March 22, 2017
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Registration Statement Nos. 333-209682 and 333-209682-01; Rule 424(b)(2)
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JPMorgan Chase Financial Company LLC
Structured Investments
$1,000,000
Yield Notes Linked to the Common Stock of
Barracuda Networks, Inc. due June 27, 2017
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
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The notes are designed for investors who seek a higher interest rate than either the current dividend yield on the Reference
Stock or the yield on a conventional debt security with the same maturity issued by us. The notes will pay 2.25% interest over
the term of the notes, payable at a rate of 0.75% per month.
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Investors in the notes should be willing to accept the risk of losing some or all of their principal and be willing to forgo
dividend payments, in exchange for Interest Payments.
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The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan
Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co.
Any payment on the notes
is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as
guarantor of the notes.
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Minimum denominations of $1,000 and integral multiples thereof
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The notes priced on March 22, 2017 (the “Pricing Date”) and are expected to settle on or about March 27, 2017.
The Strike Value has been determined by reference to certain intraday trades in the Reference Stock that occurred on the Pricing
Date and not by reference to the closing price of one share of the Reference Stock on the Pricing Date.
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Investing in the notes involves a number of risks. See
“Risk Factors” beginning on page PS-10 of the accompanying product supplement and “Selected Risk Considerations”
beginning on page PS-3 of this pricing supplement.
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.
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Price to Public (1)
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Fees and Commissions (2)
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Proceeds to Issuer
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Per note
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$1,000
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$9
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$991
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Total
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$1,000,000
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$9,000
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$991,000
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(1) See “Supplemental Use of Proceeds”
in this pricing supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer
to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions of $9.00 per $1,000 principal amount
note it receives from us to other affiliated or unaffiliated dealers. See “Plan of Distribution (Conflicts of Interest)”
in the accompanying product supplement.
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The estimated value of the notes, when the terms of the
notes were set, was $966.80 per $1,000 principal amount note. See “The Estimated Value of the Notes” in this pricing
supplement for additional information.
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
Pricing supplement to product supplement no. 4-I
dated April 15, 2016
and the prospectus and prospectus supplement, each dated April 15, 2016.
Key
Terms
Issuer:
JPMorgan
Chase Financial Company LLC
Guarantor:
JPMorgan Chase & Co.
Reference
Stock:
The common stock of Barracuda Networks, Inc., par value $0.001
per share (Bloomberg ticker: CUDA). We refer to Barracuda Networks, Inc. as “Barracuda Networks.”
Interest Payments:
You will receive on each Interest
Payment Date for each $1,000 principal amount note an Interest Payment equal to $7.50 (equivalent to an Interest Rate of 2.25%
over the term of the notes, payable at a rate of 0.75% per month).
Interest Rate:
2.25% over the term of the notes, payable at a rate of 0.75% per month
Trigger Value:
$13.93, which is approximately
60.80% of the Strike Value
Pricing
Date:
March 22, 2017
Original Issue
Date (Settlement Date):
On or about March 27, 2017
Interest Payment
Dates*:
April 24, 2017, May 22, 2017 and the Maturity Date
Observation
Date*:
June 22, 2017
Maturity Date*:
June 27, 2017
* Subject to postponement in the event of a market disruption
event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to
a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General Terms
of Notes — Postponement of a Payment Date” in the accompanying product supplement
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Payment at Maturity:
If (i) the Final Value is greater than or equal to the Strike
Value or (ii) a Trigger Event has not occurred, you will receive a cash payment at maturity, for each $1,000 principal amount note,
equal to (a) $1,000
plus
(b) the Interest Payment applicable to the Maturity Date.
If (i) the Final Value is less than the Strike Value and (ii)
a Trigger Event has occurred, your cash payment at maturity per $1,000 principal amount note, in addition to the Interest Payment
applicable to the Maturity Date, will be calculated as follows:
$1,000 + ($1,000 × Stock Return)
If (i) the Final Value is less than the Strike Value and (ii)
a Trigger Event has occurred, you will lose some or all of your principal amount at maturity.
Trigger Event:
A Trigger Event occurs if, on any day during the Monitoring Period,
the closing price of one share of the Reference Stock is less than the Trigger Value.
