Coupon Barrier)
|
|
N/A
|
|
Notes NOT called at the election of the Issuer. Closing level of at least one Underlying below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent Coupon on any of the fourth to seventh Coupon Payment Dates.
|
|
|
|
|
|
|
|
Eighth Quarterly Observation Period (the final Quarterly Observation Period)
|
|
RTY Index:
45.000
SPX Index:
100.00
SX5E Index:
80.00
|
|
RTY Index:
45.000
SPX Index:
110.00
SX5E Index:
80.00
|
|
Notes NOT callable. Closing level of RTY Index below its Downside Threshold; Issuer DOES NOT pay Contingent Coupon on Maturity Date, and Issuer will repay less than the principal amount resulting in a loss proportionate to the decline of the Least Performing Underlying.
|
|
|
|
|
|
|
|
Total Payments (per $10.00 Note):
|
|
Payment at Maturity:
|
$4.50
|
|
|
Prior Contingent Coupons:
|
$0.00
|
|
|
Total:
|
$4.50
|
|
|
Total Return:
|
-55.00%
|
In this example, the Issuer does not elect to call the Notes
and the Notes remain outstanding until maturity. Because the Final Value of at least one Underlying is less than its Downside Threshold
on the Final Valuation Date, at maturity, JPMorgan Financial will pay you a total of $4.50 per $10.00 principal amount, for a -55.00%
total return on the Notes, calculated as follows:
$10.00 × (1 + Least Performing Underlying
Return)
Step 1: Determine the Underlying Return of each
Underlying:
Underlying Return of the RTY Index:
Final Value – Initial Value
|
=
|
45.000 – 100.000
|
= -55.00%
|
Initial Value
|
100.000
|
Underlying Return of the SPX Index:
Final Value – Initial Value
|
=
|
110.00 – 100.00
|
= 10.00%
|
Initial Value
|
100.00
|
Underlying Return of the SX5E Index:
Final Value – Initial Value
|
=
|
80.00 – 100.00
|
= -20.00%
|
Initial Value
|
100.00
|
Step 2: Determine the Least Performing Underlying
.
The RTY Index is the Underlying with the lowest Underlying Return.
Step 3: Calculate the Payment at Maturity:
$10.00 × (1 + Least Performing Underlying
Return) = $10.00 × (1 + -55.00%) = $4.50
In addition, because the closing level of at least one Underlying
is less than its Coupon Barrier on at least one day during each Quarterly Observation Period, JPMorgan Financial will not pay any
Contingent Coupons over the term of the Notes.
Accordingly, JPMorgan Financial
will have paid a total of $4.50
per $10.00 principal amount Note for a -55.00% total return over the
approximately two (2) year
term
of 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.
The
Underlyings
Included on the following pages is a brief description
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 levels of each Underlying. This information
given below is for the four calendar quarters in each of 2012, 2013, 2014, 2015 and 2016. Partial data is provided for
the first calendar quarter of 2017. We obtained the closing levels information set forth below from the Bloomberg Professional
®
service (“Bloomberg”), without independent verification. You should not take the historical levels of any
Underlying as an indication of future performance.
The
Russell 2000
®
Index
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 the information set forth under “Equity Index Descriptions
— The Russell Indices” in the accompanying underlying supplement.
Historical Information Regarding the Russell 2000
®
Index
The following table sets forth the quarterly high
and low closing levels of the Russell 2000
®
Index, based on daily closing levels of the Russell 2000
®
Index as reported by Bloomberg, without independent verification. The closing level of the Russell 2000
®
Index on January 13, 2017 was 1,372.047. We obtained the closing levels of the Russell 2000
®
Index above
and below from Bloomberg, without independent verification. You should not take the historical levels of the Russell
2000
®
Index as an indication of future performance.
