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.
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.
Underlyings:
The EURO STOXX 50
®
Index (Bloomberg ticker: SX5E) (the “Index”) and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF (Bloomberg ticker: XOP) (the “Fund”) (each of the Index and the Fund,
an “Underlying” and collectively, the “Underlyings”)
Contingent
Interest
Payments:
If the notes have not been previously redeemed early and the closing value of each Underlying on any Review Date is greater
than or equal to its Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal amount
note a Contingent Interest Payment equal to $25.625 (equivalent to a Contingent Interest Rate of 10.25% per annum, payable at a
rate of 2.5625% per quarter).
If the closing value of either Underlying on any Review
Date is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date.
Contingent
Interest
Rate:
10.25% per annum, payable at a rate of 2.5625% per quarter
Interest Barrier / Trigger
Value:
With respect to each Underlying, 60.00% of its Initial Value, which is 2,066.49 for the Index and $21.126 for
the Fund
Pricing
Date:
March 24, 2017
Original
Issue Date (Settlement Date):
On or about March 31, 2017
Review
Dates*:
June 26, 2017, September 25, 2017, December 27, 2017, March 26, 2018, June 25, 2018, September 24, 2018, December
24, 2018, March 25, 2019, June 24, 2019, September 24, 2019, December 24, 2019 and March 24, 2020 (final Review Date)
Interest
Payment Dates*:
July 3, 2017, October 2, 2017, January 4, 2018, April 3, 2018, July 2, 2018, October 1, 2018, January
2, 2019, April 1, 2019, July 1, 2019, October 1, 2019, January 2, 2020 and the Maturity Date
Maturity
Date*:
March 31, 2020
* 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
Multiple Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying
product supplement
|
Early Redemption:
We, at our election, may redeem the notes early, in whole
but not in part, on any of the Interest Payment Dates (other than the final Interest Payment Date) at a price, for each $1,000
principal amount note, equal to $1,000
plus
any accrued and unpaid Contingent Interest Payment. If we intend to redeem your
notes early, we will deliver notice to The Depository Trust Company, or DTC, at least five business days before the applicable
Interest Payment Date on which the notes are redeemed early.
Payment at Maturity:
If the notes have not been redeemed early and the Final
Value of each Underlying is greater than or equal to its Trigger Value, 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 redeemed early and the Final
Value of either Underlying is less than its Trigger Value, your payment at maturity per $1,000 principal amount note will be calculated
as follows:
$1,000 + ($1,000 × Lesser Performing
Underlying Return)
If the notes have not been redeemed early and the Final
Value of either Underlying is less than its Trigger Value, you will lose more than 40.00% of your principal amount at maturity
and could lose all of your principal amount at maturity.
Lesser Performing Underlying:
The Underlying with the Lesser Performing Underlying Return
Lesser Performing Underlying Return:
The lower of the Underlying Returns of the Underlyings
Underlying Return:
With respect to each Underlying,
(Final Value – Initial Value)
Initial Value
Initial
Value:
With respect to each Underlying
, t
he closing
value of that Underlying on the Pricing Date, which was 3,444.15 for the Index and $35.21 for the Fund
Final
Value:
With respect to each Underlying, the closing value of that Underlying on the
final Review Date
Share
Adjustment Factor:
The Share Adjustment Factor is referenced in determining the
closing value 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.
|
PS-
1
| Structured Investments
Callable Contingent Interest Notes Linked to the Lesser Performing of the
EURO STOXX 50
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration &
Production ETF
|
|
Supplemental
Terms of the Notes
All references in this pricing supplement to the
closing value of the Index mean the closing level of the Index as defined in the accompanying product supplement, and all references
in this pricing supplement to the closing value of the Fund mean the closing price of one share of the Fund as defined in the accompanying
product supplement.
How
the Notes Work
Payments
in Connection with Review Dates Preceding the Final Review Date
Payment
at Maturity If the Notes Have Not Been Redeemed Early
PS-
2
| Structured Investments
Callable Contingent Interest Notes Linked to the Lesser Performing of the
EURO STOXX 50
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration &
Production ETF
|
|
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 10.25% per annum, depending on how many Contingent Interest Payments are made prior to early redemption or maturity.
Number of Contingent Interest
Payments
|
Total Contingent Interest
Payments
|
12
|
$307.500
|
11
|
$281.875
|
10
|
$256.250
|
9
|
$230.625
|
8
|
$
205.000
|
7
|
$
179.375
|
6
|
$
153.750
|
5
|
$
128.125
|
4
|
$
102.500
|
3
|
$
76.875
|
2
|
$
51.250
|
1
|
$
25.625
|
0
|
$
0.000
|
Hypothetical
Payout Examples
The following examples illustrate payments on
the notes linked to two hypothetical Underlyings, assuming a range of performances for the hypothetical Lesser Performing Underlying
on the Review Dates.
