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.
Funds:
The SPDR
®
S&P
®
Biotech ETF (Bloomberg ticker: XBI) and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF (Bloomberg ticker: XOP)
Contingent
Interest
Payments:
If the notes have not been automatically called and the closing price of one share of each Fund 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 $10.8333 (equivalent to a Contingent Interest Rate of 13.00% per annum, payable
at a rate of 1.08333% per month).
If the closing price of one share of either Fund 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:
13.00% per annum, payable at a rate of 1.08333% per month
Interest Barrier / Trigger
Value:
With respect to each Fund, 60.00% of its Initial Value, which is $45.894 for the SPDR
®
S&P
®
Biotech ETF and $17.73 for the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
Pricing
Date:
August 16, 2017
Original
Issue Date (Settlement Date):
On or about August 21, 2017
Interest
Review Dates*:
September 18, 2017, October 16, 2017, November 16, 2017, December 18, 2017, January 16, 2018, February
16, 2018, March 16, 2018, April 16, 2018, May 16, 2018, June 18, 2018, July 16, 2018, August 16, 2018, September 17, 2018, October
16, 2018, November 16, 2018, December 17, 2018, January 16, 2019, February 19, 2019, March 18, 2019, April 16, 2019, May 16, 2019,
June 17, 2019, July 16, 2019, August 16, 2019, September 16, 2019, October 16, 2019, November 18, 2019, December 16, 2019, January
16, 2020, February 18, 2020, March 16, 2020, April 16, 2020, May 18, 2020, June 16, 2020, July 16, 2020 and August 17, 2020 (the
“final Review Date”)
Autocall Review Dates*:
February 16, 2018, May 16, 2018, August 16, 2018, November 16, 2018, February 19,
2019, May 16, 2019, August 16, 2019, November 18, 2019, February 18, 2020 and May 18, 2020
Interest
Payment Dates*:
September 21, 2017, October 19, 2017, November 21, 2017, December 21, 2017, January 19, 2018, February
22, 2018, March 21, 2018, April 19, 2018, May 21, 2018, June 21, 2018, July 19, 2018, August 21, 2018, September 20, 2018, October
19, 2018, November 21, 2018, December 20, 2018, January 22, 2019, February 22, 2019, March 21, 2019, April 22, 2019, May 21, 2019,
June 20, 2019, July 19, 2019, August 21, 2019, September 19, 2019, October 21, 2019, November 21, 2019, December 19, 2019, January
22, 2020, February 21, 2020, March 19, 2020, April 21, 2020, May 21, 2020, June 19, 2020, July 21, 2020 and the Maturity 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
|
Maturity
Date*:
August 20, 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 price of one share of each Fund 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.
Payment at Maturity:
If the notes have not been automatically called and the Final
Value of each Fund 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 either Fund 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 × Lesser Performing
Fund Return)
If the notes have not been automatically called and the
Final Value of either Fund is less than its Trigger Value, you will lose more than 40.00% of your principal amount at maturity
and could lose all of your principal amount at maturity.
Lesser Performing Fund:
The Fund with the Lesser Performing Fund Return
Lesser Performing Fund Return:
The lower of the Fund Returns of the Funds
Fund Return:
With respect to each Fund,
(Final Value – Initial Value)
Initial Value
Initial
Value:
With respect to each Fund
, t
he closing
price of one share of that Fund on the Pricing Date, which was $76.49 for the SPDR
®
S&P
®
Biotech
ETF and $29.55 for the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
Final
Value:
With respect to each Fund, the closing price of one share of that Fund on the
final Review Date
Share
Adjustment Factor:
With respect to each Fund, the Share Adjustment Factor is referenced
in determining the closing price of one share 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.
