Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this
pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
Pricing supplement to product supplement no.
4-I dated April 15, 2016, underlying supplement no. 1-I dated April 15, 2016
and the prospectus and prospectus supplement, each dated April 15, 2016
Key
Terms
Issuer:
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of
JPMorgan Chase & Co.
Guarantor:
JPMorgan Chase & Co.
Underlyings:
The Russell 2000
®
Index (Bloomberg ticker: RTY) ( the “Index”), the PowerShares QQQ Trust
SM
,
Series 1 (Bloomberg ticker: QQQ) and the iShares
®
MSCI EAFE ETF (Bloomberg ticker: EFA) (each of the PowerShares
QQQ Trust
SM
, Series 1, and the iShares
®
MSCI EAFE ETF, a “Fund” and collectively, the “Funds”)
(each of the Index and the Funds, an “Underlying” and collectively, the “Underlyings”)
Contingent
Interest
Payments:
If the notes have not been automatically called and the closing value of each Underlying on any Interest Review Date is
greater than or equal to its Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal
amount note a Contingent Interest Payment equal to $5.00 (equivalent to a Contingent Interest Rate of 6.00% per annum, payable
at a rate of 0.50% per month).
If the closing value of any Underlying on any Interest Review Date
is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Interest Review Date.
Contingent
Interest
Rate:
6.00% per annum, payable at a rate of 0.50% per month
Interest Barrier / Trigger Value:
With respect to each Underlying, at most 67.00% of its Initial Value (to be provided in the pricing supplement)
Pricing
Date:
On or about June 29, 2017
Original
Issue Date (Settlement Date):
On or about July 5, 2017
Interest
Review Dates*:
July 31, 2017, August 29, 2017, September 29, 2017, October 30, 2017, November 29, 2017, December 29,
2017, January 29, 2018, February 28, 2018, March 29, 2018, April 30, 2018, May 29, 2018, June 29, 2018, July 30, 2018, August 29,
2018, October 1, 2018, October 29, 2018, November 29, 2018, December 31, 2018, January 29, 2019, February 28, 2019, March 29, 2019,
April 29, 2019, May 29, 2019, July 1, 2019, July 29, 2019, August 29, 2019, September 30, 2019, October 29, 2019, November 29,
2019, December 30, 2019, January 29, 2020, March 2, 2020, March 30, 2020, April 29, 2020, May 29, 2020 and June 29, 2020 (the “final
Review Date”)
Interest
Payment Dates*:
August 3, 2017, September 1, 2017, October 4, 2017, November 2, 2017, December 4, 2017, January 4, 2018,
February 1, 2018, March 5, 2018, April 4, 2018, May 3, 2018, June 1, 2018, July 5, 2018, August 2, 2018, September 4, 2018, October
4, 2018, November 1, 2018, December 4, 2018, January 4, 2019, February 1, 2019, March 5, 2019, April 3, 2019, May 2, 2019, June
3, 2019, July 5, 2019, August 1, 2019, September 4, 2019, October 3, 2019, November 1, 2019, December 4, 2019, January 3, 2020,
February 3, 2020, March 5, 2020, April 2, 2020, May 4, 2020, June 3, 2020 and the Maturity Date
Autocall Review Dates*:
December 29, 2017, March 29, 2018, June 29, 2018, October 1, 2018, December 31, 2018, March 29, 2019, July 1, 2019, September
30, 2019, December 30, 2019 and March 30, 2020
|
Call Settlement Date*:
If the notes are automatically called on any Autocall Review Date, the first Interest Payment Date immediately following
that Autocall Review Date
Automatic Call:
If the closing value of each Underlying on any Autocall Review Date
is greater than or equal to its Initial Value, the notes will be automatically called for a cash payment, for each $1,000 principal
amount note, equal to (a) $1,000
plus
(b) the Contingent Interest Payment applicable to the Interest Review Date corresponding
to that Autocall Review Date, payable on the applicable Call Settlement Date. No further payments will be made on the notes.
Maturity
Date*:
July 2, 2020
Payment at Maturity:
If the notes have not been automatically called and the Final Value
of each Underlying is greater than or equal to its Trigger Value, you will receive a cash payment at maturity, for each $1,000
principal amount note, equal to (a) $1,000
plus
(b) the Contingent Interest Payment applicable to the final Review Date.
