Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this
pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
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 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. We urge you to consult your investment, legal, tax, accounting and other advisers before you
invest in the notes.
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.
Additional Key Terms
|
Index Return:
|
(Ending Index Level – Initial Index Level)
Initial Index Level
|
|
Initial Index Level:
|
The closing level of the Index on the Pricing Date, which was 1,407.970
|
|
Ending Index Level:
|
The arithmetic average of the closing levels of the Index on the Ending Averaging Dates
|
|
JPMorgan Structured Investments —
|
PS-
1
|
|
Callable Contingent Interest Notes Linked to the Russell 2000
®
Index
|
|
What Are the Payments on the
Notes, Assuming a Range of Performances for the Index?
If the notes have not been previously redeemed
early and, with respect to any Review Date, the closing level of the Index (in the case of any Review Date other than the final
Review Date) or the Ending Index Level (in the case of the final Review Date) is greater than or equal to the Interest Barrier,
you will receive on the applicable Interest Payment Date for each $1,000 principal amount note a Contingent Interest Payment equal
to $16.375. If the notes have not been previously redeemed early and, with respect to any Review Date, the closing level of the
Index (in the case of any Review Date other than the final Review Date) or the Ending Index Level (in the case of the final Review
Date) is less than the Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date. We refer
to the Interest Payment Date immediately following any Review Date on which the closing level of the Index or Ending Index Level,
as applicable, is less than the Interest Barrier as a “No-Coupon Date.” The following table reflects the Contingent
Interest Payment of $16.375 and illustrates the hypothetical total Contingent Interest Payments per $1,000 principal amount note
over the term of the notes depending on how many No-Coupon Dates occur.
|
Number of
No-Coupon Dates
|
Total Contingent
Coupon Payments
|
|
0 No-Coupon Date
|
$131.000
|
|
1
No-Coupon Date
|
$114.625
|
|
2
No-Coupon Dates
|
$98.250
|
|
3
No-Coupon Dates
|
$81.875
|
|
4
No-Coupon Dates
|
$65.500
|
|
5
No-Coupon Dates
|
$49.125
|
|
6
No-Coupon Dates
|
$32.750
|
|
7
No-Coupon Dates
|
$16.375
|
|
8
No-Coupon Dates
|
$0.000
|
The following table illustrates the hypothetical
payments on the notes in different hypothetical scenarios. Each hypothetical payment set forth below assumes that the notes have
not been previously redeemed early. In addition, the following table and examples assume an Initial Index Level of 1,400 and an
Interest Barrier and a Trigger Level of 1,120 (equal to 80% of the hypothetical Initial Index Level) and reflects the Contingent
Interest Payment of $16.375, the Buffer Amount of 20% and the Downside Leverage Factor of 1.25. Each hypothetical payment set forth
below is for illustrative purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing
in the following table and examples have been rounded for ease of analysis.
|
Review Dates Prior to the Final Review Date
|
Final Review Date
|
|
Closing Level of the Index
|
Appreciation / Depreciation of the Index at Review Date
|
Payment on Interest Payment Date (1)
|
Ending Index Level (2)
|
Index Return
|
Payment at Maturity If a Trigger Event Has Not Occurred (3)(4)
|
Payment at Maturity If a Trigger Event Has Occurred (4)
|
|
2,520.00
|
80.00%
|
$1,016.375
|
2,520.00
|
80.00%
|
$1,016.375
|
N/A
|
|
2,380.00
|
70.00%
|
$1,016.375
|
2,380.00
|
70.00%
|
$1,016.375
|
N/A
|
|
2,240.00
|
60.00%
|
