Additional
Information about JPMorgan Financial, JPMorgan Chase & Co. and the Securities
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You may revoke your offer to purchase the Securities at any time
prior to the time at which we accept such offer by notifying the agent. We reserve the right to change the terms of, or reject
any offer to purchase, the Securities prior to their issuance. In the event of any changes to the terms of the Securities, we will
notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes,
in which case we may reject your offer to purchase.
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
Securities 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 Securities
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 Securities involve
risks not associated with conventional debt securities.
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, the “Issuer,” “JPMorgan
Financial,” “we,” “us” and “our” refer to JPMorgan Chase Financial Company LLC.
Supplemental
Terms of the Securities
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For purposes of the accompanying product supplement, the Russell
2000
®
Index is an “Index.”
Investor
Suitability
The Securities may be suitable for you if, among other considerations:
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You fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire principal
amount.
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You can tolerate a loss of all or a substantial portion of your investment and are willing to make an investment that has the
same downside market risk as a hypothetical investment in the Underlying.
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You believe the level of the Underlying will increase over the term of the Securities and that the appreciation is unlikely
to exceed an amount equal to the Maximum Gain indicated on the cover hereof (the actual Maximum Gain will be finalized on the Trade
Date and provided in the pricing supplement and is expected to be, but will not be less than, the minimum Maximum Gain indicated
on the cover hereof).
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You understand and accept that your potential return is limited by the Maximum Gain and you would be willing to invest in the
Securities if the Maximum Gain were set equal to the minimum Maximum Gain indicated on the cover hereof.
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You can tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside
fluctuations in the level of the Underlying.
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You do not seek current income from your investment and are willing to forgo dividends paid on the stocks included in the Underlying.
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You are willing and able to hold the Securities to maturity.
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You accept that there may be little or no secondary market for the Securities and that any secondary market will depend in
large part on the price, if any, at which J.P. Morgan Securities LLC, which we refer to as JPMS, is willing to trade the Securities.
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You understand and accept the risks associated with the Underlying.
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You are willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Securities,
and understand that if JPMorgan Financial and JPMorgan Chase & Co. default on their obligations, you may not receive any amounts
due to you including any repayment of principal.
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The Securities may not be suitable for you if, among other
considerations:
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You do not fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire
principal amount.
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You require an investment designed to provide a full return of principal at maturity.
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You cannot tolerate a loss of all or a substantial portion of your investment, or you are not willing to make an investment
that has the same downside market risk as a hypothetical investment in the Underlying.
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You believe the level of the Underlying will decline over the term of the Securities, or you believe the Underlying will appreciate
over the term of the Securities by more than the Maximum Gain indicated on the cover hereof (the actual Maximum Gain will be finalized
on the Trade Date and provided in the pricing supplement and is expected to be, but will not be less than, the minimum Maximum
Gain indicated on the cover hereof).
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You seek an investment that has unlimited return potential without a cap on appreciation.
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You would be unwilling to invest in the Securities if the Maximum Gain were set equal to the minimum Maximum Gain indicated
on the cover hereof.
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You cannot tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside
fluctuations in the level of the Underlying.
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You seek current income from your investment or prefer not to forgo dividends paid on the stocks included in the Underlying.
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You are unwilling or unable to hold the Securities to maturity or seek an investment for which there will be an active secondary
market.
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You do not understand or accept the risks associated with the Underlying.
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You are not willing to assume the credit risks of JPMorgan
Financial and JPMorgan Chase & Co. for all payments under the Securities, including any repayment of principal.
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The suitability considerations identified above are not exhaustive.
Whether or not the Securities are a suitable investment for you will depend on your individual circumstances, and you should reach
an investment decision only after you and your investment, legal, tax, accounting and other advisers have carefully considered
the suitability of an investment in the Securities in light of your particular circumstances. You should also review carefully
the “Key Risks” section of this pricing supplement and the “Risk Factors” sections of the accompanying
product supplement and the accompanying underlying supplement for risks related to an investment in the Securities. For
more information on the Underlying, please see the section titled “The Underlying” below.
Issuer:
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JPMorgan Chase Financial Company LLC
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Guarantor:
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JPMorgan Chase & Co.
