Additional
Information about JPMorgan Financial, JPMorgan Chase & Co. and the Notes
You may revoke your offer to purchase the Notes 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 Notes prior to their issuance. In the event of any changes to the terms of the Notes, 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 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.
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 Notes
For purposes of the accompanying product supplement,
each of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
is an “Index.”
Investor
Suitability
The Notes may be suitable for you if, among other
considerations:
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You fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
t
You can tolerate a loss of all or a substantial portion of your investment and are willing to make an investment that may have
the same downside market risk as an investment in the Least Performing Underlying.
t
You are willing to accept the individual market risk of each Underlying on each day of the Quarterly Observation Periods and on
the Final Valuation Date and understand that any decline in the level of one Underlying will not be offset or mitigated by a lesser
decline or any potential increase in the levels of the other Underlyings.
t
You accept that you may not receive a Contingent Coupon on some or all of the Coupon Payment Dates.
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You understand and accept that you will not participate in any appreciation in the level of any Underlying and that your potential
return is limited to the Contingent Coupons.
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You can tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside fluctuations
in the levels of the Underlyings.
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You would be willing to invest in the Notes if the Contingent Coupon Rate were set equal to the minimum Contingent Coupon Rate
indicated on the cover hereof (the actual Contingent Coupon Rate 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 Contingent Coupon Rate listed on the cover).
t
You do not seek guaranteed current income from this investment and are willing to forgo dividends paid on the stocks included in
the Underlyings.
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You are able and willing to invest in Notes that may be called early at JPMorgan Financial’s election and you are otherwise
able and willing to hold the Notes to maturity.
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You accept that there may be little or no secondary market for the Notes 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 Notes.
t
You understand and accept the risks associated with the Underlyings.
t
You
are willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Notes, 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 Notes may not be suitable for you if, among
other considerations:
t
You do not fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial
investment.
t
You cannot tolerate a loss of all or a substantial portion of your investment and are unwilling to make an investment that may
have the same downside market risk as an investment in the Least Performing Underlying.
t
You are unwilling to accept the individual market risk of each Underlying on each day of the Quarterly Observation Periods and
on the Final Valuation Date or do not understand that any decline in the level of one Underlying will not be offset or mitigated
by a lesser decline or any potential increase in the levels of the other Underlyings.
t
You require an investment designed to provide a full return of principal at maturity.
t
You do not accept that you may not receive a Contingent Coupon on some or all of the Coupon Payment Dates.
t
You seek an investment that participates in the full appreciation in the level of any or all Underlyings or that has unlimited
return potential.
t
You cannot tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside fluctuations
in the levels of the Underlyings.
t
You would not be willing to invest in the Notes if the Contingent Coupon Rate were set equal to the minimum Contingent Coupon Rate
indicated on the cover hereof (the actual Contingent Coupon Rate 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 Contingent Coupon Rate listed on the cover).
t
You prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable maturities
and credit ratings.
t
You seek guaranteed current income from this investment or prefer to receive the dividends paid on the stocks included in the Underlyings.
t
You are unable or unwilling to invest in Notes that may be called early at JPMorgan Financial’s election, or you are otherwise
unable or unwilling to hold the Notes to maturity or you seek an investment for which there will be an active secondary market.
t
You do not understand or accept the risks associated with the Underlyings.
t
You
are not willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Notes,
including any repayment of principal.
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The suitability considerations identified above
are not exhaustive. Whether or not the Notes 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 Notes 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 Notes. For more information
on the Underlyings, please see the sections titled “The Russell 2000
®
Index,” “The S&P 500
®
Index” and “The EURO STOXX 50
®
Index” below.
Issuer:
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JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
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Guarantor:
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JPMorgan Chase & Co.
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Issue Price:
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$10 per Note
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Underlyings:
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Russell 2000
®
Index
S&P 500
®
Index
EURO STOXX 50
®
Index
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Principal Amount:
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$10 per Note (subject to a minimum purchase of 100 Notes or $1,000)
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Term
1
:
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Approximately 2.5 years, unless called earlier at the election of JPMorgan Financial
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Issuer Call Feature:
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JPMorgan Financial may elect to call the Notes on any Quarterly Observation End Date (other than the Final Valuation Date), regardless of the closing level of any Underlying on that Quarterly Observation End Date. If the Notes are called, JPMorgan Financial will pay you on the applicable Call Settlement Date a cash payment per Note equal to the principal amount
plus
any Contingent Coupon otherwise due for the Quarterly Observation Period ending on the applicable Quarterly Observation End Date, and no further payments will be made on the Notes. Before JPMorgan Financial elects to call the Notes on a Quarterly Observation End Date, JPMorgan Financial will deliver written notice to The Depository Trust Company (“DTC”) on or before that Quarterly Observation End Date.
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Contingent Coupon:
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If the closing level of each Underlying is equal to
or greater than its Coupon Barrier on each day during a Quarterly Observation Period, we will pay you the Contingent Coupon for
that Quarterly Observation Period on the relevant Coupon Payment Date.
If the closing level of any Underlying is less than
its Coupon Barrier on any day during a Quarterly Observation Period, the Contingent Coupon for that Quarterly Observation Period
will not accrue or be payable, and we will not make any payment to you on the relevant Coupon Payment Date.
Each Contingent Coupon will be a fixed amount
based on equal quarterly installments at the Contingent Coupon Rate, which is a per annum rate.
You should be willing to invest
in the Notes if the Contingent Coupon Rate were set equal to the minimum Contingent Coupon Rate set forth in “Contingent
Coupon Rate” below.
Contingent Coupon payments on the Notes are not guaranteed.
We will not pay you the Contingent Coupon for any Quarterly Observation Period in which the closing level of any Underlying on
any day during that Quarterly Observation Period is less than its Coupon Barrier.
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Quarterly Observation Period:
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With respect to each Coupon Payment Date, the period from but excluding the second immediately preceding Quarterly Observation End Date (or, in the case of the first Coupon Payment Date, from but excluding the Pricing Date) to and including the immediately preceding Quarterly Observation End Date.
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Contingent Coupon Rate:
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At least 11.00% per annum. The actual Contingent Coupon Rate will be finalized on the Trade Date and provided in the pricing supplement and is expected to be, but will not be less than, 11.00% per annum.
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Contingent Coupon payments:
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At least $0.275 per $10 principal amount Note. The actual Contingent Coupon payments will be based on the Contingent Coupon Rate and finalized on the Trade Date and provided in the pricing supplement.
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Coupon Payment Dates
2
:
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As specified under the “Coupon Payment Dates / Call Settlement Dates (if called)” column of the table under “Quarterly Observation Periods, Quarterly Observation End Dates and Coupon Payment Dates” below.
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Call Settlement Dates
2
:
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First Coupon Payment Date following the applicable Quarterly Observation End Date
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Payment at Maturity (per $10 Note):
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If JPMorgan Financial does not elect to call the Notes and the Final Value of each Underlying is equal to or greater than its Downside Threshold ,
we will pay you a cash payment at maturity per $10 principal amount Note equal to $10
plus
any Contingent Coupon otherwise due on the Maturity Date.
If JPMorgan Financial does not elect to call the Notes and the Final Value of any Underlying is less than its Downside Threshold,
we will pay you a cash payment at maturity that is less than $10 per $10 principal amount Note resulting in a loss on your principal amount proportionate to the negative Underlying Return of the Least Performing Underlying, equal to:
$10 × (1 + Least Performing Underlying Return)
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Underlying Return:
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With respect to each Underlying:
Final Value – Initial Value
Initial Value
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Least Performing Underlying:
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The Underlying with the Lowest Underlying Return
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Least Performing Underlying Return:
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The lowest of the Underlying Returns of the Underlyings
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Initial Value:
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With respect to each Underlying, the closing level of that Underlying on the Trade Date
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Final Value:
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With respect to each Underlying, the closing level of that Underlying on the Final Valuation Date
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Downside Threshold
3
:
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With respect to each Underlying, a percentage of the Initial Value of that Underlying, as specified on the cover of this pricing supplement
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Coupon Barrier
3
:
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With respect to each Underlying, a percentage of the Initial Value of that Underlying, as specified on the cover of this pricing supplement
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1
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See footnote 1 under “Key Dates” on
the front cover
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2
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See footnote 2 under “Key Dates” on the front
cover
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3
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Rounded to three decimal places for the Russell 2000
®
Index and rounded to two decimal places for the S&P 500
®
Index and the EURO STOXX 50
®
Index
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Trade Date
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The closing level of each Underlying (Initial Value) is observed, and the Downside Threshold
and the Coupon Barrier of each Underlying and the Contingent Coupon Rate are determined.