Monitoring Period:
The period from but excluding the Pricing Date to and including the Observation Date
Stock Return:
(Final
Value – Strike Value)
Strike Value
Strike Value:
$22.91, determined on the Pricing Date based on certain intraday trades
in the Reference Stock that occurred on the Pricing Date in the sole discretion of the calculation agent.
The
Strike Value is
not
the closing price of one share of the Reference Stock on the Pricing Date.
See “Selected Risk Considerations — Potential Conflicts” in this pricing supplement.
Final Value:
The closing price of one share of the Reference Stock on the Observation
Date
Stock Adjustment
Factor:
The Stock Adjustment
Factor is referenced in determining the closing price of one share of the Reference Stock and is set equal to 1.0 on the Strike
Date. The Stock Adjustment Factor is subject to adjustment upon the occurrence of certain corporate events affecting the Reference
Stock. See “The Underlyings — Reference Stocks — Anti-Dilution Adjustments” and “The Underlyings
— Reference Stocks — Reorganization Events” in the accompanying product supplement for further information.
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Yield Notes Linked to the Common Stock of Barracuda Networks Inc.
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How the Notes Work
Payment at Maturity
Total Interest Payments
The total Interest Payments per $1,000 principal
amount note over the term of the notes based on the Interest Rate of 2.25% over the term of the notes is $22.50.
Hypothetical
Payout Examples
The following examples illustrate payments on
the notes linked to a hypothetical Reference Stock, assuming a range of performances for the hypothetical Reference Stock on the
Observation Date. The hypothetical payments set forth below assume the following:
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a Strike Value of $100.00;
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a Trigger Value of $60.80 (equal to 60.80% of the hypothetical Strike Value); and
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an Interest Rate of 2.25% over the term of the notes (payable at a rate of 0.75% per
month).
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The hypothetical Strike Value of $100.00
has been chosen for illustrative purposes only and does not represent the actual Strike Value. The actual Strike Value has been
determined on the Pricing Date in the sole discretion of the calculation agent and is specified under “Key Terms —
Strike Value” in this pricing supplement. For historical data regarding the actual closing prices of one share of the Reference
Stock, please see the historical information set forth under “The Reference Stock” in this pricing supplement.
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 examples have been rounded for ease of analysis.
Example 1 — The Final Value is greater
than or equal to the Strike Value and a Trigger Event has occurred.
Date
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Closing Price
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Observation Date
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$105.00
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Final Value is greater than Strike Value
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Total Payment
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$1,022.50 (2.25% return)
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Because the Final Value is greater than or equal
to the Strike Value, even though a Trigger Event has occurred, the payment at maturity, for each $1,000 principal amount note,
will be $1,007.50 (or $1,000
plus
the Interest Payment applicable to the Maturity Date). When added to the Interest Payments
received with respect to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $1,022.50.
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Yield Notes Linked to the Common Stock of Barracuda Networks Inc.
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Example 2 — The Final Value is less
than the Strike Value and a Trigger Event has NOT occurred.
Date
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Closing Price
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Observation Date
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$70.00
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Final Value is less than Strike Value
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Total Payment
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$1,022.50 (2.25% return)
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Because a Trigger Event has not occurred, even
though the Final Value is less than the Strike Value, the payment at maturity, for each $1,000 principal amount note, will be $1,007.50
(or $1,000
plus
the Interest Payment applicable to the Maturity Date). When added to the Interest Payments received with
respect to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $1,022.50.
Example 3 — The Final Value is less
than the Strike Value and a Trigger Event has occurred.
Date
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Closing Price
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Observation Date
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$50.00
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Final Value is less than Strike Value
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Total Payment
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$522.50 (-47.75% return)
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Because the Final Value is less than the Strike
Value, a Trigger Event has occurred and the Stock Return is -50.00%, the payment at maturity will be $507.50 per $1,000 principal
amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)] + $7.50 =
$507.50
When added to the Interest Payments received with
respect to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $522.50.
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 the 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.
Selected
Risk Considerations
An investment in the notes involves significant
risks. These risks are explained in more detail in the “Risk Factors” section of the accompanying product supplement.
