Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this
pricing supplement or the accompanying product supplement, prospectus supplement and prospectus. Any representation to the contrary
is a criminal offense.
The notes are not bank deposits, are not insured by
the Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
You should read this pricing supplement together
with the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term
notes, of which these notes are a part, and the more detailed information contained in the accompanying product supplement.
This
pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all other prior or
contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence,
trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours.
You should carefully consider, among other things, the matters set forth in the “Risk Factors” section of the accompanying
product supplement, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment,
legal, tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC website
at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website
is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us”
and “our” refer to JPMorgan Financial.
The following table and examples illustrate
the hypothetical total return and the hypothetical payment at maturity on the notes. The “total return” as used in
this pricing supplement is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000
principal amount note to $1,000. Each hypothetical total return or payment at maturity set forth below assumes an Initial Stock
Price of $33 and reflects the Contingent Buffer Amount of 38.50% and the Contingent Digital Return of 10.00%. Each hypothetical
total return or payment at maturity set forth below is for illustrative purposes only and may not be the actual total return or
payment at maturity applicable to a purchaser of the notes. The numbers appearing in the following table and in the examples below
have been rounded for ease of analysis.
Final Stock
Price
|
Stock Return
|
Total Return
|
$59.4000
|
80.00%
|
10.00%
|
$56.1000
|
70.00%
|
10.00%
|
$52.8000
|
60.00%
|
10.00%
|
$49.5000
|
50.00%
|
10.00%
|
$46.2000
|
40.00%
|
10.00%
|
$42.9000
|
30.00%
|
10.00%
|
$39.6000
|
20.00%
|
10.00%
|
$36.3000
|
10.00%
|
10.00%
|
$34.6500
|
5.00%
|
10.00%
|
$33.8250
|
2.50%
|
10.00%
|
$33.0000
|
0.00%
|
10.00%
|
$32.1750
|
-2.50%
|
10.00%
|
$31.3500
|
-5.00%
|
10.00%
|
$29.7000
|
-10.00%
|
10.00%
|
$28.0500
|
-15.00%
|
10.00%
|
$26.4000
|
-20.00%
|
10.00%
|
$23.1000
|
-30.00%
|
10.00%
|
$20.2950
|
-38.50%
|
10.00%
|
$20.2917
|
-38.51%
|
-38.51%
|
$19.8000
|
-40.00%
|
-40.00%
|
$18.1500
|
-45.00%
|
-45.00%
|
$16.5000
|
-50.00%
|
-50.00%
|
$13.2000
|
-60.00%
|
-60.00%
|
$9.9000
|
-70.00%
|
-70.00%
|
$6.6000
|
-80.00%
|
-80.00%
|
$3.3000
|
-90.00%
|
-90.00%
|
$0.0000
|
-100.00%
|
-100.00%
|
JPMorgan Structured Investments —
Digital Dual Directional Contingent Buffered Notes Linked to the Common Stock of Macy’s, Inc.
|
PS-
2
|
Hypothetical Examples of
Amount Payable at Maturity
The following examples illustrate how the total
payment at maturity in different hypothetical scenarios is calculated.
Example 1: The price of one share of the Reference
Stock increases from the Initial Stock Price of $33 to a Final Stock Price of $33.825.
Because the Final Stock Price of $33.825 is greater
than the Initial Stock Price of $33, regardless of the appreciation of the Reference Stock, the investor receives a payment at
maturity of $1,100 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 ×
10.00%) = $1,100
Example 2: The price of one share of the Reference
Stock decreases from the Initial Stock Price of $33 to a Final Stock Price of $20.295.
Although the Reference Stock has depreciated,
because the Final Stock Price of $20.295 is less than the Initial Stock Price of $33 by up to the Contingent Buffer Amount of 38.50%,
the investor receives a payment at maturity of $1,100 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 ×
10.00%) = $1,100
Example 3: The price of one share of the Reference
Stock increases from the Initial Stock Price of $33 to a Final Stock Price of $46.20.