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Quarterly
(callable by JPMorgan Financial
at its election):
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If the closing
level of each Underlying is equal to or greater than its Coupon Barrier on each day during a Quarterly Observation Period,
JPMorgan Financial will pay you a Contingent Coupon on the related Coupon Payment Date.
JPMorgan
Financial may, at its election and upon written notice to DTC, call the Notes on any Quarterly Observation End Date (other
than the Final Valuation Date), regardless of the closing level of any Underlying on that Quarterly Observation End Date.
If JPMorgan Financial elects to call the Notes, JPMorgan Financial will pay you a cash payment per Note equal to the principal
amount
plus
any Contingent Coupon otherwise due for the applicable Quarterly Observation Period, and no further
payments will be made on the Notes.
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Maturity Date
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The
Final Value of each Underlying is determined as of the Final Valuation Date.
If
JPMorgan Financial does not elect to call the Notes and the Final Value of each Underlying is equal to or greater than
its Downside Threshold, at maturity JPMorgan Financial will repay the principal amount equal to $10.00 per Note
plus
any Contingent Coupon otherwise due on the Maturity Date.
If
JPMorgan Financial does not elect to call the Notes and the Final Value of any Underlying is less than its Downside Threshold,
JPMorgan Financial will repay less than the principal amount, if anything, at maturity, resulting in a loss on your principal
amount proportionate to the negative Underlying Return of the Least Performing Underlying, equal to a return of:
$10
× (1 + Least Performing Underlying Return) per Note
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INVESTING IN THE NOTES INVOLVES
SIGNIFICANT RISKS. YOU MAY LOSE SOME OR ALL OF YOUR PRINCIPAL AMOUNT AT MATURITY. YOU MAY RECEIVE FEW OR NO
QUARTERLY CONTINGENT COUPONS DURING THE TERM OF THE NOTES. YOU WILL BE EXPOSED TO THE MARKET RISK OF EACH
UNDERLYING ON EACH DAY OF THE QUARTERLY OBSERVATION PERIODS AND ON THE FINAL VALUATION DATE AND ANY DECLINE
IN THE LEVEL OF ONE UNDERLYING MAY NEGATIVELY AFFECT YOUR RETURN AND WILL NOT BE OFFSET OR MITIGATED BY A
LESSER DECLINE OR ANY POTENTIAL INCREASE IN THE LEVELS OF THE OTHER UNDERLYINGS. ANY PAYMENT ON
THE NOTES, 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 NOTES AND YOU COULD LOSE
YOUR ENTIRE INVESTMENT.
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Quarterly
Observation Periods, Quarterly Observation End Dates and Coupon Payment Dates
Quarterly Observation Periods Ending on the
Following Quarterly Observation End Dates
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Coupon Payment Dates /
Call Settlement Dates (if called)
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August 29, 2017
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September 6, 2017
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November 27, 2017
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December 4, 2017
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February 26, 2018
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March 5, 2018
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May 29, 2018
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June 5, 2018
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August 28, 2018
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September 5, 2018
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November 26, 2018
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December 3, 2018
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February 26, 2019
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March 5, 2019
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May 28, 2019
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June 4, 2019
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August 27, 2019
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September 4, 2019
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November 22, 2019* (the Final Valuation Date)
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December 2, 2019* (the Maturity Date)
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*The Notes are not callable at
JPMorgan Financial’s election on the Final Valuation Date. Thus, the Maturity Date is not a Call Settlement Date.
Each of the Quarterly Observation
End Dates, and therefore the Coupon Payment Dates, is 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.
What
Are the Tax Consequences of the Notes?
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. UBS-1-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 Coupons 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.
Sale, Exchange or Redemption of a Note.
Assuming
the treatment described above is respected, upon a sale or exchange of the Notes (including upon early redemption or redemption
at maturity), you should recognize capital gain or loss equal to the difference between the amount realized on the sale or exchange
and your tax basis in the Notes, which should equal the amount you paid to acquire the Notes (assuming Contingent Coupons are properly
treated as ordinary income, consistent with the position referred to above). This gain or loss should be short-term capital gain
or loss unless you hold the Notes for more than one year, in which case the gain or loss should be long-term capital gain or loss,
whether or not you are an initial purchaser of the Notes at the issue price. The deductibility of capital losses is subject to
limitations. If you sell your Notes between the time your right to a Contingent Coupon is fixed and the time it is paid, it is
likely that you will be treated as receiving ordinary income equal to the Contingent Coupon. Although uncertain, it is possible
that proceeds received from the sale or exchange of your Notes prior to a Quarterly Observation End Date but that can be attributed
to an expected Contingent Coupon payment could be treated as ordinary income. You should consult your tax adviser regarding this
issue.
As described above, 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 Coupons is uncertain, and although we believe it is reasonable to take a position
that Contingent Coupons 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, we expect that Section
871(m) will 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. If necessary, further information regarding the
potential application of Section 871(m) will be provided in the pricing supplement for the Notes. You should consult your tax adviser
regarding the potential application of Section 871(m) to the Notes.
FATCA
. Withholding under legislation commonly
referred to as “FATCA” could apply to payments with respect to the Notes that are treated as U.S.-source “fixed
or determinable annual or periodical” income (“FDAP Income”) for U.S. federal income tax purposes (such as interest,
if the Notes are recharacterized, in whole or in part, as debt instruments, or Contingent Coupons 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.
Key
Risks
An investment in the Notes involves significant risks.
Investing in the Notes is not equivalent to investing directly in any or all of the Underlyings. 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 Notes.
Risks Relating to the Notes Generally
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Your Investment in the Notes May Result in a Loss
— The Notes differ from ordinary debt securities in that JPMorgan
Financial will not necessarily repay the full principal amount of the Notes. If JPMorgan Financial does not elect to call the Notes
and the closing level of any Underlying has declined below its Downside Threshold on the Final Valuation Date, you will be fully
exposed to any depreciation of the Least Performing Underlying from its Initial Value to its Final Value. In this case, JPMorgan
Financial will repay less than the full principal amount at maturity, resulting in a loss of principal that is proportionate to
the negative Underlying Return of the Least Performing Underlying. Under these circumstances, you will lose 1% of your principal
for every 1% that the Final Value of the Least Performing Underlying is less than its Initial Value and could lose your entire
principal amount. As a result, your investment in the Notes may not perform as well as an investment in a security that does not
have the potential for full downside exposure to any Underlying.
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Credit Risks of JPMorgan Financial and JPMorgan Chase & Co.
— The Notes 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 Notes 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 Notes and related guarantees are not, either directly or indirectly, an obligation
of any third party. Any payment to be made on the Notes, 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 Notes 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 Notes and you could lose your entire investment.
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As a Finance Subsidiary, JPMorgan Financial Has No Independent Operations and Limited Assets —
As a finance subsidiary
of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of our securities. Aside
from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our
affiliates to make payments under loans made by us or other intercompany agreements. As a result, we are dependent upon payments
from our affiliates to meet our obligations under the Notes. If these affiliates do not make payments to us and we fail to make
payments on the Notes, you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee
will rank
pari passu
with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
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You Are Not Guaranteed Any Contingent Coupons
— We will not necessarily make periodic coupon payments on the Notes.
