Observation Dates and Coupon Payment
Dates
Observation Dates
†
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Coupon Payment Dates
†
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September 28, 2017
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October 2, 2017
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December 28, 2017
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January 2, 2018
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March 28, 2018
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April 3, 2018
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June 28, 2018
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July 2, 2018
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September 28, 2018
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October 2, 2018
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December 28, 2018
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January 2, 2019
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March 28, 2019
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April 1, 2019
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June 28, 2019
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July 2, 2019
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September 30, 2019
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October 2, 2019
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December 30, 2019
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January 2, 2020
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March 30, 2020
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April 1, 2020
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June 29, 2020 (the Final Valuation Date)
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July 2, 2020 (the Maturity Date)
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†
The Notes are not callable until the second Observation
Date, December 28, 2017.
Each of the Observation
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 redemption upon an automatic call or 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 an Observation 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 either or both 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 the Notes are not called and the closing level
of either Underlying has declined below its Downside Threshold on the Final Valuation Date, you will be fully exposed to any depreciation
of the Lesser 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 Lesser Performing Underlying. Under these circumstances, you will lose 1% of your principal for every 1% that the Final
Value of the Lesser 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 either 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 either Underlying on an Observation Date is less than its Coupon Barrier, we will not pay you the Contingent
Coupon for that Observation Date even if the closing level of the other Underlying is greater than or equal to its Coupon Barrier
on that Observation Date, and the Contingent Coupon that would otherwise be payable will not be accrued and will be lost. If the
closing level of either Underlying is less than its Coupon Barrier on each of the Observation Dates, 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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Return on the Notes Limited to the Sum of Any Contingent Coupons and You Will Not Participate in Any Appreciation of Either
Underlying
— The return potential of the Notes is limited to the specified Contingent Coupon Rate, regardless of the
appreciation of either Underlying, which may be significant. In addition, the total return on the Notes will vary based on the
number of Observation Dates on which the requirements for a Contingent Coupon have been met prior to maturity or an automatic call.
Further, if the Notes are called, you will not receive any Contingent Coupons or any other payments in respect of any Observation
Dates after the Call Settlement Date. Because the Notes could be called as early as the second Observation Date, the total return
on the Notes could be minimal. If the Notes are not called, 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 either Underlying. Generally, the longer the
Notes remain outstanding, the less likely it is that they will be automatically called, due to the decline in the level of one
or both of the Underlyings and the shorter time remaining for the level of either Underlying to recover to or above its Initial
Value on a subsequent Observation Date. As a result, the return on an investment in the Notes could be less than the return
on a hypothetical direct investment in either Underlying. In addition, if the Notes are not called and the Final Value of either
Underlying is below its Downside Threshold, you will have a loss on 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 Lesser 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 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. With two Underlyings, it is more likely that the closing level of either Underlying will be less than its Coupon Barrier
on the Observation Dates 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.
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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 an Observation
Date or the Final Valuation Date, respectively. 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. Furthermore, because the closing level
of each Underlying must be greater than or equal to its Initial Value on a quarterly Observation Date (after an initial six-month
non-call period) in order for the notes to be automatically called prior to maturity, the Notes are less likely to be automatically
called on any Observation Date than if the Notes were linked to a single Underlying.
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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 the Notes have not been automatically called,
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 either of the Underlyings. In addition, the performance of the Underlyings may not be correlated. Poor
performance by either 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 the
other Underlying. 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 Lesser Performing Underlying
— Because the payment at maturity
will be determined based on the performance of the Lesser Performing Underlying, you will not benefit from the performance of the
other Underlying. Accordingly, if the Notes have not been automatically called and the Final Value of either 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 the
other Underlying 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 both 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
plus
the Contingent Coupon, or,
if either 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 Lesser 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 Observation Date, 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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Reinvestment Risk
— If your Notes are called early, the holding period over which you would have the opportunity
to receive any Contingent Coupons could be as short as approximately six months. There is no guarantee that you would be able to
reinvest the proceeds from an investment in the Notes at a comparable return and/or with a comparable interest rate for a similar
level of risk in the event the Notes are called prior to the maturity date.