Quarter Begin
|
Quarter End
|
Quarterly High
|
Quarterly Low
|
Close
|
1/1/2012
|
3/31/2012
|
846.129
|
747.275
|
830.301
|
4/1/2012
|
6/30/2012
|
840.626
|
737.241
|
798.487
|
7/1/2012
|
9/30/2012
|
864.697
|
767.751
|
837.450
|
10/1/2012
|
12/31/2012
|
852.495
|
769.483
|
849.350
|
1/1/2013
|
3/31/2013
|
953.068
|
872.605
|
951.542
|
4/1/2013
|
6/30/2013
|
999.985
|
901.513
|
977.475
|
7/1/2013
|
9/30/2013
|
1,078.409
|
989.535
|
1,073.786
|
10/1/2013
|
12/31/2013
|
1,163.637
|
1,043.459
|
1,163.637
|
1/1/2014
|
3/31/2014
|
1,208.651
|
1,093.594
|
1,173.038
|
4/1/2014
|
6/30/2014
|
1,192.964
|
1,095.986
|
1,192.964
|
7/1/2014
|
9/30/2014
|
1,208.150
|
1,101.676
|
1,101.676
|
10/1/2014
|
12/31/2014
|
1,219.109
|
1,049.303
|
1,204.696
|
1/1/2015
|
3/31/2015
|
1,266.373
|
1,154.709
|
1,252.772
|
4/1/2015
|
6/30/2015
|
1,295.799
|
1,215.417
|
1,253.947
|
7/1/2015
|
9/30/2015
|
1,273.328
|
1,083.907
|
1,100.688
|
10/1/2015
|
12/31/2015
|
1,204.159
|
1,097.552
|
1,135.889
|
1/1/2016
|
3/31/2016
|
1,114.028
|
953.715
|
1,114.028
|
4/1/2016
|
6/30/2016
|
1,188.954
|
1,089.646
|
1,151.923
|
7/1/2016
|
9/30/2016
|
1,263.438
|
1,139.453
|
1,251.646
|
10/1/2016
|
12/31/2016
|
1,388.073
|
1,156.885
|
1,357.130
|
1/1/2017
|
1/13/2017*
|
1,387.954
|
1,357.491
|
1,372.047
|
*
|
As of the date of this pricing supplement, available information for the first calendar quarter of 2017 includes data for the period from January 1, 2017 through January 13, 2017. Accordingly, the “Quarterly High,” “Quarterly Low” and “Close” data indicated are for this shortened period only and do not reflect complete data for the first calendar quarter of 2017.
|
The graph below illustrates the daily performance
of the Russell 2000
®
Index from January 3, 2007 through January 13, 2017, based on information from Bloomberg, without
independent verification. The dotted line represents the Downside Threshold and Coupon Barrier of 891.831, equal to
65% of the closing level of the Russell 2000
®
Index on January 13, 2017.
Past performance of the Russell 2000
®
Index is not indicative of the future performance of the Russell 2000
®
Index.
The
S&P 500
®
Index
The S&P 500
®
Index consists of
stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For additional information
about the S&P 500
®
Index, see the information set forth under “Equity Index Descriptions — The S&P
U.S. Indices” in the accompanying underlying supplement.
Historical Information Regarding the S&P 500
®
Index
The following table sets forth the quarterly high
and low closing levels of the S&P 500
®
Index, based on daily closing levels of the S&P 500
®
Index as reported by Bloomberg, without independent verification. The closing level of the S&P 500
®
Index on January 13, 2017 was 2,274.64. We obtained the closing levels of the S&P 500
®
Index above
and below from Bloomberg, without independent verification. You should not take the historical levels of the S&P
500
®
Index as an indication of future performance.
Quarter Begin
|
Quarter End
|
Quarterly High
|
Quarterly Low
|
Close
|
1/1/2012
|
3/31/2012
|
1,416.51
|
1,277.06
|
1,408.47
|
4/1/2012
|
6/30/2012
|
1,419.04
|
1,278.04
|
1,362.16
|
7/1/2012
|
9/30/2012
|
1,465.77
|
1,334.76
|
1,440.67
|
10/1/2012
|
12/31/2012
|
1,461.40
|
1,353.33
|
1,426.19
|
1/1/2013
|
3/31/2013
|
1,569.19
|
1,457.15
|
1,569.19
|
4/1/2013
|
6/30/2013
|
1,669.16
|
1,541.61
|
1,606.28
|
7/1/2013
|
9/30/2013
|
1,725.52
|
1,614.08
|
1,681.55
|
10/1/2013
|
12/31/2013
|
1,848.36
|
1,655.45
|
1,848.36
|
1/1/2014
|
3/31/2014
|
1,878.04
|
1,741.89
|
1,872.34
|
4/1/2014
|
6/30/2014
|
1,962.87
|
1,815.69
|
1,960.23
|
7/1/2014
|
9/30/2014
|
2,011.36
|
1,909.57
|
1,972.29
|
10/1/2014
|
12/31/2014
|
2,090.57
|
1,862.49
|
2,058.90
|
1/1/2015
|
3/31/2015
|
2,117.39
|
1,992.67
|
2,067.89
