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.
Indices:
The
Russell 2000
®
Index (Bloomberg ticker: RTY), the S&P 500
®
Index (Bloomberg ticker: SPX) and the EURO STOXX 50
®
Index (Bloomberg ticker: SX5E)
Contingent Interest Payments:
If the
notes have not been automatically called and the closing level of each Index on any 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 of $21.875 (equivalent to a Contingent Interest Rate of 8.75% per annum, payable at a rate of 2.1875% per quarter).
If the closing level of
any Index on any Review Date is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that
Review Date.
Contingent Interest Rate:
8.75%
per annum, payable at a rate of 2.1875% per quarter
Interest Barrier/Trigger Value:
With
respect to each Index, 70.00% of its Initial Value, which is 968.2659 for the Russell 2000
®
Index, 1,725.227 for the S&P 500
®
Index and 2,423.337 for the EURO STOXX 50
®
Index
Pricing Date:
August
15, 2017
Original Issue Date (Settlement Date):
On
or about August 18, 2017
Review Dates*:
November
15, 2017, February 15, 2018, May 15, 2018, August 15, 2018, November 15, 2018, February 15, 2019, May 15, 2019, August 15, 2019,
November 15, 2019, February 18, 2020, May 15, 2020 and August 17, 2020 (final Review Date)
Interest Payment Dates*:
November
20, 2017, February 21, 2018, May 18, 2018, August 20, 2018, November 20, 2018, February 21, 2019, May 20, 2019, August 20, 2019,
November 20, 2019, February 21, 2020, May 20, 2020 and the Maturity Date
Maturity Date*:
August
20, 2020
Call Settlement Dates*:
If the notes
are automatically called on any Review Date (other than the first and final Review Dates), the first Interest Payment Date immediately
following that Review Date
* 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
|
|
Automatic Call:
If the closing level of each
Index on any Review Date (other than the first and final Review Dates) 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 that Review Date, payable on the applicable Call Settlement Date. No further payments
will be made on the notes.
Payment at Maturity:
If the
notes have not been automatically called and the Final Value of each Index 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 Index is less than its Trigger Value, your payment at maturity
per $1,000 principal amount note in addition to any Contingent Interest Payment, will be calculated as follows:
$1,000
+ ($1,000 × Least Performing Index Return)
If the notes have not been
automatically called and the Final Value of any Index is less than its Trigger Value, you will lose more than 30.00% of your principal
amount at maturity and could lose all of your principal amount at maturity.
Least Performing Index:
The
Index with the Least Performing Index Return
Least Performing Index Return:
The lowest of
the Index Returns of the Indices
Index Return:
With
respect to each Index,
(Final Value –
Initial Value)
Initial Value
Initial Value:
With
respect to each Index,
the closing level of that Index on the Pricing Date, which was 1,383.237 for the Russell 2000
®
Index, 2,464.61 for the S&P 500
®
Index and 3,461.91 for the EURO STOXX 50
®
Index
Final Value:
With
respect to each Index,
the closing level of that Index on the final Review Date
|
PS-
1
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
|
|
How
the Notes Work
Payment in Connection with the First Review Date
Payments in Connection with Review Dates (Other
than the First and Final Review Dates)
Payment at Maturity If the Notes Have Not Been
Automatically Called
PS-
2
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
|
|
Total Contingent Interest Payments
The table below illustrates the total Contingent
Interest Payments per $1,000 principal amount note over the term of the notes based on the Contingent Interest Rate of 8.75% per
annum, depending on how many Contingent Interest Payments are made prior to automatic call or maturity.
Number of Contingent Interest Payments
|
Total Contingent Interest Payments
|
12
|
$262.500
|
11
|
$240.625
|
10
|
$218.750
|
9
|
$196.875
|
8
|
$175.000
|
7
|
$153.125
|
6
|
$131.250
|
5
|
$109.375
|
4
|
$87.500
|
3
|
$65.625
|
2
|
$43.750
|
1
|
$21.875
|
0
|
$0.000
|
Hypothetical
Payout Examples
The
following examples illustrate payments on the notes linked to three hypothetical Indices, assuming a range of performances for
the hypothetical Least Performing Index on the Review Dates.
Each
hypothetical payment set forth below assumes that the
closing level
of each Index that is not the Least Performing Index on each Review Date is greater than or equal to its Initial Value (and therefore
its Interest Barrier and Trigger Value).
In addition, the hypothetical payments set forth
below assume the following:
|
●
|
an Initial Value for the Least Performing
Index
of 100.00;
|
|
●
|
a
n Interest Barrier and a Trigger Value for the
Least Performing Index of 70.00 (equal to
70.00
%
of its hypothetical Initial Value); and
|
|
●
|
a Contingent Interest Rate of 8.75% per annum
(payable at a rate of 2.1875%
per quarter
).
|
The hypothetical Initial Value of the
Least
Performing Index of
100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value
of any Index.
The actual Initial Value of each
Index
is the closing level of
that 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
each Index
, please
see the historical information set forth under “The Indices” 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 second Review Date.
Date
|
Closing Level of Least Performing Index
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
105.00
|
$21.875
|
Second Review Date
|
110.00
|
$1,021.875
|
|
Total Payment
|
$1,043.75 (4.375% return)
|
Because the closing level of each Index on the
second 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 $1,021.875 (or $1,000
plus
the Contingent Interest Payment applicable to the second
Review Date), payable on the applicable Call Settlement Date. The notes are not automatically callable before the second Review
Date, even though the closing level of each Index on the first Review Date is greater than its Initial Value. When added to the
Contingent Interest Payment received with respect to the prior Review Date, the total amount paid, for each $1,000 principal amount
note, is $1,043.75. 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 Index is greater than or equal to its Trigger Value.
