Pricing supplement
To prospectus dated April 15, 2016,
prospectus supplement dated April 15, 2016 and
product supplement no. 4-I dated April 15, 2016
|
Registration Statement
Nos. 333-209682 and 333-209682-01
Dated March 24, 2017
Rule 424(b)(2)
|
JPMorgan Chase Financial Company LLC
|
Structured Investments
|
$1,060,000
Auto Callable Contingent Interest Notes Linked
to the Class A Common Stock of Facebook, Inc. due April 11, 2018
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
|
General
|
·
|
The notes are designed for investors who seek a Contingent Interest
Payment if, (1) with respect to any Review Date (other than the final Review Date), the closing price of one share of the Reference
Stock or, (2) with respect to the final Review Date, the Final Stock Price is greater than or equal to 81.90% of the Initial Stock
Price, which we refer to as the Interest Barrier. Investors should be willing to forgo fixed interest and dividend payments,
in exchange for the opportunity to receive Contingent Interest Payments.
|
|
·
|
Investors in the notes should be willing to accept the risk of losing
some or all of their principal if a Trigger Event (as defined below) has occurred and the risk that no Contingent Interest Payment
may be made with respect to some or all Review Dates. Contingent Interest Payments should not be viewed as periodic interest payments.
|
|
·
|
If the closing price of one share of the Reference Stock is greater
than or equal to the Interest Barrier on any Review Date, investors will receive, in addition to the Contingent Interest Payment
with respect to that Review Date, any previously unpaid Contingent Interest Payments for prior Review Dates.
|
|
·
|
The notes will be automatically called if the closing price of one share
of the Reference Stock on any Review Date (other than the final Review Date) is greater than or equal to the Initial Stock Price.
The earliest date on which an automatic call may be initiated, is July 6, 2017.
|
|
·
|
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.
|
|
·
|
Minimum denominations of $10,000 and integral multiples of $1,000 in
excess thereof
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Key Terms
Issuer:
|
JPMorgan Chase Financial Company LLC
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Guarantor:
|
JPMorgan Chase & Co.
|
Reference Stock:
|
The Class A common stock of Facebook, Inc., par value $0.000006 per share (Bloomberg Ticker: FB). We refer to Facebook, Inc. as “Facebook.”
|
Contingent Interest Payments:
|
If the notes have not been automatically called and (1) with respect
to any Review Date (other than the final Review Date), the closing price of one share of the Reference Stock on that Review Date
or (2) with respect to the final Review Date, the Final Stock Price 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 $25.00,
plus
any previously unpaid Contingent Interest Payments for any prior Review Dates.
If the Contingent Interest Payment is not paid on any Interest
Payment Date, that unpaid Contingent Interest Payment will be paid on a later Interest Payment Date if the closing price of one
share of the Reference Stock on the Review Date related to that later Interest Payment Date is greater than or equal to the Interest
Barrier. You will not receive any unpaid Contingent Interest Payments if the closing price of one share of the Reference
Stock or the Final Stock Price, as applicable, on each subsequent Review Date is less than the Interest Barrier.
|
Interest Barrier / Trigger Level:
|
$114.93846, which is an amount that represents 81.90% of the Initial Stock Price
|
Automatic Call:
|
If, with respect to any Review Date (other than the final Review Date), the closing price of one share of the Reference Stock is
greater than or equal to
the Initial Stock Price, 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
plus
(c) any previously unpaid Contingent Interest Payments for any prior Review Dates, payable on the applicable Call Settlement Date.
|
Payment at Maturity:
|
If the notes have not been automatically called and 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
plus
(c) any previously unpaid Contingent Interest Payments for any prior Review Dates.
|
If the notes have not been automatically called and a Trigger Event
has
occurred, at maturity you will lose 1% of the principal amount of your notes for every 1% that the Final Stock
Price is less than the Initial Stock Price. Under these circumstances, your payment at maturity per $1,000 principal amount note
will be calculated as follows:
$1,000 + ($1,000 × Stock Return)
|
If the notes have not been automatically called and a Trigger Event has occurred, you will lose more than 18.10% of the principal amount of your notes at maturity and could lose all of the principal amount of your notes at maturity.
|
Trigger Event:
|
A Trigger Event occurs if the Final Stock Price (
i.e.,
the arithmetic averaging of the closing prices of one share of the Reference Stock on the Ending Averaging Dates) is less than the Trigger Level.
|
Stock Return:
|
(Final Stock Price – Initial Stock Price)
Initial Stock Price
|
Initial Stock Price:
|
The closing price of one share of the Reference Stock on the Pricing Date, which was $140.34
|
Final Stock Price:
|
The arithmetic average of the closing prices of one share of the Reference Stock on the Ending Averaging Dates
|
Stock Adjustment Factor:
|
The Stock Adjustment Factor is referenced in determining the closing price of one share of the Reference Stock and is set initially at 1.0 on the Pricing 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.