|
4/1/2015
|
6/30/2015
|
2,130.82
|
2,057.64
|
2,063.11
|
7/1/2015
|
9/30/2015
|
2,128.28
|
1,867.61
|
1,920.03
|
10/1/2015
|
12/31/2015
|
2,109.79
|
1,923.82
|
2,043.94
|
1/1/2016
|
3/31/2016
|
2,063.95
|
1,829.08
|
2,059.74
|
4/1/2016
|
6/30/2016
|
2,119.12
|
2,000.54
|
2,098.86
|
7/1/2016
|
9/30/2016
|
2,190.15
|
2,088.55
|
2,168.27
|
10/1/2016
|
12/31/2016
|
2,271.72
|
2,085.18
|
2,238.83
|
1/1/2017
|
1/13/2017*
|
2,276.98
|
2,257.83
|
2,274.64
|
*
|
As of the date of this pricing supplement, available information for the first calendar quarter of 2017 includes data for the period from January 1, 2017 through January 13, 2017. Accordingly, the “Quarterly High,” “Quarterly Low” and “Close” data indicated are for this shortened period only and do not reflect complete data for the first calendar quarter of 2017.
|
The graph below illustrates the daily performance
of the S&P 500
®
Index from January 3, 2007 through January 13, 2017, based on information from Bloomberg, without
independent verification. The dotted line represents the Downside Threshold and Coupon Barrier of 1,478.52, equal to
65% of the closing level of the S&P 500
®
Index on January 13, 2017.
Past performance of the S&P 500
®
Index is not indicative of the future performance of the S&P 500
®
Index.
The
EURO STOXX 50
®
Index
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 Securities 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 the information set forth under “Equity Index Descriptions — The EURO STOXX 50
®
Index”
in the accompanying underlying supplement.
Historical Information Regarding the EURO STOXX 50
®
Index
The following table sets forth the quarterly high and low closing
levels of the EURO STOXX 50
®
Index, based on daily closing levels of the EURO STOXX 50
®
Index as
reported by Bloomberg, without independent verification. The closing level of the EURO STOXX 50
®
Index
on January 13, 2017 was 3,324.34. We obtained the closing levels of the EURO STOXX 50
®
Index above and
below from Bloomberg, without independent verification. You should not take the historical levels of the EURO STOXX
50
®
Index as an indication of future performance.
Quarter Begin
|
Quarter End
|
Quarterly High
|
Quarterly Low
|
Close
|
1/1/2012
|
3/31/2012
|
2,608.42
|
2,286.45
|
2,477.28
|
4/1/2012
|
6/30/2012
|
2,501.18
|
2,068.66
|
2,264.72
|
7/1/2012
|
9/30/2012
|
2,594.56
|
2,151.54
|
2,454.26
|
10/1/2012
|
12/31/2012
|
2,659.95
|
2,427.32
|
2,635.93
|
1/1/2013
|
3/31/2013
|
2,749.27
|
2,570.52
|
2,624.02
|
4/1/2013
|
6/30/2013
|
2,835.87
|
2,511.83
|
2,602.59
|
7/1/2013
|
9/30/2013
|
2,936.20
|
2,570.76
|
2,893.15
|
10/1/2013
|
12/31/2013
|
3,111.37
|
2,902.12
|
3,109.00
|
1/1/2014
|
3/31/2014
|
3,172.43
|
2,962.49
|
3,161.60
|
4/1/2014
|
6/30/2014
|
3,314.80
|
3,091.52
|
3,228.24
|
7/1/2014
|
9/30/2014
|
3,289.75
|
3,006.83
|
3,225.93
|
10/1/2014
|
12/31/2014
|
3,277.38
|
2,874.65
|
3,146.43
|
1/1/2015
|
3/31/2015
|
3,731.35
|
3,007.91
|
3,697.38
|
4/1/2015
|
6/30/2015
|
3,828.78
|
3,424.30
|
3,424.30
|
7/1/2015
|
9/30/2015
|
3,686.58
|
3,019.34
|
3,100.67
|
10/1/2015
|
12/31/2015
|
3,506.45
|
3,069.05
|
3,267.52
|
1/1/2016
|
3/31/2016
|
3,178.01
|
2,680.35
|
3,004.93
|
4/1/2016
|
6/30/2016
|
3,151.69
|
2,697.44
|
2,864.74
|
7/1/2016
|
9/30/2016
|
3,091.66
|
2,761.37
|
3,002.24
|
10/1/2016
|
12/31/2016
|
3,290.52
|
2,954.53
|
3,290.52
|
1/1/2017
|
1/13/2017*
|
3,324.34
|
3,286.70
|
3,324.34
|
*
|
As of the date of this pricing supplement, available information for the first calendar quarter of 2017 includes data for the period from January 1, 2017 through January 13, 2017. Accordingly, the “Quarterly High,” “Quarterly Low” and “Close” data indicated are for this shortened period only and do not reflect complete data for the first calendar quarter of 2017.
