June 23, 2017
|
Registration Statement Nos. 333-209682 and 333-209682-01; Rule 424(b)(2)
|
JPMorgan Chase Financial Company LLC
Structured Investments
$12,250,000
Capped Contingent Buffered Return Enhanced Notes
Linked to the Nikkei 225 Index due June 30, 2021
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
|
·
|
The notes are designed for investors who seek a return of 2.00 times any appreciation of the Nikkei 225 Index, up to a maximum
return of 60.00%, at maturity.
|
|
·
|
Investors should be willing to forgo interest and dividend payments and be willing to lose some or all of their principal amount
at maturity.
|
|
·
|
The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan
Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co.
Any payment on
the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase &
Co., as guarantor of the notes.
|
|
·
|
Minimum denominations of $1,000 and integral multiples thereof
|
|
·
|
The notes priced on June 23, 2017 and are expected to settle on or about June 30, 2017.
|
Investing in the notes involves a number of risks. See
“Risk Factors” beginning on page PS-10 of the accompanying product supplement, “Risk Factors” beginning
on page US-2 of the accompanying underlying supplement and “Selected Risk Considerations” beginning on page PS-4 of
this pricing supplement.
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.
|
Price to Public (1)
|
Fees and Commissions (2)(3)
|
Proceeds to Issuer
|
Per note
|
$1,000
|
$32.50
|
$967.50
|
Total
|
$12,250,000
|
$398,125
|
$11,851,875
|
(1) See “Supplemental Use of Proceeds”
in this pricing supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer
to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions of $32.50 per $1,000 principal amount
note it receives from us to other affiliated or unaffiliated dealers. See “Plan of Distribution (Conflicts of
Interest)” in the accompanying product supplement.
(3) JPMS will pay a structuring fee of $2.50
per $1,000 principal amount note to other affiliated or unaffiliated dealers.
|
The estimated value of the notes, when the terms of the notes
were set, was $964.60 per $1,000 principal amount note. See “The Estimated Value of the Notes” in this pricing
supplement for additional information.
The notes are not bank deposits, are not insured by the Federal
Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
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.
|
|
Index:
The Nikkei 225 Index (Bloomberg ticker: NKY)
|
|
Maximum Return:
60.00% (corresponding to a maximum payment at maturity of $1,600.00 per $1,000 principal amount note)
|
|
Upside Leverage Factor:
2.00
|
|
Contingent Buffer Amount:
25.00%
|
|
Pricing Date:
June 23, 2017
|
|
Original Issue Date (Settlement Date):
On or about June 30, 2017
|
|
Observation Date
*
:
June 23, 2021
|
|
Maturity Date*:
June 30, 2021
|
|
* 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 a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
|
Payment at Maturity:
If the Final Value is greater than the Initial
Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 ×
Index Return × Upside Leverage Factor), subject to the Maximum Return
If the Final Value is equal to the Initial Value
or is less than the Initial Value by up to the Contingent Buffer Amount, you will receive the principal amount of your notes at
maturity.
If the Final Value is less than the Initial Value
by more than the Contingent Buffer Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 ×
Index Return)
If the Final Value is less than the Initial
Value by more than the Contingent Buffer Amount, you will lose more than 25.00% of your principal amount at maturity and could
lose all of your principal amount at maturity.
Index Return:
(Final Value – Initial
Value)
Initial Value
Initial Value:
The closing level of the Index on the Pricing Date, which was 20,132.67
Final Value:
The closing level of the Index on the Observation Date
|
PS-
1
| Structured Investments
Capped Contingent Buffered Return Enhanced Notes Linked to the Nikkei 225 Index
|
|
Hypothetical
Payout Profile
The following table illustrates the hypothetical
total return and payment at maturity on the notes linked to a hypothetical Index. The “total return” as
used in this pricing supplement is the number, expressed as a percentage, that results from comparing the payment at maturity per
$1,000 principal amount note to $1,000. The hypothetical total returns and payments set forth below assume the following:
|
·
|
an Initial Value of 100.00;
|
|
·
|
a Maximum Return of 60.00%;
|
|
·
|
an Upside Leverage Factor of 2.00; and
|
|
·
|
a Contingent Buffer Amount of 25.00%.