|
Pricing Date:
|
March 24, 2017
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Original Issue Date (Settlement Date):
|
On or about March 29, 2017
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Review Dates
†
:
|
July 6, 2017, October 5, 2017, January 4, 2018 and April 6, 2018 (final Review Date)
|
Ending Averaging Dates
†:
|
April 2, 2018, April 3, 2018, April 4, 2018, April 5, 2018 and the final Review Date
|
Interest Payment Dates
†
:
|
July 11, 2017, October 11, 2017, January 9, 2018 and the Maturity Date
|
Call Settlement Date
†
:
|
If the notes are automatically called on any Review Date (other than the final Review Date), the first Interest Payment Date immediately following that Review Date
|
Maturity Date
†
:
|
April 11, 2018
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CUSIP:
|
46646QNG6
|
Other Key Terms:
|
See “Additional Key Terms” in this pricing supplement
|
|
†
|
Subject to postponement in the event of certain market disruption events 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
|
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-6 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.
|
Price to Public (1)
|
Fees and Commissions (2)
|
Proceeds to Issuer
|
Per note
|
$1,000
|
$10
|
$990
|
Total
|
$1,060,000
|
$10,600
|
$1,049,400
|
|
(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 $10.00 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.
|
The estimated value of the
notes, when the terms of the notes were set, was $985.50 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.
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.
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.
JPMorgan Structured Investments —
|
PS-
1
|
Auto Callable Contingent Interest Notes Linked to the Class A Common Stock of Facebook, Inc.
|
|
What Are the Payments on the
Notes, Assuming a Range of Performances for the Reference Stock?
If the
notes have not been automatically called and, (1) with respect to any Review Date (other than the final Review Date), the closing
price of one share of the Reference Stock or, (2) with respect to the final Review Date, the Final Stock Price 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 $25.00
plus
any previously unpaid Contingent Interest Payments for any prior Review
Dates. If, (1) with respect to any Review Date (other than the final Review Date), the closing price of one share of the Reference
Stock or, (2) with respect to the final Review Date, the Final Stock Price is less than the Interest Barrier, no Contingent Interest
Payment will be made with respect to that Review Date. We refer to the Interest Payment Date immediately following any Review
Date on which the closing price of one share of the Reference Stock or Final Stock Price, as applicable, is less than the Interest
Barrier as a “No-Coupon Date.” The following table reflects the Contingent Interest Payment of $25.00 per $1,000 principal
amount note and illustrates the hypothetical total Contingent Interest Payments per $1,000 principal amount note over the term
of the notes depending on how many No-Coupon Dates occur.
Number of
No-Coupon Dates
|
Total Contingent Coupon Payments
|
0 No-Coupon Date
|
$100.00
|
1
No-Coupon Date
|
$75.00
|
2
No-Coupon Dates
|
$50.00
|
3
No-Coupon Dates
|
$25.00
|
4
No-Coupon Dates
|
$0.000
|
The following
table illustrates the hypothetical payments on the notes in different hypothetical scenarios. Each hypothetical payment set forth
below assumes an Initial Stock Price of $140.00 and an Interest Barrier and a Trigger Level of $114.66 (equal to 81.90% of the
hypothetical Initial Stock Price) and reflects the Contingent Interest Payment of $25.00. Each hypothetical payment set forth
below is for illustrative purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers
appearing in the following table and examples have been rounded for ease of analysis.
Review Dates Prior to the Final Review Date
|
Final Review Date
|
Closing Price of One Share of the Reference Stock
|
Appreciation / Depreciation of the Reference Stock at Review Date
|
Payment on Interest Payment Date or Call Settlement
Date (1)(2)
|
Final Stock Price
|
Appreciation / Depreciation of the Reference Stock at Final Review Date
|
Payment at Maturity If a Trigger Event Has Not Occurred
(2)(3)
|
Payment at Maturity If a Trigger Event Has Occurred
(3)
|
$252.000
|
80.00%
|
$1,025.00
|
$252.000
|
80.00%
|
$1,025.00
|
N/A
|
$238.000
|
70.00%
|
$1,025.00
|
$238.000
|
70.00%
|
$1,025.00
|
N/A
|
$224.000
|
60.00%
|
$1,025.00
|
$224.000
|
60.00%
|
$1,025.00
|
N/A
|
$210.000
|
50.00%
|
$1,025.00
|
$210.000
|
50.00%
|
$1,025.00
|
N/A
|
$196.000
|
40.00%
|
$1,025.00
|
$196.000
|
40.00%
|
$1,025.00
|
N/A
|
$182.000
|
30.00%
|
$1,025.00
|
$182.000
|
30.00%
|
$1,025.00
|
N/A
|
$168.000
|
20.00%
|
$1,025.00
|
$168.000
|
20.00%
|
$1,025.00
|
N/A
|
$161.000
|
15.00%
|
$1,025.00
|
$161.000
|
15.00%
|
$1,025.00
|
N/A
|
$154.000
|
10.00%
|
$1,025.00
|
$154.000
|
10.00%
|
$1,025.00
|
N/A
|
$147.000
|
5.00%
|
$1,025.00
|
$147.000
|
5.00%
|
$1,025.00
|
N/A
|
$140.000
|
0.00%
|
$1,025.00
|
$140.000
|
0.00%
|
$1,025.00
|
N/A
|
$133.000