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Issue Price:
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$10.00 per Security (subject to a minimum purchase of 100 Securities or $1,000)
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Principal Amount:
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$10.00 per Security. The payment at maturity will be based on the principal amount.
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Underlying:
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Russell 2000
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Index
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Term
1
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Approximately 13 months
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Payment at Maturity (per $10 principal amount Security):
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If the Underlying Return is positive,
JPMorgan Financial
will pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00 + ($10.00 × Underlying Return
× Upside Gearing)
provided, however,
that in no event will JPMorgan Financial
pay you at maturity an amount greater than:
$10.00 + ($10.00 × Maximum Gain)
If the Underlying Return is zero,
JPMorgan Financial will
pay you a cash payment at maturity of $10.00 per $10 principal amount Security.
If the Underlying Return is negative,
JPMorgan Financial
will pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00 + ($10.00 × Underlying Return)
In this scenario, you will be exposed to the decline of
the Underlying and you will lose some or all of your principal amount in an amount proportionate to the negative Underlying Return.
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Underlying Return:
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(Final Value – Initial
Value)
Initial Value
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Upside Gearing:
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3.00
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Maximum Gain:
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At least 15.15%. The actual Maximum Gain will be finalized on the Trade Date and provided in the pricing supplement and is expected to be, but will not be less than, 15.15%. In no event will the return on the Principal Amount be greater than the Maximum Gain.
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Initial Value:
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The closing level of the Underlying on the Trade Date
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Final Value:
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The closing level of the Underlying on the Final Valuation Date
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1
See footnote 1 under “Key Dates” on the front cover
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Trade Date
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The Initial Value is observed. The Maximum Gain is determined.
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Maturity Date
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The Final Value and the Underlying Return are determined.
If the Underlying Return is positive,
JPMorgan Financial
will pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00 + ($10.00 × Underlying Return
×
Upside Gearing)
provided, however,
that in no event will you receive at
maturity an amount greater than:
$10.00 + ($10.00 × Maximum Gain)
If the Underlying Return is zero,
JPMorgan Financial will
pay you a cash payment at maturity of $10.00 per $10 principal amount Security.
If the Underlying Return is negative,
JPMorgan Financial
will pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00 + ($10.00 × Underlying Return)
Under these circumstances, you will be exposed to the decline
of the Underlying and you will lose some or all of your principal amount.
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INVESTING IN THE SECURITIES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE SOME OR ALL OF YOUR PRINCIPAL AMOUNT. ANY PAYMENT ON THE SECURITIES, INCLUDING ANY REPAYMENT OF PRINCIPAL, IS SUBJECT TO THE CREDITWORTHINESS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. IF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. WERE TO DEFAULT ON THEIR PAYMENT OBLIGATIONS, YOU MAY NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE SECURITIES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.
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What
Are the Tax Consequences of the Securities?
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You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. UBS-1-I. The following discussion, when
read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP,
regarding the material U.S. federal income tax consequences of owning and disposing of Securities.
Based on current market conditions, in the opinion of our special
tax counsel it is reasonable to treat the Securities as “open transactions” that are not debt instruments for U.S.
federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences
to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement.
Assuming this treatment is respected, the gain or loss on your Securities should be treated as long-term capital gain or loss if
you hold your Securities for more than a year, whether or not you are an initial purchaser of Securities at the issue price. However,
the IRS or a court may not respect this treatment, in which case the timing and character of any income or loss on the Securities
could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on
the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses 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; the relevance
of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income
(including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments
are or should be subject to the “constructive ownership” regime, which very generally can operate to recharacterize
certain long-term capital gain as ordinary income and impose a notional interest charge. 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 and adversely affect the tax consequences of an investment in the Securities, possibly with retroactive
effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the Securities,
including possible alternative treatments and the issues presented by this notice.
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,
we expect that Section 871(m) will not apply to the Securities 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. If necessary, further information regarding the potential application of Section 871(m) will be provided in
the pricing supplement for the Securities. You should consult your tax adviser regarding the potential application of
Section 871(m) to the Securities.