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YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
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The notes do not guarantee any return
of principal. If (i) the Final Value is less than the Strike Value and (ii) a Trigger Event has occurred, you will lose 1% of the
principal amount of your notes for every 1% that the Final Value is less than the Strike Value. Accordingly, under these circumstances,
you will lose some or all of your principal amount at maturity.
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CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
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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.
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AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
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As a finance subsidiary of JPMorgan
Chase & Co., we have no independent operations beyond the issuance and administration of our securities. Aside from the initial
capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates to
make payments under loans made by us or other intercompany agreements. As a result, we are dependent upon payments from our affiliates
to meet our obligations under the notes. If these affiliates do not make payments to us and we fail to make payments on the notes,
you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu with
all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
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THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF THE INTEREST PAYMENTS PAID OVER
THE TERM OF THE NOTES,
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regardless of any appreciation in the
price of the Reference Stock, which may be significant. You will not participate in any appreciation in the price of the Reference
Stock.
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Yield Notes Linked to the Common Stock of Barracuda Networks Inc.
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We and our affiliates play a variety
of roles in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests
are potentially adverse to your interests as an investor in 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.
In addition, although the calculation
agent has made all determinations and has taken all actions in relation to the establishment of the Strike Value in good faith,
it should be noted that such discretion could have an impact (positive or negative) on the value of your notes. The calculation
agent is under no obligation to consider your interests as a holder of the notes in taking any actions, including the determination
of the Strike Value, that may affect the value of your notes.
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THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON ANY DAY DURING THE MONITORING PERIOD
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If, on any day during the Monitoring
Period, the closing price of one share of the Reference Stock is less than the Trigger Value (
i.e.
, a Trigger Event occurs),
the benefit provided by the Trigger Value will terminate and you will be fully exposed to any depreciation in the closing price
of one share of the Reference Stock. You will be subject to this potential loss of principal even if the Reference Stock subsequently
recovers such that the closing price of one share of the Reference Stock is greater than or equal to the Trigger Value.
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YOU WILL NOT RECEIVE DIVIDENDS ON THE REFERENCE STOCK OR HAVE ANY RIGHTS WITH RESPECT TO THE REFERENCE
STOCK.
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NO AFFILIATION WITH THE REFERENCE STOCK ISSUER —
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We have not independently verified
any of the information about the Reference Stock issuer 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.
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THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY —
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The calculation agent will not make
an adjustment in response to all events that could affect the Reference Stock. 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.
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THE RISK OF THE CLOSING PRICE OF THE REFERENCE STOCK FALLING BELOW THE TRIGGER VALUE IS GREATER
IF THE PRICE OF THE REFERENCE STOCK IS VOLATILE.
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The notes will not be listed on any
securities exchange. Accordingly, 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. You may not be able to sell your 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.
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THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE
NOTES —
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The estimated value of the notes is
only an estimate determined by reference to several factors. The original issue price of the notes exceeds the estimated value
of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue price
of the notes. These costs include the selling commissions, the projected profits, if any, that our affiliates expect to realize
for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under
the notes. See “The Estimated Value of the Notes” in this pricing supplement.
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THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS’ ESTIMATES —
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See “The Estimated Value of the
Notes” in this pricing supplement.
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THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
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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
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Yield Notes Linked to the Common Stock of Barracuda Networks Inc.
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internal funding rate and any potential
changes to that rate may have an adverse effect on the terms of the notes and any secondary market prices of the notes. See “The
Estimated Value of the Notes” in this pricing supplement.
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THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS)
MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
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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. See “Secondary Market Prices
of the Notes” in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated
value of your notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be
shown on your customer account statements).
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SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES —
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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 the 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.
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SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
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The secondary market price of the notes
during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside
from the selling commissions, projected hedging profits, if any, estimated hedging costs and the price of the Reference Stock.
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. See “Risk Factors — Risks Relating to the
Estimated Value and Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many
economic and market factors” in the accompanying product supplement.
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Yield Notes Linked to the Common Stock of Barracuda Networks Inc.