The hypothetical payments set forth below assume
the following:
|
·
|
the notes have not been redeemed early;
|
|
·
|
an Initial Value for the Lesser Performing Underlying of 100.00;
|
|
·
|
an Interest Barrier and a Trigger Value for the Lesser Performing Underlying of 60.00 (equal to 60.00% of its hypothetical
Initial Value); and
|
|
·
|
a Contingent Interest Rate of 10.25% per annum (payable at a rate of 2.5625% per quarter).
|
The hypothetical Initial Value of the Lesser
Performing Underlying of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value
of either Underlying. The actual Initial Value of each Underlying is the closing value of that Underlying on the Pricing Date and
is specified under “Key Terms — Initial Value” in this pricing supplement. For historical data regarding the
actual closing values of each Underlying, please see the historical information set forth under “The Underlyings” in
this pricing supplement.
Each hypothetical payment set forth below is
for illustrative purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing
in the following examples have been rounded for ease of analysis.
Example 1 — Notes have NOT been redeemed
early and the Final Value of the Lesser Performing Underlying is greater than or equal to its Trigger Value.
Date
|
Closing Value of Lesser Performing Underlying
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
95.00
|
$25.625
|
Second Review Date
|
85.00
|
$25.625
|
Third through Eleventh Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
90.00
|
$1,025.625
|
|
Total Payment
|
$1,076.875 (7.6875% return)
|
PS-
3
| Structured Investments
Callable Contingent Interest Notes Linked to the Lesser Performing of the
EURO STOXX 50
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration &
Production ETF
|
|
Because the notes have not been redeemed early
and the Final Value of the Lesser Performing Underlying is greater than or equal to its Trigger Value, the payment at maturity,
for each $1,000 principal amount note, will be $1,025.625 (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 $1,076.875.
Example
2 — Notes have NOT been redeemed early and the Final Value of the Lesser Performing Underlying is less than its Trigger Value
.
Date
|
Closing Value of Lesser Performing Underlying
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
55.00
|
$0
|
Second Review Date
|
40.00
|
$0
|
Third through Eleventh Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
50.00
|
$500.00
|
|
Total Payment
|
$500.00 (-50.00% return)
|
Because the notes have not been redeemed early,
the Final Value of the Lesser Performing Underlying is less than its Trigger Value and the Lesser Performing Underlying 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.
These hypotheticals do not reflect the
fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the
hypothetical returns and hypothetical payments shown above would likely be lower.
Selected
Risk Considerations
An investment in the notes involves significant
risks. These risks are explained in more detail in the “Risk Factors” sections of the accompanying product supplement
and underlying supplement.
|
·
|
YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
|
The notes do not guarantee any return
of principal. If the notes have not been redeemed early and the Final Value of either Underlying is less than its Trigger Value,
you will lose 1% of the principal amount of your notes for every 1% that the Final Value of the Lesser Performing Underlying is
less than its Initial Value. Accordingly, under these circumstances, you will lose more than 40.00% of your principal amount at
maturity and could lose all of your principal amount at maturity.
|
·
|
THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL —
|
If the notes have
not been redeemed early, we will make a Contingent Interest Payment with respect to a Review Date only if the closing value of
each Underlying on that Review Date is greater than or equal to its Interest Barrier. If the closing value of either Underlying
on that Review Date is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Review
Date. Accordingly, if the closing value of either Underlying on each Review Date is less than its Interest Barrier, you will not
receive any interest payments over the term of the notes.
|
·
|
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
|
Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase &
Co.’s creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely
affect the value of the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive
any amounts owed to you under the notes and you could lose your entire investment.
|
·
|
AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS —
|
As a finance subsidiary of JPMorgan Chase
& Co., we have no independent operations beyond the issuance and administration of our securities. Aside from the initial capital
contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates to make payments
under loans made by us or other intercompany agreements. As a result, we are dependent upon payments from our affiliates to meet
our obligations under the notes. If these affiliates do not make payments to
PS-
4
| Structured Investments
Callable Contingent Interest Notes Linked to the Lesser Performing of the
EURO STOXX 50
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration &
Production ETF
|
|
us and we fail to make payments on the
notes, you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank
pari
passu
with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
|
·
|
THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS THAT MAY BE PAID OVER
THE TERM OF THE NOTES,
|
regardless of any appreciation in the
value of either Underlying, which may be significant. You will not participate in any appreciation in the value of either Underlying.