|
The hypothetical Initial Value of 100.00 has
been chosen for illustrative purposes only and does not represent the actual Initial Value. The actual Initial Value
is the closing level of the Index on the Pricing Date and is specified under “Key Terms — Initial Value” in this
pricing supplement. For historical data regarding the actual closing levels of the Index, please see the historical
information set forth under “The Index” in this pricing supplement.
Each hypothetical total return or hypothetical
payment at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity
applicable to a purchaser of the notes. The numbers appearing in the following table have been rounded for ease of analysis.
Final Value
|
Index Return
|
Total Return on the Notes
|
Payment at Maturity
|
180.00
|
80.00%
|
60.00%
|
$1,600.00
|
165.00
|
65.00%
|
60.00%
|
$1,600.00
|
150.00
|
50.00%
|
60.00%
|
$1,600.00
|
140.00
|
40.00%
|
60.00%
|
$1,600.00
|
130.00
|
30.00%
|
60.00%
|
$1,600.00
|
120.00
|
20.00%
|
40.00%
|
$1,400.00
|
110.00
|
10.00%
|
20.00%
|
$1,200.00
|
105.00
|
5.00%
|
10.00%
|
$1,100.00
|
101.00
|
1.00%
|
2.00%
|
$1,020.00
|
100.00
|
0.00%
|
0.00%
|
$1,000.00
|
95.00
|
-5.00%
|
0.00%
|
$1,000.00
|
90.00
|
-10.00%
|
0.00%
|
$1,000.00
|
80.00
|
-20.00%
|
0.00%
|
$1,000.00
|
75.00
|
-25.00%
|
0.00%
|
$1,000.00
|
74.99
|
-25.01%
|
-25.01%
|
$749.99
|
70.00
|
-30.00%
|
-30.00%
|
$700.00
|
60.00
|
-40.00%
|
-40.00%
|
$600.00
|
50.00
|
-50.00%
|
-50.00%
|
$500.00
|
40.00
|
-60.00%
|
-60.00%
|
$400.00
|
30.00
|
-70.00%
|
-70.00%
|
$300.00
|
20.00
|
-80.00%
|
-80.00%
|
$200.00
|
10.00
|
-90.00%
|
-90.00%
|
$100.00
|
0.00
|
-100.00%
|
-100.00%
|
$0.00
|
PS-
2
| Structured Investments
Capped Contingent Buffered Return Enhanced Notes Linked to the Nikkei 225 Index
|
|
How
the Notes Work
Upside Scenario:
If the Final Value is greater than the Initial
Value, investors will receive at maturity the $1,000 principal amount
plus
a return equal to the Index Return
times
the
Upside Leverage Factor of 2.00, subject to the Maximum Return of 60.00%. An investor will realize the maximum payment
at maturity at a Final Value at or above 120.00% of the Initial Value.
|
·
|
If the closing level of the Index increases 5.00%, investors will receive at maturity a 10.00%
return, or $1,100.00 per $1,000 principal amount note.
|
|
·
|
If the closing level of the Index increases 80.00%, investors will receive at maturity a
return equal to the 60.00% Maximum Return, or $1,600.00 per $1,000 principal amount note, which is the maximum payment at maturity.
|
Par Scenario:
If the Final Value is equal to the Initial Value
or is less than the Initial Value by up to the Contingent Buffer Amount of 25.00%, investors will receive at maturity the principal
amount of their notes.
Downside Scenario:
If the Final Value is less than the Initial Value
by more than the Contingent Buffer Amount of 25.00%, investors will lose 1% of the principal amount of their notes for every 1%
that the Final Value is less than the Initial Value.
|
·
|
For example, if the closing level of the Index declines 60.00%, investors
will lose 60.00% of their principal amount and receive only $400.00 per $1,000 principal amount note at maturity.
|
The hypothetical returns and hypothetical payments
on the notes shown above apply
only if you hold the notes for their entire term.