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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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Each Contingent Coupon Is Based Solely on the Closing Levels of the Underlyings on the Applicable Observation Date
—
Whether a Contingent Coupon will be payable with respect to an Observation Date will be based solely on the closing levels of the
Underlyings on that Observation Date. As a result, you will not know whether you will receive a Contingent Coupon until the related
Observation Date. Moreover, because each Contingent Coupon is based solely on the closing levels of the Underlyings on the applicable
Observation Date, if the closing level of either Underlying is less than its Coupon Barrier, you will not receive any Contingent
Coupon with respect to that Observation Date, even if the closing level of the other Underlying is equal to or greater than
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its Coupon Barrier and even if the closing level
of that Underlying was higher on other days during the period before that Observation Date.
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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 either Underlying has been, or is expected to be, less than its Coupon Barrier on any Observation
Date and whether the Final Value of either 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 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 MSCI EAFE
®
Index trade and the correlation among those rates and the levels of
the MSCI EAFE
®
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 Either Underlying and That Sponsor Has
No Obligation to Consider Your Interests
— We and our affiliates are not affiliated with the sponsor of either 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 the Notes will
be called and 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 the relevant Observation Date, 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 the Observation Dates, 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.
|
|
♦
|
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.
|
Risks Relating to the Underlyings
|
♦
|
Non-U.S. Securities Risk with Respect to the MSCI EAFE
®
Index —
The equity securities included in the MSCI EAFE
®
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.
|
|
♦
|
The Notes Are Subject to Currency Exchange Risk
with Respect to the MSCI EAFE
®
Index
— Because the prices of the equity
securities
included in the
MSCI EAFE
®
Index
are converted into U.S. dollars for purposes of calculating
the level of the
MSCI EAFE
®
Index
, holders of the Notes will be exposed
to currency exchange rate risk with respect to each of the currencies in which the equity
securities
included in the
MSCI EAFE
®
Index
trade. Your net exposure will depend
on the extent to which those currencies strengthen or weaken against the U.S. dollar and the relative weight of equity
securities
included in the
MSCI EAFE
®
Index
denominated in each of those currencies.
If, taking into account the relevant weighting, the U.S. dollar strengthens against those currencies, the level of the
MSCI
EAFE
®
Index
will be adversely affected and any payment on the Notes may be reduced. Of particular importance
to potential currency exchange risk are:
|
|
♦
|
existing and expected rates of inflation;
|
|
♦
|
existing and expected interest rate levels;
|
|
♦
|
the balance of payments in the countries issuing those currencies and the United States and between each country and its major
trading partners;
|
|
♦
|
political, civil or military unrest in the countries issuing those currencies and the United States; and
|
|
♦
|
the extent of government surpluses or deficits in the countries issuing those currencies and the United States.
|
All of these factors are in turn sensitive to
the monetary, fiscal and trade policies pursued by the governments of the countries issuing those currencies and the United States
and other countries important to international trade and finance.
|
♦
|
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 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.
|
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 automatic 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 either Underlying on any day during the
term of the Notes, including on any Observation 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 MSCI EAFE
®
Index and the Russell 2000
®
Index as the “MXEA Index” and the “RTY
Index,” respectively.
Principal Amount:
|
$10.00
|
Term:
|
Approximately 3 years (unless earlier called)
|
Hypothetical Initial Value:
|
100.00 for the MXEA Index and 100.000 for the RTY Index
|
Hypothetical Contingent Coupon Rate:
|
6.20% per annum (or 1.55% per quarter), based on the bottom of the range of 6.20% to 7.20% per annum
|
Observation Dates:
|
Quarterly (callable after six months)
|
Hypothetical Downside Threshold:
|
70.00 for the MXEA Index and 70.000 for the RTY Index (which, with respect to each Underlying, is 70% of the hypothetical Initial Value of that Underlying)
|
Hypothetical Coupon Barrier:
|
70.00 for the MXEA Index and 70.000 for the RTY Index (which, with respect to each Underlying, is 70% of the hypothetical Initial Value of that Underlying)
|
*
|
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 100.00 for the MXEA Index and 100.000 for the RTY Index have been chosen for illustrative purposes only and may not represent a likely actual Initial Value for either 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 MSCI EAFE
®
Index” and “The Russell 2000
®
Index” below.