If the closing level of any Underlying is less than its Coupon Barrier on any day during a Quarterly Observation Period, we will
not pay you the Contingent Coupon for that Quarterly Observation Period and the Contingent Coupon that would otherwise be payable
will not be accrued and will be lost. This will be the case even if the closing levels of the other Underlyings are greater than
or equal to their respective Coupon Barriers on each day during that Quarterly Observation Period, and even if the closing level
of that Underlying was higher than its Coupon Barrier on every other day during the Quarterly Observation Period. If the closing
level of any Underlying is less than its Coupon Barrier on any day during each Quarterly Observation Period, we will not pay you
any Contingent Coupon during the term of, and you will not receive a positive return on, your Notes. Generally, this non-payment
of the Contingent Coupon coincides with a period of greater risk of principal loss on your Notes.
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Each Quarterly Contingent Coupon Is Based on the Closing Levels of the Underlyings on Each Day During the Applicable Quarterly
Observation Period
— Whether a Contingent Coupon will be payable with respect to a Quarterly Observation Period will
be based solely on the closing levels of the Underlyings on each day during that Quarterly Observation Period. If the closing level
of any Underlying on any day during a Quarterly Observation Period is less than its Coupon Barrier, you will not receive any Contingent
Coupon with respect to that Quarterly Observation Period. As a result, a Contingent Coupon for a Quarterly Observation Period may
be lost after the first day of such period, but you will not know whether you will receive a Contingent Coupon for a Quarterly
Observation Period until the end of the related period.
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Return on the Notes Limited to the Sum of Any Contingent Coupons and You Will Not Participate in Any Appreciation of Any
Underlying
— The return potential of the Notes is limited to the specified Contingent Coupon Rate, regardless of the
appreciation of any Underlying, which may be significant. In addition, the total return on the Notes will vary based on the number
of Quarterly Observation Periods during which the requirements for a Contingent Coupon have been met prior to maturity or JPMorgan
Financial electing to call the Notes. Further, if JPMorgan Financial elects to call the Notes, you will not receive any Contingent
Coupons or any other payments in respect of any Quarterly Observation Periods after the Call Settlement Date. If JPMorgan Financial
does not elect to call the Notes, you may be subject to the risk of decline in the level of each Underlying, even though you are
not able to participate in any potential appreciation of any Underlying. As a result, the return on an investment in the Notes
could be less than the return on a hypothetical direct investment in any Underlying. In addition, if JPMorgan Financial does not
elect to call the Notes and the Final Value of any Underlying is below its Downside Threshold, you will lose some or all of your
principal amount and the overall return on the Notes may be less than the amount that would be paid on a conventional debt security
of JPMorgan Financial of comparable maturity.
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Because the Notes
Are Linked to the Least Performing Underlying, You Are Exposed to Greater Risks of No Contingent Coupons and Sustaining a Significant
Loss on Your Investment at Maturity Than If the Notes Were Linked to a Single
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Underlying
— The
risk that you will not receive any Contingent Coupons and lose some or all of your initial investment in the Notes at maturity
is greater if you invest in the Notes as opposed to substantially similar securities that are linked to the performance of a single
Underlying or to two Underlyings. With three Underlyings, it is more likely that the closing level of an Underlying will be less
than its Coupon Barrier on any day during the Quarterly Observation Periods or less than its Downside Threshold on the Final Valuation
Date. Therefore, it is more likely that you will not receive any Contingent Coupons and that you will suffer a significant loss
on your investment at maturity. In addition, the performance of the Underlyings may not be correlated or may be negatively correlated.
The lower the correlation between
any two of the Underlyings, the greater the potential for one of those Underlyings to close below its Coupon Barrier or Downside
Threshold on any day during a Quarterly Observation Period or the Final Valuation Date, respectively, and with three Underlyings
there is a greater potential that one pair of Underlyings will have low or negative correlation. See “Correlation of the
Underlyings” below. Although the correlation of the Underlyings’ performance may change over the term of the Notes,
the Contingent Coupon Rate is determined, in part, based on the correlation of the Underlyings’ performance, as calculated
using internal models of our affiliates at the time when the terms of the Notes are finalized. A higher Contingent Coupon
Rate is generally associated with lower correlation of the Underlyings, which reflects a greater potential for loss on your investment
at maturity.
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You Are Exposed to the Risk of Decline in the Level of Each Underlying
— Your return on the Notes and your payment
at maturity, if any, is not linked to a basket consisting of the Underlyings. If JPMorgan Financial does not elect to call the
Notes, your payment at maturity is contingent upon the performance of each individual Underlying such that you will be equally
exposed to the risks related to each of the Underlyings. In addition, the performance of the Underlyings may not be correlated.
Poor performance by any of the Underlyings over the term of the Notes may negatively affect whether you will receive a Contingent
Coupon on any Coupon Payment Date and your payment at maturity and will not be offset or mitigated by positive performance by any
of the other Underlyings. Accordingly, your investment is subject to the risk of decline in the value of each Underlying.
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Your Payment at Maturity Will Be Determined By the Least Performing Underlying
— Because the payment at maturity
will be determined based on the performance of the Least Performing Underlying, you will not benefit from the performance of any
of the other Underlyings. Accordingly, if JPMorgan Financial does not elect to call the Notes and the Final Value of any
Underlying is less than its Downside Threshold, you will lose some or all of your principal amount at maturity, even if the Final
Value of either or both of the other Underlyings is greater than or equal to its Initial Value.
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Contingent Repayment of Principal Applies Only If You Hold the Notes to Maturity
— If you are able to sell your
Notes in the secondary market, if any, prior to maturity, you may have to sell them at a loss relative to your initial investment
even if the closing levels of all of the Underlyings are above their respective Downside Thresholds. If by maturity the Notes have
not been called, either JPMorgan Financial will repay you the full principal amount per Note, with or without the Contingent Coupon,
or, if any Underlying closes below its Downside Threshold on the Final Valuation Date, JPMorgan Financial will repay less than
the principal amount, if anything, at maturity, resulting in a loss on your principal amount that is proportionate to the decline
in the closing level of the Least Performing Underlying from its Initial Value to its Final Value. This contingent repayment of
principal applies only if you hold your Notes to maturity.
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A Higher Contingent Coupon Rate and/or a Lower Coupon Barrier and/or Downside Threshold May Reflect Greater Expected Volatility
of the Underlyings, Which Is Generally Associated With a Greater Risk of Loss
— Volatility is a measure of the degree
of variation in the levels of the Underlyings over a period of time.
The greater the expected volatilities of the Underlyings at the time the terms of the Notes are set, the greater the expectation
is at that time that the level of an Underlying could close below its Coupon Barrier on any day during any Quarterly Observation
Period, resulting in the loss of one or more, or all, Contingent Coupon payments, or below its Downside Threshold on the Final
Valuation Date, resulting in the loss of a significant portion or all of your principal at maturity.
In addition, the economic terms of the Notes, including the Contingent Coupon Rate, the Coupon Barrier and the Downside Threshold,
are based, in part, on the expected volatilities of the Underlyings at the time the terms of the Notes are set, where higher expected
volatilities will generally be reflected in a higher Contingent Coupon Rate than the fixed rate we would pay on conventional debt
securities of the same maturity and/or on otherwise comparable securities and/or a lower Coupon Barrier and/or a lower Downside
Threshold as compared to otherwise comparable securities.
Accordingly, a higher Contingent Coupon Rate will generally be indicative of a greater risk of loss while a lower Coupon Barrier
or Downside Threshold does not necessarily indicate that the Notes have a greater likelihood of paying Contingent Coupon payments
or returning your principal at maturity.
You should be willing
to accept the downside market risk of each Underlying and the potential loss of some or all of your principal at maturity.