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.
|
·
|
YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE VALUE OF EACH UNDERLYING —
|
Payments on the notes are not linked
to a basket composed of the Underlyings and are contingent upon the performance of each individual Underlying. Poor performance
by either of the Underlyings over the term of the notes may negatively affect whether you will receive a Contingent Interest Payment
on any Interest Payment Date and your payment at maturity and will not be offset or mitigated by positive performance by the other
Underlying.
|
·
|
YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LESSER PERFORMING UNDERLYING.
|
|
·
|
THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE —
|
If the Final Value of either Underlying
is less than its Trigger Value and the notes have not been redeemed early, the benefit provided by the Trigger Value will terminate
and you will be fully exposed to any depreciation in the closing value of the Lesser Performing Underlying.
|
·
|
THE OPTIONAL EARLY REDEMPTION FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
|
If we elect to redeem your notes early,
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 Interest Payment Date. There is no guarantee that you would be able to reinvest the proceeds from
an investment in the notes at a comparable return and/or with a comparable interest rate for a similar level of risk. Even in cases
where we elect to redeem your notes before maturity, you are not entitled to any fees and commissions described on the front cover
of this pricing supplement.
|
·
|
YOU WILL NOT RECEIVE DIVIDENDS ON THE FUND OR THE SECURITIES INCLUDED IN OR HELD BY EITHER UNDERLYING OR HAVE ANY RIGHTS
WITH RESPECT TO THE FUND OR THOSE SECURITIES.
|
|
·
|
NON-U.S. SECURITIES RISK WITH RESPECT TO THE EURO STOXX 50
®
INDEX —
|
The
equity securities included in the EURO STOXX 50
®
Index 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.
|
·
|
NO DIRECT EXPOSURE TO FLUCTUATIONS IN FOREIGN EXCHANGE RATES WITH RESPECT TO THE EURO
STOXX 50
®
INDEX —
|
The
value of your notes will not be adjusted for exchange rate fluctuations between the U.S. dollar and the currencies upon which the
equity securities included in the EURO STOXX 50
®
Index are based, although any currency fluctuations could affect
the performance of the EURO STOXX 50
®
Index.
|
·
|
THERE ARE RISKS ASSOCIATED WITH THE FUND —
|
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.
PS-
5
| Structured Investments
Callable Contingent Interest Notes Linked to the Lesser Performing of the
EURO STOXX 50
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration &
Production ETF
|
|
|
·
|
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 —
|
The Fund does not fully replicate its
Underlying Index (as defined under “The Underlyings” 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.
|
·
|
RISKS ASSOCIATED WITH THE OIL AND GAS EXPLORATION AND PRODUCTION INDUSTRY WITH RESPECT TO THE FUND
—
|
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 oil and gas
exploration and production industry. As a result, the value of the notes may be subject to greater volatility and be more adversely
affected by a single economic, political or regulatory occurrence affecting this industry than a different investment linked to
securities of a more broadly diversified group of issuers. Issuers in energy-related industries can be significantly affected by
fluctuations in energy prices and supply and demand of energy fuels. Markets for various energy-related commodities can have
significant volatility, and are subject to control or manipulation by large producers or purchasers. Companies in the energy
sector may need to make substantial expenditures, and to incur significant amounts of debt, in order to maintain or expand their
reserves. Companies in the oil and gas sector develop and produce crude oil and natural gas and provide drilling and other
energy resources production and distribution related services. Stock prices for these types of companies are affected by
supply and demand both for their specific product or service and for energy products in general. The price of oil and gas,
exploration and production spending, government regulation, world events and economic conditions will likewise affect the performance
of these companies. Correspondingly, securities of companies in the energy field are subject to swift price and supply fluctuations
caused by events relating to international politics, energy conservation, the success of exploration projects, and tax and other
governmental regulatory policies. Weak demand for the companies’ products or services or for energy products and services
in general, as well as negative developments in these other areas, would adversely impact the Fund’s performance. Oil
and gas exploration and production can be significantly affected by natural disasters as well as changes in exchange rates, interest
rates, government regulation, world events and economic conditions. These companies may be at risk for environmental damage claims.
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.
|
·
|
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.
|
·
|
THE RISK OF THE CLOSING VALUE OF AN UNDERLYING FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS GREATER IF THE VALUE
OF THAT UNDERLYING 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.