Because the Final Stock Price of $46.20 is greater
than the Initial Stock Price of $33 and although the Reference Stock appreciation of 40% exceeds the Contingent Digital Return
of 10.00%, the investor is entitled to only the Contingent Digital Return and receives a payment at maturity of $1,100 per $1,000
principal amount note, calculated as follows:
$1,000 + ($1,000 ×
10.00%) = $1,100
Example 4: The closing price of one share
of the Reference Stock decreases from the Initial Stock Price of $33 to a Final Stock Price of $16.50.
Because the Final Stock Price of $16.50 is less
than the Initial Stock Price of $33 by more than the Contingent Buffer Amount of 38.50% and the Stock Return is -50%, the investor
receives a payment at maturity of $500 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 ×
-50%) = $500
The hypothetical returns and hypothetical payments
on the notes shown above apply
only if you hold the notes for their entire term.
These hypotheticals do not reflect 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.
JPMorgan Structured Investments —
Digital Dual Directional Contingent Buffered Notes Linked to the Common Stock of Macy’s, Inc.
|
PS-
3
|
Selected Purchase Considerations
|
·
|
FIXED APPRECIATION POTENTIAL
—
If the Final Stock Price is greater than or equal to the Initial Stock Price or is less than the Initial Stock Price by up to the
Contingent Buffer Amount, you will receive a fixed return equal to the Contingent Digital Return of 10.00% at maturity, which also
reflects the maximum return on the notes at maturity.
Because the notes are our unsecured and unsubordinated obligations, the
payment of which is fully and unconditionally guaranteed by JPMorgan Chase & Co., payment of any amount on the notes is subject
to our ability to pay our obligations as they become due and JPMorgan Chase & Co.’s ability to pay its obligations as
they become due.
|
|
·
|
LIMITED PROTECTION AGAINST LOSS
—
We will pay you
at least your principal back at maturity if the Final Stock Price is greater than or equal to the Initial Stock Price or is less
than the Initial Stock Price by up to the Contingent Buffer Amount of 38.50%. If the Final Stock Price is less than the Initial
Stock Price by more than the Contingent Buffer Amount, for every 1% that the Final Stock Price is less than the Initial Stock Price,
you will lose an amount equal to 1% of the principal amount of your notes. Under these circumstances, you will lose more than 38.50%
of your principal amount at maturity and may lose all of your principal amount at maturity.
|
|
·
|
RETURN DEPENDENT ON A SINGLE REFERENCE
STOCK —
The return on the notes is linked to the performance of a single Reference Stock, which is the common stock of
Macy’s. For additional information see “The Reference Stock” in this pricing supplement.
|
|
·
|
TAX TREATMENT —
You should review carefully the
section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I.
The following discussion, when read in combination with that section, constitutes the full opinion of our special tax counsel,
Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes.
|
Based on current market conditions, in the opinion of
our special tax counsel it is reasonable to treat the notes as “open transactions” that are not debt instruments for
U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences
to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement.
Assuming this treatment is respected, the gain or loss on your notes should be treated as long-term capital gain or loss if you
hold your notes for more than a year, whether or not you are an initial purchaser of notes at the issue price. However, the
IRS or a court may not respect this treatment, in which case the timing and character of any income or loss on the notes could
be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on
the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses
in particular on whether to require investors in these instruments to accrue income over the term of their investment. It
also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments;
the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any,
to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether
these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate
to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. While the notice
requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after
consideration of these issues could materially and adversely affect the tax consequences of an investment in the notes, possibly
with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment
in the notes, including possible alternative treatments and the issues presented by this notice.
Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on dividend
equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices
that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked
to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations (such an index, a “Qualified
Index”). Additionally, the applicable regulations exclude from the scope of Section 871(m) instruments issued in 2017 that
do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax
purposes (each an “Underlying Security”). Based on certain determinations made by us, our special tax counsel is of
the opinion that Section 871(m) should not apply to the notes with regard to Non-U.S. Holders. Our determination is not binding
on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend on your
particular circumstances, including whether you enter into other transactions with respect to an Underlying Security. You should
consult your tax adviser regarding the potential application of Section 871(m) to the notes.