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Call and Reinvestment Risk
— JPMorgan Financial may, in its sole discretion, elect to call the Notes on any Quarterly
Observation End Date (other than the Final Valuation Date), regardless of the closing level of any Underlying on that Quarterly
Observation End Date. If JPMorgan Financial elects to call your Notes early, you will no longer have the opportunity to receive
any Contingent Coupons after the applicable Call Settlement Date. The first Quarterly Observation End Date, and the first potential
date on which JPMorgan Financial may elect to call the Notes, occurs after approximately three months and therefore you may not
have the opportunity to receive any Contingent Coupons after approximately three months. In the event JPMorgan Financial elects
to call the Notes, there is no guarantee that you will 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.
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It is more likely that JPMorgan
Financial will elect to call the Notes prior to maturity when the expected interest payable on the Notes is greater than the interest
that would be payable on other instruments issued by JPMorgan Financial of comparable maturity, terms and credit rating trading
in the market. The greater likelihood of JPMorgan Financial calling the Notes in that environment increases the risk that you will
not be able to reinvest the proceeds from the called Notes in an equivalent investment with a similar interest rate. JPMorgan Financial
is less likely to call the Notes prior to maturity when the expected interest payable on the Notes is less than the interest that
would be payable on other comparable instruments issued by JPMorgan Financial, which includes when the level of
any of the Underlyings
is less than its Coupon Barrier. Therefore, the Notes are more likely to remain outstanding when the expected interest payable
on the Notes is less than what would be payable on other comparable instruments and when your risk of not receiving a Contingent
Coupon is relatively higher.
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Potential Conflicts
— We and our affiliates play a variety of roles in connection with the issuance of the Notes,
including acting as calculation agent and hedging our obligations under the Notes and making the assumptions used to determine
the pricing of the Notes and the estimated value of the Notes when the terms of the Notes are set, which we refer to as the estimated
value of the Notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests and the economic interests
of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the Notes. In
addition, our and JPMorgan Chase & Co.’s business activities, including hedging and trading activities, could cause our
and JPMorgan Chase & Co.’s economic interests to be adverse to yours and could adversely affect any payment on the Notes
and the value of the Notes. It is possible that hedging or trading activities of ours or our affiliates in connection with the
Notes could result in substantial returns for us or our affiliates while the value of the Notes declines. Please refer to “Risk
Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement for additional information
about these risks.
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The Estimated Value of the Notes Will Be 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 will exceed the estimated value of the Notes because costs associated with selling, structuring and hedging the Notes are
included in the original issue price of the Notes. These costs include the selling commissions, the projected profits, if any,
that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the Notes and the estimated
cost of hedging our obligations under the Notes. See “The Estimated Value of the Notes” in this pricing supplement.
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The Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ from Others’ Estimates
— The estimated value of the Notes is determined by reference to internal pricing models of our affiliates when the terms
of the Notes are set. This estimated value of the Notes is based on market conditions and other relevant factors existing at that
time and assumptions about market parameters, which can include volatility, dividend rates, interest rates and other factors. Different
pricing models and assumptions could provide valuations for the Notes that are greater than or less than the estimated value of
the Notes. In addition, market conditions and other relevant factors in the future may change, and any assumptions may prove to
be incorrect. On future dates, the value of the Notes could change significantly based on, among other things, changes in market
conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements and other relevant factors, which
may impact the price, if any, at which JPMS would be willing to buy Notes from you in secondary market transactions. See “The
Estimated Value of the Notes” in this pricing supplement.
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The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate
— The internal funding rate
used in the determination of the estimated value of the Notes is based on, among other things, our and our affiliates’ view
of the funding value of the Notes as well as the higher issuance, operational and ongoing liability management costs of the Notes
in comparison to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. The use of an internal funding rate
and any potential changes to that rate may have an adverse effect on the terms of the Notes and any secondary market prices of
the Notes. See “The Estimated Value of the Notes” in this pricing supplement.
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The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than
the Then-Current Estimated Value of the Notes for a Limited Time Period
— We generally expect that some of the costs
included in the original issue price of the Notes will be partially paid back to you in connection with any repurchases of your
Notes by JPMS in an amount that will decline to zero over an initial predetermined period. These costs can include selling 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 Notes” in this pricing supplement for additional
information relating to this initial period. Accordingly, the estimated value of your Notes during this initial period may be lower
than the value of the Notes as published by JPMS (and which may be shown on your customer account statements).
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Secondary Market Prices of the Notes Will Likely Be Lower Than the Original Issue Price of the Notes
— Any secondary
market prices of the Notes will likely be lower than the original issue price of the Notes because, among other things, secondary
market prices take into account our internal secondary market funding rates for structured debt issuances and, also, because secondary
market prices (a) exclude selling commissions and (b) may exclude projected hedging profits, if any, and estimated hedging costs
that are included in the original issue price of the Notes. As a result, the price, if any, at which JPMS will be willing to buy
Notes from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you
prior to the Maturity Date could result in a substantial loss to you. See the immediately following risk factor for information
about additional factors that will impact any secondary market prices of the Notes.
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The Notes are not designed to be
short-term trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity. See “—
Lack of Liquidity” below.
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Many Economic and Market Factors Will Impact the Value of the Notes
— As described under “The Estimated
Value of the Notes” in this pricing supplement, the Notes 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 Notes at issuance and their value in the secondary market. Accordingly, 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 levels
of the Underlyings, 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 levels of
the Underlyings;
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the time to maturity of the Notes;
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whether the closing level of any Underlying has been,
or is expected to be, less than its Coupon Barrier on any day during any Quarterly Observation Period and whether the Final Value
of any Underlying is expected to be less than its Downside Threshold;
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the dividend rates on the equity securities underlying
the Underlyings;
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the actual and expected positive or negative correlation
between any two of the Underlyings, or the actual or expected absence of any such correlation;
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interest and yield rates in the market generally;
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the exchange rates and the volatility of the exchange
rates between the U.S. Dollar and each of the currencies in which the equity securities included in the EURO STOXX 50
®
Index trade and the correlation among those rates and the levels of the EURO STOXX 50
®
Index; and
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a variety of other economic, financial, political,
regulatory and judicial events.
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Additionally, independent pricing
vendors and/or third party broker-dealers may publish a price for the Notes, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the Notes, if any, at which JPMS may be willing to purchase your
Notes in the secondary market.
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Investing in the Notes Is Not Equivalent to Investing in the Stocks Composing the Underlyings
— Investing in the
Notes is not equivalent to investing in the stocks included in the Underlyings. As an investor in the Notes, you will not have
any ownership interest or rights in the stocks included in the Underlyings, such as voting rights, dividend payments or other distributions.
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We Cannot Control Actions by the Sponsor of Any Underlying and That Sponsor Has No
Obligation to Consider Your Interests
— We and our affiliates are not affiliated with the sponsor of any 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 that Underlying. The sponsor of each Underlying is not involved in this Note offering
in any way and has no obligation to consider your interest as an owner of the Notes in taking any actions that might affect the
market value of your Notes.
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Your Return on the Notes Will Not Reflect Dividends on the Stocks Composing the Underlyings
— Your return on the
Notes will not reflect the return you would realize if you actually owned the stock included in the Underlyings and received the
dividends on the stock included in the Underlyings. This is because the calculation agent will determine whether a Contingent Coupon
is payable and, if the Notes are not called, will calculate the amount payable to you at maturity of the Notes by reference to
the closing level of each Underlying on each day during the relevant Quarterly Observation Period and the Final Valuation Date,
respectively, without taking into consideration the value of dividends on the stock included in that Underlying.
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No Assurances That the Investment View Implicit in the Notes Will Be Successful
— While the Notes are structured
to provide for Contingent Coupons if each Underlying does not close below its Coupon Barrier on any day during the Quarterly Observation
Periods, we cannot assure you of the economic environment during the term or at maturity of your Notes.