|
-5.00%
|
$25.00
|
$133.000
|
-5.00%
|
$1,025.00
|
N/A
|
$126.000
|
-10.00%
|
$25.00
|
$126.000
|
-10.00%
|
$1,025.00
|
N/A
|
$114.660
|
-18.10%
|
$25.00
|
$114.660
|
-18.10%
|
$1,025.00
|
N/A
|
$114.646
|
-18.11%
|
N/A
|
$114.646
|
-18.11%
|
N/A
|
$818.90
|
$112.000
|
-20.00%
|
N/A
|
$112.000
|
-20.00%
|
N/A
|
$800.00
|
$98.000
|
-30.00%
|
N/A
|
$98.000
|
-30.00%
|
N/A
|
$700.00
|
$84.000
|
-40.00%
|
N/A
|
$84.000
|
-40.00%
|
N/A
|
$600.00
|
$70.000
|
-50.00%
|
N/A
|
$70.000
|
-50.00%
|
N/A
|
$500.00
|
$56.000
|
-60.00%
|
N/A
|
$56.000
|
-60.00%
|
N/A
|
$400.00
|
$42.000
|
-70.00%
|
N/A
|
$42.000
|
-70.00%
|
N/A
|
$300.00
|
$28.000
|
-80.00%
|
N/A
|
$28.000
|
-80.00%
|
N/A
|
$200.00
|
$14.000
|
-90.00%
|
N/A
|
$14.000
|
-90.00%
|
N/A
|
$100.00
|
$0.000
|
-100.00%
|
N/A
|
$0.000
|
-100.00%
|
N/A
|
$0.00
|
|
(1)
|
The
notes will be automatically called if the closing price of one share of the Reference Stock on any Review Date (other than the
final Review Date) is greater than or equal to the Initial Stock Price.
|
|
(2)
|
You
will receive a Contingent Interest Payment in connection with a Review Date if, (1) with respect to any Review Date (other than
the final Review Date), the closing price of one share of the Reference Stock or, (2) with respect to the final Review Date, the
Final Stock Price is greater than or equal to the Interest Barrier
plus
any previously unpaid Contingent Interest Payments
for any prior Review Dates. The applicable amount shown in the table above does not include any previously unpaid Contingent
Interest Payments that may be payable on the applicable Interest Payment Date.
|
JPMorgan Structured Investments —
|
PS-
2
|
Auto Callable Contingent Interest Notes Linked to the Class A Common Stock of Facebook, Inc.
|
|
|
(3)
|
A Trigger
Event occurs if the Final Stock Price (
i.e.,
the arithmetic average of the closing prices of one share of the Reference
Stock on the Ending Averaging Dates) is less than the Trigger Level.
|
Hypothetical
Examples of Amounts Payable on the Notes
The following
examples illustrate how payments on the notes in different hypothetical scenarios are calculated.
Example
1: The price of one share of the Reference Stock increases from the Initial Stock Price of $140 to a closing level of $168 on
the first Review Date.
Because the closing price of one share of the Reference Stock on the first Review Date is greater than
the Interest Barrier, the investor is entitled to receive a Contingent Interest Payment in connection with the first Review Date.
In addition, because the closing price of one share of the Reference Stock on the first Review Date is greater than the Initial
Stock Price, the notes are automatically called. Accordingly, the investor receives a payment of $1,025 per $1,000 principal amount
note on the relevant Call Settlement Date, consisting of a Contingent Interest Payment of $25 per $1,000 principal amount note
and repayment of principal equal to $1,000 per $1,000 principal amount note.
Example
2: A Contingent Interest Payment is not paid in connection with the first Review Date but is paid in connection with the second
Review Date, the closing price of one share of the Reference Stock is less than the Initial Stock Price of $140 on each of the
Review Dates preceding the third Review Date and the price of one share of the Reference Stock increases from the Initial Stock
Price of $140 to a closing price of $168 on the third Review Date.
The investor receives a payment of $50 per $1,000
principal amount note in connection with the second Review Date (reflecting the Contingent Interest Payment for the second Review
Date and the unpaid Contingent Interest Payment for the first Review Date), but the notes are not automatically called on any
of the Review Dates preceding the third Review Date because the closing price of one share of the Reference Stock is less than
the Initial Stock Price on each of the Review Dates preceding the third Review Date. Because the closing price of one share
of the Reference Stock on the third Review Date is greater than the Interest Barrier, the investor is entitled to receive a Contingent
Interest Payment in connection with the third Review Date. In addition, because the closing price of one share of the Reference
Stock on the third Review Date is greater than the Initial Stock Price, the notes are automatically called. Accordingly,
the investor receives a payment of $1,025 per $1,000 principal amount note on the relevant Call Settlement Date, consisting of
a Contingent Interest Payment of $25 per $1,000 principal amount note and repayment of principal equal to $1,000 per $1,000 principal
amount note. As a result, the total amount paid on the notes over the term of the notes is $1,075 per $1,000 principal amount
note.
Example
3: The notes are not automatically called prior to maturity, Contingent Interest Payments are paid in connection with each of
the Review Dates preceding the final Review Date and the price of one share of the Reference Stock increases from the Initial
Stock Price of $140 to an Final Stock Price of $168 — A Trigger Event has not occurred.