Withholding under legislation commonly referred to as “FATCA”
may (if the Securities are recharacterized as debt instruments) apply to amounts treated as interest paid with respect to the Securities. Under
a recent IRS notice, withholding under FATCA will not apply to payments of gross proceeds (other than any amount treated as interest)
of a taxable disposition, including redemption at maturity, of the Securities. You should consult your tax adviser regarding
the potential application of FATCA to the Securities.
An investment in the Securities involves significant risks. Investing
in the Securities is not equivalent to investing directly in the Underlying. These risks are explained in more detail in the “Risk
Factors” sections of the accompanying product supplement and the accompanying underlying supplement. We also urge you to
consult your investment, legal, tax, accounting and other advisers before you invest in the Securities.
Risks Relating to the Securities Generally
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Your Investment in the Securities May Result in a Loss
— The Securities differ from ordinary debt securities in that we will not necessarily repay the full principal amount of
the Securities. We will pay you the principal amount of your Securities in cash only if the Final Value has not declined below
the Initial Value. If the Underlying Return is negative, you will lose some or all of your principal amount in an amount
proportionate to the negative Underlying Return. Accordingly, you could lose up to your entire principal amount.
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Credit Risks of JPMorgan Financial and JPMorgan Chase & Co.
— The Securities are unsecured and unsubordinated debt obligations of the Issuer, JPMorgan Chase Financial Company LLC, the
payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. The Securities will rank
pari
passu
with all of our other unsecured and unsubordinated obligations, and the related guarantee JPMorgan Chase & Co. will
rank
pari passu
with all of JPMorgan Chase & Co.’s other unsecured and unsubordinated obligations. The
Securities and related guarantees are not, either directly or indirectly, an obligation of any third party. Any payment
to be made on the Securities, including any repayment of principal, depends on the ability of JPMorgan Financial and JPMorgan Chase
& Co. to satisfy their obligations as they come due. As a result, the actual and perceived creditworthiness of JPMorgan
Financial and JPMorgan Chase & Co. may affect the market value of the Securities and, in the event JPMorgan Financial and JPMorgan
Chase & Co. were to default on their obligations, you may not receive any amounts owed to you under the terms of the Securities
and you could lose your entire investment.
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As a Finance Subsidiary, JPMorgan Financial Has No Independent Operations
and Limited Assets
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As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations
beyond the issuance and administration of our securities. Aside from the initial capital contribution from JPMorgan
Chase & Co., substantially all of our assets relate to obligations of our affiliates to make payments under loans made by us
or other intercompany agreements. As a result, we are dependent upon payments from our affiliates to meet our obligations
under the Securities. If these affiliates do not make payments to us and we fail to make payments on the Securities,
you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank
pari passu
with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
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The Appreciation Potential of the Securities Is Limited by the Maximum
Gain
— The appreciation potential of the Securities is limited by the Maximum Gain. The Maximum Gain
will be finalized on the Trade Date and provided in the pricing supplement and is expected to be, but will not be less than, the
minimum Maximum Gain indicated on the front cover of this pricing supplement. Accordingly, the appreciation potential
of the Securities will be limited by the Maximum Gain even if the Underlying Return times the Upside Gearing is greater than the
Maximum Gain.
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The Upside Gearing Applies Only If You Hold the Securities to Maturity
— You should be willing to hold your Securities to maturity. If
you are able to sell your Securities prior to maturity in the secondary market, if any, the price you receive likely will not reflect
the full economic value of the Upside Gearing or the Securities themselves, and the return you realize may be less than the product
of the performance of the Underlying and the Upside Gearing and may be less than the Underlying return, even if that return is
positive and does not exceed the Maximum Gain. You can receive the full benefit of the Upside Gearing, subject to the
Maximum Gain, only if you hold your Securities to maturity.
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No Interest Payments
— JPMorgan Financial will
not make any interest payments to you with respect to the Securities.
