PRICING SUPPLEMENT
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-209682 and 333-209682-01
Dated September 20, 2017
JPMorgan
Chase Financial Company LLC Trigger Absolute Return Autocallable Notes
$5,145,000 Linked to the common stock of HP Inc. due September
24, 2019
Fully and Unconditionally Guaranteed by JPMorgan Chase &
Co.
Investment
Description
|
Trigger Absolute Return Autocallable Notes, which we refer to as the “Notes,” are unsecured and unsubordinated debt securities issued by JPMorgan Chase Financial Company LLC (“JPMorgan Financial”), the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co., linked to the performance of the common stock of a specific company (the “Underlying”). If the Underlying closes at or above the Initial Value on any Observation Date, JPMorgan Financial will automatically call the Notes and pay you a Call Price equal to the principal amount per Note plus a Call Return. The Call Return increases the longer the Notes are outstanding. If by maturity the Notes have not been called and the closing price of one share of the Underlying closes at or above the Downside Threshold on the Final Valuation Date, JPMorgan Financial will repay the principal amount
plus
pay you a return at maturity equal to the absolute value of the percentage decline in the price of the Underlying from the Initial Value to the Final Value (the “Contingent Absolute Return”). If by maturity the Notes have not been called and the Underlying closes below the Downside Threshold on the Final Valuation Date, the Contingent Absolute Return will not apply and JPMorgan Financial will repay less than the principal amount, if anything, resulting in a loss that is proportionate to the decline in the price of the Underlying from the Initial Value to the Final Value. The closing price of the Underlying is subject to adjustments, in the sole discretion of the calculation agent, in the case of certain corporate events described in the accompanying product supplement under “The Underlyings — Underlying Stocks — Anti-Dilution Adjustments” and “The Underlyings — Underlying Stocks — Reorganization Events.”
Investing in the Notes involves significant risks. The Notes do not pay interest. You may lose some or all of your principal amount. Generally, a higher Call Return Rate is associated with a greater risk of loss. The Contingent Absolute Return and any contingent repayment of principal apply only if you hold the Notes to maturity. Any payment on the Notes, including any repayment of principal, is subject to the creditworthiness of JPMorgan Financial, as issuer of the Notes, and the creditworthiness of JPMorgan Chase & Co., as guarantor of the Notes. If JPMorgan Financial and JPMorgan Chase & Co. were to default on their payment obligations, you may not receive any amounts owed to you under the Notes and you could lose your entire investment.
|
q
|
Call Return:
JPMorgan Financial will automatically call the Notes for a Call Price equal to the principal amount plus a Call Return if the closing price of one share of the Underlying on any Observation Date is equal to or greater than the Initial Value. The Call Return increases the longer the Notes are outstanding. If the Notes are not called, investors will have the potential for downside equity market risk at maturity.
|
q
|
Downside Exposure with Contingent Absolute Return at Maturity:
If by maturity the Notes have not been called and the price of the Underlying closes at or above the Downside Threshold on the Final Valuation Date, JPMorgan Financial will repay the principal amount
plus
pay the Contingent Absolute Return. If, by maturity the Note have not been called and the price of one share of the Underlying closes below the Downside Threshold on the Final Valuation Date, the Contingent Absolute Return will not apply and JPMorgan Financial will repay less than the principal amount, if anything, resulting in a loss that is proportionate to the decline in the price of the Underlying from the Initial Value to the Final Value. The Contingent Absolute Return and any contingent repayment of principal apply only if you hold the Notes to maturity. Any payment on the Notes, including any repayment of principal, is subject to the creditworthiness of JPMorgan Financial and JPMorgan Chase & Co.
|
Trade Date
|
September 20, 2017
|
Original Issue Date (Settlement Date)
1
|
September 25, 2017
|
Observation Dates
2
|
Quarterly (see page 4)
|
Final Valuation Date
2
|
September 20, 2019
|
Maturity Date
2
|
September 24, 2019
|
1
|
See “Supplemental Plan of Distribution” for more details on the expected Settlement Date.
|
2
|
Subject to postponement in the event of a market disruption event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
|
THE NOTES ARE SIGNIFICANTLY RISKIER THAN CONVENTIONAL DEBT
INSTRUMENTS. JPMORGAN FINANCIAL IS NOT NECESSARILY OBLIGATED TO REPAY THE FULL PRINCIPAL AMOUNT OF THE NOTES AT MATURITY, AND THE
NOTES CAN HAVE DOWNSIDE MARKET RISK SIMILAR TO THE UNDERLYING. THIS MARKET RISK IS IN ADDITION TO THE CREDIT RISK INHERENT IN PURCHASING
A DEBT OBLIGATION OF JPMORGAN FINANCIAL FULLY AND UNCONDITIONALLY GUARANTEED BY JPMORGAN CHASE & CO. YOU SHOULD
NOT PURCHASE THE NOTES IF YOU DO NOT UNDERSTAND OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS INVOLVED IN INVESTING IN THE
NOTES.
YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER “KEY
RISKS” BEGINNING ON PAGE 6 OF THIS PRICING SUPPLEMENT AND UNDER “RISK FACTORS” BEGINNING ON PAGE PS-10 OF THE
ACCOMPANYING PRODUCT SUPPLEMENT BEFORE PURCHASING ANY NOTES. EVENTS RELATING TO ANY OF THOSE RISKS, OR OTHER RISKS AND UNCERTAINTIES,
COULD ADVERSELY AFFECT THE MARKET VALUE OF, AND THE RETURN ON, YOUR NOTES. YOU MAY LOSE SOME OR ALL OF YOUR INITIAL INVESTMENT
IN THE NOTES. THE NOTES WILL NOT BE LISTED ON ANY SECURITIES EXCHANGE.
|
Note
Offering
|
We are offering Trigger Absolute Return Autocallable Notes linked to the common stock of HP Inc. The Notes are offered at a minimum investment of $1,000 in denominations of $10 and integral multiples thereof. The Call Return applicable to each Observation Date is provided in “Call Returns/Call Prices” in this pricing supplement.
|
Underlying
|
Call Return Rate
|
Initial Value
|
Downside Threshold
|
CUSIP
|
ISIN
|
Common stock of HP Inc.
(Bloomberg ticker: HPQ)
|
10.50%
per annum
|
$19.60
|
$14.70, which is 75.00% of the
Initial Value
|
48129J483
|
US48129J4830
|
See “Additional Information about JPMorgan Financial,
JPMorgan Chase & Co. and the Notes” in this pricing supplement. The Notes will have the terms specified in
the prospectus and the prospectus supplement, each dated April 15, 2016, product supplement no. UBS-1-I dated April 15, 2016 and
this pricing supplement.
The terms of the Notes as set forth in this pricing supplement, to the extent they differ
or conflict with those set forth in the accompanying product supplement, will supersede the terms set forth in that product supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the Notes or passed upon the accuracy or the adequacy of this
pricing supplement or the accompanying prospectus, the accompanying prospectus supplement and the accompanying product supplement. Any
representation to the contrary is a criminal offense.
|
Price
to
Public
(1)
|
Fees and Commissions
(2)
|
Proceeds
to
Issuer
|
Offering of Notes
|
Total
|
Per Note
|
Total
|
Per Note
|
Total
|
Per Note
|
Notes linked to the common stock of HP Inc.
|
$5,145,000
|
$10
|
$77,175
|
$0.15
|
$5,067,825
|
$9.85
|
(1)
|
See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price to public of the Notes.
|
(2)
|
UBS Financial Services Inc., which we refer to as UBS, will receive selling commissions from us of $0.15 per $10 principal amount Note. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement, as supplemented by “Supplemental Plan of Distribution” in this pricing supplement.
|
The estimated value of the Notes, when the terms of the Notes
were set, was $9.747 per $10 principal amount Note. See “The Estimated Value of the Notes” in this pricing
supplement for additional information.
The Notes are not bank deposits, are not insured by the Federal
Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
UBS Financial Services Inc.
|
|
Additional
Information about JPMorgan Financial, JPMorgan Chase & Co. and 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.
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” section of the accompanying
product supplement, as the Notes involve risks not associated with conventional debt securities.
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, the “Issuer,”
“JPMorgan Financial,” “we,” “us” and “our” refer to JPMorgan Chase Financial Company
LLC.
Supplemental Terms of the Notes
|
For purposes of the accompanying product supplement,
the common stock of HP Inc. is an “Underlying Stock.”