PS-
6
| Structured Investments
Callable Contingent Interest Notes Linked to the Lesser Performing of the
EURO STOXX 50
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration &
Production ETF
|
|
|
·
|
THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES —
|
The estimated value of the notes is only
an estimate determined by reference to several factors. The original issue price of the notes exceeds the estimated value of the
notes because costs associated with selling, structuring and hedging the notes are included in the original issue price of the
notes. These costs include the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming
risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. See
“The Estimated Value of the Notes” in this pricing supplement.
|
·
|
THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES
—
|
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 values of the Underlyings. 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.
PS-
7
| Structured Investments
Callable Contingent Interest Notes Linked to the Lesser Performing of the
EURO STOXX 50
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration &
Production ETF
|
|
The
Underlyings
The Index consists of 50 component stocks of
market sector leaders from within the Eurozone. The Index and STOXX are the intellectual property (including registered trademarks)
of STOXX Limited, Zurich, Switzerland and/or its licensors (the “Licensors”), which are used under license. The notes
based on the Index are in no way sponsored, endorsed, sold or promoted by STOXX Limited and its Licensors and neither STOXX Limited
nor any of its Licensors shall have any liability with respect thereto. For additional information about the Index, see “Equity
Index Descriptions — The EURO STOXX 50
®
Index” in the accompanying underlying supplement.
The Fund is an exchange-traded fund of the SPDR
®
Series Trust, a registered investment company which seeks to provide investment results that, before fees and expenses, correspond
generally to the total return performance of an index derived from the oil and gas exploration and production segment of a U.S.
total market composition index, which we refer to as the Underlying Index with respect to the Fund. The Underlying Index with respect
to the Fund is currently the S&P
®
Oil & Gas Exploration & Production Select Industry™ Index. The
S&P
®
Oil & Gas Exploration & Production Select Industry™ Index is a modified equal-weighted index
that is designed to measure the performance of the following GICS
®
sub-industries of the S&P Total Market Index:
integrated oil & gas; oil & gas exploration & mining; and oil & gas refining & marketing. For additional information
about the Fund, see “Fund Descriptions — The SPDR
®
S&P
®
Industry ETFs” in the
accompanying underlying supplement.
Historical Information
The following graphs set forth the historical
performance of each Underlying based on the weekly historical closing values from January 6, 2012 through March 24, 2017. The closing
value of the Index on March 24, 2017 was 3,444.15. The closing value of the Fund on March 24, 2017 was $35.21. We obtained the
closing values above and below from the Bloomberg Professional
®
service (“Bloomberg”), without independent
verification. The closing values of the Fund above and below may have been adjusted by Bloomberg for actions taken by the Fund,
such as stock splits.
The historical closing values of each Underlying
should not be taken as an indication of future performance, and no assurance can be given as to the closing value of either Underlying
on any Review Date. There can be no assurance that the performance of the Underlyings will result in the return of any of your
principal amount or the payment of any interest.
PS-
8
| Structured Investments
Callable Contingent Interest Notes Linked to the Lesser Performing of the
EURO STOXX 50
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration &
Production ETF
|
|
Tax
Treatment
You
should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product
supplement no. 4-I. In determining our reporting responsibilities we intend to treat (i) the notes for U.S. federal income tax
purposes as prepaid forward contracts with associated contingent coupons and (ii) any Contingent Interest Payments as ordinary
income, as described in the section entitled “Material U.S. Federal Income Tax Consequences — Tax Consequences to
U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated Contingent Coupons” in the accompanying
product supplement. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel, we believe that this is a reasonable
treatment, but that there are other reasonable treatments that the IRS or a court may adopt, in which case the timing and character
of any income or loss on the notes could be materially affected. In addition, in 2007 Treasury and the IRS released a notice requesting
comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice
focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment.
It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments
and the relevance of factors such as the nature of the underlying property to which the instruments are linked. While the notice
requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated
after consideration of these issues could materially affect the tax consequences of an investment in the notes, possibly with
retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in
the notes, including possible alternative treatments and the issues presented by this notice.
Non-U.S.
Holders — Tax Considerations
. The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and
although we believe it is reasonable to take a position that Contingent Interest Payments are not subject to U.S. withholding
tax (at least if an applicable Form W-8 is provided), a withholding agent may nonetheless withhold on these payments (generally
at a rate of 30%, subject to the possible reduction of that rate under an applicable income tax treaty), unless income from your
notes is effectively connected with your conduct of a trade or business in the United States (and, if an applicable treaty so
requires, attributable to a permanent establishment in the United States). If you are not a United States person, you are urged
to consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes in light of your
particular circumstances.