|
The graph below illustrates the daily performance
of the EURO STOXX 50
®
Index from January 2, 2007 through January 13, 2017, based on information from Bloomberg,
without independent verification. The dotted line represents the Downside Threshold and Coupon Barrier of 2,160.82,
equal to 65% of the closing level of the EURO STOXX 50
®
Index on January 13, 2017.
Past performance of the EURO STOXX 50
®
Index
is not indicative of the future performance of the EURO STOXX 50
®
Index.
Correlation
of the Underlyings
The graph below illustrates the daily performance
of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index from
January 3, 2007 through January 13, 2017. For comparison purposes, each Underlying has been normalized to have a closing
level of 100.00 on January 3, 2007 by dividing the closing level of that Underlying on each day by the closing level of that Underlying
on January 3, 2007 and multiplying by 100.00. We obtained the closing levels used to determine the normalized closing
levels set forth below from Bloomberg, without independent verification.
Past performance of the Underlyings is not indicative
of the future performance of the Underlyings.
The correlation of a pair of Underlyings represents
a statistical measurement of the degree to which the returns of those Underlyings were similar to each other over a given period
in terms of timing and direction (
i.e.
, positive or negative). Set forth below is a table that provides the correlation
of each pair of Underlyings, calculated based on the daily returns of the Underlyings from January 13, 2007 through January 13,
2017, based on information from Bloomberg, without independent verification. You should not take the historical correlations
of the Underlyings as an indication of future correlation.
|
Russell 2000
®
Index
|
S&P 500
®
Index
|
EURO STOXX 50
®
Index
|
Russell 2000
®
Index
|
—
|
0.925
|
0.546
|
S&P 500
®
Index
|
0.925
|
—
|
0.615
|
EURO STOXX 50
®
Index
|
0.546
|
0.615
|
—
|
A correlation of 1.000 for a pair of Underlyings represents
a perfect positive correlation. This means that the closing levels of that pair of Underlyings have moved in the same
direction and the ratio of their daily returns has been constant. A correlation of -1.000 for a pair of Underlyings
represents a perfect negative correlation. This means that the closing levels of that pair of Underlyings have moved
in the opposite direction and the ratio of their daily returns has been constant. A correlation of 0.000 for a pair
of Underlyings means that the Underlyings are uncorrelated. This means that there is no statistical relationship between
the daily returns of that pair of Underlyings. The closer the correlation of a pair of Underlyings is to 1.000, the
more positively correlated those Underlyings are. The closer the correlation of a pair of Underlyings is to -1.000, the more negatively
correlated those Underlyings. The closer the correlation of a pair of Underlyings is to 0.000, the less correlated those
Underlyings are. The lower the correlation between two Underlyings, the greater the potential for one of those Underlyings
to close below its Coupon Barrier or Downside Threshold on any day during a Quarterly Observation Period or the Final Valuation
Date, respectively.
The correlations set forth above are based on the
historical performance of the Underlyings, and you should not take those historical correlations as an indication of future correlation. In
addition, the correlations set forth above are not the same as the correlations referenced in setting the terms of the Notes. The
correlations referenced in setting the terms of the Notes are calculated using internal models of our affiliates and are not derived
from the daily returns of the Underlyings over the period set forth above. Although the correlation of the Underlyings’
performance may change over the term of the Notes, the Contingent Coupon Rate is determined, in part, based on the correlations
of the Underlyings’ performance calculated using internal models of our affiliates at the time when the terms of the Notes
are finalized. A higher Contingent Coupon Rate is generally associated with lower correlation of the Underlyings, which reflects
a greater potential for missed Contingent Coupons and for a loss on your investment at maturity.