|
PS-
1
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the SPDR
®
S&P
®
Biotech ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
How
the Notes Work
Payments in Connection with Interest Review
Dates Preceding the Final Review Date
PS-
2
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the SPDR
®
S&P
®
Biotech ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
Payment at Maturity
If the Notes Have Not Been Automatically Called
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 the Contingent Interest
Rate of 13.00% 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
|
36
|
$390.0000
|
35
|
$379.1667
|
34
|
$368.3333
|
33
|
$357.5000
|
32
|
$346.6667
|
31
|
$335.8333
|
30
|
$325.0000
|
29
|
$314.1667
|
28
|
$303.3333
|
27
|
$292.5000
|
26
|
$281.6667
|
25
|
$270.8333
|
24
|
$260.0000
|
23
|
$249.1667
|
22
|
$238.3333
|
21
|
$227.5000
|
20
|
$216.6667
|
19
|
$205.8333
|
18
|
$195.0000
|
17
|
$184.1667
|
16
|
$173.3333
|
PS-
3
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the SPDR
®
S&P
®
Biotech ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
15
|
$162.5000
|
14
|
$151.6667
|
13
|
$140.8333
|
12
|
$130.0000
|
11
|
$119.1667
|
10
|
$108.3333
|
9
|
$97.5000
|
8
|
$86.6667
|
7
|
$75.8333
|
6
|
$65.0000
|
5
|
$54.1667
|
4
|
$43.3333
|
3
|
$32.5000
|
2
|
$21.6667
|
1
|
$10.8333
|
0
|
$0.0000
|
Hypothetical
Payout Examples
The following examples illustrate payments
on the notes linked to two hypothetical Funds, assuming a range of performances for the hypothetical Lesser Performing Fund on
the Interest Review Dates and the Autocall Review Dates.
Each hypothetical payment set forth below assumes that the closing
price of one share of the Fund that is not the Lesser Performing Fund 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 Lesser Performing Fund of $100.00;
|
|
·
|
an Interest Barrier and a Trigger Value for the Lesser Performing Fund of $60.00 (equal to 60.00% of its hypothetical Initial
Value); and
|
|
·
|
a Contingent Interest Rate of 13.00% per annum (payable at a rate of 1.08333% per month).
|
The hypothetical Initial Value of the Lesser
Performing Fund of $100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value of either
Fund. The actual Initial Value of each Fund is the closing price of one share of that Fund on the Pricing Date and is specified
under “Key Terms — Initial Value” in this pricing supplement. For historical data regarding the actual closing
prices of one share of each Fund, please see the historical information set forth under “The Funds” 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.
PS-
4
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the SPDR
®
S&P
®
Biotech ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
Example 1 — Notes are automatically
called on the first Autocall Review Date.
Date
|
Closing Price
of One Share of Lesser Performing Fund
|
Payment
(per $1,000 principal amount note)
|
First Interest Review
Date
|
$105.00
|
$10.8333
|
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
|
$1,010.8333
|
|
Total Payment
|
$1,021.6667 (2.16667% return)
|
Because the closing price of one share
of each Fund 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 $1,010.8333 (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 Payment received with respect to the prior Interest Review Dates, the total amount
paid, for each $1,000 principal amount note, is $1,021.6667. No further payments will be made on the notes.
Example 2 — Notes have NOT been
automatically called and the Final Value of the Lesser Performing Fund is greater than or equal to its Trigger Value.
Date
|
Closing Price of One Share of Lesser Performing Fund
|
Payment (per $1,000 principal amount note)
|
First Interest Review Date
|
$95.00
|
$10.8333
|
Second Interest Review Date
|
$85.00
|
$10.8333
|
Third through Thirty-Fifth Interest Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
$90.00
|
$1,010.8333
|
|
Total Payment
|
$1,032.50 (3.25% return)
|
Because the notes have not been automatically
called and the Final Value of the Lesser Performing Fund is greater than or equal to its Trigger Value, the payment at maturity,
for each $1,000 principal amount note, will be $1,010.8333 (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 $1,032.50.
Example
3 — Notes have NOT been automatically called and the Final Value of the Lesser Performing Fund is less than its Trigger Value
.
Date
|
Closing Price of One Share of Lesser Performing Fund
|
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)
|
PS-
5
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the SPDR
®
S&P
®
Biotech ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
Because
the
notes have not been automatically called, the
Final Value
of the Lesser Performing Fund
is less than its
Trigger Value
and the
Lesser Performing
Fund 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 either Fund 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 Lesser Performing Fund is less
than its Initial Value. Accordingly, under these circumstances, you will lose more than 40.00% 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 price of one share of each Fund on that Interest Review Date is greater than or equal to its Interest Barrier. If the
closing price of one share of either Fund 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 price of one share of either Fund 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 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
either Fund, which may be significant. You will not participate in any appreciation of either Fund.