Section
871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding
tax (unless an income tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain
financial instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions
to this withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in
the applicable Treasury regulations (such an index, a “Qualified Index”). Additionally, the applicable regulations
exclude from the scope of Section 871(m) instruments issued in 2017 that do not have a delta of one with respect to underlying
securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”).
Based on certain determinations made by us, our special tax counsel is of the opinion that Section 871(m) should not apply to
the notes with regard to Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination.
Section 871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other
transactions with respect to an Underlying Security. You should consult your tax adviser regarding the potential application of
Section 871(m) to the notes.
PS-
9
| Structured Investments
Callable Contingent Interest Notes Linked to the Lesser Performing of the
EURO STOXX 50
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration &
Production ETF
|
|
FATCA.
Withholding under legislation commonly referred to as “FATCA” could apply to payments with respect to the notes
that are treated as U.S.-source “fixed or determinable annual or periodical” income (“FDAP Income”) for
U.S. federal income tax purposes (such as interest, if the notes are recharacterized, in whole or in part, as debt instruments,
or Contingent Interest Payments if they are otherwise treated as FDAP Income). If the notes are recharacterized, in whole or in
part, as debt instruments, withholding could also apply to payments of gross proceeds of a taxable disposition, including an early
redemption or redemption at maturity. However, under a recent IRS notice, this regime will not apply to payments of gross proceeds
(other than any amount treated as FDAP Income) with respect to dispositions occurring before January 1, 2019. You should consult
your tax adviser regarding the potential application of FATCA to the notes.
In
the event of any withholding on the notes, we will not be required to pay any additional amounts with respect to amounts so withheld.
The Estimated Value of the Notes
The
estimated value of the notes set forth on the cover of this pricing supplement is equal to the sum of the values of the following
hypothetical components: (1) a fixed-income debt component with the same maturity as the notes, valued using the internal funding
rate described below, and (2) the derivative or derivatives underlying the economic terms of the notes. The estimated value of
the notes does not represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any
exists) at any time. The internal funding rate used in the determination of the estimated value of the notes is based on, among
other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance, operational
and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed-rate debt of JPMorgan
Chase & Co. For additional information, see “Selected Risk Considerations — The Estimated Value of the Notes Is
Derived by Reference to an Internal Funding Rate” in this pricing supplement.
The
value of the derivative or derivatives underlying the economic terms of the notes is derived from internal pricing models of our
affiliates. These models are dependent on inputs such as the traded market prices of comparable derivative instruments and on
various other inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates and
other factors, as well as assumptions about future market events and/or environments. Accordingly, the estimated value of the
notes is determined when the terms of the notes are set based on market conditions and other relevant factors and assumptions
existing at that time.
The
estimated value of the notes does not represent future values of the notes and may differ from others’ estimates. Different
pricing models and assumptions could provide valuations for the notes that are greater than or less than the estimated value of
the notes. In addition, market conditions and other relevant factors in the future may change, and any assumptions may prove to
be incorrect. On future dates, the value of the notes could change significantly based on, among other things, changes in market
conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements and other relevant factors, which
may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market transactions.
The
estimated value of the notes is lower than the original issue price of the notes because costs associated with selling, structuring
and hedging the notes are included in the original issue price of the notes. These costs include the selling commissions paid
to JPMS and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for
assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the
notes. Because hedging our 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
PS-
10
| Structured Investments
Callable Contingent Interest Notes Linked to the Lesser Performing of the
EURO STOXX 50
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration &
Production ETF
|
|
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 Underlyings” 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.
Supplemental
Plan of Distribution
We
expect that delivery of the notes will be made against payment for the notes on or about the Original Issue Date set forth on
the front cover of this pricing supplement, which will be the fifth business day following the Pricing Date of the notes (this
settlement cycle being referred to as T+5). Under Rule 15c6-1 under the Securities Exchange Act of 1934, as amended, trades in
the secondary market generally are required to settle in three business days, unless the parties to that trade expressly agree
otherwise. Accordingly, purchasers who wish to trade notes on the Pricing Date or the succeeding business day will be required
to specify an alternate settlement cycle at the time of any such trade to prevent a failed settlement and should consult their
own advisors.
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
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.
PS-
11
| Structured Investments
Callable Contingent Interest Notes Linked to the Lesser Performing of the
EURO STOXX 50
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration &
Production ETF
|
|
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
Callable Contingent Interest Notes Linked to the Lesser Performing of the
EURO STOXX 50
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration &
Production ETF
|
|
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