Final
Terms
|
Issuer:
|
|
JPMorgan
Chase Financial Company LLC
|
Guarantor:
|
|
JPMorgan
Chase & Co.
|
Issue
Price:
|
|
$10.00
per Security (subject to a minimum purchase of 100 Securities or $1,000)
|
Principal
Amount:
|
|
$10.00
per Security. The payment at maturity will be based on the principal amount.
|
Underlying:
|
|
S&P
500
®
Index
|
Term:
|
|
5
years
|
Payment
at Maturity (per $10 principal amount Security):
|
|
If
the Underlying Return is positive,
JPMorgan Financial will pay you a cash payment
at maturity per $10 principal amount Security equal to:
$10.00
+ ($10.00 × Underlying Return × Upside Gearing)
If
the Underlying Return is zero or negative but the Final Value is greater than or equal to the Downside Threshold,
JPMorgan Financial will pay you a cash payment at maturity of $10.00 per $10 principal amount Security.
If
the Underlying Return is negative and the Final Value is less than the Downside Threshold,
JPMorgan Financial will
pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00
+ ($10.00 × Underlying Return)
In
this scenario, you will be exposed to the decline of the Underlying and you will lose some or all of your principal amount
in an amount proportionate to the negative Underlying Return.
|
Underlying
Return:
|
|
(Final
Value – Initial Value)
Initial
Value
|
Upside
Gearing:
|
|
1.18
|
Initial
Value:
|
|
The
closing level of the Underlying on the Trade Date, as specified on the cover of this pricing supplement
|
Final
Value:
|
|
The
closing level of the Underlying on the Final Valuation Date
|
Downside
Threshold:
|
|
60%
of the Initial Value, as specified on the cover of this pricing supplement
|
|
Investment
Timeline
|
Trade
Date
|
|
The
Initial Value is observed. The Downside Threshold and Upside Gearing are determined.
|
|
|
|
|
Maturity
Date
|
|
The
Final Value and the Underlying Return are determined.
If
the Underlying Return is positive,
JPMorgan Financial will pay you a cash payment at maturity per $10 principal amount
Security equal to:
$10.00
+ ($10.00 × Underlying Return × Upside Gearing)
If
the Underlying Return is zero or negative but the Final Value is greater than or equal to the Downside Threshold,
JPMorgan Financial will pay you a cash payment at maturity of $10.00 per $10 principal amount Security.
If
the Underlying Return is negative and the Final Value is less than the Downside Threshold,
JPMorgan Financial will
pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00
+ ($10.00 × Underlying Return).
Under
these circumstances, you will be exposed to the decline of the Underlying and you will lose some or all of your principal
amount.
|
|
|
INVESTING
IN THE SECURITIES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE SOME OR ALL OF YOUR PRINCIPAL AMOUNT. ANY PAYMENT ON THE SECURITIES,
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 SECURITIES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.
|
What
Are the Tax Consequences of the Securities?
|
You
should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product
supplement no. UBS-1-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 Securities.
Based
on current market conditions, in the opinion of our special tax counsel it is reasonable to treat the Securities 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 Securities should be treated as long-term capital gain or loss if you hold your Securities for more than a year, whether
or not you are an initial purchaser of Securities 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 Securities 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 Securities, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal
income tax consequences of an investment in the Securities, 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 Securities 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 Securities.
Withholding
under legislation commonly referred to as “FATCA” may (if the Securities are recharacterized as debt instruments)
apply to amounts treated as interest paid with respect to the Securities, as well as to payments of gross proceeds of a taxable
disposition, including redemption at maturity, of a Security. However, under a recent IRS notice, this regime will not apply to
payments of gross proceeds (other than any amount treated as interest) with respect to dispositions occurring before January 1,
2019. You should consult your tax adviser regarding the potential application of FATCA to the Securities.
An
investment in the Securities involves significant risks. Investing in the Securities is not equivalent to investing directly in
the Underlying. 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 Securities.