Withholding under legislation commonly referred to as “FATCA”
may (if the notes are recharacterized as debt instruments) apply to amounts treated as interest paid with respect to the notes.
Under a recent IRS notice, withholding under FATCA will not apply to payments of gross proceeds (other than any amount treated
as interest) of a taxable disposition, including redemption at maturity, of the notes. You should consult your tax adviser regarding
the potential application of FATCA to the notes.
JPMorgan Structured Investments —
Digital Dual Directional Contingent Buffered Notes Linked to the Common Stock of Macy’s, Inc.
|
PS-
4
|
|
·
|
Selected Risk Considerations
|
An investment in the notes involves significant
risks. Investing in the notes is not equivalent to investing directly in the Reference Stock. These risks are explained in more
detail in the “Risk Factors” section of the accompanying product supplement.
|
·
|
YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS
— The
notes do not guarantee any return of principal. The return on the notes at maturity is dependent on the performance of the Reference
Stock and will depend on whether, and the extent to which, the Final Stock Price is less than the Initial Stock Price. Y
our
investment will be exposed to a loss if the Final Stock Price is
less than the Initial Stock Price by more than the Contingent Buffer Amount.
In
this case, for every 1% that the Final Stock Price is less than the Initial Stock Price, you will lose an amount equal to 1% of
the principal amount of your notes. Under these circumstances, you will lose more than 38.50% of your principal amount at maturity
and may lose all of your principal amount at maturity.
|
|
·
|
YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE CONTINGENT DIGITAL
RETURN
—
If the Final Stock
Price is greater than or equal to the Initial Stock Price or is less than the Initial Stock Price by up to the Contingent Buffer
Amount, for each $1,000 principal amount note, you will receive at maturity $1,000
plus
an additional return equal to the
Contingent Digital Return of 10.00%, regardless of the appreciation in the Reference Stock, which may be significant.
|
|
·
|
YOUR ABILITY TO RECEIVE THE CONTINGENT DIGITAL RETURN MAY TERMINATE
ON THE FINAL ENDING AVERAGING DATE
— If the Final Stock Price is less than the Initial Stock Price by more than the Contingent
Buffer Amount, you will not be entitled to receive the Contingent Digital Return at maturity. Under these
circumstances, you will lose more than 38.50% of your principal amount at maturity and may lose all of your principal amount at
maturity.
|
|
·
|
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
The notes are subject to our and JPMorgan Chase & Co.’s credit
risks, and our and JPMorgan Chase & Co.’s credit ratings and credit spreads may adversely affect the market value of
the notes. Investors are dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts due on the notes.
Any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads, as determined by
the market for taking that credit risk, is likely to adversely affect the value of the notes. If we and JPMorgan Chase &
Co. were to default on our payment obligations, you may not receive any amounts owed to you under the notes and you could lose
your entire investment.
|
|
·
|
AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS
AND HAS LIMITED ASSETS —
As a finance subsidiary
of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of our securities. Aside
from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our
affiliates to make payments under loans made by us or other intercompany agreements. As a result, we are dependent upon payments
from our affiliates to meet our obligations under the notes. If these affiliates do not make payments to us and we fail to make
payments on the notes, you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee
will rank
pari passu
with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
|
|
·
|
POTENTIAL CONFLICTS
— We
and our affiliates play a variety of roles in connection with the issuance of the notes, including acting as calculation agent
and as an agent of the offering of the notes, hedging our obligations under the notes and making the assumptions used to determine
the pricing of the notes and the estimated value of the notes when the terms of the notes are set, which we refer to as the estimated
value of the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests and the economic interests
of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the notes. In
addition, our and JPMorgan Chase & Co.’s business activities, including hedging and trading activities, could cause our
and JPMorgan Chase & Co.’s economic interests to be adverse to yours and could adversely affect any payment on the notes
and the value of the notes. It is possible that hedging or trading activities of ours or our affiliates in connection with the
notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer to “Risk
Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement for additional information
about these risks.