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 PRICE OF ONE SHARE OF EACH FUND —
|
Payments on the notes are not linked
to a basket composed of the Funds and are contingent upon the performance of each individual Fund. Poor performance by either of
the Funds over the term of the notes may result in the notes not being
PS-
6
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the SPDR
®
S&P
®
Biotech ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
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 the other Fund.
|
·
|
YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LESSER PERFORMING FUND.
|
|
·
|
THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE —
|
If the Final Value of either Fund
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 Lesser Performing Fund.
|
·
|
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 EITHER FUND OR THE SECURITIES HELD BY EITHER FUND OR HAVE ANY RIGHTS WITH RESPECT TO THE
FUNDS OR THOSE SECURITIES.
|
|
·
|
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 Funds” 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 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.
|
·
|
RISKS ASSOCIATED WITH THE BIOTECHNOLOGY INDUSTRY WITH RESPECT TO THE SPDR
®
S&P
®
BIOTECH
ETF —
|
All or substantially all of the
equity securities held by the SPDR
®
S&P
®
Biotech ETF are issued by companies whose primary line
of business is directly associated with the biotechnology industry. As a result, the value of the notes may be subject to
greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this industry
than a different investment linked to securities of a more broadly diversified group of issuers. Biotechnology companies
invest heavily in research and development, which may not necessarily lead to commercially successful products. These companies
are also subject to increased governmental regulation, which may delay or inhibit the release of new products. Many biotechnology
companies are dependent upon their ability to use and enforce intellectual property rights and patents. Any impairment of
these rights may have adverse financial consequences. Biotechnology stocks, especially those of smaller, less-seasoned companies,
tend to be more volatile than the overall market. Biotechnology companies can be significantly affected by technological
change and obsolescence, product liability lawsuits and consequential high insurance costs. These factors could affect the
biotechnology
PS-
7
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the SPDR
®
S&P
®
Biotech ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
industry and could affect the value
of the equity securities held by the SPDR
®
S&P
®
Biotech ETF and the price of the SPDR
®
S&P
®
Biotech ETF during the term of the notes, which may adversely affect the value of your notes.
|
·
|
RISKS ASSOCIATED WITH THE OIL AND GAS EXPLORATION AND PRODUCTION INDUSTRY WITH RESPECT TO THE SPDR
®
S&P
®
OIL & GAS EXPLORATION & PRODUCTION ETF
—
|
All
or substantially all of the equity securities held by the
SPDR
®
S&P
®
Oil & Gas Exploration
& Production ETF
are issued by companies whose primary line of business is directly associated
with the oil and gas exploration and production industry. As a result, the value of the notes may be subject to greater volatility
and be more adversely affected by a single economic, political or regulatory occurrence affecting this industry than a different
investment linked to securities of a more broadly diversified group of issuers. Issuers in energy-related industries can be significantly
affected by fluctuations in energy prices and supply and demand of energy fuels. Markets for various energy-related commodities
can have significant volatility, and are subject to control or manipulation by large producers or purchasers. Companies in the
energy sector may need to make substantial expenditures, and to incur significant amounts of debt, in order to maintain or expand
their reserves. Oil and gas companies develop and produce crude oil and natural gas and provide drilling and other energy
resources production and distribution related services. Stock prices for these types of companies are affected by supply
and demand both for their specific product or service and for energy products in general. The price of oil and gas, exploration
and production spending, government regulation, world events and economic conditions will likewise affect the performance of these
companies. Correspondingly, securities of companies in the energy field are subject to swift price and supply fluctuations
caused by events relating to international politics, energy conservation, the success of exploration projects, and tax and other
governmental regulatory policies. Weak demand for the companies’ products or services or for energy products and services
in general, as well as negative developments in these other areas, would adversely impact the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF’s performance. Oil and gas exploration and production can be significantly
affected by natural disasters as well as changes in exchange rates, interest rates, government regulation, world events and economic
conditions. These companies may be at risk for environmental damage claims. These factors could affect the oil and gas exploration
and production industry and could affect the value of the equity securities held by the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF and the price of the SPDR
®
S&P
®
Oil & Gas
Exploration & Production ETF during the term of the notes, which may adversely affect the value of your notes.