Risks
Relating to the Securities Generally
|
♦
|
Your
Investment in the Securities May Result in a Loss
— The Securities differ from
ordinary debt securities in that we will not necessarily repay the full principal amount
of the Securities. If the Underlying Return is negative, we will pay you the principal
amount of your Securities in cash only if the Final Value has not declined below the
Downside Threshold. If the Underlying Return is negative and the Final Value is less
than the Downside Threshold, you will be exposed to the full decline of the Underlying
and will lose some or all of your principal amount in an amount proportionate to the
negative Underlying Return. Accordingly, you could lose up to your entire principal amount.
|
|
♦
|
Credit
Risks of JPMorgan Financial and JPMorgan Chase & Co.
— The Securities 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 Securities 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 Securities and related guarantees are not, either directly
or indirectly, an obligation of any third party. Any payment to be made on the Securities,
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 Securities 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 Securities and you could lose your entire
investment.
|
|
♦
|
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 Securities. If these affiliates do not make payments to us and
we fail to make payments on the Securities, you may have to seek payment under the related
guarantee by JPMorgan Chase & Co., and that guarantee will rank
pari passu
with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
|
|
♦
|
The
Upside Gearing Applies Only If You Hold the Securities to Maturity
— You should
be willing to hold your Securities to maturity. If you are able to sell your Securities
prior to maturity in the secondary market, if any, the price you receive likely will
not reflect the full economic value of the Upside Gearing or the Securities themselves,
and the return you realize may be less than the product of the performance of the Underlying
and the Upside Gearing and may be less than the Underlying’s return, even if that
return is positive. You can receive the full benefit of the Upside Gearing only if you
hold your Securities to maturity.
|
|
♦
|
The
Contingent Repayment of Principal Applies Only If You Hold the Securities to Maturity
— You should be willing to hold your Securities to maturity. If you are able
to sell your Securities 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 level
of the Underlying is above the Downside Threshold. If you hold the Securities to maturity,
JPMorgan Financial will repay your principal amount as long as the Final Value is not
below the Downside Threshold. However, if the Underlying Return is negative and the Final
Value is less than the Downside Threshold, JPMorgan Financial will repay less than the
principal amount, if anything, resulting in a loss that is proportionate to the decline
in the level of the Underlying from the Initial Value to the Final Value. The contingent
repayment of principal based on whether the Final Value is below the Downside Threshold
applies only if you hold your Securities to maturity.
|
|
♦
|
No
Interest Payments
— JPMorgan Financial will not make any interest payments
to you with respect to the Securities.
|
|
♦
|
Potential
Conflicts
— We and our affiliates play a variety of roles in connection with
the issuance of the Securities, including acting as calculation agent and hedging our
obligations under the Securities and making the assumptions used to determine the pricing
of the Securities and the estimated value of the Securities when the terms of the Securities
are set, which we refer to as the estimated value of the Securities. 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 Securities. 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 Securities and the value of the Securities.
It is possible that hedging or trading activities of ours or our affiliates in connection
with the Securities could result in substantial returns for us or our affiliates while
the value of the Securities declines. Please refer to “Risk Factors — Risks
Relating to Conflicts of Interest” in the accompanying product supplement for additional
information about these risks.
|
|
♦
|
The
Probability That the Final Value Will Fall Below the Downside Threshold on the Final
Valuation Date Will Depend on the Volatility of the Underlying
— “Volatility”
refers to the frequency and magnitude of changes in the level of the Underlying. Greater
expected volatility with respect to the Underlying reflects a higher expectation as of
the Trade Date that the Underlying could close below the Downside Threshold on the Final
Valuation Date of the Securities, resulting in the loss of some or all of your investment.