If the notes have not been automatically called and the Final Value
of any Underlying is less than its Trigger Value, your payment at maturity per $1,000 principal amount note will be calculated
as follows:
$1,000 + ($1,000 × Least Performing Underlying
Return)
If the notes have not been automatically called and the Final Value
of any Underlying is less than its Trigger Value, you will lose more than 33.00% of your principal amount at maturity and could
lose all of your principal amount at maturity.
Least Performing Underlying:
The Underlying with the Least Performing Underlying Return
Least Performing Underlying Return:
The lowest of the Underlying Returns of the Underlyings
Underlying Return:
With respect to each Underlying,
(Final Value – Initial Value)
Initial Value
Initial
Value:
With respect to each Underlying
, t
he closing
value of that Underlying on the Pricing Date
Final
Value:
With respect to each Underlying, the closing value of that Underlying on the
final Review Date
Share
Adjustment Factor:
With respect to each Fund, Share Adjustment Factor is referenced
in determining the closing value of that Fund and is set equal to 1.0 on the Pricing Date. The Share Adjustment Factor of each
Fund is subject to adjustment upon the occurrence of certain events affecting that Fund. See “The Underlyings — Funds
— Anti-Dilution Adjustments” in the accompanying product supplement for further information.
* 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
|
PS-
1
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Russell 2000
®
Index, the PowerShares QQQ Trust
SM
, Series 1 and the iShares
®
MSCI EAFE ETF
|
|
Supplemental
Terms of the Notes
All references in this pricing supplement to the
closing value of the Index mean the closing level of the Index as defined in the accompanying product supplement, and all references
in this pricing supplement to the closing value of each Fund mean the closing price of one share of that Fund as defined in the
accompanying product supplement.
How
the Notes Work
Payments in Connection with Interest Review
Dates Preceding the Final Review Date That Are Not Autocall Review Dates
PS-
2
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Russell 2000
®
Index, the PowerShares QQQ Trust
SM
, Series 1 and the iShares
®
MSCI EAFE ETF
|
|
Payment at Maturity If
the Notes Have Not Been Automatically Called
PS-
3
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Russell 2000
®
Index, the PowerShares QQQ Trust
SM
, Series 1 and the iShares
®
MSCI EAFE ETF
|
|
Total Contingent Interest Payments
The table below illustrates the hypothetical total
Contingent Interest Payments per $1,000 principal amount note over the term of the notes based on a hypothetical Contingent Interest
Rate of 6.00% per annum, depending on how many Contingent Interest Payments are made prior to automatic call or maturity. The actual
Contingent Interest Rate will be provided in the pricing supplement and will be at least 6.00% per annum.
Number of Contingent Interest
Payments
|
Total Contingent Interest
Payments
|
36
|
$180.00
|
35
|
$175.00
|
34
|
$170.00
|
33
|
$165.00
|
32
|
$160.00
|
31
|
$155.00
|
30
|
$150.00
|
29
|
$145.00
|
28
|
$140.00
|
27
|
$135.00
|
26
|
$130.00
|
25
|
$125.00
|
24
|
$120.00
|
23
|
$115.00
|
22
|
$110.00
|
21
|
$105.00
|
20
|
$100.00
|
19
|
$95.00
|
18
|
$90.00
|
17
|
$85.00
|
16
|
$80.00
|
15
|
$75.00
|
14
|
$70.00
|
13
|
$65.00
|
12
|
$60.00
|
11
|
$55.00
|
10
|
$50.00
|
9
|
$45.00
|
8
|
$40.00
|
7
|
$35.00
|
6
|
$30.00
|
5
|
$25.00
|
4
|
$20.00
|
3
|
$15.00
|
2
|
$10.00
|
1
|
$5.00
|
0
|
$0.00
|
PS-
4
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Russell 2000
®
Index, the PowerShares QQQ Trust
SM
, Series 1 and the iShares
®
MSCI EAFE ETF
|
|
Hypothetical
Payout Examples
The following examples illustrate payments on
the notes linked to three hypothetical Underlyings, assuming a range of performances for the hypothetical Least Performing Underlying
on the Interest Review Dates and the Autocall Review Dates.
Each hypothetical payment set forth below assumes that the closing
value of each Underlying that is not the Least Performing Underlying on (i) each Autocall Review Date is greater than or equal
to its Initial Value and (ii) on each Interest Review Date is greater than or equal to its Interest Barrier (and therefore its
Trigger Value).