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Potential Conflicts
— We and our affiliates play
a variety of roles in connection with the issuance of the Securities, including acting as calculation agent and hedging our obligations
under the Securities and making the assumptions used to determine the pricing of the Securities and the estimated value of the
Securities when the terms of the Securities are set, which we refer to as the estimated value of the Securities. 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 Securities. 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 Securities and the value of
the Securities. It is possible that hedging or trading activities of ours or our affiliates in connection with the Securities could
result in substantial returns for us or our affiliates while the value of the Securities 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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The Probability That the Final Value Will Fall Below the Initial
Value on the Final Valuation Date Will Depend on the Volatility of the Underlying
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“Volatility"
refers to the frequency and magnitude of changes in the level of the Underlying. Greater expected volatility with respect
to the Underlying reflects a higher expectation as of the Trade Date that the Underlying could close below the Initial Value on
the Final Valuation Date of the Securities, resulting in the loss of some or all of your investment. However, the Underlying’s
volatility can change significantly over the term of the Securities. The level of the Underlying could fall sharply,
which could result in a significant loss of principal.
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The Estimated Value of the Securities Will Be Lower Than the Original
Issue Price (Price to Public) of the Securities
— The estimated value of the Securities is only an estimate determined
by reference to several factors. The original issue price of the Securities will exceed the estimated value of the Securities
because costs associated with selling, structuring and hedging the Securities are included in the original issue price of the Securities. 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 Securities and the estimated cost of hedging our obligations under the Securities. See
“The Estimated Value of the Securities” in this pricing supplement.
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The Estimated Value of the Securities Does Not Represent Future
Values of the Securities and May Differ from Others’ Estimates
— The estimated value of the Securities is
determined by reference to internal pricing models of our affiliates when the terms of the Securities are set. This
estimated value of the Securities 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 Securities that are greater than or less than the estimated value of the
Securities. 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 Securities 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 Securities from you in secondary market
transactions. See “The Estimated Value of the Securities” in this pricing supplement.
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The Estimated Value of the Securities Is Derived by Reference to
an Internal Funding Rate
— The internal funding rate used in the determination of the estimated value of the Securities
is based on, among other things, our and our affiliates’ view of the funding value of the Securities as well as the higher
issuance, operational and ongoing liability management costs of the Securities 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 Securities and any secondary market prices of the Securities. See “The
Estimated Value of the Securities” in this pricing supplement.
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The Value of the Securities as Published by JPMS (and Which May
Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Securities for a Limited
Time Period
— We generally expect that some of the costs included in the original issue price of the Securities
will be partially paid back to you in connection with any repurchases of your Securities by JPMS in an amount that will decline
to zero over an initial predetermined period. These costs can include selling
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commissions, 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 Securities” in this pricing supplement for additional information
relating to this initial period. Accordingly, the estimated value of your Securities during this initial period may
be lower than the value of the Securities as published by JPMS (and which may be shown on your customer account statements).
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Secondary Market Prices of the Securities Will Likely Be Lower Than
the Original Issue Price of the Securities
— Any secondary market prices of the Securities will likely be lower
than the original issue price of the Securities 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 Securities. As a result, the price, if any, at which JPMS will be willing to buy Securities from you in secondary
market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the Maturity
Date could result in a substantial loss to you. See the immediately following risk factor for information about additional
factors that will impact any secondary market prices of the Securities.
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The Securities are not designed
to be short-term trading instruments. Accordingly, you should be able and willing to hold your Securities to maturity. See
“— Lack of Liquidity” below.
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Many Economic and Market Factors Will Impact the Value of the Securities
—
As described under “The Estimated Value of the Securities” in this pricing supplement, the Securities
can be thought of as securities that combine a fixed-income debt component with one or more derivatives. As a result,
the factors that influence the values of fixed-income debt and derivative instruments will also influence the terms of the Securities
at issuance and their value in the secondary market. Accordingly, the secondary market price of the Securities during
their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from
the selling commissions, projected hedging profits, if any, estimated hedging costs and the level of the Underlying, 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 in the level of the Underlying;
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the time to maturity of the Securities;
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the dividend rates on the equity securities included in the Underlying;
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interest and yield rates in the market generally; 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 Securities, which may also be reflected on customer account
statements. This price may be different (higher or lower) than the price of the Securities, if any, at which JPMS may
be willing to purchase your Securities in the secondary market.
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Investing in the Securities Is Not Equivalent to Investing in the
Stocks Composing the Underlying
— Investing in the Securities is not equivalent to investing in the stocks included
in the Underlying. As an investor in the Securities, you will not have any ownership interest or rights in the stocks included
in the Underlying, such as voting rights, dividend payments or other distributions.
