March 24, 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
$645,000
Auto Callable Contingent Interest Notes Linked
to the VanEck Vectors
TM
Gold Miners ETF due June 28, 2018
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
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·
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The notes are designed for investors who seek a Contingent Interest Payment with respect to each Review Date for which the
closing price of one share of the VanEck Vectors
TM
Gold Miners ETF, which we refer to as the Fund, is greater than or
equal to 60.00% of the Initial Value, which we refer to as the Interest Barrier.
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The notes
will be automatically called if the closing price
of one share of the Fund on any Review Date (other than the first and final Review Dates) is greater than or equal to the Initial
Value.
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The earliest date on which an automatic call may be initiated is September 25, 2017.
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Investors in the notes should be willing to accept the risk of losing some or all of their principal and the risk that no Contingent
Interest Payment may be made with respect to some or all Review Dates.
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Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive
Contingent 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 24, 2017 and are expected to settle on or about March 29, 2017.
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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, “Risk Factors” beginning
on page US-2 of the accompanying underlying supplement and “Selected Risk Considerations” beginning on page PS-5 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, underlying 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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$16.50
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$983.50
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Total
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$645,000
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$10,642.50
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$634,357.50
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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 $16.50 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 $953.90 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, underlying supplement no. 1-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.
Fund:
The
VanEck Vectors
TM
Gold Miners ETF (Bloomberg ticker: GDX)
Contingent Interest Payments:
If the notes
have not been automatically called and the closing price of one share of the Fund on any 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 $23.125 (equivalent to a Contingent Interest Rate of 9.25% per annum, payable at a rate of 2.3125% per
quarter).
If the closing price of one share of the Fund
on any Review Date is less than the Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date.
Contingent
Interest Rate:
9.25% per annum, payable at a rate of 2.3125% per quarter
Interest Barrier/Trigger
Value:
$13.752, which is 60.00% of the Initial Value
Pricing
Date:
March 24, 2017
Original Issue
Date (Settlement Date):
On or about March 29, 2017
Review Dates*:
June 26, 2017, September 25, 2017, December 26, 2017, March 26, 2018 and
June 25, 2018 (final Review Date)
Interest Payment
Dates*:
June 29, 2017, September 28, 2017, December 29, 2017, March 29,
2018 and the Maturity Date
Maturity Date*:
June 28, 2018
Call Settlement
Date*:
If the notes are automatically called on any Review Date (other than
the first and final Review Dates), the first Interest Payment Date immediately following that Review Date
* 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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Automatic Call:
If
the closing price of one share of the Fund on any Review Date (other than the first and final Review Dates) is greater than or
equal to the Initial Value, the notes will be automatically called for a cash payment, for each $1,000 principal amount note, equal
to (a) $1,000
plus
(b) the Contingent Interest Payment applicable to that Review Date, payable on the applicable Call Settlement
Date. No further payments will be made on the notes.
Payment at Maturity:
If the notes
have not been automatically called and (i) the Final Value is greater than or equal to the Initial 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 Contingent Interest Payment applicable to the final Review Date.
If the notes
have not been automatically called and (i) the Final Value is less than the Initial Value and (ii) a Trigger Event has occurred,
your payment at maturity per $1,000 principal amount note, in addition to any Contingent Interest Payment, will be calculated as
follows:
$1,000
+ ($1,000 × Fund Return)
If the
notes have not been automatically called and (i) the Final Value is less than the Initial 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 Fund is less than the Trigger Value.
Monitoring Period:
The period from but excluding the Pricing Date to and including the final Review Date.
Fund Return:
(Final
Value – Initial Value)
Initial Value
Initial Value:
The closing price of one share of the Fund on the Pricing Date, which
was $22.92
Final Value:
The closing price of one share of the Fund on the final Review Date
Share Adjustment
Factor:
The Share Adjustment Factor is referenced in determining the closing price of one
share of the Fund, and is set equal to 1.0 on the Pricing Date. The Share Adjustment Factor is subject to adjustment upon the occurrence
of certain events affecting the Fund. See “The Underlyings — Funds — Anti-Dilution Adjustments” in the
accompanying product supplement for further information.