In addition, the hypothetical payments set forth
below assume the following:
|
·
|
an Initial Value for the Least Performing Underlying of 100.00;
|
|
·
|
an Interest Barrier and a Trigger Value for the Least Performing Underlying of 67.00 (equal to 67.00% of its hypothetical Initial
Value); and
|
|
·
|
a Contingent Interest Rate of 6.00% per annum (payable at a rate of 0.50% per month).
|
The hypothetical Initial Value of the Least
Performing Underlying of 100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial Value
of any Underlying. The actual Initial Value of each Underlying will be the closing value of that Underlying on the Pricing Date
and will be provided in the pricing supplement. For historical data regarding the actual closing values of each Underlying, please
see the historical information set forth under “The Underlyings” in this pricing supplement.
Each hypothetical payment set forth below is
for illustrative purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing
in the following examples have been rounded for ease of analysis.
Example 1 — Notes are automatically
called on the first Autocall Review Date.
Date
|
Closing Value of Least Performing Underlying
|
Payment (per $1,000 principal amount note)
|
First Interest Review Date
|
105.00
|
$5.00
|
Second Interest Review Date
|
50.00
|
$0
|
Third through Fifth Interest Review Dates
|
Less than Interest Barrier
|
$0
|
Sixth Interest Review Date (First Autocall Review Date)
|
110.00
|
$1,005.00
|
|
Total Payment
|
$1,010.00 (1.00% return)
|
Because the closing value of each Underlying
on the first Autocall Review Date, which is also the sixth Interest Review Date, is greater than or equal to its Initial Value,
the notes will be automatically called for a cash payment, for each $1,000 principal amount note, of $1,005.00 (or $1,000
plus
the Contingent Interest Payment applicable to the sixth Interest Review Date), payable on the applicable Call Settlement Date.
When added to the Contingent Interest Payments received with respect to the prior Interest Review Dates, the total amount paid,
for each $1,000 principal amount note, is $1,010.00. No further payments will be made on the notes.
Example 2 — Notes have NOT been automatically
called and the Final Value of the Least Performing Underlying is greater than or equal to its Trigger Value.
Date
|
Closing Value of Least Performing Underlying
|
Payment (per $1,000 principal amount note)
|
First Interest Review Date
|
95.00
|
$5.00
|
Second Interest Review Date
|
85.00
|
$5.00
|
Third through Thirty-Fifth Interest Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
90.00
|
$1,005.00
|
|
Total Payment
|
$1,015.00 (1.50% return)
|
PS-
5
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Russell 2000
®
Index, the PowerShares QQQ Trust
SM
, Series 1 and the iShares
®
MSCI EAFE ETF
|
|
Because the notes have not been automatically
called and the Final Value of the Least Performing Underlying is greater than or equal to its Trigger Value, the payment at maturity,
for each $1,000 principal amount note, will be $1,005.00 (or $1,000
plus
the Contingent Interest Payment applicable to the
final Review Date). When added to the Contingent Interest Payments received with respect to the prior Interest Review Dates, the
total amount paid, for each $1,000 principal amount note, is $1,015.00.
Example
3 — Notes have NOT been automatically called and the Final Value of the Least Performing Underlying is less than its Trigger
Value
.
Date
|
Closing Value of Least Performing Underlying
|
Payment (per $1,000 principal amount note)
|
First Interest Review Date
|
40.00
|
$0
|
Second Interest Review Date
|
45.00
|
$0
|
Third through Thirty-Fifth Interest Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
50.00
|
$500.00
|
|
Total Payment
|
$500.00 (-50.00% return)
|
Because the notes have not been automatically
called, the Final Value of the Least Performing Underlying is less than its Trigger Value and the Least Performing Underlying Return
is -50.00%, the payment at maturity will be $500.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)] = $500.00
The hypothetical returns and hypothetical payments
on the notes shown above apply
only if you hold the notes for their entire term or until automatically called.
These hypotheticals
do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses
were included, the hypothetical returns and hypothetical payments shown above would likely be lower.