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Lack of Liquidity
— The Notes will not be listed on any securities exchange. JPMS intends to offer to purchase
the Notes in the secondary market, but is not required to do so. Even if there is a secondary market, it may not provide enough
liquidity to allow you to trade or sell the Notes easily. Because other dealers are not likely to make a secondary market for the
Notes, the price at which you may be able to trade your Notes is likely to depend on the price, if any, at which JPMS is willing
to buy the Notes.
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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 Notes, and that may be revised at any time. Any such research, opinions or recommendations may or may not recommend that investors
buy or hold the Underlyings and could affect the level of an Underlying, and therefore the market value of the Notes.
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Tax Treatment
— Significant aspects of the tax treatment of the Notes are uncertain. You should consult your tax
adviser about your tax situation.
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Potential JPMorgan Financial Impact on the Level of an Underlying
— Trading or transactions by JPMorgan Financial
or its affiliates in an Underlying and/or over-the-counter options, futures or other instruments with returns linked to the performance
of an Underlying may adversely affect the level of that Underlying and, therefore, the market value of the Notes.
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The Final Terms and Valuation of the Notes Will Be Finalized on the Trade Date and
Provided in the Pricing Supplement
— The final terms of the Notes will be based on relevant market conditions when the
terms of the Notes 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 Notes and the Contingent Coupon Rate 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 Notes based on the minimums for the estimated value of the Notes and the Contingent
Coupon Rate.
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Risks Relating to the Underlyings
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An Investment in the Notes is Subject to Risks Associated with Small Capitalization Stocks with Respect to the
Russell
2000
®
Index
— The equity securities included in the
Russell
2000
®
Index
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
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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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JPMorgan Chase & Co. Is Currently One of the Companies that Make Up the S&P 500
®
Index —
JPMorgan
Chase & Co. is currently one of the companies that make up the S&P 500
®
Index. JPMorgan Chase & Co.
will not have any obligation to consider your interests as a holder of the Notes in taking any corporate action that might affect
the value of the S&P 500
®
Index and the Notes.
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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, including risks of volatility in those markets, governmental
intervention in those markets and cross shareholdings in companies in certain countries. Also, there is generally less publicly
available information about companies in some of these jurisdictions than about U.S. companies that are subject to the reporting
requirements of the SEC.
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No Direct Exposure to Fluctuations in Foreign Exchange Rates with Respect to the EURO
STOXX 50
®
Index —
The value of the 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. Therefore, if the applicable
currencies appreciate or depreciate relative to the U.S. dollar over the term of the Notes, you will not receive any additional
payment or incur any reduction in any payment on the Notes.
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Hypothetical
Examples
Hypothetical terms only. Actual
terms may vary. See the cover page for actual offering terms.
The examples below illustrate the hypothetical payments
on a Coupon Payment Date, upon an issuer-elected call or at maturity under different hypothetical scenarios for a $10.00 Note on
an offering of the Notes, with the assumptions set forth below.* We cannot predict the closing level of any Underlying on any day
during the term of the Notes, including on any day during any Quarterly Observation Period or on the Final Valuation Date. You
should not take these examples as an indication or assurance of the expected performance of the Notes. Numbers in the examples
below have been rounded for ease of analysis. In these examples, we refer to the Russell 2000
®
Index, the S&P
500
®
Index and the EURO STOXX 50
®
Index as the “RTY Index,” the “SPX Index”
and the “SX5E Index,” respectively.
Principal Amount:
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$10.00
|
Term:
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Approximately 2.5 years (unless earlier called)
|
Hypothetical Initial Value:
|
100.000 for the RTY Index, 100.00 for the SPX Index and 100.00 for the SX5E Index
|
Hypothetical Contingent Coupon Rate:
|
11.00% per annum (or 2.75% per quarter)
|
Quarterly Observation Periods/Quarterly
Observation End Dates:
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Quarterly
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Hypothetical Downside Threshold:
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75.000 for the RTY Index, 75.00 for the SPX Index and 75.00 for the SX5E Index (which, with respect to each Underlying, is 75% of the hypothetical Initial Value of that Underlying)
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Hypothetical Coupon Barrier:
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75.000 for the RTY Index, 75.00 for the SPX Index and 75.00 for the SX5E Index (which, with respect to each Underlying, is 75% of the hypothetical Initial Value of that Underlying)
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*
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Terms
used for purposes of these hypothetical examples may not represent the actual Contingent
Coupon Rate, Initial Values, Coupon Barriers or Downside Thresholds. The actual
Contingent Coupon Rate will be finalized on the Trade Date and provided in the pricing
supplement. The hypothetical Initial Values of 100.000 for the RTY Index,
100.00 for the SPX Index and 100.00 for the SX5E Index have been chosen for illustrative
purposes only and may not represent a likely actual Initial Value for any Underlying. The
actual Initial Value and resulting Downside Threshold and Coupon Barrier of each Underlying
will be based on the closing level of that Underlying on the Trade Date. For
historical data regarding the actual closing levels of the Underlyings, please see the
historical information set forth under the sections titled “The Russell 2000
®
Index,” “The S&P 500
®
Index” and “The
EURO STOXX 50
®
Index” below.
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The examples below are hypothetical. These examples
are intended to illustrate (a) the effect of an issuer-elected call, (b) how the payment of a Contingent Coupon with respect to
any Quarterly Observation Period will depend on whether the closing level of any Underlying is less than its Coupon Barrier on
any day during that Quarterly Observation Period, (c) how the value of the payment at maturity on the Notes will depend on whether
the Final Value of any Underlying is less than its Downside Threshold and (d) how the total return on the Notes may be less than
the total return on a direct investment in any or all Underlyings in certain scenarios. The “total return” as used
in this pricing supplement is the number, expressed as a percentage, that results from comparing the total payments per $10.00
principal amount Note over the term of the Notes to the $10.00 initial issue price.
Example 1 — JPMorgan Financial Elects to
Call the Notes on the First Quarterly Observation End Date
Quarterly
Observation Period
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Lowest
Closing Level During Applicable Quarterly Observation Period
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Payment
(per Note)
|
First Quarterly Observation Period
|
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RTY Index: 105.000
SPX Index: 110.00
SX5E Index: 90.00
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Issuer elects to call the Notes. Closing level of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer pays Contingent Coupon of $0.275 on Call Settlement Date.
|
Total Payments (per $10.00 Note):
|
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Payment on Call Settlement Date:
|
$10.275 ($10.00 + $0.275)
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Total:
|
$10.275
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Total Return:
|
2.75%
|
On the first Quarterly Observation End Date, JPMorgan
Financial elects to call the Notes. Because the closing level of each Underlying is above its applicable Coupon Barrier on each
day during the first Quarterly Observation Period, JPMorgan Financial will pay you on the Call Settlement Date $10.275 per $10.00
principal amount Note, which is equal to your principal amount
plus
the Contingent Coupon due on the Coupon Payment Date
that is also the Call Settlement Date. No further amounts will be owed to you under the Notes.
Example 2 — Notes Are NOT Called and the
Final Value of Each Underlying Is Above Its Downside Threshold
Quarterly
Observation Period
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Lowest
Closing Level During Applicable Quarterly Observation Period
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Final
Value
|
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Payment
(per Note)
|
First Quarterly Observation Period
|
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RTY Index: 115.000
SPX Index: 110.00
SX5E Index: 105.00
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N/A
|
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Notes NOT called at the election of the Issuer. Closing level of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer pays Contingent Coupon of $0.275 on first Coupon Payment Date.
|
Second Quarterly Observation Period
|
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RTY Index: 80.000
SPX Index: 80.00
SX5E Index: 90.00
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N/A
|
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Notes NOT called at the election of the Issuer. Closing level of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer pays Contingent Coupon of $0.275 on second Coupon Payment Date.
|
Third Quarterly Observation Period
|
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RTY Index: 85.000
SPX Index: 80.00
SX5E Index: 45.00
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N/A
|
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Notes NOT called at the election of the Issuer. Closing level of SX5E Index below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent Coupon on third Coupon Payment Date.