|
·
|
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 PRICE OF ONE SHARE OF A FUND FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS GREATER IF THE
PRICE OF ONE SHARE OF THAT FUND 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 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
PS-
8
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the SPDR
®
S&P
®
Biotech ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
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 prices of one share of the
Funds. 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 Lesser Performing of the SPDR
®
S&P
®
Biotech ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
The
Funds
The SPDR
®
S&P
®
Biotech ETF is an exchange-traded fund of the SPDR
®
Series Trust, a registered investment company, that seeks to
provide investment results that, before fees and expenses, correspond generally to the total return performance of an index derived
from the biotechnology segment of a U.S. total market composite index, which we refer to as the Underlying Index with respect to
the SPDR
®
S&P
®
Biotech ETF. The Underlying Index for the SPDR
®
S&P
®
Biotech ETF is currently the S&P Biotechnology Select Industry
TM
Index. The S&P Biotechnology Select
Industry
TM
Index is a modified equal-weight index that is designed to measure the performance of the GICS
®
biotechnology sub-industry of the S&P Total Market Index. The S&P Biotechnology Select Industry
TM
Index
may also include companies in the life sciences tools & services sub-industry of the S&P Total Market Index. For
additional information about the SPDR
®
S&P
®
Biotech ETF, see the information set forth under
“Fund Descriptions — The SPDR
®
S&P Industry ETFs” in the accompanying underlying supplement.
For purposes of the accompanying underlying supplement, the SPDR
®
S&P
®
Biotech ETF is an “SPDR
®
S&P
®
Industry
ETF.” For additional information about the S&P Biotechnology Select Industry
TM
Index, see Annex A in
this pricing supplement.
The SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF is an exchange-traded fund of the SPDR
®
Series Trust, a registered
investment company, that seeks to provide investment results that, before fees and expenses, correspond generally to the total
return performance of an index derived from the oil and gas exploration and production segment of a U.S. total market composition
index, which we refer to as the Underlying Index with respect to the SPDR
®
S&P
®
Oil & Gas
Exploration & Production ETF. The Underlying Index with respect to the SPDR
®
S&P
®
Oil &
Gas Exploration & Production ETF is currently the S&P
®
Oil & Gas Exploration & Production Select
Industry
TM
Index. The S&P
®
Oil & Gas Exploration & Production Select Industry
TM
Index is a modified equal-weighted index that is designed to measure the performance of the following GICS
®
sub-industries
of the S&P Total Market Index: integrated oil & gas, oil & gas exploration & mining and oil & gas refining
& marketing. For additional information about the SPDR
®
S&P
®
Oil & Gas Exploration &
Production ETF, see the information set forth under “Fund Descriptions — The SPDR
®
S&P
®
Industry ETFs” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical
performance of each Fund based on the weekly historical closing prices from January 6, 2012 through August 11, 2017. The closing
price of one share of the SPDR
®
S&P
®
Biotech ETF on August 16, 2017 was $76.49. The closing price
of one share of the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF on August 16, 2017
was $29.55. We obtained the closing prices above and below from the Bloomberg Professional
®
service (“Bloomberg”),
without independent verification. The closing prices above and below may have been adjusted by Bloomberg for actions taken by the
Fund, such as stock splits.
The historical closing prices of one
share of each Fund should not be taken as an indication of future performance, and no assurance can be given as to the closing
price of one share of either Fund on any Interest Review Date or Autocall Review Date. There can be no assurance that the performance
of the Funds 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 Lesser Performing of the SPDR
®
S&P
®
Biotech ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production 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.
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.
PS-
11
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the SPDR
®
S&P
®
Biotech ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
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 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-
12
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the SPDR
®
S&P
®
Biotech ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
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 Funds” 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):
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-
13
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the SPDR
®
S&P
®
Biotech ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
Annex
A
The S&P Biotechnology
Select Industry
TM
Index
We have derived all information contained
in this pricing supplement regarding the S&P Biotechnology Select Industry
TM
Index (the “Biotechnology Index”),
including, without limitation, its make-up, method of calculation and changes in their components, from publicly available information,
without independent verification. This information reflects the policies of, and is subject to change by S&P Dow
Jones Indices LLC. S&P Dow Jones LLC has no obligation to continue to calculate and publish, and may discontinue calculation
and publication of, the Biotechnology Index.
The Biotechnology Index is a modified
equal-weighted index that measures the performance of the GICS
®
biotechnology sub-industry. As described
in the accompanying underlying supplement, the Biotechnology Index may also include companies in the following supplementary sub-industry:
life sciences tools & services. The Biotechnology Index is reported by Bloomberg L.P. under the ticker symbol “SPSIBI.”
For more information on the index calculation
methodology used to formulate the Biotechnology Index, see “Equity Index Descriptions — The Select Industry Indices”
in the accompanying underlying supplement. For purposes of the accompanying underlying supplement, the Biotechnology Index
is a “Select Industry Index.”
PS-
14
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Lesser Performing of the SPDR
®
S&P
®
Biotech ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Mar 2024 to Apr 2024
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Apr 2023 to Apr 2024