Selected
Risk Considerations
An investment in the notes involves significant
risks. These risks are explained in more detail in the “Risk Factors” sections of the accompanying product supplement
and underlying supplement.
|
·
|
YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
|
The notes do not guarantee any return
of principal. If the notes have not been automatically called and the Final Value of any Underlying is less than its Trigger Value,
you will lose 1% of the principal amount of your notes for every 1% that the Final Value of the Least Performing Underlying is
less than its Initial Value. Accordingly, under these circumstances, you will lose more than 33.00% of your principal amount at
maturity and could lose all of your principal amount at maturity.
|
·
|
THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL —
|
If the notes have
not been automatically called, we will make a Contingent Interest Payment with respect to an Interest Review Date only if the closing
value of each Underlying on that Interest Review Date is greater than or equal to its Interest Barrier. If the closing value of
any Underlying on that Interest Review Date is less than its Interest Barrier, no Contingent Interest Payment will be made with
respect to that Interest Review Date. Accordingly, if the closing value of any Underlying on each Interest Review Date is less
than its Interest Barrier, you will not receive any interest payments over the term of the notes.
|
·
|
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
|
Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase &
Co.’s creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely
affect the value of the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive
any amounts owed to you under the notes and you could lose your entire investment.
|
·
|
AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS —
|
As a finance subsidiary of JPMorgan Chase
& Co., we have no independent operations beyond the issuance and administration of our securities. Aside from the initial capital
contribution from JPMorgan Chase & Co., substantially all of our assets relate to
PS-
6
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Russell 2000
®
Index, the PowerShares QQQ Trust
SM
, Series 1 and the iShares
®
MSCI EAFE ETF
|
|
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.
|
·
|
THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS THAT MAY BE PAID OVER
THE TERM OF THE NOTES,
|
regardless of any appreciation of any
Underlying, which may be significant. You will not participate in any appreciation of any Underlying.
We and our affiliates play a variety
of roles in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests
are potentially adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours
or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the value of
the notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying
product supplement.
|
·
|
YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE VALUE OF EACH UNDERLYING —
|
Payments on the notes are not linked
to a basket composed of the Underlyings and are contingent upon the performance of each individual Underlying. Poor performance
by any of the Underlyings over the term of the notes may result in the notes not being automatically called on an Autocall Review
Date, may negatively affect whether you will receive a Contingent Interest Payment on any Interest Payment Date and your payment
at maturity and will not be offset or mitigated by positive performance by any other Underlying.
|
·
|
YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING UNDERLYING.
|
|
·
|
THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE —
|
If the Final Value of any Underlying
is less than its Trigger Value and the notes have not been automatically called, the benefit provided by the Trigger Value will
terminate and you will be fully exposed to any depreciation of the Least Performing Underlying.
|
·
|
THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
|
If your notes are automatically called,
the term of the notes may be reduced to as short as approximately six months and you will not receive any Contingent Interest Payments
after the applicable Call Settlement Date. There is no guarantee that you would be able to reinvest the proceeds from an investment
in the notes at a comparable return and/or with a comparable interest rate for a similar level of risk. Even in cases where the
notes are called before maturity, you are not entitled to any fees and commissions described on the front cover of this pricing
supplement.
|
·
|
YOU WILL NOT RECEIVE DIVIDENDS ON ANY FUND OR THE SECURITIES INCLUDED IN OR HELD BY ANY UNDERLYING OR HAVE ANY RIGHTS WITH
RESPECT TO THE FUNDS OR THOSE SECURITIES.
|
|
·
|
AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH RESPECT TO THE INDEX —
|
Small capitalization companies may be
less able to withstand adverse economic, market, trade and competitive conditions relative to larger 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.
|
·
|
THERE ARE RISKS ASSOCIATED WITH THE FUNDS —
|
The Funds are subject
to management risk, which is the risk that the investment strategies of the applicable Fund’s investment adviser, the implementation
of which is subject to a number of constraints, may not produce the intended results. These constraints could adversely affect
the market prices of the shares of the Funds and, consequently, the value of the notes.
|
·
|
THE PERFORMANCE AND MARKET VALUE OF EACH FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH
THE PERFORMANCE OF THAT FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE —
|
Each Fund does not fully replicate its
Underlying Index (as defined under “The Underlyings” below) and may hold securities different from those included in
its Underlying Index. In addition, the performance of each Fund will reflect additional transaction costs and fees that are not
included in the calculation of its Underlying Index. All of these factors may lead to a lack of correlation
PS-
7
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Russell 2000
®
Index, the PowerShares QQQ Trust
SM
, Series 1 and the iShares
®
MSCI EAFE ETF
|
|
between the performance of each Fund
and its Underlying Index. In addition, corporate actions with respect to the equity securities underlying a Fund (such as mergers
and spin-offs) may impact the variance between the performances of that Fund and its Underlying Index. Finally, because the shares
of each Fund are traded on a securities exchange and are subject to market supply and investor demand, the market value of one
share of each Fund may differ from the net asset value per share of that Fund.