$1,016.375
|
2,240.00
|
60.00%
|
$1,016.375
|
N/A
|
|
2,100.00
|
50.00%
|
$1,016.375
|
2,100.00
|
50.00%
|
$1,016.375
|
N/A
|
|
1,960.00
|
40.00%
|
$1,016.375
|
1,960.00
|
40.00%
|
$1,016.375
|
N/A
|
|
1,820.00
|
30.00%
|
$1,016.375
|
1,820.00
|
30.00%
|
$1,016.375
|
N/A
|
|
1,680.00
|
20.00%
|
$1,016.375
|
1,680.00
|
20.00%
|
$1,016.375
|
N/A
|
|
1,610.00
|
15.00%
|
$1,016.375
|
1,610.00
|
15.00%
|
$1,016.375
|
N/A
|
|
1,540.00
|
10.00%
|
$1,016.375
|
1,540.00
|
10.00%
|
$1,016.375
|
N/A
|
|
1,470.00
|
5.00%
|
$1,016.375
|
1,470.00
|
5.00%
|
$1,016.375
|
N/A
|
|
1,400.00
|
0.00%
|
$1,016.375
|
1,400.00
|
0.00%
|
$1,016.375
|
N/A
|
|
1,330.00
|
-5.00%
|
$16.375
|
1,330.00
|
-5.00%
|
$1,016.375
|
N/A
|
|
1,260.00
|
-10.00%
|
$16.375
|
1,260.00
|
-10.00%
|
$1,016.375
|
N/A
|
|
1,190.00
|
-15.00%
|
$16.375
|
1,190.00
|
-15.00%
|
$1,016.375
|
N/A
|
|
1,120.00
|
-20.00%
|
$16.375
|
1,120.00
|
-20.00%
|
$1,016.375
|
N/A
|
|
980.00
|
-30.00%
|
N/A
|
980.00
|
-30.00%
|
N/A
|
$875.00
|
|
840.00
|
-40.00%
|
N/A
|
840.00
|
-40.00%
|
N/A
|
$750.00
|
|
700.00
|
-50.00%
|
N/A
|
700.00
|
-50.00%
|
N/A
|
$625.00
|
|
560.00
|
-60.00%
|
N/A
|
560.00
|
-60.00%
|
N/A
|
$500.00
|
|
420.00
|
-70.00%
|
N/A
|
420.00
|
-70.00%
|
N/A
|
$375.00
|
|
280.00
|
-80.00%
|
N/A
|
280.00
|
-80.00%
|
N/A
|
$250.00
|
|
140.00
|
-90.00%
|
N/A
|
140.00
|
-90.00%
|
N/A
|
$125.00
|
|
0.00
|
-100.00%
|
N/A
|
0.00
|
-100.00%
|
N/A
|
$0.00
|
|
|
(1)
|
You
will receive a Contingent Interest Payment in connection with a Review Date (other than the final Review Date) if the closing
level of the Index on that Review Date is greater than or equal to the Interest Barrier.
|
|
|
(2)
|
The
Ending Index Level is equal to the arithmetic average of the closing levels of the Index on the Ending Averaging Dates.
|
|
JPMorgan Structured Investments —
|
PS-
2
|
|
Callable Contingent Interest Notes Linked to the Russell 2000
®
Index
|
|
|
|
(3)
|
You
will receive a Contingent Interest Payment in connection with the final Review Date if the Ending Index Level is greater than
or equal to the Interest Barrier.
|
|
|
(4)
|
A Trigger
Event occurs if the Ending Index Level (
i.e.,
the arithmetic average of the closing levels on the Ending Averaging Dates)
is less than the Trigger Level.
|
Hypothetical Examples of Amounts
Payable on the Notes
The following examples illustrate how payments on
the notes in different hypothetical scenarios are calculated.
Example 1: The notes have not been redeemed early,
Contingent Interest Payments are paid in connection with each of the Review Dates preceding the final Review Date and the level
of the Index increases from the Initial Index Level of 1,400 to an Ending Index Level of 1,680 — A Trigger Event has not
occurred.
The investor receives a payment of $16.375 per $1,000 principal amount note in connection with each of the Review
Dates preceding the final Review Date. Because the notes have not been redeemed early and a Trigger Event has not occurred, the
investor receives at maturity a payment of $1,016.375 per $1,000 principal amount note. This payment consists of a Contingent Interest
Payment of $16.375 per $1,000 principal amount note and repayment of principal equal to $1,000 per $1,000 principal amount note.
The total amount paid on the notes over the term of the notes is $1,131 per $1,000 principal amount note.
This represents
the maximum total payment an investor may receive over the term of the notes.
Example 2: The notes have not been redeemed early,
Contingent Interest Payments are paid in connection with two of the Review Dates preceding the final Review Date and the level
of the Index decreases from the Initial Index Level of 1,400 to an Ending Index Level of 1,120 — A Trigger Event has not
occurred.