PS-
3
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
|
|
Date
|
Closing Level of Least Performing Index
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
95.00
|
$21.875
|
Second Review Date
|
85.00
|
$21.875
|
Third through Eleventh Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
90.00
|
$1,021.875
|
|
Total Payment
|
$1,065.625 (6.5625% return)
|
Because the notes have not been automatically called
and the Final Value of the Least Performing Index is greater than or equal to its Trigger Value, the payment at maturity, for each
$1,000 principal amount note, will be $1,021.875 (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 Review Dates, the total amount
paid, for each $1,000 principal amount note, is $1,065.625.
Example 3 — Notes have NOT been
automatically called and the Final Value of the Least Performing Index is less than its Trigger Value.
Date
|
Closing Level of Least Performing Index
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
55.00
|
$0
|
Second Review Date
|
50.00
|
$0
|
Third through Eleventh 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 Index is less than its Trigger Value and the Least Performing Index Return
is -5
0.00%, 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.
PS-
4
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
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 notes have not been automatically called and the Final Value of any
Index 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 Index is less than its Initial Value. Accordingly, under these circumstances, you will lose more than 30.00%
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 a Review Date only
if the closing level of each Index on that Review Date is greater than or equal to its Interest Barrier. If the closing level of
any Index on that Review Date is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that
Review Date. Accordingly, if the closing level of any Index on each 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 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 Index, which may be significant. You will not participate in any appreciation of any Index.
|
|
●
|
POTENTIAL CONFLICTS
—
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.
|
|
●
|
JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500
®
INDEX,
but JPMorgan Chase & Co. will not have any obligation to consider your interests in taking any corporate action that might
affect the level of the S&P 500
®
Index.
|
|
●
|
YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX—
Payments on the notes are not linked to a basket composed of the Indices and are contingent upon the performance of each individual
Index. Poor performance by any of the Indices over the term of the notes may result in the notes not being automatically called
on a 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 Index.
|
|
●
|
YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING INDEX.
|
|
●
|
THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE—
If the Final Value of any Index 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 Index.
|
|
●
|
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 THE SECURITIES INCLUDED IN ANY INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES.
|
PS-
5
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
|
|
|
●
|
AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH RESPECT TO THE RUSSELL 2000
®
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.
|
|
●
|
NON-U.S. SECURITIES RISK WITH RESPECT TO THE EURO STOXX 50
®
INDEX —
The equity securities included in the EURO STOXX 50
®
Index have been issued by non-U.S. companies. Investments in
securities linked to the value of such non-U.S. equity securities involve risks associated with the securities markets in the home
countries of the issuers of those non-U.S. equity securities. 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.
|
|
●
|
NO DIRECT EXPOSURE TO FLUCTUATIONS IN FOREIGN EXCHANGE RATES WITH RESPECT TO THE EURO STOXX 50
®
INDEX
—
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 EURO STOXX 50
®
Index are based, although any currency fluctuations could affect
the performance of the EURO STOXX 50
®
Index.
|
|
●
|
THE RISK OF THE CLOSING LEVEL OF AN INDEX FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS GREATER IF THE LEVEL OF
THAT INDEX IS VOLATILE.
|
|
●
|
LACK OF LIQUIDITY—
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 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 (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 levels of the Indices. 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
—
|
PS-
6
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
|
|
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-
7
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
|
|
The
Indices
The Russell 2000
®
Index consists
of the middle 2,000 companies included in the Russell 3000E
TM
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 “Equity Index Descriptions — The Russell Indices” in the accompanying
underlying supplement.
The S&P 500
®
Index consists
of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For additional information
about the S&P 500
®
Index, see “Equity Index Descriptions — The S&P U.S. Indices” in the
accompanying underlying supplement.
The EURO STOXX 50
®
Index consists
of 50 component stocks of market sector leaders from within the Eurozone. The EURO STOXX 50
®
Index and STOXX are
the intellectual property (including registered trademarks) of STOXX Limited, Zurich, Switzerland and/or its licensors (the “Licensors”),
which are used under license. The notes based on the EURO STOXX 50
®
Index are in no way sponsored, endorsed, sold
or promoted by STOXX Limited and its Licensors and neither STOXX Limited nor any of its Licensors shall have any liability with
respect thereto. For additional information about the EURO STOXX 50
®
Index, see “Equity Index Descriptions
— The EURO STOXX 50
®
Index” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical
performance of each Index based on the weekly historical closing levels from January 6, 2012 through August 11, 2017. The closing
level of the Russell 2000
®
Index on August 15, 2017 was 1,383.237. The closing level of the S&P 500
®
Index on August 15, 2017 was 2,464.61. The closing level of the EURO STOXX 50
®
Index on August 15, 2017 was 3,461.91.
We obtained the closing levels above and below from the Bloomberg Professional
®
service (“Bloomberg”),
without independent verification.
The historical closing levels of each Index should
not be taken as an indication of future performance, and no assurance can be given as to the closing level of any Index on any
Review Date. There can be no assurance that the performance of the Indices will result in the return of any of your principal amount
or the payment of any interest.
Historical Performance
of the Russell 2000
®
Index
Source: Bloomberg
|
PS-
8
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
|
|
Historical Performance
of the S&P 500
®
Index
Source: Bloomberg
|
Historical Performance
of the EURO STOXX 50
®
Index
Source: Bloomberg
|
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.
PS-
9
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
|
|
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 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, our special tax counsel
is of the opinion that Section 871(m) should 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. 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.
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 projected profits, if any, that our affiliates expect to realize for assuming risks inherent in
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Auto Callable Contingent Interest Notes Linked to the Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
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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 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 Indices” 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.
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.
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):
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Auto Callable Contingent Interest Notes Linked to the Least Performing of the Russell 2000
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Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
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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.
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| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
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