During periods of market volatility,
securities underlying each Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately
the net asset value per share of that Fund and the liquidity of that Fund may be adversely affected. This kind of market volatility
may also disrupt the ability of market participants to create and redeem shares of a Fund. Further, market volatility may adversely
affect, sometimes materially, the prices at which market participants are willing to buy and sell shares of that Fund. As a result,
under these circumstances, the market value of shares of a Fund may vary substantially from the net asset value per share of that
Fund. For all of the foregoing reasons, the performance of each Fund may not correlate with the performance of its Underlying Index
as well as the net asset value per share of that Fund, which could materially and adversely affect the value of the notes in the
secondary market and/or reduce any payment on the notes.
|
·
|
NON-U.S. SECURITIES RISK WITH RESPECT TO THE FUNDS —
|
Some or all of the
equity securities included in each Fund have been issued by non-U.S. companies. Investments in securities linked to the value of
such non-U.S. equity securities involve risks associated with the securities markets in the home countries of the issuers of those
non-U.S. equity securities. Also, there is generally less publicly available information about companies in some of these jurisdictions
than there is about U.S. companies that are subject to the reporting requirements of the SEC.
|
·
|
THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK WITH RESPECT TO THE iSHARES
®
MSCI EAFE ETF —
|
Because the prices of the equity securities
held by the iShares
®
MSCI EAFE ETF are converted into U.S. dollars for purposes of calculating the net asset value
of the iShares
®
MSCI EAFE ETF, holders of the notes will be exposed to currency exchange rate risk with respect
to each of the currencies in which the equity securities held by the iShares
®
MSCI EAFE ETF 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 held by the iShares
®
MSCI EAFE ETF denominated in each of those currencies. If, taking into account the
relevant weighting, the U.S. dollar strengthens against those currencies, the price of the iShares
®
MSCI EAFE ETF
will be adversely affected and any payment on the notes may be reduced.
|
·
|
THE ANTI-DILUTION PROTECTION FOR THE FUNDS IS LIMITED —
|
The calculation agent will make adjustments
to the Share Adjustment Factor for each Fund for certain events affecting the shares of that Fund. However, the calculation agent
will not make an adjustment in response to all events that could affect the shares of the Funds. If an event occurs that does not
require the calculation agent to make an adjustment, the value of the notes may be materially and adversely affected.
|
·
|
THE RISK OF THE CLOSING VALUE OF AN UNDERLYING FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS GREATER IF THE VALUE
OF THAT UNDERLYING IS VOLATILE.
|
The notes will not be listed on any securities
exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which
JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your notes to maturity.
|
·
|
THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT —
|
You should consider your potential investment
in the notes based on the minimum for the estimated value of the notes and the maximum for the Interest Barrier and Trigger Value.
|
·
|
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.
PS-
8
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Russell 2000
®
Index, the PowerShares QQQ Trust
SM
, Series 1 and the iShares
®
MSCI EAFE ETF
|
|
|
·
|
THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES
—
|
See “The Estimated Value of the
Notes” in this pricing supplement.
|
·
|
THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
|
The internal funding rate used in the
determination of the estimated value of the notes is based on, among other things, our and our affiliates’ view of the funding
value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison
to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. The use of an internal funding rate and any potential
changes to that rate may have an adverse effect on the terms of the notes and any secondary market prices of the notes. See “The
Estimated Value of the Notes” in this pricing supplement.
|
·
|
THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN
THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
|
We generally expect that some of the
costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of
your notes by JPMS in an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices
of the Notes” in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated
value of your notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be
shown on your customer account statements).
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
|
Any secondary market prices of the notes
will likely be lower than the original issue price of the notes because, among other things, secondary market prices take into
account our internal secondary market funding rates for structured debt issuances and, also, because secondary market prices (a)
exclude selling commissions and (b) may exclude projected hedging profits, if any, and estimated hedging costs that are included
in the original issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy the notes from you
in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the
Maturity Date could result in a substantial loss to you.