|
We and/or our affiliates may
also currently or from time to time engage in business with Macy’s, including extending loans to, or making equity investments
in, Macy’s or providing advisory services to Macy’s. In addition, one or more of our affiliates may publish research
reports or otherwise express opinions with respect to Macy’s, and these reports may or may not recommend that investors buy
or hold the Reference Stock. As a prospective purchaser of the notes, you should undertake an independent investigation of the
Reference Stock issuer that in your judgment is appropriate to make an informed decision with respect to an investment in the notes.
|
·
|
THE BENEFIT PROVIDED BY THE CONTINGENT BUFFER AMOUNT MAY TERMINATE
ON THE FINAL ENDING AVERAGING DATE
— If the Final Stock Price is less than the Initial Stock Price by more than the Contingent
Buffer Amount, the benefit provided by the Contingent Buffer Amount will terminate and you will be fully exposed to any depreciation
of the Reference Stock from the Initial Stock Price to the Final Stock Price.
|
|
·
|
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
|
JPMorgan Structured Investments —
Digital Dual Directional Contingent Buffered Notes Linked to the Common Stock of Macy’s, Inc.
|
PS-
5
|
our obligations under the notes and the estimated cost
of hedging our obligations under the notes. See “The Estimated Value of the Notes” in this pricing supplement.
|
·
|
THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES
OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES
— 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.
|
|
·
|
THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL
FUNDING RATE
— The internal funding rate used in the determination of the estimated value of the notes is based on, among
other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance, operational
and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed-rate debt of JPMorgan
Chase & Co. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms
of the notes and any secondary market prices of the notes. See “The Estimated Value of the Notes” in this pricing supplement.
|
|
·
|
THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED
ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD
— We generally expect that some of the costs included in the original issue price of the notes will be partially paid back
to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined
period. These costs can include projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our
internal secondary market funding rates for structured debt issuances. See “Secondary Market Prices of the Notes” in
this pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes
during this initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer
account statements).
|
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE
ORIGINAL ISSUE PRICE OF THE NOTES
— Any secondary market prices of the notes will likely be lower than the original issue
price of the notes because, among other things, secondary market prices take into account our internal secondary market funding
rates for structured debt issuances and, also, because secondary market prices (a) exclude selling commissions and (b) may exclude
projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the notes. As a
result, the price, if any, at which JPMS will be willing to buy notes from you in secondary market transactions, if at all, is
likely to be lower than the original issue price. Any sale by you prior to the Maturity Date could result in a substantial loss
to you. See the immediately following risk consideration for information about additional factors that will impact any secondary
market prices of the notes.
|
The notes are not designed to be
short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity. See “—
Lack of Liquidity” below.
|
·
|
SECONDARY MARKET PRICES OF THE NOTES
WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS
— The secondary market price of the notes during their term will
be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the selling commissions,
projected hedging profits, if any, estimated hedging costs and the price of one share of the Reference Stock, including:
|
|
·
|
any actual or potential change in our
or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
|
|
·
|
customary bid-ask spreads for similarly
sized trades;
|
|
·
|
our internal secondary market funding
rates for structured debt issuances;
|
|
·
|
the actual and expected volatility in
the closing price of the Reference Stock;
|
|
·
|
the time to maturity of the notes;
|
|
·
|
the dividend rate on the Reference Stock;
|
|
·
|
interest and yield rates in the market
generally;
|
|
·
|
the occurrence of certain events affecting
the issuer of the Reference Stock that may or may not require an adjustment to the Stock Adjustment Factor, including a merger
or acquisition; and
|
|
·
|
a variety of other economic, financial,
political, regulatory and judicial events.
|
Additionally, independent pricing
vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your
notes in the secondary market.
|
·
|
NO OWNERSHIP OR DIVIDEND RIGHTS IN THE REFERENCE STOCK —
As
a holder of the notes, you will not have any ownership interest or rights in the Reference Stock, such as voting rights or dividend
payments. In addition, the issuer of the Reference Stock will not have any obligation to consider your interests as a holder of
the notes in taking any corporate action that might affect the value of the Reference Stock and the notes.