|
The examples below are purely hypothetical. These examples are
intended to illustrate (a) under what circumstances the Notes will be subject to an automatic call, (b) how the payment of a Contingent
Coupon with respect to any Observation Date will depend on whether the closing level of either Underlying on that Observation Date
is less than its Coupon Barrier, (c) how the value of the payment at maturity on the Notes will depend on whether the Final Value
of either 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 either or both 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 — Notes Are Automatically Called on
the Second Observation Date
Date
|
|
Closing Level
|
|
Payment (per Note)
|
First Observation Date
|
|
MXEA Index:
105.00
|
|
Closing level of each Underlying above its Initial Value; Notes NOT automatically callable because Observation Date is prior to the second Observation Date. Closing level of each Underlying above its Coupon Barrier; Issuer pays Contingent Coupon of $0.155 on first Coupon Payment Date.
|
RTY Index:
110.000
|
Second Observation Date
|
|
MXEA Index:
110.00
|
|
Closing level of each Underlying at or above its Initial Value; Notes are automatically called; Issuer repays principal
plus
pays Contingent Coupon of $0.155 on Call Settlement Date.
|
RTY Index:
115.000
|
Total Payments (per $10.00 Note):
|
|
Payment on Call Settlement Date:
|
$10.155 ($10.00 + $0.155)
|
|
|
Prior Contingent Coupons:
|
$0.155 ($0.155 × 1)
|
|
|
Total:
|
$10.31
|
|
|
Total Return:
|
3.10%
|
Because the closing level of each Underlying is greater than
or equal to its Initial Value on the second Observation Date (which is approximately six months after the Trade Date and is the
first Observation Date on which the Notes are callable), the Notes are automatically called on that Observation Date. JPMorgan
Financial will pay you on the Call Settlement Date $10.155 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.
In addition, because the closing level of each Underlying was
greater than or equal to its Coupon Barrier on the first Observation Date, JPMorgan Financial will pay the Contingent Coupon of
$0.155 on the first Coupon Payment Date. Accordingly, JPMorgan Financial will have paid a total of $10.31 per $10.00 principal
amount Note for a 3.10% total return over the shortened six (6) month term of the Notes as a result of the automatic call.
Example 2 — Notes Are NOT Automatically Called
and the Final Value of Each Underlying Is Above Its Downside Threshold and Coupon Barrier
Date
|
|
Closing Level
|
|
Payment (per Note)
|
First Observation Date
|
|
MXEA Index:
115.00
|
|
Closing level of each Underlying above its Initial Value; Notes NOT automatically callable because Observation Date is prior to the second Observation Date. Closing level of each Underlying above its Coupon Barrier; Issuer pays Contingent Coupon of $0.155 on first Coupon Payment Date.
|
RTY Index:
110.000
|
Second Observation Date
|
|
MXEA Index:
80.00
|
|
Closing level of each Underlying below its Initial Value; Notes NOT automatically called. Closing level of each Underlying above its Coupon Barrier; Issuer pays Contingent Coupon of $0.155 on second Coupon Payment Date.
|
RTY Index:
75.000
|
Third Observation Date
|
|
MXEA Index:
85.00
|
|
Closing level of each Underlying below its Initial Value; Notes NOT automatically called. Closing level of RTY Index below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on third Coupon Payment Date.
|
RTY Index:
60.000
|
Fourth to Eleventh Observation Dates
|
|
Various (below Coupon Barrier)
|
|
Closing level of each Underlying below its Initial Value; Notes NOT automatically called. Closing level of each Underlying below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on any of the fourth to eleventh Coupon Payment Dates.
|
Twelfth Observation Date (the Final Valuation Date)
|
|
MXEA Index:
110.00
|
|
Closing level of RTY Index below its Initial Value; Notes NOT automatically called. Final Value of each Underlying above its Downside Threshold; Issuer repays principal
plus
pays Contingent Coupon of $0.155 on Maturity Date.
|
RTY Index:
80.000
|
Total Payments (per $10.00 Note):
|
|
Payment at Maturity:
|
$10.155 ($10.00 + $0.155)
|
|
|
Prior Contingent Coupons:
|
$0.31 ($0.155 × 2)
|
|
|
Total:
|
$10.465
|
|
|
Total Return:
|
4.65%
|
Because the closing level of at least one Underlying was less
than its Initial Value on each Observation Date on and after the second Observation Date (which is approximately six months after
the Trade Date and is the first Observation Date on which the Notes are callable), the Notes are not automatically called. Because
the Final Value of each Underlying is greater than or equal to its Downside Threshold, JPMorgan Financial will pay you on the Maturity
Date $10.155 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 the first and second Observation Dates, JPMorgan Financial will pay the Contingent Coupon of $0.155
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 the third through eleventh Observation Dates, JPMorgan Financial will not pay any Contingent Coupon on the Coupon Payment
Dates following those Observation Dates. Accordingly, JPMorgan Financial will have paid a total of $10.465 per $10.00 principal
amount Note for a 4.65% total return over the approximately three (3) year term of the Notes.