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
|
The secondary market price of the notes
during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside
from the selling commissions, projected hedging profits, if any, estimated hedging costs and the values of the Underlyings. Additionally,
independent pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on
customer account statements. This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may
be willing to purchase your notes in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value
and Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market
factors” in the accompanying product supplement.
PS-
9
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Russell 2000
®
Index, the PowerShares QQQ Trust
SM
, Series 1 and the iShares
®
MSCI EAFE ETF
|
|
The
Underlyings
The 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 Index is designed to track the performance of the small capitalization
segment of the U.S. equity market. For additional information about the Index, see “Equity Index Descriptions — The
Russell Indices” in the accompanying underlying supplement.
The PowerShares QQQ Trust
SM
, Series 1 is
an exchange-traded fund that seeks to provide investment results that, before expenses, generally correspond to the price and yield
performance of the NASDAQ-100 Index
®
, which we refer to as the Underlying Index with respect to the PowerShares
QQQ Trust
SM
, Series 1. The NASDAQ-100 Index
®
is a modified market capitalization-weighted index of stocks
of the 100 largest non-financial companies listed on The NASDAQ Stock Market based on market capitalization. For additional information
about the PowerShares QQQ Trust
SM
, Series 1, see Annex A in this pricing supplement.
The iShares
®
MSCI EAFE ETF is an exchange-traded
fund of iShares
®
Trust, a registered investment company, that seeks to track the investment results, before fees
and expenses, of an index composed of large- and mid-capitalization developed market equities, excluding the United States and
Canada, which we refer to as the Underlying Index with respect to the iShares
®
MSCI EAFE ETF. The Underlying Index
for the iShares
®
MSCI EAFE ETF is currently the MSCI EAFE
®
Index. The MSCI EAFE
®
Index
is a free float-adjusted market capitalization index intended to measure the equity market performance of the developed equity
markets in Europe, Asia, Australia and New Zealand. For additional information about the iShares
®
MSCI EAFE ETF,
see “Fund Descriptions — The iShares
®
ETFs” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical
performance of each Underlying based on the weekly historical closing values from January 6, 2012 through June 23, 2017. The closing
value of the Index on June 23, 2017 was 1,414.778. The closing value of the PowerShares QQQ Trust
SM
, Series 1 on June
23, 2017 was $141.24. The closing value of the iShares
®
MSCI EAFE ETF on June 23, 2017 was $65.14. We obtained the
closing values above and below from the Bloomberg Professional
®
service (“Bloomberg”), without independent
verification. The closing values of the Funds above and below may have been adjusted by Bloomberg for actions taken by the Fund,
such as stock splits.
The historical closing values of each Underlying
should not be taken as an indication of future performance, and no assurance can be given as to the closing value of any Underlying
on the Pricing Date, any Interest Review Date or any Autocall Review Date. There can be no assurance that the performance of the
Underlyings will result in the return of any of your principal amount or the payment of any interest.
PS-
10
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Russell 2000
®
Index, the PowerShares QQQ Trust
SM
, Series 1 and the iShares
®
MSCI EAFE ETF
|
|
Tax
Treatment
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. In determining our
reporting responsibilities we intend to treat (i) the notes for U.S. federal income tax purposes as prepaid forward contracts with
associated contingent coupons and (ii) any Contingent Interest Payments as ordinary income, as described in the section entitled
“Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid
Forward Contracts with Associated Contingent Coupons” in the accompanying product supplement. Based on the advice of Davis
Polk & Wardwell LLP, our special tax counsel, we believe that this is a reasonable treatment, but that there are other reasonable
treatments that the IRS or a court may adopt, in which case the timing and character of any income or loss on the notes could be
materially affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income
tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to
require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number
of related topics, including the character of income or loss with respect to these instruments and the relevance of factors such
as the nature of the underlying property to which the instruments are linked. While the notice requests comments on appropriate
transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues
could materially affect the tax consequences of an investment in the notes, possibly with retroactive effect. You should consult
your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, including possible alternative
treatments and the issues presented by this notice.
PS-
11
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Russell 2000
®
Index, the PowerShares QQQ Trust
SM
, Series 1 and the iShares
®
MSCI EAFE ETF
|
|
Non-U.S. Holders — Tax Considerations
.