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Fourth to Ninth Quarterly Observation Periods
|
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Various (at least one Underlying below Coupon Barrier)
|
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N/A
|
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Notes NOT called at the election of the Issuer. Closing level of at least one Underlying below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent Coupon on any of the fourth to ninth Coupon Payment Dates.
|
Tenth Quarterly Observation Period (the final Quarterly Observation Period)
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RTY Index: 110.000
SPX Index: 85.00
SX5E Index: 80.00
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RTY Index: 110.000
SPX Index: 90.00
SX5E Index: 85.00
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Notes NOT callable. Final Value of each Underlying above its Downside Threshold and closing level of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer repays principal
plus
pays Contingent Coupon of $0.275 on Maturity Date.
|
Total Payments (per $10.00 Note):
|
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Payment at Maturity:
|
$10.275 ($10.00 + $0.275)
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Prior Contingent Coupons:
|
$0.55 ($0.275 × 2)
|
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Total:
|
$10.825
|
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Total Return:
|
8.25%
|
In this example, the Issuer does not elect to call
the Notes and the Notes remain outstanding until maturity. Because the Final Value of each Underlying is greater than or equal
to its Downside Threshold and the closing level of each Underlying is greater than or equal to its Coupon Barrier on each day during
the final Quarterly Observation Period, JPMorgan Financial will pay you on the Maturity Date $10.275 per $10.00 principal amount
Note, which is equal to your principal amount
plus
the Contingent Coupon due on the Coupon Payment Date that is also the
Maturity Date.
In addition, because the closing level of each Underlying
was greater than or equal to its Coupon Barrier on each day during the first and second Quarterly Observation Periods, JPMorgan
Financial will pay the Contingent Coupon of $0.275 on the first and second Coupon Payment Dates. However, because the closing level
of at least one Underlying was less than its Coupon Barrier on at least one day during each of the third through ninth Quarterly
Observation Periods, JPMorgan Financial will not pay any Contingent Coupon on the Coupon Payment Date following the applicable
Quarterly Observation Period. Accordingly, JPMorgan Financial will have paid a total of $10.825 per $10.00 principal amount Note
for a 8.25% total return over the approximately 2.5 year term of the Notes.
Example 3 — Notes Are NOT Called and the
Final Value of Each Underlying Is Above Its Downside Threshold
Quarterly
Observation Period
|
|
Lowest
Closing Level During Applicable Quarterly Observation Period
|
|
Final
Value
|
|
Payment
(per Note)
|
First Quarterly Observation Period
|
|
RTY Index: 115.000
SPX Index: 110.00
SX5E Index: 105.00
|
|
N/A
|
|
Notes NOT called at the election of the Issuer. Closing level of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer pays Contingent Coupon of $0.275 on first Coupon Payment Date.
|
Second Quarterly Observation Period
|
|
RTY Index: 80.000
SPX Index: 80.00
SX5E Index: 90.00
|
|
N/A
|
|
Notes NOT called at the election of the Issuer. Closing level of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer pays Contingent Coupon of $0.275 on second Coupon Payment Date.
|
Third Quarterly Observation Period
|
|
RTY Index: 85.000
SPX Index: 80.00
SX5E Index: 60.00
|
|
N/A
|
|
Notes NOT called at the election of the Issuer. Closing level of SX5E Index below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent Coupon on third Coupon Payment Date.
|
Fourth to Ninth Quarterly Observation Periods
|
|
Various (at least one Underlying below Coupon Barrier)
|
|
N/A
|
|
Notes NOT called at the election of the Issuer. Closing level of at least one Underlying below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent Coupon on any of the fourth to ninth Coupon Payment Dates.
|
Tenth Quarterly Observation Period (the final Quarterly Observation Period)
|
|
RTY Index: 90.000
SPX Index: 80.00
SX5E Index: 60.00
|
|
RTY Index: 110.000
SPX Index: 90.00
SX5E Index: 80.00
|
|
Notes NOT callable. Final Value of each Underlying above its Downside Threshold but closing level of SX5E Index below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer repays principal but does not pay Contingent Coupon.
|
Total Payments (per $10.00 Note):
|
|
Payment at Maturity:
|
$10.00
|
|
|
Prior Contingent Coupons:
|
$0.55
($0.275 × 2)
|
|
|
Total:
|
$10.55
|
|
|
Total Return:
|
5.50%
|
In this example, the Issuer does not elect to call the
Notes and the Notes remain outstanding until maturity. Because the Final Value of each Underlying is greater than or equal to its
Downside Threshold but the closing level of at least one Underlying is less than its Coupon Barrier on at least one day during
the final Quarterly Observation Period, JPMorgan Financial will pay you on the Maturity Date $10.00 per $10.00 principal amount
Note, which is equal to your principal amount, but JPMorgan Financial will not pay any Contingent Coupon on the Maturity Date.
In addition, because the closing level of each Underlying
was greater than or equal to its Coupon Barrier on each day during the first and second Quarterly Observation Periods, JPMorgan
Financial will pay the Contingent Coupon of $0.275 on the first and second Coupon Payment Dates. However, because the closing level
of at least one Underlying was less than its Coupon Barrier on at least one day during each of the third through ninth Quarterly
Observation Periods, JPMorgan Financial will not pay any Contingent Coupon on the Coupon Payment Date following the applicable
Quarterly Observation Period. Accordingly, JPMorgan Financial will have paid a total of $10.55 per $10.00 principal amount Note
for a 5.50% total return over the approximately 2.5 year term of the Notes.
Example 4 — Notes Are NOT Called and the Final Value
of Any Underlying Is Below Its Downside Threshold
Quarterly
Observation Period
|
|
Lowest
Closing Level During Applicable Quarterly Observation Period
|
|
Final
Value
|
|
Payment
(per Note)
|
First Quarterly Observation Period
|
|
RTY Index: 40.000
SPX Index: 45.00
SX5E Index: 30.00
|
|
N/A
|
|
Notes NOT called at the election of the Issuer. Closing level of each Underlying below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent Coupon on first Coupon Payment Date.
|
Second Quarterly Observation Period
|
|
RTY Index: 105.000
SPX Index: 45.00
SX5E Index: 80.00
|
|
N/A
|
|
Notes NOT called at the election of the Issuer. Closing level of SPX Index below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent Coupon on second Coupon Payment Date.
|
Third Quarterly Observation Period
|
|
RTY Index: 90.000
SPX Index: 45.00
SX5E Index: 80.00
|
|
N/A
|
|
Notes NOT called at the election of the Issuer. Closing level of SPX Index below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent Coupon on third Coupon Payment Date.
|
Fourth to Ninth Quarterly Observation Periods
|
|
Various (at least one Underlying below Coupon Barrier)
|
|
N/A
|
|
Notes NOT called at the election of the Issuer. Closing level of at least one Underlying below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent Coupon on any of the fourth to ninth Coupon Payment Dates.
|
Tenth Quarterly Observation Period (the final Quarterly Observation Period)
|
|
RTY Index: 45.000
SPX Index: 100.00
SX5E Index: 80.00
|
|
RTY Index: 45.000
SPX Index: 110.00
SX5E Index: 80.00
|
|
Notes NOT callable. Closing level of RTY Index below its Downside Threshold; Issuer DOES NOT pay Contingent Coupon on Maturity Date, and Issuer will repay less than the principal amount resulting in a loss proportionate to the decline of the Least Performing Underlying.
|
Total Payments (per $10.00 Note):
|
|
Payment at Maturity:
|
$4.50
|
|
|
Prior Contingent Coupons:
|
$0.00
|
|
|
Total:
|
$4.50
|
|
|
Total Return:
|
-55.00%
|
In this example, the Issuer does not elect to call the Notes
and the Notes remain outstanding until maturity. Because the Final Value of at least one Underlying is less than its Downside Threshold
on the Final Valuation Date, at maturity, JPMorgan Financial will pay you a total of $4.50 per $10.00 principal amount, for a -55.00%
total return on the Notes, calculated as follows:
$10.00 × (1 + Least Performing Underlying
Return)
Step 1: Determine the Underlying Return of each Underlying:
Underlying Return of the RTY Index:
Final Value – Initial Value
|
=
|
45.000 – 100.000
|
= -55.00%
|
Initial Value
|
100.000
|
Underlying Return of the SPX Index:
Final Value – Initial Value
|
=
|
110.00 – 100.00
|
= 10.00%
|
Initial Value
|
100.00
|
Underlying Return of the SX5E Index:
Final Value – Initial Value
|
=
|
80.00 – 100.00
|
= -20.00%
|
Initial Value
|
100.00
|
Step 2: Determine the Least Performing Underlying
. The
RTY Index is the Underlying with the lowest Underlying Return.