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PS-
1
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the VanEck Vectors
TM
Gold Miners ETF
|
|
How
the Notes Work
Payment in Connection with the First Review
Date
Payments in Connection with Review Dates
(Other than the First and Final Review Dates)
PS-
2
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the VanEck Vectors
TM
Gold Miners ETF
|
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Payment at Maturity If the Notes Have Not
Been Automatically Called
Total Contingent Interest Payments
The table below illustrates the hypothetical total
Contingent Interest Payments per $1,000 principal amount note over the term of the notes based on the Contingent Interest Rate
of 9.25% per annum, depending on how many Contingent Interest Payments are made prior to automatic call or maturity.
Number of Contingent Interest Payments
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Total Contingent Interest Payments
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5
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$115.625
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4
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$92.500
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3
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$69.375
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2
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$46.250
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1
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$23.125
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0
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$0.000
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Hypothetical
Payout Examples
The following examples illustrate payments on
the notes linked to a hypothetical Fund, assuming a range of performances for the hypothetical Fund on the Review Dates. The hypothetical
payments set forth below assume the following:
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an Initial Value of $100.00;
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an Interest Barrier and a Trigger Value of $60.00 (equal to 60.00% of the
hypothetical Initial Value); and
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a Contingent Interest Rate of 9.25% per annum (payable at a rate of 2.3125%
per quarter).
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The hypothetical Initial Value of $100.00 has
been chosen for illustrative purposes only and does not represent the actual Initial Value. The actual Initial Value is the closing
price of one share of the Fund on the Pricing Date and is specified under “Key Terms — Initial Value” in this
pricing supplement. For historical data regarding the actual closing prices of one share of the Fund, please see the historical
information set forth under “The Fund” 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.
PS-
3
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the VanEck Vectors
TM
Gold Miners ETF
|
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Example 1 — Notes are automatically
called on the second Review Date.
Date
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Closing Price
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Payment (per $1,000 principal amount note)
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First Review Date
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$105.00
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$23.125
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Second Review Date
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$105.00
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$1,023.125
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Total Payment
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$1,046.25 (4.625% return)
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Because the closing price of one share of the
Fund on the second Review Date is greater than or equal to the Initial Value, the notes will be automatically called for a cash
payment, for each $1,000 principal amount note, of $1,023.125 (or $1,000
plus
the Contingent Interest Payment applicable
to the second Review Date), payable on the applicable Call Settlement Date. The notes are not automatically callable before the
second Review Date, even though the closing price of one share of the Fund on the first Review Date is greater than the Initial
Value. When added to the Contingent Interest Payment received with respect to the prior Review Date, the total amount paid, for
each $1,000 principal amount note, is $1,046.25. No further payments will be made on the notes.
Example 2 — Notes have NOT been automatically
called, the Final Value is greater than or equal to the Initial Value and a Trigger Event has occurred.
Date
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Closing Price
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Payment (per $1,000 principal amount note)
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First Review Date
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$90.00
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$23.125
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Second Review Date
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$95.00
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$23.125
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Third through Fourth Review Dates
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Less than Interest Barrier
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$0
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Final Review Date
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$105.00
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$1,023.125
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Total Payment
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$1,069.375 (6.9375% return)
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Because the notes have not been automatically
called and the Final Value is greater than or equal to the Initial Value (and, therefore, the Interest Barrier), even though a
Trigger Event has occurred, the payment at maturity, for each $1,000 principal amount note, will be $1,023.125 (or $1,000
plus
the Contingent Interest Payment applicable to the final Review Date). When added to the Contingent Interest Payments received with
respect to the prior Review Dates, the total amount paid, for each $1,000 principal amount note, is $1,069.375.
Example 3 — Notes have NOT been automatically
called, the Final Value is less than the Initial Value and a Trigger Event has NOT occurred.
Date
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Closing Price
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Payment (per $1,000 principal amount note)
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First Review Date
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$95.00
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$23.125
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Second Review Date
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$85.00
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$23.125
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Third through Fourth Review Dates
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Less than Interest Barrier
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$0
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Final Review Date
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$70.00
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$1,023.125
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Total Payment
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$1,069.375 (6.9375% return)
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Because the notes have not been automatically
called, the Final Value is greater than or equal to the Interest Barrier and a Trigger Event has not occurred, even though the
Final Value is less than the Initial Value, the payment at maturity, for each $1,000 principal amount note, will be $1,023.125
(or $1,000
plus
the Contingent Interest Payment applicable to the final Review Date). When added to the Contingent Interest
Payments received with respect to the prior Review Dates, the total amount paid, for each $1,000 principal amount note, is $1,069.375.