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We Cannot Control Actions by the Sponsor
of the Underlying and That Sponsor Has No Obligation to Consider Your Interests
—
We and our affiliates are not affiliated with the sponsor of the Underlying and have no ability to control or predict its actions,
including any errors in or discontinuation of public disclosure regarding methods or policies relating to the calculation of the
Underlying. The sponsor of the Underlying is not involved in this Security offering in any way and has no obligation to consider
your interest as an owner of the Securities in taking any actions that might affect the market value of your Securities.
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Your Return on the Securities Will Not Reflect Dividends on the
Stocks Composing the Underlying
— Your return on the Securities will not reflect the return you would realize
if you actually owned the stock included in the Underlying and received the dividends on the stock included in the Underlying.
This is because the calculation agent will calculate the amount payable to you at maturity of the Securities by reference to the
Final Value, which reflects the closing level of the Underlying on the Final Valuation Date without taking into consideration the
value of dividends on the stock included in the Underlying.
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Lack of Liquidity
— The Securities will not be
listed on any securities exchange. JPMS intends to offer to purchase the Securities 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 Securities
easily. Because other dealers are not likely to make a secondary market for the Securities, the price at which you may be able
to trade your Securities is likely to depend on the price, if any, at which JPMS is willing to buy the Securities.
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Potentially Inconsistent Research, Opinions or Recommendations by
JPMS, UBS or Their Affiliates
— JPMS, UBS or their affiliates may publish research, express opinions or provide
recommendations that are inconsistent with investing in or holding the Securities, and that may be revised at any time. Any such
research, opinions or recommendations may or may not recommend that investors buy or hold investments linked to the Underlying
and could affect the value of the Underlying, and therefore the market value of the Securities.
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Tax Treatment
— Significant aspects
of the tax treatment of the Securities are uncertain. You should consult your tax adviser about your tax situation.
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Potential JPMorgan Financial Impact on the Market Price of the Underlying
— Trading or transactions by JPMorgan Financial or its affiliates in the Underlying or in futures, options or
other derivative products on the Underlying may adversely affect the market value of the Underlying and, therefore, the market
value of the Securities.
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The Final Terms and Valuation of the Securities
Will Be Finalized on the Trade Date and Provided in the Pricing Supplement
—
The final terms of the Securities will be based on relevant market conditions when the terms of the Securities are set and will
be finalized on the Trade Date and provided in the pricing supplement. In particular, each of the estimated value of
the Securities and the Maximum Gain will be finalized on the Trade Date and provided in the pricing supplement, and each may be
as low as the applicable minimum set forth on the cover of this pricing supplement. Accordingly, you should consider
your potential investment in the Securities based on the minimums for the estimated value of the Securities and the Maximum Gain.
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Risks Relating to the Underlying
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An Investment in the Securities is Subject
to Risks Associated with Small Capitalization Stocks
— The equity securities included in the Underlying are issued
by companies with relatively small market capitalization. The stock prices of smaller companies may be more volatile
than stock prices of large capitalization companies. Small capitalization companies may be less able to withstand adverse
economic, market, trade and competitive conditions relative to larger companies. These companies tend to be less well-established
than large market capitalization companies. Small capitalization companies are less likely to pay dividends on their
stocks, and the presence of a dividend payment could be a factor that limits downward stock price pressure under adverse market
conditions.
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Hypothetical
Examples and Return Table
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Hypothetical
terms only. Actual terms may vary. See the cover page for actual offering terms.