However, the Underlying’s volatility can change significantly over the term of
the Securities. The level of the Underlying could fall sharply, which could result in
a significant loss of principal.
|
|
♦
|
The
Estimated Value of the Securities Is Lower Than the Original Issue Price (Price to Public)
of the Securities
— The estimated value of the Securities is only an estimate
determined by reference to several factors. The original issue price of the Securities
exceeds the estimated value of the Securities because costs associated with selling,
structuring and hedging the Securities are included in the original issue price of the
Securities. 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 Securities and the estimated cost of hedging our obligations under the Securities.
See “The Estimated Value of the Securities” in this pricing supplement.
|
|
♦
|
The
Estimated Value of the Securities Does Not Represent Future Values of the Securities
and May Differ from Others’ Estimates
— The estimated value of the Securities
is determined by reference to internal pricing models of our affiliates when the terms
of the Securities are set. This estimated value of the Securities 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 Securities
that are greater than or less than the estimated value of the Securities. 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 Securities 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 Securities
from you in secondary market transactions. See “The Estimated Value of the Securities”
in this pricing supplement.
|
|
♦
|
The
Estimated Value of the Securities Is Derived by Reference to an Internal Funding Rate
— The internal funding rate used in the determination of the estimated value
of the Securities is based on, among other things, our and our affiliates’ view
of the funding value of the Securities as well as the higher issuance, operational and
ongoing liability management costs of the Securities 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 Securities and any secondary market prices of the Securities. See “The Estimated
Value of the Securities” in this pricing supplement.
|
|
♦
|
The
Value of the Securities as Published by JPMS (and Which May Be Reflected on Customer
Account Statements) May Be Higher Than the Then-Current Estimated Value of the Securities
for a Limited Time Period
— We generally expect that some of the costs included
in the original issue price of the Securities will be partially paid back to you in connection
with any repurchases of your Securities 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 Securities” in this pricing supplement for
additional information relating to this initial period. Accordingly, the estimated value of your Securities during this initial
period may be lower than the value of the Securities as published by JPMS (and which may be shown on your customer account statements).
|
♦
|
Secondary
Market Prices of the Securities Will Likely Be Lower Than the Original Issue Price of
the Securities
— Any secondary market prices of the Securities will likely
be lower than the original issue price of the Securities 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 Securities. As a result,
the price, if any, at which JPMS will be willing to buy Securities 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 Securities.
|
The
Securities are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Securities
to maturity. See “— Lack of Liquidity” below.
|
♦
|
Many
Economic and Market Factors Will Impact the Value of the Securities
— As described
under “The Estimated Value of the Securities” in this pricing supplement,
the Securities 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 Securities at issuance
and their value in the secondary market. Accordingly, the secondary market price of the
Securities 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 level of the Underlying, 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 level of the Underlying;
|
|
♦
|
the
time to maturity of the Securities;
|
|
♦
|
the
dividend rates on the equity securities included in the Underlying;
|
|
♦
|
interest
and yield rates in the market generally; 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 Securities, which may also be reflected
on customer account statements. This price may be different (higher or lower) than the price of the Securities, if any, at which
JPMS may be willing to purchase your Securities in the secondary market.
|
♦
|
Investing
in the Securities Is Not Equivalent to Investing in the Stocks Composing the Underlying
— Investing in the Securities is not equivalent to investing in the stocks
included in the Underlying. As an investor in the Securities, you will not have any ownership
interest or rights in the stocks included in the Underlying, such as voting rights, dividend
payments or other distributions.
|
|
♦
|
We
Cannot Control Actions by the Sponsor of the Underlying and That Sponsor Has No Obligation
to Consider Your Interests
— We and our affiliates are not affiliated with
the sponsor of the 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 the Underlying. The sponsor of the Underlying
is not involved in this Security offering in any way and has no obligation to consider
your interest as an owner of the Securities in taking any actions that might affect the
market value of your Securities.
|
|
♦
|
Your
Return on the Securities Will Not Reflect Dividends on the Stocks Composing the Underlying
— Your return on the Securities will not reflect the return you would realize
if you actually owned the stock included in the Underlying and received the dividends
on the stock included in the Underlying. This is because the calculation agent will calculate
the amount payable to you at maturity of the Securities by reference to the Final Value,
which reflects the closing level of the Underlying on the Final Valuation Date without
taking into consideration the value of dividends on the stock included in the Underlying.
|
|
♦
|
Lack
of Liquidity
— The Securities will not be listed on any securities exchange.