The investor receives
a payment of $25 per $1,000 principal amount note in connection with each of the Review Dates preceding the final Review Date.
Because the notes are not automatically called prior to maturity and a Trigger Event has not occurred, the investor receives at
maturity a payment of $1,025 per $1,000 principal amount note. This payment consists of a Contingent Interest Payment of
$25 per $1,000 principal amount note and repayment of principal equal to $1,000 per $1,000 principal amount note. The total
amount paid on the notes over the term of the notes is $1,100 per $1,000 principal amount note.
This represents the
maximum total payment an investor may receive over the term of the notes.
Example
4: The notes are not automatically called prior to maturity, a Contingent Interest Payment is paid in connection with the second
Review Date but not paid in connection with the first or third Review Date and the price of one share of the Reference Stock decreases
from the Initial Stock Price of $140 to an Final Stock Price of $114.66 — A Trigger Event has not occurred.
The
investor receives a payment of $50 per $1,000 principal amount note in connection with the second Review Date (reflecting the
Contingent Interest Payment for the second Review Date and the unpaid Contingent Interest Payment for the first Review Date).
Because the notes are not automatically called prior to maturity and a Trigger Event has not occurred, even though the Final Stock
Price is less than the Initial Stock Price, the investor receives at maturity a payment of $1,050 per $1,000 principal amount
note. This payment consists of Contingent Interest Payments of $50 per $1,000 principal amount note (reflecting the Contingent
Interest Payment for the final Review Date and the unpaid Contingent Interest Payment for the third Review Date) and repayment
of principal equal to $1,000 per $1,000 principal amount note. The total amount paid on the notes over the term of the notes
is $1,100 per $1,000 principal amount note.
This represents the maximum total payment an investor may receive over
the term of the notes
.
Example
5: The notes are not automatically called prior to maturity, Contingent Interest Payments are paid in connection with each of
the Review Dates preceding the final Review Date and the price of one share of the Reference Stock decreases from the Initial
Stock Price of $140 to an Final Stock Price of $56 — A Trigger Event has occurred.
The investor receives a payment of
$25 per $1,000 principal amount note in connection with each of the Review Dates preceding the final Review Date. Because the
notes are not automatically called prior to maturity, a Trigger Event has occurred and the Stock Return is -60%, the investor
receives at maturity of $400 per $1,000 principal amount note, calculated as follows:
$1,000
+ ($1,000
×
-60%) = $400
The total
value of the payments on the notes over the term of the notes is $475 per $1,000 principal amount note.
JPMorgan Structured Investments —
|
PS-
3
|
Auto Callable Contingent Interest Notes Linked to the Class A Common Stock of Facebook, Inc.
|
|
Example
6: The notes are not automatically called prior to maturity, no Contingent Interest Payments are paid in connection with the Review
Dates preceding the final Review Date and the price of one share of the Reference Stock decreases from the Initial Stock Price
of $140 to a Final Stock Price of $42 — A Trigger Event has occurred.
Because the notes are not automatically called
prior to maturity, no Contingent Interest Payments are paid in connection with the Review Dates preceding the final Review Date,
a Trigger Event has occurred and the Stock Return is -70%, the investor receives no payments over the term of the notes, other
than a payment at maturity of $300 per $1,000 principal amount note, calculated as follows:
$1,000
+ ($1,000 × -70%) = $300
The 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 not reflect fees or expenses that would be associated with any sale in the secondary market. If these fees and
expenses were included, the hypothetical payments shown above would likely be lower.
JPMorgan Structured Investments —
|
PS-
4
|
Auto Callable Contingent Interest Notes Linked to the Class A Common Stock of Facebook, Inc.
|
|
Selected
Purchase Considerations
|
·
|
CONTINGENT
INTEREST PAYMENTS
— The notes offer the potential to earn a Contingent Interest Payment in connection with each Review
Date of $25.00 per $1,000 principal amount note. If the notes have not been automatically called and, (1) with respect to any
Review Date (other than the final Review Date), the closing price of one share of the Reference Stock or, (2) with respect to
the final Review Date, the Final Stock Price is greater than or equal to the Interest Barrier, you will receive on the applicable
Interest Payment Date a Contingent Interest Payment for that Review Date
plus
any previously unpaid Contingent Interest
Payments for any prior Review Dates. If, (1) with respect to any Review Date (other than the final Review Date), the closing price
of one share of the Reference Stock or, (2) with respect to the final Review Date, the Final Stock Price is less than the Contingent
Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date. You will not receive any unpaid
Contingent Interest Payments if the closing price of one share of the Reference Stock or the Final Stock Price, as applicable,
on each subsequent Review Date is less than the Interest Barrier. If the closing price of one share of the Reference Stock
or the Final Stock Price, as applicable, on each Review Date is less than the Interest Barrier, you will not receive any Contingent
Interest Payments over the term of the notes. If payable, a Contingent Interest Payment will be made to the holders of record
at the close of business on the business day immediately preceding the applicable Interest Payment Date.