Investor
Suitability
The Notes may be suitable for you if, among other considerations:
|
t
|
You fully understand the risks inherent in an investment in the Notes,
including the risk of loss of your entire initial investment.
|
|
t
|
You can tolerate a loss of all or a substantial portion of your investment
and are willing to make an investment that may have the same downside market risk as an investment in the Underlying.
|
|
t
|
You believe the Underlying will close at or above the Initial Value
on one of the specified Observation Dates or will close at or above the Downside Threshold on the Final Valuation Date.
|
|
t
|
You understand and accept that you will not participate in any appreciation
in the price of one share of the Underlying and that your potential return is limited to the applicable Call Return or, if the
Notes have not been called, to the Contingent Absolute Return (as limited by the Downside Threshold).
|
|
t
|
You can tolerate fluctuations in the price of the Notes prior to maturity
that may be similar to or exceed the downside price fluctuations of the Underlying.
|
|
t
|
You are willing to invest in the Notes based on the Call Return Rate
indicated on the cover hereof.
|
|
t
|
You do not seek current income from this investment and are willing
to forgo dividends paid on the Underlying.
|
|
t
|
You are able and willing to invest in Notes that may be called early
and you are otherwise able and willing to hold the Notes to maturity.
|
|
t
|
You accept that there may be little or no secondary market for the
Notes and that any secondary market will depend in large part on the price, if any, at which J.P. Morgan Securities LLC, which
we refer to as JPMS, is willing to trade the Notes.
|
|
t
|
You understand and accept the risks associated with the Underlying.
|
|
t
|
You are willing to assume the credit risks of JPMorgan Financial and
JPMorgan Chase & Co. for all payments under the Notes, and understand that if JPMorgan Financial and JPMorgan Chase & Co.
default on their obligations, you may not receive any amounts due to you including any repayment of principal.
|
The Notes may not be suitable for you if, among other considerations:
|
t
|
You do not fully understand the risks inherent in an investment in
the Notes, including the risk of loss of your entire initial investment.
|
|
t
|
You cannot tolerate a loss of all or a substantial portion of your
investment and are unwilling to make an investment that may have the same downside market risk as an investment in the Underlying.
|
|
t
|
You require an investment designed to provide a full return of principal
at maturity.
|
|
t
|
You believe that the price of one share of the Underlying will decline
during the term of the Notes and is likely to close below the Downside Threshold on the Final Valuation Date exposing you to the
full negative Underlying Return at maturity.
|
|
t
|
You seek an investment that participates in the full appreciation in
the price of the Underlying or that has unlimited return potential.
|
|
t
|
You cannot tolerate fluctuations in the price of the Notes prior to
maturity that may be similar to or exceed the downside price fluctuations of the Underlying.
|
|
t
|
You are not willing to invest in the Notes based on the Call Return
Rate indicated on the cover hereof.
|
|
t
|
You prefer the lower risk, and therefore accept the potentially lower
returns, of fixed income investments with comparable maturities and credit ratings.
|
|
t
|
You seek current income from this investment or prefer to receive the
dividends paid on the Underlying.
|
|
t
|
You are unable or unwilling to invest in Notes that may be called early,
or you are otherwise unable or unwilling to hold the Notes to maturity, or you seek an investment for which there will be an active
secondary market.
|
|
t
|
You do not understand or accept the risks associated with the Underlying.
|
|
t
|
You are not willing to assume the credit risks of JPMorgan Financial
and JPMorgan Chase & Co. for all payments under the Notes, including any repayment of principal.
|
The suitability considerations identified above are not exhaustive.
Whether or not the Notes are a suitable investment for you will depend on your individual circumstances, and you should reach an
investment decision only after you and your investment, legal, tax, accounting and other advisers have carefully considered the
suitability of an investment in the Notes in light of your particular circumstances. You should also review carefully the “Key
Risks” section of this pricing supplement and the “Risk Factors” section of the accompanying product supplement
for risks related to an investment in the Notes. For more information on the Underlying, please see the section titled
“The Underlying” below.
Issuer
|
|
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
|
Guarantor
|
|
JPMorgan Chase & Co.
|
Issue Price
|
|
$10.00 per Note
|
Underlying
|
|
Common stock of HP Inc.
|
Principal Amount
|
|
$10 per Note (subject to a minimum purchase of 100 Notes or $1,000)
|
Term
|
|
Approximately 2 years, unless called earlier
|
Call Feature
|
|
The Notes will be called if the closing price
1
of one share of the Underlying on any Observation Date is equal to or greater than the Initial Value. If the Notes are called, JPMorgan Financial will pay you on the applicable Call Settlement Date a cash payment per Note equal to the applicable Call Price for the applicable Observation
Date.