These hypotheticals do not reflect
the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were
included, the hypothetical returns and hypothetical payments shown above would likely be lower.
PS-
3
| Structured Investments
Capped Contingent Buffered Return Enhanced Notes Linked to the Nikkei 225 Index
|
|
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 Final Value is less than the Initial Value by more than 25.00%, you will lose 1% of the principal
amount of your notes for every 1% that the Final Value is less than the Initial Value. Accordingly, under these circumstances,
you will lose more than 25.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
|
·
|
YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE MAXIMUM RETURN,
|
regardless of any appreciation of
the Index, which may be significant.
|
·
|
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
|
Investors are dependent on our and
JPMorgan Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our
or JPMorgan Chase & Co.’s creditworthiness or credit spreads, as determined by the market for taking that credit risk,
is likely to adversely affect the value of the notes. If we and JPMorgan Chase & Co. were to default on our payment
obligations, you may not receive any amounts owed to you under the notes and you could lose your entire investment.
|
·
|
AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS —
|
As a finance subsidiary of JPMorgan
Chase & Co., we have no independent operations beyond the issuance and administration of our securities. Aside from
the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates
to make payments under loans made by us or other intercompany agreements. As a result, we are dependent upon payments
from our affiliates to meet our obligations under the notes. If these affiliates do not make payments to 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.
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.
|
·
|
THE BENEFIT PROVIDED BY THE CONTINGENT BUFFER AMOUNT MAY TERMINATE ON THE OBSERVATION DATE —
|
If
the Final Value is less than the Initial Value by more than the Contingent Buffer Amount, the benefit provided by the Contingent
Buffer Amount will terminate, and you will be fully exposed to any depreciation of the Index.
|
·
|
THE NOTES DO NOT PAY INTEREST.
|
|
·
|
YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN THE INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES.
|
|
·
|
NON-U.S. SECURITIES RISK —
|
The equity securities included in
the Index have been issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity
securities involve risks associated with the securities markets in the home countries of the issuers of those non-U.S. equity securities. Also,
there is generally less publicly available information about companies in some of these jurisdictions than there is about U.S.
companies that are subject to the reporting requirements of the SEC.
PS-
4
| Structured Investments
Capped Contingent Buffered Return Enhanced Notes Linked to the Nikkei 225 Index
|
|
|
·
|
NO DIRECT EXPOSURE TO FLUCTUATIONS IN FOREIGN EXCHANGE RATES
—
|
The
value of your notes will not be adjusted for exchange rate fluctuations between the U.S. dollar and the currencies upon which the
equity securities included in the Index are based, although any currency fluctuations could affect the performance of the Index.
|
·
|
THE RISK OF THE CLOSING LEVEL OF THE INDEX FALLING BELOW THE INITIAL VALUE BY MORE THAN THE CONTINGENT BUFFER AMOUNT IS GREATER
IF THE LEVEL OF THE INDEX 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 ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES —
|
The estimated value of the notes is
only an estimate determined by reference to several factors. The original issue price of the notes exceeds the estimated
value of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue
price of the notes. These costs include the selling commissions, the structuring fee, the projected profits, if any,
that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated
cost of hedging our obligations under the notes. See “The Estimated Value of the Notes” in this pricing
supplement.
|
·
|
THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES
—
|
See “The Estimated Value of
the Notes” in this pricing supplement.
|
·
|
THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
|
The internal funding rate used in
the determination of the estimated value of the notes is based on, among other things, our and our affiliates’ view of the
funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison
to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. The use of an internal funding rate
and any potential changes to that rate may have an adverse effect on the terms of the notes and any secondary market prices of
the notes. See “The Estimated Value of the Notes” in this pricing supplement.
|
·
|
THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN
THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
|
We generally expect that some of the
costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of
your notes by JPMS in an amount that will decline to zero over an initial predetermined period. See “Secondary
Market Prices of the Notes” in this pricing supplement for additional information relating to this initial period. Accordingly,
the estimated value of your notes during this initial period may be lower than the value of the notes as published by JPMS (and
which may be shown on your customer account statements).