Example 3 — Notes Are NOT Automatically Called and the Final Value of
Either Underlying Is Below Its Downside Threshold
Date
|
|
Closing Level
|
|
Payment (per Note)
|
First Observation Date
|
|
MXEA Index:
55.00
|
|
Closing level of each Underlying below its Initial Value; Notes NOT automatically callable because Observation Date is prior to the second Observation Date. Closing level of each Underlying below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on first Coupon Payment Date.
|
RTY Index:
60.000
|
Second Observation Date
|
|
MXEA Index:
105.00
|
|
Closing level of the RTY Index below its Initial Value; Notes NOT automatically called. Closing level of RTY Index below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on second Coupon Payment Date.
|
RTY Index:
60.000
|
Third Observation Date
|
|
MXEA Index:
90.00
|
|
Closing level of each Underlying below its Initial Value; Notes NOT automatically called. Closing level of RTY Index below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on third Coupon Payment Date.
|
RTY Index:
60.000
|
Fourth to Eleventh Observation Dates
|
|
Various (below Coupon Barrier)
|
|
Closing level of each Underlying below its Initial Value; Notes NOT automatically called. Closing level of each Underlying below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on any of the fourth to eleventh Coupon Payment Dates.
|
Twelfth Observation Date (the Final Valuation Date)
|
|
MXEA Index:
45.00
|
|
Closing level of MXEA Index below its Initial Value; Notes NOT automatically called. Closing level of MXEA 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 Lesser Performing Underlying.
|
RTY Index:
110.000
|
Total Payments (per $10.00 Note):
|
|
Payment at Maturity:
|
$4.50
|
|
|
Prior Contingent Coupons:
|
$0.00
|
|
|
Total:
|
$4.50
|
|
|
Total Return:
|
-55.00%
|
Because the closing level of at least one Underlying is less
than its Initial Value on each Observation Date on and after the second Observation Date (which is approximately six months after
the Trade Date and is the first Observation Date on which the Notes are callable), the Notes are not automatically called. 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 Note, for a -55.00% total return on the Notes, calculated as
follows:
$10.00 × (1 + Lesser Performing Underlying Return)
Step 1: Determine the Underlying Return of each Underlying:
Underlying Return of the MXEA Index:
(Final Value – Initial Value)
|
=
|
45.00 – 100.00
|
= -55.00%
|
Initial Value
|
100.00
|
Underlying Return of the RTY Index:
(Final Value – Initial Value)
|
=
|
110.000 – 100.000
|
= 10.00%
|
Initial Value
|
100.000
|
Step 2: Determine the Lesser Performing Underlying.
The MXEA Index
is the Underlying with the lower Underlying Return.
Step 3: Calculate the Payment at Maturity:
$10.00 × (1 + Lesser 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 each Observation Date, 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 three (3) 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 automatically called
. These hypotheticals do
not reflect fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included,
the hypothetical 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 either Underlying
as an indication of future performance.
The
MSCI EAFE
®
Index
The MSCI EAFE
®
Index is a free float-adjusted market
capitalization index intended to measure the equity market performance of certain developed markets in Europe, Asia, Australia
and New Zealand. The MSCI EAFE
®
Index is calculated daily in U.S. dollars. The MSCI
EAFE
®
Index currently consists of 21 developed market country indices. For additional information about the MSCI
EAFE
®
Index, see the information set forth under “Equity Index Descriptions — The MSCI Indices”
in the accompanying underlying supplement.
Historical Information Regarding the MSCI EAFE
®
Index
The following table sets forth the quarterly high and low closing
levels of the MSCI EAFE
®
Index, based on daily closing levels of the MSCI EAFE
®
Index as reported
by Bloomberg, without independent verification. The closing level of the MSCI EAFE
®
Index on June 21, 2017 was 1,882.65.