The investor receives a payment of $16.375 per $1,000 principal amount note in connection with two of the Review
Dates preceding the final Review Date. Because the notes have not been redeemed early and a Trigger Event has not occurred, even
though the Ending Index Level is less than the Initial Index Level, the investor receives at maturity a payment of $1,016.375 per
$1,000 principal amount note. This payment consists of a Contingent Interest Payment of $16.375 per $1,000 principal amount note
and repayment of principal equal to $1,000 per $1,000 principal amount note. The total amount paid on the notes over the term of
the notes is $1,049.125 per $1,000 principal amount note.
Example 3: The notes have not been redeemed early,
Contingent Interest Payments are paid in connection with each of the Review Dates preceding the final Review Date and the level
of the Index decreases from the Initial Index Level of 1,400 to an Ending Index Level of 560 — A Trigger Event has occurred.
The investor receives a payment of $16.375 per $1,000 principal amount note in connection with each of the Review Dates preceding
the final Review Date. Because the notes have not been redeemed early, a Trigger Event has occurred and the Index Return is -60%,
the investor receives at maturity a payment of $500 per $1,000 principal amount note, calculated as follows:
$1,000
+ [$1,000
×
(-60% + 20%)
×
1.25] = $500
The total amount paid on the notes over the term of
the notes is $614.625 per $1,000 principal amount note.
Example 4: The notes have not been redeemed early,
no Contingent Interest Payments are paid in connection with the Review Dates preceding the final Review Date and the level of the
Index decreases from the Initial Index Level of 1,400 to an Ending Index Level of 420 — A Trigger Event has occurred.
Because
the notes have not been redeemed early, no Contingent Interest Payments are paid in connection with the Review Dates preceding
the final Review Date, a Trigger Event has occurred and the Index Return is -70%, the investor receives no payments over the term
of the notes, other than a payment at maturity of $375 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-70% +
20%) × 1.25] = $375
The 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 payments shown above
would likely be lower.
|
JPMorgan Structured Investments —
|
PS-
3
|
|
Callable Contingent Interest Notes Linked to the Russell 2000
®
Index
|
|
Selected Purchase Considerations
|
|
·
|
CONTINGENT INTEREST PAYMENTS
— The notes offer the potential
to earn a Contingent Interest Payment in connection with each Review Date of $16.375 per $1,000 principal amount note. If the notes
have not been redeemed early and, with respect to any Review Date, the closing level of the Index (in the case of any Review Date
other than the final Review Date) or the Ending Index Level (in the case of the final Review Date) is greater than or equal to
the Interest Barrier, you will receive a Contingent Interest Payment on the applicable Interest Payment Date. If the notes have
not been redeemed early and, with respect to any Review Date, the closing level of the Index (in the case of any Review Date other
than the final Review Date) or the Ending Index Level (in the case of the final Review Date) is less than the Interest Barrier,
no Contingent Interest Payment will be made with respect to that Review Date. If payable, a Contingent Interest Payment will be
made to the holders of record at the close of business on the business day immediately preceding the applicable Interest Payment
Date.
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.
|
|
|
·
|
POTENTIAL EARLY EXIT AS A RESULT OF THE OPTIONAL EARLY REDEMPTION
FEATURE
—
We, at our election, may redeem the notes early, in whole but not in part, on any of the Interest Payment
Dates (other than the first, second, third and final Interest Payment Dates). If the notes are redeemed early, you will receive
$1,000
plus
any accrued and unpaid Contingent Interest Payment for each $1,000 principal amount note on the applicable Interest
Payment Date on which the notes are redeemed early. Even in cases where the notes are redeemed before maturity, you are not entitled
to any fees and commissions described on the front cover of this pricing supplement.
|
|
|
·
|
THE NOTES DO NOT GUARANTEE THE RETURN OF YOUR PRINCIPAL IF THE NOTES
HAVE NOT BEEN REDEEMED EARLY
—
If the notes have not been redeemed early, we will pay you your principal back
at maturity only if a Trigger Event has not occurred.