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
|
Any secondary market prices of the
notes will likely be lower than the original issue price of the notes because, among other things, secondary market prices take
into account our internal secondary market funding rates for structured debt issuances and, also, because secondary market prices(a)
exclude selling commissions and the structuring fee 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, structuring fee, projected hedging profits, if any, estimated hedging costs and the price of
the Index. 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-
5
| Structured Investments
Capped Contingent Buffered Return Enhanced Notes Linked to the Nikkei 225 Index
|
|
The
Index
The Index is a stock index that measures the
composite price performance of selected Japanese stocks. The Index is based on 225 underlying stocks (the “Nikkei
underlying stocks”) trading on the Tokyo Stock Exchange (“TSE”), representing a broad cross-section of Japanese
industries. All Nikkei underlying stocks are stocks listed in the First Section of the TSE. Stocks listed in the First
Section of the TSE are among the most actively traded stocks on the TSE. For additional information about the Index,
see “Equity Index Descriptions ― The Nikkei 225 Index” in the accompanying underlying supplement.
Historical Information
The following graph sets forth the historical
performance of the Index based on the weekly historical closing levels of the Index from January 6, 2012 through June 23, 2017. The
closing level of the Index on June 23, 2017 is 20,132.67. We obtained the closing levels above and below from the Bloomberg
Professional
®
service (“Bloomberg”), without independent verification.
The historical closing levels of the Index should
not be taken as an indication of future performance, and no assurance can be given as to the closing level of the Index on the
Observation Date. There can be no assurance that the performance of the Index will result in the return of any of your
principal amount.
Tax
Treatment
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. The following
discussion, when read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk &
Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes.
Based on current market conditions, in the opinion
of our special tax counsel it is reasonable to treat the notes as “open transactions” that are not debt instruments
for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax
Consequences to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying
product supplement. Assuming this treatment is respected, the gain or loss on your notes should be treated as long-term
capital gain or loss if you hold your notes for more than a year, whether or not you are an initial purchaser of notes at the issue
price. However, the IRS or a court may not respect this treatment, in which case the timing and character of any income
or loss on the notes could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting
comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The
notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment. It
also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments;
the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any,
to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether
these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate
to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. While the
notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated
after consideration of these issues could materially and adversely affect the
PS-
6
| Structured Investments
Capped Contingent Buffered Return Enhanced Notes Linked to the Nikkei 225 Index
|
|
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.
Withholding under legislation commonly referred
to as “FATCA” may (if the notes are recharacterized as debt instruments) apply to amounts treated as interest paid
with respect to the notes, as well as to payments of gross proceeds of a taxable disposition, including redemption at maturity,
of a note. However, under a recent IRS notice, this regime will not apply to payments of gross proceeds (other than
any amount treated as interest) with respect to dispositions occurring before January 1, 2019. You should consult your
tax adviser regarding the potential application of FATCA to the notes.
The
Estimated Value of the Notes
The estimated value of the notes set forth on
the cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income
debt component with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative
or derivatives underlying the economic terms of the notes. The estimated value of the notes does not represent a minimum
price at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time. The internal
funding rate used in the determination of the estimated value of the notes is based on, among other things, our and our affiliates’
view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the
notes in comparison to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. For additional information,
see “Selected Risk Considerations — The Estimated Value of the Notes Is Derived by Reference to an Internal Funding
Rate” in this pricing supplement.
The value of the derivative or derivatives underlying
the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent
on inputs such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are
market-observable, and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about
future market events and/or environments. Accordingly, the estimated value of the notes is determined when the terms
of the notes are set based on market conditions and other relevant factors and assumptions existing at that time.