|
|
·
|
NO AFFILIATION WITH THE REFERENCE STOCK ISSUER —
We are
not affiliated with the issuer of the Reference Stock. We assume no responsibility for the adequacy of the information about the
Reference Stock issuer
|
JPMorgan Structured Investments —
Digital Dual Directional Contingent Buffered Notes Linked to the Common Stock of Macy’s, Inc.
|
PS-
6
|
contained in this pricing supplement. You should undertake
your own investigation into the Reference Stock and its issuer. We are not responsible for the Reference Stock issuer’s public
disclosure of information, whether contained in SEC filings or otherwise.
|
·
|
SINGLE STOCK RISK —
The price of the Reference Stock can
fall sharply due to factors specific to the Reference Stock and its issuer, such as stock price volatility, earnings, financial
conditions, corporate, industry and regulatory developments, management changes and decisions and other events, as well as general
market factors, such as general stock market volatility and levels, interest rates and economic and political conditions.
|
|
·
|
NO INTEREST PAYMENTS —
As a holder of the notes, you will
not receive any interest payments.
|
|
·
|
VOLATILITY RISK —
Greater expected volatility with respect
to the Reference Stock indicates a greater likelihood as of the Pricing Date that the Reference Stock could close below the Initial
Stock Price by more than the Contingent Buffer Amount on one or more Ending Averaging Dates. The Reference Stock’s volatility,
however, can change significantly over the term of the notes. The closing price of one share of the Reference Stock could fall
sharply at any time during the term of the notes, which could result in a significant loss of principal.
|
|
·
|
LACK OF LIQUIDITY
— The notes will not be listed on any
securities exchange. JPMS intends to offer to purchase the notes in the secondary market but is not required to do so. Even if
there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the notes easily. Because other
dealers are not likely to make a secondary market for the notes, the price at which you may be able to trade your notes is likely
to depend on the price, if any, at which JPMS is willing to buy the notes.
|
|
·
|
THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND
MAY BE DISCRETIONARY
— The calculation agent will make adjustments to the Stock Adjustment Factor for certain corporate
events affecting the Reference Stock. However, the calculation agent will not make an adjustment in response to all events that
could affect the Reference Stock. If an event occurs that does not require the calculation agent to make an adjustment, the value
of the notes may be materially and adversely affected. You should also be aware that the calculation agent may make adjustments
in response to events that are not described in the accompanying product supplement to account for any diluting or concentrative
effect, but the calculation agent is under no obligation to do so or to consider your interests as a holder of the notes in making
these determinations.
|
JPMorgan Structured Investments —
Digital Dual Directional Contingent Buffered Notes Linked to the Common Stock of Macy’s, Inc.
|
PS-
7
|
The Reference
Stock
Public Information
All information contained herein
on the Reference Stock and on Macy’s is derived from publicly available sources and is provided for informational purposes
only. According to its publicly available filings with the SEC, Macy’s operates department stores that sell a range of merchandise,
including apparel and accessories (men's, women's and children's), cosmetics, home furnishings and other consumer goods. The common
stock of Macy’s, par value $0.01 per share (Bloomberg ticker: M), is registered under the Securities Exchange Act of 1934,
as amended, which we refer to as the Exchange Act, and is listed on the New York Stock Exchange, which we refer to as the relevant
exchange for purposes of Macy’s in the accompanying product supplement. Information provided to or filed with the SEC by
Apple pursuant to the Exchange Act can be located by reference to SEC file number 001-13536, and can be accessed through www.sec.gov.
We do not make any representation that these publicly available documents are accurate or complete.
Historical Information Regarding
the Reference Stock
The following graph sets forth
the historical performance of the common stock of Macy’s based on the weekly historical closing prices of one share of the
common stock of Macy’s from January 6, 2012 through February 10, 2017. The closing price of one share of the common stock
of Macy’s on February 14, 2017 was $32.68. We obtained the closing prices above and below from the Bloomberg Professional
®
service (“Bloomberg”), without independent verification. The closing prices may have been adjusted by Bloomberg for
corporate actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
Since its inception, the Reference
Stock has experienced significant fluctuations. The historical performance of the Reference Stock should not be taken as an indication
of future performance, and no assurance can be given as to the closing price of one share of the Reference Stock on any Ending
Averaging Date. There can be no assurance that the performance of the Reference Stock will result in the return of any of your
principal amount.