However, if the notes have not been redeemed early and a Trigger Event
has occurred, you will lose some or all of your principal amount at maturity.
|
|
|
·
|
RETURN LINKED TO 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.
|
|
|
·
|
TAX TREATMENT —
You should review carefully the section
entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-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 Interest Payments 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, 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 Interest Payments is uncertain, and although we believe it is reasonable to
take a position that Contingent Interest Payments are not subject to U.S. withholding tax (at least if an applicable Form W-8 is
provided), a withholding agent may nonetheless withhold on these payments (generally at a rate of 30%, subject to the possible
reduction of that rate under an applicable income tax treaty), unless income from your notes is effectively connected with your
conduct of a trade or business in the United States (and, if an applicable treaty so requires, attributable to a permanent establishment
in the United States). If you are not a United States person, you are urged to consult your tax adviser regarding the U.S. federal
income tax consequences of an investment in the notes in light of your particular circumstances.
Section 871(m) of the Code and Treasury
regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax
treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked
to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime,
including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations
(such an index, a “Qualified Index”). Additionally, the applicable regulations exclude from the scope of Section 871(m)
instruments issued in 2017 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends
for U.S. federal income tax purposes (each an “Underlying Security”). Based on certain determinations made by us, our
special tax counsel is of the opinion that Section 871(m) should not apply to the notes with regard to Non-U.S. Holders. Our determination
is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may
depend on your particular circumstances, including whether you enter into other transactions with respect to an
|
JPMorgan Structured Investments —
|
PS-
4
|
|
Callable Contingent Interest Notes Linked to the Russell 2000
®
Index
|
|
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 Interest Payments 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.
Selected Risk Considerations
An investment in the notes involves significant
risks. Investing in the notes is not equivalent to investing directly in the Index or any of the equity securities included in
the Index. These risks are explained in more detail in the “Risk Factors” sections of the accompanying product supplement
and the accompanying underlying supplement.
|
|
·
|
YOUR INVESTMENT IN THE NOTES MAY RESULT
IN A LOSS
— The notes do not guarantee any return of principal. If the notes have not been redeemed early and a Trigger
Event has occurred, you will lose 1.25% of your principal amount at maturity for every 1% that the Ending Index Level is less than
the Initial Index Level by more than the Buffer Amount of 20%.
Accordingly, under these circumstances, you will lose some or
all of the principal amount at maturity.
|
|
|
·
|
THE NOTES DO NOT GUARANTEE THE PAYMENT
OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL —
The terms of the notes differ from those of conventional debt securities
in that, among other things, whether we pay interest is linked to the performance of the Index. Contingent Interest Payments should
not be viewed as periodic interest payments. If the notes have not been redeemed early, we will make a Contingent Interest Payment
with respect to a Review Date only if the closing level of the Index (in the case of any Review Date other than the final Review
Date) or the Ending Index Level (in the case of the final Review Date) is greater than or equal to the Interest Barrier. If the
notes have not been redeemed early and, with respect to any Review Date, the closing level of the Index (in the case of any Review
Date other than the final Review Date) or the Ending Index Level (in the case of the final Review Date) is less than the Interest
Barrier, no Contingent Interest Payment will be made with respect to that Review Date, and the Contingent Interest Payment that
would otherwise have been payable with respect to that Review Date will not be accrued and subsequently paid. Accordingly, if the
closing level of either Index on each Review Date (other than the final Review Date) and the Ending Index Level is less than the
Interest Barrier, you will not receive any interest payments over the term of the notes.
|
|
|
·
|
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.
|
|
|
·
|
THE OPTIONAL EARLY REDEMPTION FEATURE MAY FORCE A POTENTIAL EARLY
EXIT
—
Any early redemption of the notes will be at our discretion and will not automatically occur based on the
performance of the Index. Accordingly, we may (or may not) redeem the notes early on any applicable Interest Payment Date for any
reason. If the notes are redeemed early, the amount of Contingent Interest Payments made on the notes may be less than the amount
of Contingent Interest Payments that might have been payable if the notes were held to maturity, and, for each $1,000 principal
amount note, you will receive $1,000
plus
any accrued and unpaid Contingent Interest Payment on the applicable Interest
Payment Date on which the notes are redeemed early.