The actual Initial Value of the MSCI EAFE
®
Index will be the closing level of the MSCI EAFE
®
Index
on the Trade Date. We obtained the closing levels of the MSCI EAFE
®
Index above and below from Bloomberg, without
independent verification. You should not take the historical levels of the MSCI EAFE
®
Index as an indication of
future performance.
Quarter Begin
|
Quarter End
|
Quarterly High
|
Quarterly Low
|
Close
|
1/1/2012
|
3/31/2012
|
1,586.11
|
1,405.10
|
1,553.46
|
4/1/2012
|
6/30/2012
|
1,570.08
|
1,308.01
|
1,423.38
|
7/1/2012
|
9/30/2012
|
1,569.91
|
1,363.52
|
1,510.76
|
10/1/2012
|
12/31/2012
|
1,618.92
|
1,467.33
|
1,604.00
|
1/1/2013
|
3/31/2013
|
1,713.66
|
1,604.15
|
1,674.30
|
4/1/2013
|
6/30/2013
|
1,781.84
|
1,598.66
|
1,638.94
|
7/1/2013
|
9/30/2013
|
1,844.39
|
1,645.23
|
1,818.23
|
10/1/2013
|
12/31/2013
|
1,915.60
|
1,790.27
|
1,915.60
|
1/1/2014
|
3/31/2014
|
1,940.23
|
1,796.86
|
1,915.69
|
4/1/2014
|
6/30/2014
|
1,992.69
|
1,882.24
|
1,972.12
|
7/1/2014
|
9/30/2014
|
1,995.49
|
1,846.08
|
1,846.08
|
10/1/2014
|
12/31/2014
|
1,848.79
|
1,714.64
|
1,774.89
|
1/1/2015
|
3/31/2015
|
1,900.90
|
1,697.01
|
1,849.34
|
4/1/2015
|
6/30/2015
|
1,949.49
|
1,842.46
|
1,842.46
|
7/1/2015
|
9/30/2015
|
1,894.42
|
1,609.50
|
1,644.40
|
10/1/2015
|
12/31/2015
|
1,779.25
|
1,654.98
|
1,716.28
|
1/1/2016
|
3/31/2016
|
1,716.28
|
1,492.43
|
1,652.04
|
4/1/2016
|
6/30/2016
|
1,716.51
|
1,520.94
|
1,608.45
|
7/1/2016
|
9/30/2016
|
1,734.72
|
1,573.30
|
1,701.69
|
10/1/2016
|
12/31/2016
|
1,704.84
|
1,614.17
|
1,684.00
|
1/1/2017
|
3/31/2017
|
1,812.06
|
1,676.93
|
1,792.98
|
4/1/2017
|
6/21/2017*
|
1,916.37
|
1,774.47
|
1,882.65
|
*
|
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 June 21, 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 MSCI EAFE
®
Index from January 2, 2007 through June 21, 2017, based on information from Bloomberg, without independent verification. The dotted
line represents a hypothetical Downside Threshold and Coupon Barrier of 1,317.86, equal to 70% of the closing level of the MSCI
EAFE
®
Index on June 21, 2017. The actual Downside Threshold and Coupon Barrier will be based on the closing level
of the MSCI EAFE
®
Index on the Trade Date (the Initial Value) and will each equal 70% of the Initial Value of the
MSCI EAFE
®
Index.
Past performance of the MSCI EAFE
®
Index
is not indicative of the future performance of the
MSCI EAFE
®
Index.
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 June 21, 2017 was
1,399.255. 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
|
6/21/2017*
|
1,425.985
|
1,345.244
|
1,399.255
|
*
|
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 June 21, 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 June 21, 2017, based on information from Bloomberg, without independent verification. The dotted
line represents a hypothetical Downside Threshold and Coupon Barrier of 979.479, equal to 70% of the closing level of the Russell
2000
®
Index on June 21, 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 70% 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.
Correlation
of the Underlyings
The graph below illustrates the daily performance of the MSCI EAFE
®
Index and the Russell 2000
®
Index from January 3, 2007 through June 21, 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 quarterly returns of the Underlyings from June 21, 2007 through June 21, 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.
|
MSCI EAFE
®
Index
|
Russell 2000
®
Index
|
MSCI EAFE
®
Index
|
—
|
0.845
|
Russell 2000
®
Index
|
0.845
|
—
|
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 quarterly 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 quarterly
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 quarterly 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 Observation Date 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
quarterly 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.