The following table and hypothetical examples below illustrate
the payment at maturity per $10.00 principal amount Security for a hypothetical range of Underlying Returns from -100.00% to +100.00%
on an offering of the Securities linked to a hypothetical Underlying, and assume a hypothetical Initial Value of 100, a hypothetical
Upside Gearing of 1.50 and a hypothetical Maximum Gain of 12.00%. The hypothetical Initial Value of 100 has been chosen
for illustrative purposes only and may not represent a likely actual Initial Value. The actual Initial Value will be
based on the closing level of the Underlying on the Trade Date and will be provided in the pricing supplement. For historical
data regarding the actual closing levels of the Underlying, please see the historical information set forth under “The Underlying”
in this pricing supplement. The actual Upside Gearing is specified on the cover of this pricing supplement. The
actual Maximum Gain will be finalized on the Trade Date and provided in the pricing supplement. The hypothetical payment
at maturity examples set forth below are for illustrative purposes only and may not be the actual returns applicable to a purchaser
of the Securities. The actual payment at maturity may be more or less than the amounts displayed below and will be determined based
on the actual terms of the Securities, including the Upside Gearing, the Initial Value and the Maximum Gain to be finalized on
the Trade Date and provided in the pricing supplement and the Final Value on the Final Valuation Date. You should consider carefully
whether the Securities are suitable to your investment goals. The numbers appearing in the table below have been rounded for ease
of analysis.
Final Value
|
Underlying Return (%)
|
Payment at Maturity ($)
|
Return at Maturity per
$10.00 issue price (%)
|
200.00
|
100.00%
|
$11.20
|
12.00%
|
190.00
|
90.00%
|
$11.20
|
12.00%
|
180.00
|
80.00%
|
$11.20
|
12.00%
|
170.00
|
70.00%
|
$11.20
|
12.00%
|
160.00
|
60.00%
|
$11.20
|
12.00%
|
150.00
|
50.00%
|
$11.20
|
12.00%
|
140.00
|
40.00%
|
$11.20
|
12.00%
|
130.00
|
30.00%
|
$11.20
|
12.00%
|
120.00
|
20.00%
|
$11.20
|
12.00%
|
110.00
|
10.00%
|
$11.20
|
12.00%
|
108.00
|
8.00%
|
$11.20
|
12.00%
|
106.00
|
6.00%
|
$10.90
|
9.00%
|
104.00
|
4.00%
|
$10.60
|
6.00%
|
102.00
|
2.00%
|
$10.30
|
3.00%
|
100.00
|
0.00%
|
$10.00
|
0.00%
|
95.00
|
-5.00%
|
$9.50
|
-5.00%
|
90.00
|
-10.00%
|
$9.00
|
-10.00%
|
80.00
|
-20.00%
|
$8.00
|
-20.00%
|
70.00
|
-30.00%
|
$7.00
|
-30.00%
|
60.00
|
-40.00%
|
$6.00
|
-40.00%
|
50.00
|
-50.00%
|
$5.00
|
-50.00%
|
40.00
|
-60.00%
|
$4.00
|
-60.00%
|
30.00
|
-70.00%
|
$3.00
|
-70.00%
|
20.00
|
-80.00%
|
$2.00
|
-80.00%
|
10.00
|
-90.00%
|
$1.00
|
-90.00%
|
0.00
|
-100.00%
|
$0.00
|
-100.00%
|
Example 1 — The level of the Underlying increases by
2% from the Initial Value of 100 to the Final Value of 102.
Because the Upside Gearing of 1.50 times the Underlying Return
of 2% is less than the Maximum Gain of 12.00%, JPMorgan Financial will pay you your principal amount
plus
a return equal
to the Underlying Return
times
the Upside Gearing, resulting in a payment at maturity of $10.30 per $10 principal amount
Security, calculated as follows:
$10.00 + ($10.00 × Underlying Return
× Upside Gearing)
$10.00 + ($10.00 × 2% × 1.50) = $10.30
Example 2 — The level of the Underlying increases by
10% from the Initial Value of 100 to the Final Value of 110.
Because the Upside Gearing of 1.50 times the Underlying Return
of 10% is greater than the Maximum Gain of 12.00%, JPMorgan Financial will pay you your principal amount
plus
a return equal
to the Maximum Gain of 12.00%, resulting in a payment at maturity of $11.20 per $10 principal amount Security, calculated as follows:
$10.00 + ($10.00 × Maximum Gain)
$10.00 + ($10.00 × 12.00%) = $11.20
Example 3 — The level of the Underlying increases by
40% from the Initial Value of 100 to the Final Value of 140.