Because
the notes are our unsecured and unsubordinated obligations, the payment of which is fully and unconditionally guaranteed by JPMorgan
Chase & Co., payment of any amount on the notes is subject to our ability to pay our obligations as they become due and JPMorgan
Chase & Co.’s ability to pay its obligations as they become due.
|
|
·
|
POTENTIAL
EARLY EXIT AS A RESULT OF THE AUTOMATIC CALL FEATURE
— If the closing price of one share of the Reference Stock on any
Review Date (other than the final Review Date) is greater than or equal to the Initial Stock Price, your notes will be automatically
called prior to the Maturity Date. Under these circumstances, you will receive 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
plus
(c) any previously
unpaid Contingent Interest Payments for any prior Review Dates, payable on the applicable Call Settlement Dates. 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.
|
|
·
|
THE
NOTES DO NOT GUARANTEE THE RETURN OF YOUR PRINCIPAL IF THE NOTES HAVE NOT BEEN AUTOMATICALLY CALLED
— If the notes have
not been automatically called, we will pay you your principal back at maturity only if a Trigger Event has not occurred.
However,
if the notes have not been automatically called and a Trigger Event has occurred, you will lose some or all of the principal amount
of your notes at maturity.
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RETURN
LINKED TO A SINGLE REFERENCE STOCK
— The return on the notes is linked to the performance of a single Reference Stock,
which is the Class A common stock of Facebook. For additional information see “The Reference Stock” in this
pricing supplement.
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TAX
TREATMENT
—
You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences”
in the accompanying product supplement no. 4-I. In determining our reporting responsibilities we intend to treat (i) the notes
for U.S. federal income tax purposes as prepaid forward contracts with associated contingent coupons and (ii) any Contingent Interest
Payments as ordinary income, as described in the section entitled “Material U.S. Federal Income Tax Consequences —
Tax Consequences to U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated Contingent Coupons”
in the accompanying product supplement. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel, we believe
that this is a reasonable treatment, but that there are other reasonable treatments that the IRS or a court may adopt, in which
case the timing and character of any income or loss on the notes could be materially affected. In addition, in 2007 Treasury and
the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts”
and similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income
over the term of their investment. It also asks for comments on a number of related topics, including the character of income
or loss with respect to these instruments and the relevance of factors such as the nature of the underlying property to which
the instruments are linked. While the notice requests comments on appropriate transition rules and effective dates, any Treasury
regulations or other guidance promulgated after consideration of these issues could materially affect the tax consequences of
an investment in the notes, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income
tax consequences of an investment in the notes, including possible alternative treatments and the issues presented by this notice.
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Non-U.S.
Holders — Tax Considerations
. The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and
although we believe it is reasonable to take a position that Contingent Interest Payments are not subject to U.S. withholding
tax (at least if an applicable Form W-8 is provided), a withholding agent may nonetheless withhold on these payments (generally
at a rate of 30%, subject to the possible reduction of that rate under an applicable income tax treaty), unless income from your
notes is effectively connected with your conduct of a trade or business in the United States (and, if an applicable treaty so
requires, attributable to a permanent establishment in the United States). If you are not a United States person, you are urged
to consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes in light of your
particular circumstances.
Section
871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding
tax (unless an income tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain
financial instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions
to this withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in
the applicable Treasury regulations (such an index, a “Qualified Index”). Additionally, the applicable regulations
exclude from the scope of Section 871(m) instruments issued in 2017 that do not have a delta of one with respect to underlying
securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”).
Based on certain determinations made by us, our special tax counsel is of the opinion that Section 871(m) should not apply to
the notes with regard to Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination.
Section 871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other
transactions with respect to an
JPMorgan Structured Investments —
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PS-
5
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Auto Callable Contingent Interest Notes Linked to the Class A Common Stock of Facebook, Inc.
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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.
Selected
Risk Considerations
An investment
in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Reference Stock.
These risks are explained in more detail in the “Risk Factors” sections of the accompanying product supplement.
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YOUR
INVESTMENT IN THE NOTES MAY RESULT IN A LOSS
— The notes do not guarantee any return of principal. If the notes have
not been automatically called and a Trigger Event has occurred, you will lose 1% of the principal amount of your notes at maturity
for every 1% that the Final Stock Price is less than the Initial Stock Price. Under these circumstances, you will lose more than
18.10% of your principal amount at maturity and could lose all of the principal amount of your notes at maturity.
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THE
NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL —
The terms of the notes differ from
those of conventional debt securities in that, among other things, whether we pay interest is linked to the performance of the
Reference Stock. Contingent Interest Payments should not be viewed as periodic interest payments. If the notes have not been automatically
called and if, (1) with respect to any Review Date (other than the final Review Date), the closing price of one share of the Reference
Stock or, (2) with respect to the final Review Date, the Final Stock Price is greater than or equal to the Interest Barrier, we
will make a Contingent Interest Payment with respect to that Review Date (and will pay you any previously unpaid Contingent Interest
Payments for any prior Review Dates). If, (1) with respect to any Review Date (other than the final Review Date), the closing
price of one share of the Reference Stock or, (2) with respect to the final Review Date, the Final Stock Price is less than the
Contingent Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date. You will not receive
any unpaid Contingent Interest Payments if the closing price of one share of the Reference Stock or the Final Stock Price, as
applicable, on each subsequent Review Date is less than the Interest Barrier. Accordingly, if, (1) with respect to any Review
Date (other than the final Review Date), the closing price of one share of the Reference Stock or, (2) with respect to the final
Review Date, the Final Stock Price is less than the Interest Barrier, you will not receive any Contingent Interest Payments over
the term of the notes.