Step 3: Calculate the Payment at Maturity:
$10.00 × (1 + Least Performing Underlying
Return) = $10.00 × (1 + -55.00%) = $4.50
In addition, because the closing level of at least one Underlying
is less than its Coupon Barrier on at least one day during each Quarterly Observation Period, JPMorgan Financial will not pay any
Contingent Coupons over the term of the Notes.
Accordingly, JPMorgan Financial
will have paid a total
of $4.50 per $10.00 principal amount Note for a -55.00% total return over the
approximately 2.5 year
term
of the Notes.
The hypothetical returns and hypothetical payments
on the Notes shown above apply
only if you hold the Notes for their entire term or until called
. These hypotheticals do
not reflect fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included,
the hypothetical returns and hypothetical payments shown above would likely be lower.
The
Underlyings
Included on the following pages is a brief description
of the Underlyings. This information has been obtained from publicly available sources, without independent verification. Set forth
below is a table that provides the quarterly high and low closing levels of each Underlying. This information given below is for
the four calendar quarters in each of 2012, 2013, 2014, 2015 and 2016 and the first calendar quarter of 2017. Partial data is provided
for the second calendar quarter of 2017. We obtained the closing levels information set forth below from the Bloomberg Professional
®
service (“Bloomberg”), without independent verification. You should not take the historical levels of any Underlying
as an indication of future performance.
The
Russell 2000
®
Index
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 Regarding the Russell 2000
®
Index
The following table sets forth the quarterly high and
low closing levels of the Russell 2000
®
Index, based on daily closing levels of the Russell 2000
®
Index as reported by Bloomberg, without independent verification. The closing level of the Russell 2000
®
Index on
May 24, 2017 was 1,382.509. The actual Initial Value of the Russell 2000
®
Index will be the closing level of the
Russell 2000
®
Index on the Trade Date. We obtained the closing levels of the Russell 2000
®
Index
above and below from Bloomberg, without independent verification. You should not take the historical levels of the Russell 2000
®
Index as an indication of future performance.
Quarter Begin
|
Quarter End
|
Quarterly High
|
Quarterly 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
|
3/31/2017
|
1,413.635
|
1,345.598
|
1,385.920
|
4/1/2017
|
5/24/2017*
|
1,419.431
|
1,345.244
|
1,382.509
|
*
|
As of the date of this pricing supplement, available
information for the second calendar quarter of 2017 includes data for the period from April 1, 2017 through May 24, 2017. Accordingly,
the “Quarterly High,” “Quarterly Low” and “Close” data indicated are for this shortened
period only and do not reflect complete data for the second calendar quarter of 2017.
|
The graph below illustrates the daily performance
of the Russell 2000
®
Index from January 3, 2007 through May 24, 2017, based on information from Bloomberg, without
independent verification. The dotted line represents a hypothetical Downside Threshold and Coupon Barrier of 1,036.882, equal to
75% of the closing level of the Russell 2000
®
Index on May 24, 2017. The actual Downside Threshold and Coupon Barrier
will be based on the closing level of the Russell 2000
®
Index on the Trade Date (the Initial Value) and will each
equal 75% of the Initial Value of the Russell 2000
®
Index.
Past performance of the Russell 2000
®
Index is not indicative of the future performance of the Russell 2000
®
Index.
The
S&P 500
®
Index
The S&P 500
®
Index consists of
stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For additional information about
the S&P 500
®
Index, see the information set forth under “Equity Index Descriptions — The S&P
U.S. Indices” in the accompanying underlying supplement.
Historical Information Regarding the S&P 500
®
Index
The following table sets forth the quarterly high and
low closing levels of the S&P 500
®
Index, based on daily closing levels of the S&P 500
®
Index
as reported by Bloomberg, without independent verification. The closing level of the S&P 500
®
Index on May 24,
2017 was 2,404.39. The actual Initial Value of the S&P 500
®
Index will be the closing level of the S&P 500
®
Index on the Trade Date. We obtained the closing levels of the S&P 500
®
Index above and below from Bloomberg,
without independent verification. You should not take the historical levels of the S&P 500
®
Index as an indication
of future performance.
Quarter Begin
|
Quarter End
|
Quarterly High
|
Quarterly Low
|
Close
|
1/1/2012
|
3/31/2012
|
1,416.51
|
1,277.06
|
1,408.47
|
4/1/2012
|
6/30/2012
|
1,419.04
|
1,278.04
|
1,362.16
|
7/1/2012
|
9/30/2012
|
1,465.77
|
1,334.76
|
1,440.67
|
10/1/2012
|
12/31/2012
|
1,461.40
|
1,353.33
|
1,426.19
|
1/1/2013
|
3/31/2013
|
1,569.19
|
1,457.15
|
1,569.19
|
4/1/2013
|
6/30/2013
|
1,669.16
|
1,541.61
|
1,606.28
|
7/1/2013
|
9/30/2013
|
1,725.52
|
1,614.08
|
1,681.55
|
10/1/2013
|
12/31/2013
|
1,848.36
|
1,655.45
|
1,848.36
|
1/1/2014
|
3/31/2014
|
1,878.04
|
1,741.89
|
1,872.34
|
4/1/2014
|
6/30/2014
|
1,962.87
|
1,815.69
|
1,960.23
|
7/1/2014
|
9/30/2014
|
2,011.36
|
1,909.57
|
1,972.29
|
10/1/2014
|
12/31/2014
|
2,090.57
|
1,862.49
|
2,058.90
|
1/1/2015
|
3/31/2015
|
2,117.39
|
1,992.67
|
2,067.89
|
4/1/2015
|
6/30/2015
|
2,130.82
|
2,057.64
|
2,063.11
|
7/1/2015
|
9/30/2015
|
2,128.28
|
1,867.61
|
1,920.03
|
10/1/2015
|
12/31/2015
|
2,109.79
|
1,923.82
|
2,043.94
|
1/1/2016
|
3/31/2016
|
2,063.95
|
1,829.08
|
2,059.74
|
4/1/2016
|
6/30/2016
|
2,119.12
|
2,000.54
|
2,098.86
|
7/1/2016
|
9/30/2016
|
2,190.15
|
2,088.55
|
2,168.27
|
10/1/2016
|
12/31/2016
|
2,271.72
|
2,085.18
|
2,238.83
|
1/1/2017
|
3/31/2017
|
2,395.96
|
2,257.83
|
2,362.72
|
4/1/2017
|
5/24/2017*
|
2,404.39
|
2,328.95
|
2,404.39
|
*
|
As of the date of this pricing supplement, available
information for the second calendar quarter of 2017 includes data for the period from April 1, 2017 through May 24, 2017. Accordingly,
the “Quarterly High,” “Quarterly Low” and “Close” data indicated are for this shortened
period only and do not reflect complete data for the second calendar quarter of 2017.
|
The graph below illustrates the daily performance
of the S&P 500
®
Index from January 3, 2007 through May 24, 2017, based on information from Bloomberg, without
independent verification. The dotted line represents a hypothetical Downside Threshold and Coupon Barrier of 1,803.29, equal to
75% of the closing level of the S&P 500
®
Index on May 24, 2017. The actual Downside Threshold and Coupon Barrier
will be based on the closing level of the S&P 500
®
Index on the Trade Date (the Initial Value) and will each
equal 75% of the Initial Value of the S&P 500
®
Index.