Because the Upside Gearing of 1.50 times the Underlying Return
of 40% is significantly greater than the Maximum Gain of 12.00%, JPMorgan Financial will pay you your principal amount
plus
a return equal to only the Maximum Gain of 12.00%, resulting in a payment at maturity of $11.20 per $10 principal amount Security,
calculated as follows:
$10.00 + ($10.00 × Maximum Gain)
$10.00 + ($10.00 × 12.00%) = $11.20
Example 4 — The level of the Underlying decreases by
40% from the Initial Value of 100 to the Final Value of 60.
Because the Underlying Return is -40%, JPMorgan Financial will
pay you a payment at maturity of $6.00 per $10 principal amount Security, calculated as follows:
$10.00 + ($10.00 × Underlying Return)
$10.00 + ($10.00 × -40.00%) = $6.00
If the Underlying Return is negative, investors will be
exposed to the negative Underlying Return at maturity, resulting in a loss of principal that is proportionate to the Underlying’s
decline from the Initial Value to the Final Value. Investors could lose some or all of their principal amount.
The hypothetical returns and hypothetical payments on the Securities
shown above apply
only if you hold the Securities for their entire term.
These hypotheticals do not reflect fees
or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical
returns and hypothetical payments shown above would likely be lower.
The Russell 2000
®
Index consists of the middle
2,000 companies included in the Russell 3000E™ Index and, as a result of the index calculation methodology, consists of the
smallest 2,000 companies included in the Russell 3000
®
Index. The Russell 2000
®
Index
is designed to track the performance of the small capitalization segment of the U.S. equity market. For additional information
about the Russell 2000
®
Index, see the information set forth under “Equity Index Descriptions — The
Russell Indices” in the accompanying underlying supplement.
Historical Information
The following table sets forth the quarterly high and low closing
levels of the Underlying, based on daily closing levels of the Underlying as reported by the Bloomberg Professional
®
service (“Bloomberg”), without independent verification. The information given below is for the four calendar
quarters in each of 2012, 2013, 2014, 2015 and 2016. Partial data is provided for the first calendar quarter of 2017. The
closing level of the Underlying on March 21, 2017 was 1,346.546. The actual Initial Value will be the closing level
of the Underlying on the Trade Date. We obtained the closing levels of the Underlying above and below from Bloomberg,
without independent verification. You should not take the historical levels of the Underlying as an indication of future
performance.
Quarter Begin
|
Quarter End
|
Quarterly Closing High
|
Quarterly Closing Low
|
Close
|
1/1/2012
|
3/31/2012
|
846.129
|
747.275
|
830.301
|
4/1/2012
|
6/30/2012
|
840.626
|
737.241
|
798.487
|
7/1/2012
|
9/30/2012
|
864.697
|
767.751
|
837.450
|
10/1/2012
|
12/31/2012
|
852.495
|
769.483
|
849.350
|
1/1/2013
|
3/31/2013
|
953.068
|
872.605
|
951.542
|
4/1/2013
|
6/30/2013
|
999.985
|
901.513
|
977.475
|
7/1/2013
|
9/30/2013
|
1,078.409
|
989.535
|
1,073.786
|
10/1/2013
|
12/31/2013
|
1,163.637
|
1,043.459
|
1,163.637
|
1/1/2014
|
3/31/2014
|
1,208.651
|
1,093.594
|
1,173.038
|
4/1/2014
|
6/30/2014
|
1,192.964
|
1,095.986
|
1,192.964
|
7/1/2014
|
9/30/2014
|
1,208.150
|
1,101.676
|
1,101.676
|
10/1/2014
|
12/31/2014
|
1,219.109
|
1,049.303
|
1,204.696
|
1/1/2015
|
3/31/2015
|
1,266.373
|
1,154.709
|
1,252.772
|
4/1/2015
|
6/30/2015
|
1,295.799
|
1,215.417
|
1,253.947
|
7/1/2015
|
9/30/2015
|
1,273.328
|
1,083.907
|
1,100.688
|
10/1/2015
|
12/31/2015
|
1,204.159
|
1,097.552
|
1,135.889
|
1/1/2016
|
3/31/2016
|
1,114.028
|
953.715
|
1,114.028
|
4/1/2016
|
6/30/2016
|
1,188.954
|
1,089.646
|
1,151.923
|
7/1/2016
|
9/30/2016
|
1,263.438
|
1,139.453
|
1,251.646
|
10/1/2016
|
12/31/2016
|
1,388.073
|
1,156.885
|
1,357.130
|
1/1/2017
|
3/21/2017*
|
1,413.635
|
1,345.744
|
1,346.546
|
*As of the date of this pricing supplement, available information
for the first calendar quarter of 2017 includes data for the period from January 1, 2017 through March 21, 2017. Accordingly,
the “Quarterly Closing High,” “Quarterly Closing Low” and “Close” data indicated are for this
shortened period only and do not reflect complete data for the first calendar quarter of 2017.