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CREDIT
RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
The
notes are subject to our and JPMorgan Chase & Co.’s credit risks, and our and JPMorgan Chase & Co.’s credit
ratings and credit spreads may adversely affect the market value of the notes. Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase &
Co.’s creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely
affect the value of the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not
receive any amounts owed to you under the notes and you could lose your entire investment.
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AS
A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS —
As
a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of
our securities. Aside from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate
to obligations of our affiliates to make payments under loans made by us or other intercompany agreements. As a result, we are
dependent upon payments from our affiliates to meet our obligations under the notes. If these affiliates do not make payments
to us and we fail to make payments on the notes, you may have to seek payment under the related guarantee by JPMorgan Chase &
Co., and that guarantee will rank
pari passu
with all other unsecured and unsubordinated obligations of JPMorgan Chase
& Co.
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THE
AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT
— If the notes are automatically called, the amount of Contingent
Interest Payments made on the notes may be less than the amount of Contingent Interest Payments that might have been payable if
the notes were held to maturity, and, for each $1,000 principal amount note, you will receive on the applicable Call Settlement
Date $1,000
plus
the Contingent Interest Payment applicable to the relevant Review Date
plus
any previously unpaid
Contingent Interest Payments for any prior Review Dates.
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REINVESTMENT
RISK
— If your notes are automatically called, the term of the notes may be reduced to as short as approximately three
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 in the event the notes are automatically called prior to the Maturity Date.
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THE
APPRECIATION POTENTIAL OF THE NOTES IS LIMITED, AND YOU WILL NOT PARTICIPATE IN ANY APPRECIATION OF THE REFERENCE STOCK
—
The appreciation potential of the notes is limited to the sum of any Contingent Interest Payments that may be paid over the term
of the notes, regardless of any appreciation of the
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JPMorgan Structured Investments —
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PS-
6
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Auto Callable Contingent Interest Notes Linked to the Class A Common Stock of Facebook, Inc.
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Reference
Stock, which may be significant. You will not participate in any appreciation of the Reference Stock. Accordingly, the return
on the notes may be significantly less than the return on a direct investment in the Reference Stock during the term of the notes.
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POTENTIAL
CONFLICTS —
We and our affiliates play a variety of roles
in connection with the issuance of the notes, including acting as calculation agent and as an agent of the offering of the notes,
hedging our obligations under the notes and making the assumptions used to determine the pricing of the notes and the estimated
value of the notes when the terms of the notes are set, which we refer to as the estimated value of the notes. In performing these
duties, our and JPMorgan Chase & Co.’s economic interests and the economic interests of the calculation agent and other
affiliates of ours are potentially adverse to your interests as an investor in the notes. In addition, our and JPMorgan Chase
& Co.’s business activities, including hedging and trading activities, could cause our and JPMorgan Chase & Co.’s
economic interests to be adverse to yours and could adversely affect any payment on the notes and the value of the notes. It is
possible that hedging or trading activities of ours or our affiliates in connection with the notes could result in substantial
returns for us or our affiliates while the value of the notes declines. Please refer to “Risk Factors — Risks Relating
to Conflicts of Interest” in the accompanying product supplement for additional information about these risks.
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We
and/or our affiliates may also currently or from time to time engage in business with Facebook, including extending loans to,
or making equity investments in, Facebook or providing advisory services to Facebook. In addition, one or more of our affiliates
may publish research reports or otherwise express opinions with respect to Facebook, and these reports may or may not recommend
that investors buy or hold the Reference Stock. As a prospective purchaser of the notes, you should undertake an independent
investigation of the Reference Stock issuer that in your judgment is appropriate to make an informed decision with respect to
an investment in the notes.
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THE
BENEFIT PROVIDED BY THE TRIGGER LEVEL MAY TERMINATE ON THE FINAL ENDING AVERAGING DATE
— If the Final Stock Price is
less than the Trigger Level and the notes have not been automatically called, the benefit provided by the Trigger Level will terminate
and you will be fully exposed to any depreciation of the Reference Stock from the Initial Stock Price to the Final Stock Price.
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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 —
The estimated value of the notes is determined by reference to internal pricing models of our affiliates when the terms of
the notes are set. This estimated value of the notes is based on market conditions and other relevant factors existing at that
time and assumptions about market parameters, which can include volatility, dividend rates, interest rates and other factors.
Different pricing models and assumptions could provide valuations for the notes that are greater than or less than the estimated
value of the notes. In addition, market conditions and other relevant factors in the future may change, and any assumptions may
prove to be incorrect. On future dates, the value of the notes could change significantly based on, among other things, changes
in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements and other relevant factors,
which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market transactions. See
“The Estimated Value of the Notes” in this pricing supplement.