PS-
4
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the VanEck Vectors
TM
Gold Miners ETF
|
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Example 4 — Notes have NOT been automatically
called, the Final Value is less than the Initial Value and the Interest Barrier and a Trigger Event has occurred.
Date
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Closing Price
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Payment (per $1,000 principal amount note)
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First Review Date
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$60.00
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$0
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Second Review Date
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$55.00
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$0
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Third through Fourth Review Dates
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Less than Interest Barrier
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$0
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Final Review Date
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$50.00
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$500.00
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Total Payment
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$500.00 (-50.00% return)
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Because the notes have not been automatically
called, the Final Value is less than the Initial Value and the Interest Barrier, a Trigger Event has occurred and the Fund Return
is -50.00%, the payment at maturity will be $500.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)] = $500.00
The hypothetical returns and hypothetical payments
on the notes shown above apply
only if you hold the notes for their entire term or until automatically called.
These hypotheticals
do no
t 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” sections of the accompanying product supplement
and underlying 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 the notes have not been automatically called and (i) the Final Value is less than the Initial 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 Initial Value. Accordingly, under these circumstances, you will lose some or all of your principal amount at maturity.
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THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL —
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If the notes have not been automatically
called, we will make a Contingent Interest Payment with respect to a Review Date only if the closing price of one share of the
Fund on that Review Date is greater than or equal to the Interest Barrier. If the closing price of one share of the Fund on that
Review Date is less than the Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date. Accordingly,
if the closing price of one share of the Fund on each Review Date is less than the Interest Barrier, you will not receive any interest
payments over the term of the notes.
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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.
PS-
5
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the VanEck Vectors
TM
Gold Miners ETF
|
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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,
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regardless of any appreciation in the
price of one share of the Fund, which may be significant. You will not participate in any appreciation in the price of one share
of the Fund.
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.
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THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON ANY DAY DURING THE MONITORING PERIOD
—
If, on any day during the Monitoring Period, the closing price of one share of the Fund
is less than the Trigger Value (i.e., a Trigger Event occurs) and the notes have not been automatically called, 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
Fund. You will be subject to this potential loss of principal even if the Fund subsequently recovers such that the closing price
of one share of the Fund is greater than or equal to the Trigger Value.
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THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
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If your notes are automatically called,
the term of the notes may be reduced to as short as approximately six months and you will not receive any Contingent Interest Payments
after the applicable Call Settlement 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. Even in cases where the
notes are called before maturity, you are not entitled to any fees and commissions described on the front cover of this pricing
supplement.
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YOU WILL NOT RECEIVE DIVIDENDS ON THE FUND OR THE SECURITIES HELD BY THE FUND OR HAVE ANY RIGHTS
WITH RESPECT TO THE FUND OR THOSE SECURITIES.
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THERE ARE RISKS ASSOCIATED WITH THE FUND —
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The Fund is subject to management risk,
which is the risk that the investment strategies of the Fund’s investment adviser, the implementation of which is subject
to a number of constraints, may not produce the intended results. These constraints could adversely affect the market price of
the shares of the Fund and, consequently, the value of the notes.
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THE PERFORMANCE AND MARKET VALUE OF THE FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH THE
PERFORMANCE OF THE FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE —
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The Fund does not fully replicate its Underlying
Index (as defined under “The Fund” below) and may hold securities different from those included in its Underlying Index.
In addition, the performance of the Fund will reflect additional transaction costs and fees that are not included in the calculation
of its Underlying Index. All of these factors may lead to a lack of correlation between the performance of the Fund and its Underlying
Index. In addition, corporate actions with respect to the equity securities underlying the Fund (such as mergers and spin-offs)
may impact the variance between the performances of the Fund and its Underlying Index. Finally, because the shares of the Fund
are traded on a securities exchange and are subject to market supply and investor demand, the market value of one share of the
Fund may differ from the net asset value per share of the Fund.