JPMS intends to offer to purchase the Securities 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 Securities easily. Because other dealers are not likely
to make a secondary market for the Securities, the price at which you may be able to
trade your Securities is likely to depend on the price, if any, at which JPMS is willing
to buy the Securities.
|
|
♦
|
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 Securities, and
that may be revised at any time. Any such research, opinions or recommendations may or
may not recommend that investors buy or hold investments linked to the Underlying and
could affect the value of the Underlying, and therefore the market value of the Securities.
|
|
♦
|
Tax
Treatment
— Significant aspects of the tax treatment of the Securities are
uncertain. You should consult your tax adviser about your tax situation.
|
|
♦
|
Potential
JPMorgan Financial Impact on the Market Price of the Underlying
— Trading or
transactions by JPMorgan Financial or its affiliates in the Underlying or in futures,
options or other derivative products on the Underlying may adversely affect the market
value of the Underlying and, therefore, the market value of the Securities.
|
Risks
Relating to the Underlying
|
♦
|
JPMorgan
Chase & Co. Is Currently One of the Companies that Make Up the Underlying
—
JPMorgan
Chase & Co. is currently one of the companies that make up the Underlying. JPMorgan
Chase & Co. will not have any obligation to consider your interests as a holder of
the Securities in taking any corporate action that might affect the value of the Underlying
and the Securities.
|
Hypothetical
Examples and Return Table
|
Hypothetical
terms only. Actual terms may vary. See the cover page for actual offering terms.
The
following table and hypothetical examples below illustrate the payment at maturity per $10.00 principal amount Security for a
hypothetical range of Underlying Returns from -100.00% to +100.00% on an offering of the Securities linked to a hypothetical Underlying,
and assume a hypothetical Initial Value of 100, a hypothetical Downside Threshold of 90 and a hypothetical Upside Gearing of 1.10.
The hypothetical Initial Value of 100 has been chosen for illustrative purposes only and does not represent the actual Initial
Value. The actual Initial Value is based on the closing level of the Underlying on the Trade Date and is specified on the cover
of this pricing supplement. For historical data regarding the actual closing levels of the Underlying, please see the historical
information set forth under “The Underlying” in this pricing supplement. The actual Upside Gearing and Downside Threshold
are specified on the cover of this pricing supplement. The hypothetical payment at maturity examples set forth below are for illustrative
purposes only and may not be the actual returns applicable to a purchaser of the Securities. The actual payment at maturity may
be more or less than the amounts displayed below and will be determined based on the actual terms of the Securities, including
the Initial Value, the Downside Threshold and the Upside Gearing, and the Final Value on the Final Valuation Date. You should
consider carefully whether the Securities are suitable to your investment goals. The numbers appearing in the table below have
been rounded for ease of analysis.