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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.
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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 —
We generally expect that some of the costs included in the
original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS
in an amount that will decline to zero over an initial predetermined period. These costs can include projected hedging profits,
if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates for structured debt
issuances. See “Secondary Market Prices of the Notes” in this pricing supplement for additional information relating
to this initial period. Accordingly, the estimated value of your notes during this initial period may be lower than the value
of the notes as published by JPMS (and which may be shown on your customer account statements).
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SECONDARY
MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
Any secondary market prices
of the notes will likely be lower than the original issue price of the notes because, among other things, secondary market prices
take into account our internal secondary market funding rates for structured debt issuances and, also, because secondary market
prices (a) exclude selling commissions and (b) may exclude projected hedging profits, if any, and estimated hedging costs that
are included in the original issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy notes
from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior
to the Maturity Date could result in a
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JPMorgan Structured Investments —
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PS-
7
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Auto Callable Contingent Interest Notes Linked to the Class A Common Stock of Facebook, Inc.
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substantial
loss to you. See the immediately following risk consideration for information about additional factors that will impact any secondary
market prices of the notes.
The
notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to
maturity. See “— Lack of Liquidity” below.
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SECONDARY
MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS
— The secondary market price of the
notes during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other,
aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and the price of one share of the
Reference Stock, including:
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any
actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
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customary
bid-ask spreads for similarly sized trades;
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our
internal secondary market funding rates for structured debt issuances;
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the
actual and expected volatility of the Reference Stock;
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the
time to maturity of the notes;
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whether
the closing price of one share of the Reference Stock or Final Stock Price, as applicable, has been, or is expected to be, less
than the Interest Barrier on any Review Date and whether a Trigger Event is expected to occur;
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the
likelihood of an automatic call being triggered;
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the
dividend rate on the Reference Stock;
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interest
and yield rates in the market generally;
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the
occurrence of certain events affecting the issuer of the Reference Stock that may or may not require an adjustment to the Stock
Adjustment Factor, including a merger or acquisition; and
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a
variety of other economic, financial, political, regulatory and judicial events.
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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.
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NO
OWNERSHIP OR DIVIDEND RIGHTS IN THE REFERENCE STOCK —
As a holder of the notes, you will not have any ownership interest
or rights in the Reference Stock, such as voting rights or dividend payments. In addition, the issuer of the Reference Stock will
not have any obligation to consider your interests as a holder of the notes in taking any corporate action that might affect the
value of the Reference Stock and the notes.
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NO
AFFILIATION WITH THE REFERENCE STOCK ISSUER —
We are not affiliated with the issuer of the Reference Stock. We assume
no responsibility for the adequacy of the information about the Reference Stock issuer 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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SINGLE
STOCK RISK —
The price of the Reference Stock can fall sharply due to factors specific to the Reference Stock and its
issuer, such as stock price volatility, earnings, financial conditions, corporate, industry and regulatory developments, management
changes and decisions and other events, as well as general market factors, such as general stock market volatility and levels,
interest rates and economic and political conditions.
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LIMITED
TRADING HISTORY —
The Reference Stock commenced trading on The NASDAQ Stock Market on May 18, 2012 and therefore has
limited historical performance. Accordingly, historical information for the Reference Stock is available only since that date.
Past performance should not be considered indicative of future performance.
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VOLATILITY
RISK —
Greater expected volatility with respect to the Reference Stock indicates a greater likelihood as of the Pricing
Date that the closing piece of one share of the Reference Stock or the Initial Stock Price, as applicable, could be below the
Interest Barrier on any Review Date or below the Trigger Level on the Final Review Date. The Reference Stock’s volatility,
however, can change significantly over the term of the notes. The price of one share of the Reference Stock could fall sharply
at any time during the term of the notes, which could result in the loss of one or more, or all, Contingent Interest Payments
or a significant loss of principal.
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LACK
OF LIQUIDITY
— The notes will not be listed on any securities exchange. JPMS
intends to offer to purchase the notes in the secondary market but is not required to do so. Even if there is a secondary market,
it may not provide enough liquidity to allow you to trade or sell the notes easily. Because other dealers are not likely to make
a secondary market for the notes, the price at which you may be able to trade your notes is likely to depend on the price, if
any, at which JPMS is willing to buy the notes.
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THE
ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY
— The calculation agent will make
adjustments to the Stock Adjustment Factor for certain corporate events affecting the Reference Stock. However, the calculation
agent will not make an adjustment in response to all events that could affect the Reference Stock. If an event occurs that does
not require the calculation agent to make an adjustment, the value of the notes may be materially and adversely affected. You
should also be aware that the calculation agent may make adjustments in response to events that are not described in the accompanying
product supplement to account for any diluting or concentrative effect, but the calculation agent is under no obligation to do
so or to consider your interests as a holder of the notes in making these determinations.
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JPMorgan Structured Investments —
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PS-
8
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Auto Callable Contingent Interest Notes Linked to the Class A Common Stock of Facebook, Inc.