The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and although we believe it is reasonable to
take a position that Contingent Interest Payments are not subject to U.S. withholding tax (at least if an applicable Form W-8 is
provided), a withholding agent may nonetheless withhold on these payments (generally at a rate of 30%, subject to the possible
reduction of that rate under an applicable income tax treaty), unless income from your notes is effectively connected with your
conduct of a trade or business in the United States (and, if an applicable treaty so requires, attributable to a permanent establishment
in the United States). If you are not a United States person, you are urged to consult your tax adviser regarding the U.S. federal
income tax consequences of an investment in the notes in light of your particular circumstances.
Section 871(m) of the Code and Treasury regulations
promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies)
on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities
or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments
linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations (such an index, a
“Qualified Index”). Additionally, the applicable regulations exclude from the scope of Section 871(m) instruments issued
in 2017 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal
income tax purposes (each an “Underlying Security”). Based on certain determinations made by us, 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 Interest Payments if they are otherwise treated as FDAP Income). If the notes are recharacterized, in whole or in
part, as debt instruments, withholding could also apply to payments of gross proceeds of a taxable disposition, including an early
redemption or redemption at maturity. However, under a recent IRS notice, this regime will not apply to payments of gross proceeds
(other than any amount treated as FDAP Income) with respect to dispositions occurring before January 1, 2019. You should consult
your tax adviser regarding the potential application of FATCA to the notes.
In the event
of any withholding on the notes, we will not be required to pay any additional amounts with respect to amounts so withheld.
The Estimated Value of the Notes
The estimated value of the notes set forth
on the cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income
debt component with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative
or derivatives underlying the economic terms of the notes. The estimated value of the notes does not represent a minimum price
at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time. The internal funding rate
used in the determination of the estimated value of the notes is based on, among other things, our and our affiliates’ view
of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. For additional information, see “Selected
Risk Considerations — The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate” in this
pricing supplement.
The value of the derivative or derivatives
underlying the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent
on inputs such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are
market-observable, and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about
future market events and/or environments. Accordingly, the estimated value of the notes is determined when the terms of the notes
are set based on market conditions and other relevant factors and assumptions existing at that time.
The estimated value of the notes does not
represent future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could
provide valuations for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions
and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value
of the notes could change significantly based on, among other things, changes in market conditions, our or JPMorgan Chase &
Co.’s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at which
JPMS would be willing to buy notes from you in secondary market transactions.
PS-
12
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Russell 2000
®
Index, the PowerShares QQQ Trust
SM
, Series 1 and the iShares
®
MSCI EAFE ETF
|
|
The estimated value of the notes will be
lower than the original issue price of the notes because costs associated with selling, structuring and hedging the notes are included
in the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated
dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk
and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected,
or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes may be allowed
to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits.
See “Selected Risk Considerations — The Estimated Value of the Notes Will Be Lower Than the Original Issue Price (Price
to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact
any secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in
the accompanying product supplement. In addition, we generally expect that some of the costs included in the original issue price
of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will
decline to zero over an initial predetermined period. These costs can include projected hedging profits, if any, and, in some circumstances,
estimated hedging costs and our internal secondary market funding rates for structured debt issuances. This initial predetermined
time period is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial
period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities,
the estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates. See “Selected
Risk Considerations — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements)
May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this pricing supplement.
Supplemental
Use of Proceeds
The notes are offered to meet investor demand
for products that reflect the risk-return profile and market exposure provided by the notes. See “How the Notes Work”
and “Hypothetical Payout Examples” in this pricing supplement for an illustration of the risk-return profile of the
notes and “The Underlyings” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal
to the estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus
(minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes, plus the estimated cost of hedging our obligations under the notes.
Additional
Terms Specific to 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 applicable 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. We urge you to consult your investment, legal, tax, accounting and other
advisers before you invest in the notes.
PS-
13
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Russell 2000
®
Index, the PowerShares QQQ Trust
SM
, Series 1 and the iShares
®
MSCI EAFE ETF
|
|
You may access these documents on the SEC website
at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website
is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us”
and “our” refer to JPMorgan Financial.