During periods of market volatility, securities
underlying the Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately the net
asset value per share of the Fund and the liquidity of the Fund may be adversely affected. This kind of market volatility may also
disrupt the ability of market participants to create and redeem shares of the Fund. Further, market volatility may adversely affect,
sometimes materially, the prices at which market participants are willing to buy and sell shares of the Fund. As a result, under
these circumstances, the market value of shares of the Fund may vary substantially from the net asset value per share of the Fund.
For all of the foregoing reasons, the performance of the Fund may not correlate with the performance of its Underlying Index as
well as the net asset value per share of the Fund, which could materially and adversely affect the value of the notes in the secondary
market and/or reduce any payment on the notes.
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RISKS ASSOCIATED WITH THE GOLD AND SILVER MINING INDUSTRIES —
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All or substantially all of the equity
securities held by the Fund are issued by companies whose primary line of business is directly associated with the gold and/or
silver mining industries. As a result, the value of the notes may be subject to greater volatility and
PS-
6
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the VanEck Vectors
TM
Gold Miners ETF
|
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be more adversely affected by a single
economic, political or regulatory occurrence affecting these industries than a different investment linked to securities of a more
broadly diversified group of issuers. Investments related to gold and silver are considered speculative and are affected by a variety
of factors. Competitive pressures may have a significant effect on the financial condition of gold mining and silver mining companies.
Also, gold and silver mining companies are highly dependent on the price of gold bullion and silver bullion, respectively, but
may also be adversely affected by a variety of worldwide economic, financial and political factors. Therefore, the securities of
companies involved in the gold or silver mining industry may under- or over-perform commodities themselves over the short term
or long term. Gold bullion and silver bullion prices may fluctuate substantially over short periods of time so the Fund’s
share price may be more volatile than other types of investments. A drop in the price of gold and/or silver bullion would particularly
adversely affect the profitability of small- and medium-capitalization mining companies and their ability to secure financing.
Furthermore, companies that are only in the exploration stage are typically unable to adopt specific strategies for controlling
the impact of the price of gold or silver. The price of gold has decreased in recent years. These prices may fluctuate substantially
over short periods of time so the Fund’s share price may be more volatile than other types of investments. In times of significant
inflation or great economic uncertainty, gold, silver and other precious metals may outperform traditional investments such as
bonds and stocks. However, in times of stable economic growth, traditional equity and debt investments could offer greater appreciation
potential and the value of gold, silver and other precious metals may be adversely affected, which could in turn affect the Fund’s
returns. A significant portion of the world’s gold reserves are held by governments, central banks and related institutions.
The production, purchase and sale of precious metals by governments or central banks or other larger holders can be negatively
affected by various economic, financial, social and political factors, which may be unpredictable and may have a significant adverse
impact on the supply and prices of precious metals. Economic, social and political conditions in those countries that are the largest
producers of gold may have a direct negative effect on the production and marketing of gold and on sales of central bank gold holdings.
Some gold, silver and precious metals mining operation companies may hedge their exposure to declines in gold, silver and precious
metals prices by selling forward future production, which may result in lower returns during periods when the prices of gold, silver
and precious metals increase. The gold, silver and precious metals industries can be significantly adversely affected by events
relating to international political developments, the success of exploration projects, commodity prices, tax and government regulations
and intervention, changes in inflation or expectations regarding inflation in various countries and investment speculation. If
a natural disaster or other event with a significant economic impact occurs in a region where the companies in which the Fund invests
operate, that disaster or event could negatively affect the profitability of such companies and, in turn, the Fund’s investment
in them. Gold and silver mining companies may also be significantly adversely affected by import controls, worldwide competition,
liability for environmental damage, depletion of resources, and mandated expenditures for safety and pollution control devices.
These factors could affect the oil and gas exploration and production industry and could affect the value of the equity securities
held by the Fund and the price of the Fund during the term of the notes, which may adversely affect the value of your notes.