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The
Reference Stock
Public
Information
All information
contained herein on the Reference Stock and on Facebook is derived from publicly available sources and is provided for informational
purposes only. According to its publicly available filings with the SEC, Facebook builds products that enable people to connect
and share through mobile devices, personal computers and other surfaces. The Class A common stock of Facebook, par value $0.000006
per share (Bloomberg ticker: FB), is registered under the Securities Exchange Act of 1934, as amended, which we refer to as the
Exchange Act, and is listed on The NASDAQ Stock Market, which we refer to as the relevant exchange for purposes of Facebook in
the accompanying product supplement. Information provided to or filed with the SEC by Facebook pursuant to the Exchange Act can
be located by reference to SEC file number 001-35551, and can be accessed through www.sec.gov. We do not make any representation
that these publicly available documents are accurate or complete.
Historical
Information Regarding the Reference Stock
The following
graph sets forth the historical performance of the Reference Stock based on the weekly historical closing prices of one share
of the Reference Stock from January 6, 2012 through March 24, 2017. The Reference Stock commenced trading on The NASDAQ Stock
Market on May 18, 2012 and therefore has limited historical performance. The closing price of one share of the Reference Stock
on March 24, 2017 was $140.34. We obtained the closing prices above and below from the Bloomberg Professional
®
service (“Bloomberg”), without independent verification. The closing prices may have been adjusted by Bloomberg for
corporate actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
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 any Ending Averaging Date or any Review Date, including
the final Review Date. There can be no assurance that the performance of the Reference Stock will result in the return of any
of your principal amount at maturity or the payment of any interest.
The
Estimated Value of the Notes
The estimated
value of the notes set forth on the cover of this pricing supplement is equal to the sum of the values of the following hypothetical
components: (1) a fixed-income debt component with the same maturity as the notes, valued using the internal funding rate described
below, and (2) the derivative or derivatives underlying the economic terms of the notes. The estimated value of the notes does
not represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any
time. The internal funding rate used in the determination of the estimated value of the notes is based on, among other things,
our and our affiliates’ view of the funding value of the notes as well as the higher issuance, operational and ongoing liability
management costs of the notes in comparison to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. For
additional information, see “Selected Risk Considerations — The Estimated Value of the Notes Is Derived by Reference
to an Internal Funding Rate” in this pricing supplement. The value of the derivative or derivatives underlying the economic
terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as the
traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and
which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events
and/or environments. Accordingly, the estimated value of the notes is determined when the terms of the notes are set based on
market conditions
JPMorgan Structured Investments —
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PS-
9
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Auto Callable Contingent Interest Notes Linked to the Class A Common Stock of Facebook, Inc.
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and other
relevant factors and assumptions existing at that time. See “Selected Risk Considerations — The Estimated Value of
the Notes Does Not Represent Future Values of the Notes and May Differ from Others’ Estimates” in this pricing supplement.
The estimated
value of the notes is lower than the original issue price of the notes because costs associated with selling, structuring and
hedging the notes are included in the original issue price of the notes. These costs include the selling commissions paid to JPMS
and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming
risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. Because
hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may result in a profit
that is more or less than expected, or it may result in a loss. We or one or more of our affiliates will retain any profits realized
in hedging our obligations under the notes. See “Selected Risk Considerations — The Estimated Value of the Notes Is
Lower Than the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information
about factors that will impact any secondary market prices of the notes, see “Selected Risk Considerations — Secondary
Market Prices of the Notes Will Be Impacted by Many Economic and Market Factors” in this pricing supplement. In addition,
we generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you
in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined
period that is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial
period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities,
the estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates. See “Selected
Risk Considerations — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements)
May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period.”
Supplemental
Use of Proceeds
The notes
are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the notes.
See “What Are the Payments on the Notes, Assuming a Range of Performances for the Reference Stock?” and “Hypothetical
Examples of Amounts Payable on the Notes” in this pricing supplement for an illustration of the risk-return profile of the
notes and “The Reference Stock” in this pricing supplement for a description of the market exposure provided by the
notes.
The original
issue price of the notes is equal to the estimated value of the notes plus the selling commissions paid to JPMS and other affiliated
or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks
inherent in hedging our obligations under the notes, plus the estimated cost of hedging our obligations under the notes.
Validity
of the Notes and the Guarantee
In the
opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when
the notes offered by this pricing supplement have been executed and issued by JPMorgan Financial and authenticated by the trustee
pursuant to the indenture, and delivered against payment as contemplated herein, such notes will be valid and binding obligations
of JPMorgan Financial and the related guarantee will constitute a valid and binding obligation of JPMorgan Chase & Co., enforceable
in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights
generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts
of good faith, fair dealing and the lack of bad faith),
provided
that such counsel expresses no opinion as to the effect
of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above. This
opinion is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the
State of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions
about the trustee’s authorization, execution and delivery of the indenture and its authentication of the notes and the validity,
binding nature and enforceability of the indenture with respect to the trustee, all as stated in the letter of such counsel dated
February 24, 2016, which was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan
Chase & Co. on February 24, 2016.
JPMorgan Structured Investments —
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PS-
10
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Auto Callable Contingent Interest Notes Linked to the Class A Common Stock of Facebook, Inc.
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