Final
Value
|
Underlying
Return (%)
|
Payment
at Maturity ($)
|
Return
at Maturity per
$10.00 issue price (%)
|
200.00
|
100.00%
|
$21.000
|
110.00%
|
190.00
|
90.00%
|
$19.900
|
99.00%
|
180.00
|
80.00%
|
$18.800
|
88.00%
|
170.00
|
70.00%
|
$17.700
|
77.00%
|
160.00
|
60.00%
|
$16.600
|
66.00%
|
150.00
|
50.00%
|
$15.500
|
55.00%
|
140.00
|
40.00%
|
$14.400
|
44.00%
|
130.00
|
30.00%
|
$13.300
|
33.00%
|
120.00
|
20.00%
|
$12.200
|
22.00%
|
110.00
|
10.00%
|
$11.100
|
11.00%
|
105.00
|
5.00%
|
$10.550
|
5.50%
|
100.00
|
0.00%
|
$10.000
|
0.00%
|
95.00
|
-5.00%
|
$10.000
|
0.00%
|
90.00
|
-10.00%
|
$10.000
|
0.00%
|
89.99
|
-10.01%
|
$8.999
|
-10.01%
|
80.00
|
-20.00%
|
$8.000
|
-20.00%
|
70.00
|
-30.00%
|
$7.000
|
-30.00%
|
60.00
|
-40.00%
|
$6.000
|
-40.00%
|
50.00
|
-50.00%
|
$5.000
|
-50.00%
|
40.00
|
-60.00%
|
$4.000
|
-60.00%
|
30.00
|
-70.00%
|
$3.000
|
-70.00%
|
20.00
|
-80.00%
|
$2.000
|
-80.00%
|
10.00
|
-90.00%
|
$1.000
|
-90.00%
|
0.00
|
-100.00%
|
$0.000
|
-100.00%
|
Example
1 — The level of the Underlying increases by 10% from the Initial Value of 100 to the Final Value of 110.
Because the
Underlying Return is 10%, at maturity, JPMorgan Financial will pay you your principal amount
plus
a return equal to 11.00%,
resulting in a payment at maturity of $11.10 per $10 principal amount Security, calculated as follows:
$10.00
+ ($10.00 × Underlying Return × Upside Gearing)
$10.00 + ($10.00 × 10% × 1.10) = $11.10
Example
2 — The level of the Underlying decreases by 5% from the Initial Value of 100 to the Final Value of 95.
Because the
Underlying Return is negative and the Final Value is greater than the Downside Threshold, at maturity, JPMorgan Financial will
repay your principal amount of $10.00 per $10 principal amount Security.
Example
3 — The level of the Underlying decreases by 40% from the Initial Value of 100 to the Final Value of 60.
Because the
Underlying Return is -40% and the Final Value is less than the Downside Threshold, at maturity, JPMorgan Financial will pay you
a payment at maturity of $6.00 per $10 principal amount Security, calculated as follows:
$10.00
+ ($10.00 × Underlying Return)
$10.00 + ($10.00 × -40%) = $6.00
If
the Underlying Return is negative and the Final Value is less than the Downside Threshold, investors will be exposed to the negative
Underlying Return at maturity, resulting in a loss of principal that is proportionate to the Underlying’s decline from the
Initial Value to the Final Value. Investors could lose some or all of their principal amount.
The
hypothetical returns and hypothetical payments on the Securities shown above apply
only if you hold the Securities 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.
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
The
following table sets forth the quarterly high and low closing levels of the Underlying, based on daily closing levels of the Underlying
as reported by the Bloomberg Professional
®
service (“Bloomberg”), without independent verification.
The 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. The closing level of the Underlying on February 23, 2017 was 2,363.81. We obtained the
closing levels of the Underlying above and below from Bloomberg, without independent verification. You should not take the historical
levels of the Underlying as an indication of future performance.
Quarter
Begin
|
Quarter
End
|
Quarterly
Closing High
|
Quarterly
Closing 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
|
2/23/2017*
|
2,365.38
|
2,257.83
|
2,363.81
|
*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 February 23, 2017. Accordingly, the “Quarterly Closing High,” “Quarterly Closing
Low” and “Close” data indicated are for this shortened period only and do not reflect complete data for the
first calendar quarter of 2017.
The
graph below illustrates the daily performance of the Underlying from January 3, 2007 through February 23, 2017, based on information
from Bloomberg, without independent verification. The dotted line represents the Downside Threshold of 1,418.29, equal to 60%
of the closing level of the Underlying on February 23, 2017.
Past
performance of the Underlying is not indicative of the future performance of the Underlying.
The
historical performance of the Underlying should not be taken as an indication of future performance, and no assurance can be given
as to the closing level of the Underlying on the Final Valuation Date. We cannot give you assurance that the performance of the
Underlying will result in the return of any of your principal amount.