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The
Reference Stock
All information contained herein on the Reference
Stock and on Barracuda Networks is derived from publicly available sources, without independent verification. According to its
publicly available filings with the SEC, Barracuda Networks designs and delivers security and data protection solutions. The common
stock of Barracuda Networks, par value $0.001 per share (Bloomberg ticker: CUDA), 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 Barracuda Networks in the accompanying product supplement. Information provided to or filed
with the SEC by Barracuda Networks pursuant to the Exchange Act can be located by reference to SEC file number 001-36162, 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
The following graph sets forth the historical
performance of the Reference Stock based on the weekly historical closing prices of one share of the Reference Stock from November
8, 2013 through March 17, 2017. The Reference Stock commenced trading on the New York Stock Exchange on November 6, 2013, and therefore
has a limited performance history. The closing price of one share of the Reference Stock on March 22, 2017 was $23.04. We obtained
the closing prices above and below from the Bloomberg Professional
®
service (“Bloomberg”), without independent
verification. The closing prices below may have been adjusted by Bloomberg for corporate actions, such as stock splits, public
offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
The historical closing prices of one share
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 the Observation Date. There can be no assurance that the performance of the Reference
Stock will result in the return of any of your principal amount.
Tax
Treatment
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I.
Based
on current market conditions, in determining our reporting responsibilities we intend to treat
the notes for U.S. federal
income tax purposes as units each comprising: (x) a cash-settled Put Option written by you that, in circumstances where the payment
due at maturity is less than the principal amount (excluding accrued but unpaid interest), requires you to pay us an amount equal
to that difference and (y) a Deposit of $1,000 per $1,000 principal amount note to secure your potential obligation under the Put
Option, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders
— Notes Treated as Units Each Comprising a Put Option and a Deposit” in the accompanying product supplement, and in
particular in the subsection thereof entitled “— Notes with a Term of Not More than One Year.” By purchasing
the notes, you agree (in the absence of an administrative determination or judicial ruling to the contrary) to follow this treatment
and the allocation described in the following paragraph. However, 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 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 on a number of issues, the most relevant of which for
investors in the notes are the character of income or loss
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Yield Notes Linked to the Common Stock of Barracuda Networks Inc.
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(including whether the Put Premium might be
currently included as ordinary income); the degree, if any, to which income realized by non-U.S. investors should be subject to
withholding tax; and whether investors in short-term instruments should be required to accrue income. While it is not clear
whether the notes would be viewed as similar to the typical prepaid forward contract described in the notice, it is possible that
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.
In determining our reporting responsibilities,
we intend to treat approximately 12.78% of each Interest Payment as interest on the Deposit and the remainder as Put Premium.
Assuming that the treatment of the notes as units each comprising a Put Option and a Deposit is respected, amounts treated as interest
on the Deposit will be taxed as ordinary income, while the Put Premium will not be taken into account prior to sale or settlement.
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”). We have determined 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.
You should consult your tax adviser regarding
all aspects of the U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments
and the issues presented by the 2007 notice. Purchasers who are not initial purchasers of notes at the issue price should
also consult their tax advisers with respect to the tax consequences of an investment in the notes, including possible alternative
treatments, as well as the allocation of the purchase price of the notes between the Deposit and the Put Option.
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.
The estimated value of the notes does not
represent future values of the notes and may differ from others’ estimates. 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.
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
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Yield Notes Linked to the Common Stock of Barracuda Networks Inc.
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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. A portion of the profits, if any, realized in hedging our obligations under the notes may be allowed to other affiliated
or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits. 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 “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in
the accompanying product 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. 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. This initial predetermined
time period 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” in this pricing supplement.
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
“How the Notes Work”
and “Hypothetical Payout Examples” 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.
Additional
Terms Specific to the Notes
You should read this pricing supplement together
with the accompanying prospectus, as supplemented by the accompanying prospectus supplement, relating to our Series A medium-term
notes of which these notes are a part, and the more detailed information contained in the accompanying product supplement. This
pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all other prior or
contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence,
trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You
should carefully consider, among other things, the matters set forth in the “Risk Factors” section of the accompanying
product supplement, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment,
legal, tax, accounting and other advisers before you invest in the notes.
PS-
8
| Structured Investments
Yield Notes Linked to the Common Stock of Barracuda Networks Inc.
|
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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.
PS-
9
| Structured Investments
Yield Notes Linked to the Common Stock of Barracuda Networks Inc.
|
|
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