Past performance of the S&P 500
®
Index is not indicative of the future performance of the S&P 500
®
Index.
The
EURO STOXX 50
®
Index
The EURO STOXX 50
®
Index consists of 50 component
stocks of market sector leaders from within the Eurozone. The EURO STOXX 50
®
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 Securities based on the EURO STOXX 50
®
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 EURO STOXX 50
®
Index, see the information set forth under
“Equity Index Descriptions — The EURO STOXX 50
®
Index” in the accompanying underlying supplement.
Historical Information Regarding the EURO STOXX 50
®
Index
The following table sets forth the quarterly high and
low closing levels of the EURO STOXX 50
®
Index, based on daily closing levels of the EURO STOXX 50
®
Index as reported by Bloomberg, without independent verification. The closing level of the EURO STOXX 50
®
Index
on May 24, 2017 was 3,586.62. The actual Initial Value of the EURO STOXX 50
®
Index will be the closing level of
the EURO STOXX 50
®
Index on the Trade Date. We obtained the closing levels of the EURO STOXX 50
®
Index above and below from Bloomberg, without independent verification. You should not take the historical levels of the EURO STOXX
50
®
Index as an indication of future performance.
Quarter Begin
|
Quarter End
|
Quarterly High
|
Quarterly Low
|
Close
|
1/1/2012
|
3/31/2012
|
2,608.42
|
2,286.45
|
2,477.28
|
4/1/2012
|
6/30/2012
|
2,501.18
|
2,068.66
|
2,264.72
|
7/1/2012
|
9/30/2012
|
2,594.56
|
2,151.54
|
2,454.26
|
10/1/2012
|
12/31/2012
|
2,659.95
|
2,427.32
|
2,635.93
|
1/1/2013
|
3/31/2013
|
2,749.27
|
2,570.52
|
2,624.02
|
4/1/2013
|
6/30/2013
|
2,835.87
|
2,511.83
|
2,602.59
|
7/1/2013
|
9/30/2013
|
2,936.20
|
2,570.76
|
2,893.15
|
10/1/2013
|
12/31/2013
|
3,111.37
|
2,902.12
|
3,109.00
|
1/1/2014
|
3/31/2014
|
3,172.43
|
2,962.49
|
3,161.60
|
4/1/2014
|
6/30/2014
|
3,314.80
|
3,091.52
|
3,228.24
|
7/1/2014
|
9/30/2014
|
3,289.75
|
3,006.83
|
3,225.93
|
10/1/2014
|
12/31/2014
|
3,277.38
|
2,874.65
|
3,146.43
|
1/1/2015
|
3/31/2015
|
3,731.35
|
3,007.91
|
3,697.38
|
4/1/2015
|
6/30/2015
|
3,828.78
|
3,424.30
|
3,424.30
|
7/1/2015
|
9/30/2015
|
3,686.58
|
3,019.34
|
3,100.67
|
10/1/2015
|
12/31/2015
|
3,506.45
|
3,069.05
|
3,267.52
|
1/1/2016
|
3/31/2016
|
3,178.01
|
2,680.35
|
3,004.93
|
4/1/2016
|
6/30/2016
|
3,151.69
|
2,697.44
|
2,864.74
|
7/1/2016
|
9/30/2016
|
3,091.66
|
2,761.37
|
3,002.24
|
10/1/2016
|
12/31/2016
|
3,290.52
|
2,954.53
|
3,290.52
|
1/1/2017
|
3/31/2017
|
3,500.93
|
3,230.68
|
3,500.93
|
4/1/2017
|
5/24/2017*
|
3,658.79
|
3,409.78
|
3,586.62
|
*
|
As of the date of this pricing supplement, available
information for the second calendar quarter of 2017 includes data for the period from April 1, 2017 through May 24, 2017. Accordingly,
the “Quarterly High,” “Quarterly Low” and “Close” data indicated are for this shortened
period only and do not reflect complete data for the second calendar quarter of 2017.
|
The graph below illustrates the daily performance
of the EURO STOXX 50
®
Index from January 2, 2007 through May 24, 2017, based on information from Bloomberg, without
independent verification. The dotted line represents a hypothetical Downside Threshold and Coupon Barrier of 2,689.97, equal to
75% of the closing level of the EURO STOXX 50
®
Index on May 24, 2017. The actual Downside Threshold and Coupon Barrier
will be based on the closing level of the EURO STOXX 50
®
Index on the Trade Date (the Initial Value) and will each
equal 75% of the Initial Value of the EURO STOXX 50
®
Index.
Past performance of the EURO STOXX 50
®
Index
is not indicative of the future performance of the EURO STOXX 50
®
Index.
Correlation
of the Underlyings
The graph below illustrates the daily performance
of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index from
January 3, 2007 through May 24, 2017. For comparison purposes, each Underlying has been normalized to have a closing level of 100.00
on January 3, 2007 by dividing the closing level of that Underlying on each day by the closing level of that Underlying on January
3, 2007 and multiplying by 100.00. We obtained the closing levels used to determine the normalized closing levels set forth below
from Bloomberg, without independent verification.
Past performance of the Underlyings is not indicative
of the future performance of the Underlyings.
The correlation of a pair of Underlyings represents
a statistical measurement of the degree to which the returns of those Underlyings were similar to each other over a given period
in terms of timing and direction (
i.e.
, positive or negative). Set forth below is a table that provides the correlation
of each pair of Underlyings, calculated based on the daily returns of the Underlyings from May 24, 2007 through May 24, 2017, based
on information from Bloomberg, without independent verification. You should not take the historical correlations of the Underlyings
as an indication of future correlation.
|
Russell 2000
®
Index
|
S&P 500
®
Index
|
EURO STOXX 50
®
Index
|
Russell 2000
®
Index
|
—
|
0.924
|
0.546
|
S&P 500
®
Index
|
0.924
|
—
|
0.616
|
EURO STOXX 50
®
Index
|
0.546
|
0.616
|
—
|
A correlation of 1.000 for a pair of Underlyings represents
a perfect positive correlation. This means that the closing levels of that pair of Underlyings have moved in the same direction
and the ratio of their daily returns has been constant. A correlation of -1.000 for a pair of Underlyings represents a perfect
negative correlation. This means that the closing levels of that pair of Underlyings have moved in the opposite direction and the
ratio of their daily returns has been constant. A correlation of 0.000 for a pair of Underlyings means that the Underlyings are
uncorrelated. This means that there is no statistical relationship between the daily returns of that pair of Underlyings. The closer
the correlation of a pair of Underlyings is to 1.000, the more positively correlated those Underlyings are. The closer the correlation
of a pair of Underlyings is to -1.000, the more negatively correlated those Underlyings. The closer the correlation of a pair of
Underlyings is to 0.000, the less correlated those Underlyings are. The lower the correlation between two Underlyings, the greater
the potential for one of those Underlyings to close below its Coupon Barrier or Downside Threshold on any day during a Quarterly
Observation Period or the Final Valuation Date, respectively.
The correlations set forth above are based on the
historical performance of the Underlyings, and you should not take those historical correlations as an indication of future correlation.
In addition, the correlations set forth above are not the same as the correlations referenced in setting the terms of the Notes.
The correlations referenced in setting the terms of the Notes are calculated using internal models of our affiliates and are not
derived from the daily returns of the Underlyings over the period set forth above. Although the correlation of the Underlyings’
performance may change over the term of the Notes, the Contingent Coupon Rate is determined, in part, based on the correlations
of the Underlyings’ performance calculated using internal models of our affiliates at the time when the terms of the Notes
are finalized. A higher Contingent Coupon Rate is generally associated with lower correlation of the Underlyings, which reflects
a greater potential for missed Contingent Coupons and for a loss on your investment at maturity.