The graph below illustrates the daily performance of the Underlying
from January 3, 2007 through March 21, 2017, based on information from Bloomberg, without independent verification.
Past performance of the Underlying is not indicative of the future performance of the Underlying.
The historical levels of the Underlying should not be taken as
an indication of future performance, and no assurance can be given as to the closing level of the Underlying on the Trade Date
or the Final Valuation Date. We cannot give you assurance that the performance of the Underlying will result in the
return of any of your principal amount.
Supplemental
Plan of Distribution
|
We and JPMorgan Chase & Co. have agreed to indemnify UBS
and JPMS against liabilities under the Securities Act of 1933, as amended, or to contribute to payments that UBS may be required
to make relating to these liabilities as described in the prospectus supplement and the prospectus. We will agree that UBS may
sell all or a part of the Securities that it purchases from us to the public or its affiliates at the price to public indicated
on the cover hereof.
Subject to regulatory constraints, JPMS intends to offer to purchase
the Securities in the secondary market, but it is not required to do so.
We or our affiliates may enter into swap agreements or related
hedge transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the Securities,
and JPMS and/or an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions.
See “Supplemental Use of Proceeds” in this pricing supplement and “Use of Proceeds and Hedging” in the
accompanying product supplement.
The
Estimated Value of the Securities
|
The estimated value of the Securities 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 Securities, valued using the internal funding rate described below, and (2) the derivative
or derivatives underlying the economic terms of the Securities. The estimated value of the Securities does not represent
a minimum price at which JPMS would be willing to buy your Securities in any secondary market (if any exists) at any time. The
internal funding rate used in the determination of the estimated value of the Securities is based on, among other things, our and
our affiliates’ view of the funding values of the Securities as well as the higher issuance, operational and ongoing liability
management costs of the Securities in comparison to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. For
additional information, see “Key Risks — Risks Relating to the Securities Generally — The Estimated Value of
the Securities 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 Securities 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 Securities is
determined when the terms of the Securities are set based on market conditions and other relevant factors and assumptions existing
at that time. See “Key Risks — Risks Relating to the Securities Generally — The Estimated Value of
the Securities Does Not Represent Future Values of the Securities and May Differ from Others’ Estimates” in this pricing
supplement.
The estimated value of the Securities will be lower than the
original issue price of the Securities because costs associated with selling, structuring and hedging the Securities are included
in the original issue price of the Securities. These costs include the selling commissions paid to UBS, the projected
profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the Securities
and the estimated cost of hedging our obligations under the Securities. 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 Securities. See “Key Risks — Risks Relating to
the Securities Generally — The Estimated Value of the Securities Will Be Lower Than the Original Issue Price (Price to Public)
of the Securities” in this pricing supplement.
Secondary
Market Prices of the Securities
|
For information about factors that will impact any secondary
market prices of the Securities, see “Key Risks — Risks Relating to the Securities Generally — Secondary Market
Prices of the Securities 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 Securities will be partially paid back to you
in connection with any repurchases of your Securities by JPMS in an amount that will decline to zero over an initial predetermined
period that is intended to be up to seven months. The length of any such initial period reflects secondary market volumes
for the Securities, the structure of the Securities, whether our affiliates expect to earn a profit in connection with our hedging
activities, the estimated costs of hedging the Securities and when these costs are incurred, as determined by our affiliates. See
“Key Risks — Risks Relating to the Securities Generally — The Value of the Securities as Published by JPMS (and
Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Securities for
a Limited Time Period” in this pricing supplement.