|
|
|
·
|
REINVESTMENT RISK
— If your
notes are redeemed early, the term of the notes may be reduced to as short as approximately one year and you will not receive any
Contingent Interest Payments after the applicable Interest Payment Date. There is no guarantee that you would be able to reinvest
the proceeds from an investment in the notes at a comparable return and/or with a comparable interest rate for a similar level
of risk in the event the notes are redeemed early prior to the Maturity Date.
|
|
|
·
|
THE APPRECIATION POTENTIAL OF THE NOTES
IS LIMITED, AND YOU WILL NOT PARTICIPATE IN ANY APPRECIATION IN THE VALUE OF THE INDEX
— The appreciation potential of
the notes is limited to the sum of any Contingent Interest Payments that may be paid over the term of the notes, regardless of
any appreciation in the value of the Index, which may be significant. You will not participate in any appreciation in the value
of the Index.
|
|
JPMorgan Structured Investments —
|
PS-
5
|
|
Callable Contingent Interest Notes Linked to the Russell 2000
®
Index
|
|
Accordingly, the return on the notes may be significantly
less than the return on a direct investment in the Index during the term of the notes.
|
|
·
|
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.
|
|
|
·
|
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.
|
|
|
·
|
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 level of the Index, 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;
|
|
JPMorgan Structured Investments —
|
PS-
6
|
|
Callable Contingent Interest Notes Linked to the Russell 2000
®
Index
|
|
|
|
·
|
the actual and expected volatility of the Index;
|
|
|
·
|
the time to maturity of the notes;
|
|
|
·
|
whether the closing level of the Index
or Ending Index Level, as applicable, has been, or is expected to be, less than the Interest Barrier on any Review Date and whether
a Trigger Event is expected to occur;
|
|
|
·
|
the optional early redemption feature
and whether we are expected to redeem the notes early, which is likely to limit the value of the notes;
|
|
|
·
|
the dividend rates on the equity securities
included in the Index;
|
|
|
·
|
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 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 DIVIDENDS OR VOTING RIGHTS
— As a holder of the notes,
you will not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of the
securities included in the Index would have.
|
|
|
·
|
VOLATILITY RISK
— Greater expected volatility with respect
to an Index indicates a greater likelihood as of the Pricing Date that the closing level of that Index on a Review Date (other
than the final Review Date) or the Ending Index Level could be less than the Interest Barrier and/or that a Trigger Event could
occur. The Index’s volatility, however, can change significantly over the term of the notes. The closing level of the Index
could fall sharply on any day during the term of the notes, which could result in your not receiving any Contingent Interest Payment
or a significant loss of principal, or both.
|
|
|
·
|
an investment in the notes is subject
to risks associated with small capitalization stocks WITH RESPECT TO TH
E
RUSSELL 2000
®
INDEX
— The stocks that constitute
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. 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.
|
|
|
·
|
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.
|
|
JPMorgan Structured Investments —
|
PS-
7
|
|
Callable Contingent Interest Notes Linked to the Russell 2000
®
Index
|
|
Historical Information
The following graph sets forth the historical performance
of the Index based on the weekly historical closing levels of the Index from January 6, 2012 through February 24, 2017. The closing
level of the Index on February 27, 2017 was 1,407.970.
We obtained the closing levels above and below from
the Bloomberg Professional
®
service (“Bloomberg”), without independent verification. The historical
levels of the Index should not be taken as an indication of future performance, and no assurance can be given as to the closing
level of the Index on any Review Date or Ending Averaging Date. There can be no assurance that the performance of the Index will
result in the return of any of your principal amount or the payment of any interest.
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 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
|
JPMorgan Structured Investments —
|
PS-
8
|
|
Callable Contingent Interest Notes Linked to the Russell 2000
®
Index
|
|
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 Are the Payments on the Notes,
Assuming a Range of Performances for the Index?” and “Hypothetical Examples of Amounts Payable on the Notes”
in this pricing supplement for an illustration of the risk-return profile of the notes and “Selected Purchase Considerations
— Return Linked to the Russell 2000
®
Index” 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 —
|
PS-
9
|
|
Callable Contingent Interest Notes Linked to the Russell 2000
®
Index
|
|
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Mar 2024 to Apr 2024
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Apr 2023 to Apr 2024