PS-
14
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Russell 2000
®
Index, the PowerShares QQQ Trust
SM
, Series 1 and the iShares
®
MSCI EAFE ETF
|
|
Annex
A
PowerShares QQQ Trust
SM
,
Series 1
All information contained
in this pricing supplement regarding the PowerShares QQQ Trust
SM
, Series 1 (the “QQQ Fund”) has been derived
from publicly available information, without independent verification. This information reflects the policies of, and is subject
to change by, The Bank of New York Mellon, as trustee of the QQQ Fund (the “QQQ Fund Trustee”), and Invesco PowerShares
Capital Management LLC, as sponsor of the QQQ Fund (the “QQQ Fund Sponsor”). The QQQ Fund is a unit investment trust
that issues securities called “PowerShares QQQ Shares.” The QQQ Fund is an exchange-traded fund that trades on The
NASDAQ Stock Market under the ticker symbol “QQQ.”
The QQQ Fund is a registered
investment company. Information provided to or filed with the SEC by the QQQ Fund pursuant to the Securities Act of 1933, as amended,
and the Investment Company Act of 1940, as amended, can be located by reference to SEC file numbers 333-61001 and 811- 08947, respectively,
through the SEC’s website at http://www.sec.gov. For additional information regarding the QQQ Fund, the QQQ Fund Trustee
and the QQQ Fund Sponsor, please see the QQQ Fund’s prospectus. In addition, information about the QQQ Fund, the QQQ Fund
Trustee and the QQQ Fund Sponsor may be obtained from other sources including, but not limited to, press releases, newspaper articles
and other publicly disseminated documents and the QQQ Fund website at www.powershares.com/qqq. Information contained in the QQQ
Fund’s website and in the QQQ Fund’s prospectus is not incorporated by reference in, and should not be considered a
part of, this pricing supplement.
Investment Objective and
Strategy
The QQQ Fund is a unit investment
trust, which is a registered investment company. The objective of the QQQ Fund is to provide investment results that, before expenses,
generally correspond to the price and yield performance of the NASDAQ-100 Index
®
. The NASDAQ-100 Index
®
is a modified market capitalization-weighted index of 100 of the largest non-financial securities listed on The NASDAQ Stock Market
based on market capitalization. For additional information about the NASDAQ-100 Index
®
, see the information set
forth under “Equity Index Descriptions — The NASDAQ-100 Index
®
” in the accompanying underlying
supplement.
The QQQ Fund holds securities
and cash and is not actively managed by traditional methods, which typically involve effecting changes in the holdings of securities
on the basis of judgments made relating to economic, financial and market considerations. To maintain the correspondence between
the composition and weighs of the securities held by the QQQ Fund and the component securities of the Underlying Index (“QQQ
Index Securities”), the QQQ Fund Trustee adjusts the holdings of the QQQ Fund from time to time to conform to periodic changes
in the identity and/or relative weights of the QQQ Index Securities.
The QQQ Fund Trustee aggregates
certain of these adjustments and makes conforming changes to the holdings of the QQQ Fund at least monthly; however, adjustments
are made more frequently in the case of significant changes to the Underlying Index. Any change in the identity of a QQQ Index
Security (
i.e.
, a substitution of one security in place of another) will result in a corresponding adjustment to the prescribed
holdings of the Fund within three business days before or after the day on which the change in the identity of that QQQ Index Security
is scheduled to take effect at the close of the market. The value of the shares of the QQQ Fund fluctuates in relation to changes
in the value of the holdings of the QQQ Fund. The market price of each individual share of the QQQ Fund may not be identical to
the net asset value of the share of the QQQ Fund.
Although the QQQ Fund may
at any time fail to own certain of the QQQ Index Securities, the QQQ Fund will be substantially invested in the QQQ Index Securities
at all times. It is possible that, for a short period of time, the QQQ Fund may not fully replicate the performance of NASDAQ-100
Index
®
due to temporary unavailability of certain QQQ Index Securities in the secondary market or due to other extraordinary
circumstances. In addition, the QQQ Fund is not able to replicate exactly the performance of the NASDAQ-100 Index
®
because the total return generated by the QQQ Fund’s portfolio of securities and cash is reduced by the expenses of the QQQ
Fund and transaction costs incurred in adjusting the actual balance of the QQQ Fund’s portfolio.
PS-15 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Least Performing of the Russell 2000
®
Index, the PowerShares QQQ Trust
SM
, Series 1 and the iShares
®
MSCI EAFE ETF
|
|
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