The estimated value of the notes does not represent
future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could
provide valuations for the notes that are greater than or less than the estimated value of the notes. In addition, market
conditions and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future
dates, the value of the notes could change significantly based on, among other things, changes in market conditions, our or JPMorgan
Chase & Co.’s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any,
at which JPMS would be willing to buy notes from you in secondary market transactions.
The estimated value of the notes is lower than
the original issue price of the notes because costs associated with selling, structuring and hedging the notes are included in
the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated
or unaffiliated dealers, the structuring fee paid to other affiliated or unaffiliated dealers, the projected profits, if any, that
our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated cost
of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market
forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. A
portion of the profits, if any, realized in hedging our obligations under the notes may be allowed to other affiliated or unaffiliated
dealers, and we or one or more of our affiliates will retain any remaining hedging profits. See “Selected Risk
Considerations — The Estimated Value of the Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes”
in this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact
any secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in
the accompanying product supplement. In addition, we generally expect that some of the costs included in the original
issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount
that will decline to zero over an initial predetermined period. These costs can include projected hedging profits, if
any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates for structured debt issuances. This
initial predetermined time period is intended to be the shorter of six months and one-half of the stated term of the notes. The
length of any such initial period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection
with our hedging activities, the estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates. See
“Selected Risk Considerations — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer
PS-
7
| Structured Investments
Capped Contingent Buffered Return Enhanced Notes Linked to the Nikkei 225 Index
|
|
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 “Hypothetical
Payout Profile” and “How the Notes Work” in this pricing supplement for an illustration of the risk-return profile
of the notes and “The Index” 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
the structuring fee paid to other affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates
expect to realize for assuming risks inherent in hedging our obligations under the notes, plus the estimated cost of hedging our
obligations under the notes.
Supplemental
Plan of Distribution
We expect that delivery of the notes will be
made against payment for the notes on or about the Original Issue Date set forth on the front cover of this pricing supplement,
which will be the fifth business day following the Pricing Date of the notes (this settlement cycle being referred to as T+5). Under
Rule 15c6-1 under the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle
in three business days, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish
to trade notes on the Pricing Date or the succeeding business day will be required to specify an alternate settlement cycle at
the time of any such trade to prevent a failed settlement and should consult their own advisors.
Validity
of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP,
as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by this pricing supplement
have been executed and issued by JPMorgan Financial and authenticated by the trustee pursuant to the indenture, and delivered against
payment as contemplated herein, such notes will be valid and binding obligations of JPMorgan Financial and the related guarantee
will constitute a valid and binding obligation of JPMorgan Chase & Co., enforceable in accordance with their terms, subject
to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and
equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack
of bad faith),
provided
that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer
or similar provision of applicable law on the conclusions expressed above. This opinion is given as of the date hereof
and is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited
Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustee’s authorization,
execution and delivery of the indenture and its authentication of the notes and the validity, binding nature and enforceability
of the indenture with respect to the trustee, all as stated in the letter of such counsel dated February 24, 2016, which was filed
as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24, 2016.
Additional
Terms Specific to the Notes
You should read this pricing supplement together
with the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term
notes of which these notes are a part, and the more detailed information contained in the accompanying product supplement and the
accompanying underlying supplement. This pricing supplement, together with the documents listed below, contains the
terms of the notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including
preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets,
brochures or other educational materials of ours. You should carefully consider, among other things, the matters set
forth in the “Risk Factors” sections of the accompanying product supplement and the accompanying underlying supplement,
as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment,
legal, tax, accounting and other advisers before you invest in the notes.
PS-
8
| Structured Investments
Capped Contingent Buffered Return Enhanced Notes Linked to the Nikkei 225 Index
|
|
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-
9
| Structured Investments
Capped Contingent Buffered Return Enhanced Notes Linked to the Nikkei 225 Index
|
|
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Aug 2024 to Sep 2024
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Sep 2023 to Sep 2024