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NON-U.S. SECURITIES RISK —
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A
portion of the equity securities held by the Fund have been issued by non-U.S. companies. Investments in securities linked
to the value of such non-U.S. equity securities involve risks associated with the securities markets in the home countries of the
issuers of those non-U.S. equity securities. Also, there is generally less publicly available information about companies
in some of these jurisdictions than there is about U.S. companies that are subject to the reporting requirements of the SEC.
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THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK —
|
Because the prices of the non-U.S.
equity securities held by the Fund are converted into U.S. dollars for purposes of calculating the net asset value of the Fund,
holders of the notes will be exposed to currency exchange rate risk with respect to each of the currencies in which the non-U.S.
equity securities held by the Fund trade. Your net exposure will depend on the extent to which those currencies strengthen
or weaken against the U.S. dollar and the relative weight of equity securities held by the Fund denominated in each of those currencies.
If, taking into account the relevant weighting, the U.S. dollar strengthens against those currencies, the price of the Fund will
be adversely affected and any payment on the notes may be reduced.
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THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED —
|
The calculation agent will make adjustments
to the Share Adjustment Factor for certain events affecting the shares of the Fund. However, the calculation agent will not make
an adjustment in response to all events that could affect the shares of the Fund. If an event occurs that does not require the
calculation agent to make an adjustment, the value of the notes may be materially and adversely affected.
PS-
7
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the VanEck Vectors
TM
Gold Miners ETF
|
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THE RISK OF THE CLOSING PRICE OF ONE SHARE OF THE FUND FALLING BELOW THE INTEREST BARRIER OR THE
TRIGGER VALUE IS GREATER IF THE PRICE OF ONE SHARE OF THE FUND IS VOLATILE.
|
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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·
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THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE
NOTES —
|
The estimated value of the notes is
only an estimate determined by reference to several factors. The original issue price of the notes exceeds the estimated value
of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue price
of the notes. These costs include the selling commissions, the projected profits, if any, that our affiliates expect to realize
for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under
the notes. See “The Estimated Value of the Notes” in this pricing supplement.
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THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS’ ESTIMATES —
|
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. 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 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.
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
|
The secondary market price of the notes
during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside
from the selling commissions, projected hedging profits, if any, estimated hedging costs and the price of one share of the Fund.
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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| Structured Investments
Auto Callable Contingent Interest Notes Linked to the VanEck Vectors
TM
Gold Miners ETF
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The
Fund
The Fund is
an exchange-traded fund of the VanEck VectorsTM ETF Trust, a registered investment company that seeks to replicate as closely as
possible, before fees and expenses, the price and yield performance of the NYSE Arca Gold Miners Index. Effective May 1, 2016,
the name of the VanEck VectorsTM ETF Trust was changed from “Market Vectors ETF Trust” to its current name, and the
name of the Fund was changed from “Market Vectors Gold Miners ETF” to its current name. The NYSE Arca Gold Miners Index
is a modified market capitalization weighted index composed of publicly traded companies involved primarily in the mining of gold
or silver. For additional information about the Fund, see “Fund Descriptions — The Market Vectors Gold Miners ETF”
in the accompanying underlying supplement.
Historical Information
The following graph sets forth the historical
performance of the Fund based on the weekly historical closing prices of one share of the Fund from January 6, 2012 through March
24, 2017. The closing price of one share of the Fund on March 24, 2017 was $22.92. 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 actions taken by the Fund, such as stock splits.
The historical closing prices of one share of
the Fund 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 Fund on any Review Date or any day during the Monitoring Period. There can be no assurance that the performance of
the Fund will result in the return of any of your principal amount or the payment of any interest.
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
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| Structured Investments
Auto Callable Contingent Interest Notes Linked to the VanEck Vectors
TM
Gold Miners ETF
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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 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). Under a recent IRS notice, withholding under FATCA will not apply
to payments of gross proceeds (other than any amount treated as FDAP Income) of a taxable disposition, including an early redemption
or redemption at maturity, of the notes. 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.
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.
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| Structured Investments
Auto Callable Contingent Interest Notes Linked to the VanEck Vectors
TM
Gold Miners ETF
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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. 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 Fund” 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 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
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Auto Callable Contingent Interest Notes Linked to the VanEck Vectors
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Gold Miners ETF
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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.
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-12 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the
VanEck Vectors
TM
Gold Miners ETF
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