The Estimated Value of the
Notes
The estimated value of the notes set forth on
the cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income
debt component with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative
or derivatives underlying the economic terms of the notes. The estimated value of the notes does not represent a minimum price
at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time. The internal funding rate
used in the determination of the estimated value of the notes is based on, among other things, our and our affiliates’ view
of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. For additional information, see “Selected
Risk Considerations — The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate” in this
pricing supplement. The value of the derivative or derivatives underlying the economic terms of the notes is derived from internal
pricing models of our affiliates. These models are dependent on inputs such as the traded market prices of comparable derivative
instruments and on various other inputs, some of which are market-observable, and which can include volatility, dividend rates,
interest rates and other factors, as well as assumptions about future market events and/or environments. Accordingly, the estimated
value of the notes is determined when the terms of the notes are set based on market conditions and other relevant factors and
assumptions existing at that time. See “Selected Risk Considerations — The
JPMorgan Structured Investments —
Digital Dual Directional Contingent Buffered Notes Linked to the Common Stock of Macy’s, Inc.
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Estimated Value of the Notes Does Not Represent
Future Values of the Notes and May Differ from Others’ Estimates” in this pricing supplement.
The estimated value of the notes is lower than
the original issue price of the notes because costs associated with selling, structuring and hedging the notes are included in
the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated
dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk
and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected,
or it may result in a loss. We or one or more of our affiliates will retain any profits realized in hedging our obligations under
the notes. See “Selected Risk Considerations — The Estimated Value of the Notes Is Lower Than the Original Issue Price
(Price to Public) of the Notes” in this pricing supplement.
Secondary Market Prices of
the Notes
For information about factors that will impact
any secondary market prices of the notes, see “Selected Risk Considerations — Secondary Market Prices of the Notes
Will Be Impacted by Many Economic and Market Factors” in this pricing supplement. In addition, we generally expect that some
of the costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases
of your notes by JPMS in an amount that will decline to zero over an initial predetermined period that is intended to be the shorter
of six months and one-half of the stated term of the notes. The length of any such initial period reflects the structure of the
notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging
the notes and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations — The
Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current
Estimated Value of the Notes for a Limited Time Period.”
Supplemental Use of Proceeds
The notes are offered to meet investor demand
for products that reflect the risk-return profile and market exposure provided by the notes. See “What Is the Total Return
on the Notes at Maturity, Assuming a Range of Performances for the Reference Stock?” and “Hypothetical Examples of
Amount Payable at Maturity” in this pricing supplement for an illustration of the risk-return profile of the notes and “The
Reference Stock” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal
to the estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus
(minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes, plus
the estimated cost of hedging our obligations under the notes.
Validity of the Notes and
the Guarantee
In the opinion of Davis Polk & Wardwell
LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by this pricing supplement
have been executed and issued by JPMorgan Financial and authenticated by the trustee pursuant to the indenture, and delivered against
payment as contemplated herein, such notes will be valid and binding obligations of JPMorgan Financial and the related guarantee
will constitute a valid and binding obligation of JPMorgan Chase & Co., enforceable in accordance with their terms, subject
to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and
equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack
of bad faith),
provided
that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer
or similar provision of applicable law on the conclusions expressed above. This opinion is given as of the date hereof and is limited
to the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited Liability Company
Act. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution and delivery
of the indenture and its authentication of the notes and the validity, binding nature and enforceability of the indenture with
respect to the trustee, all as stated in the letter of such counsel dated February 24, 2016, which was filed as an exhibit to the
Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24, 2016.
JPMorgan Structured Investments —
Digital Dual Directional Contingent Buffered Notes Linked to the Common Stock of Macy’s, Inc.
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