|
Observation Dates
2
|
|
December 20, 2017
March 20, 2018
June 20, 2018
September 26, 2018
December 20, 2018
March 20, 2019
June 20, 2019
September 20, 2019 (Final Valuation Date)
|
Call Settlement Dates
2
|
|
As specified under “Call Settlement Dates” column of the table under “Call Returns/Call Prices” below
|
Call Return
|
|
The Call Return increases the longer the Notes are outstanding and is based upon a rate of 10.50% per annum. See “Call Returns/Call Prices.”
|
Call Price
|
|
The Call Price equals the principal amount per Note
plus
the Call Return.
|
Payment at Maturity (per $10 Note)
|
|
If
the Notes are not automatically called and the Final Value is equal to or greater than the Downside Threshold,
we will pay
you a cash payment at maturity per $10 principal amount Note equal
to:
$10 × (1 + Contingent Absolute Return)
If
the Notes are not automatically called and the Final Value is less than the Downside Threshold,
we will pay you a cash payment
at maturity that is less than $10 per $10 principal amount Note, equal
to:
$10 × (1 + Underlying Return)
In this scenario, the Contingent Absolute Return
does not apply, you will be exposed to the decline of the Underlying and you will lose some or all of your principal at maturity
in an amount proportionate to the negative Underlying Return.
|
Underlying Return
|
|
Final Value – Initial Value
Initial Value
|
Contingent Absolute Return
|
|
The absolute value of the Underlying Return. For example, if the Underlying Return is -5%, the Contingent Absolute Return will equal
5%.
|
Initial Value
|
|
The closing price of one share of the Underlying on the Trade Date, as specified on the cover of this pricing supplement
|
Final Value
|
|
The closing price
1
of one share of the Underlying on the Final Valuation Date
|
Downside Threshold
|
|
75.00% of the Initial Value, as specified on the cover of this pricing supplement
|
Stock Adjustment Factor
1
|
|
The Stock Adjustment Factor is referenced in determining the closing price of the Underlying. The Stock Adjustment Factor is set initially at 1.0 on the Trade Date.
|
1
|
The closing price and the Stock Adjustment Factor are subject to adjustments, in the sole discretion of the calculation agent, in the case of certain corporate events described in the accompanying product supplement under “The Underlyings — Underlying Stocks — Anti-Dilution Adjustments” and “The Underlyings — Underlying Stocks — Reorganization Events.”
|
2
|
See footnote 2 under “Key Dates” on the front cover
|
Trade Date
|
|
The closing price of one share of the Underlying (Initial Value) is observed, the Downside Threshold is determined and the applicable Call Return Rate is finalized.
|
Quarterly
|
|
The Notes will be called if the closing price of one share of
the Underlying on any Observation Date is equal to or greater than the Initial Value.
If the Notes are called, JPMorgan Financial will pay the applicable
Call Price for the applicable Observation Date: equal to the principal amount
plus
an amount based on the applicable Call
Return Rate.
|
|
|
Maturity Date
|
|
If
the Notes are not automatically called and the Final Value is equal to or greater than the Downside Threshold,
we will pay
you a cash payment at maturity per $10 principal amount Note equal
to:
$10 × (1 + Contingent Absolute Return)
If
the Notes are not automatically called and the Final Value is less than the Downside Threshold,
we will pay you a cash payment
at maturity that is less than $10 per $10 principal amount Note, equal
to:
$10 × (1 + Underlying Return)
In this scenario, the Contingent Absolute Return does not
apply, you will be exposed to the decline of the Underlying and you will lose some or all of your principal at maturity in an amount
proportionate to the negative Underlying Return.
|
INVESTING IN THE NOTES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE SOME OR ALL OF YOUR PRINCIPAL AMOUNT. ANY PAYMENT ON THE NOTES, INCLUDING ANY REPAYMENT OF PRINCIPAL, IS SUBJECT TO THE CREDITWORTHINESS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. IF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. WERE TO DEFAULT ON THEIR PAYMENT OBLIGATIONS, YOU MAY NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE NOTES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.
|
Call
Returns/Call Prices
Observation Dates
†
|
Call Settlement Dates
†
|
Call Return (numbers below reflect the rate of 10.50% per annum)
|
Call Price (per $10)
|
December 20, 2017
|
December 22, 2017
|
2.625%
|
$10.2625
|
March 20, 2018
|
March 22, 2018
|
5.250%
|
$10.5250
|
June 20, 2018
|
June 22, 2018
|
7.875%
|
$10.7875
|
September 26, 2018
|
September 28, 2018
|
10.500%
|
$11.0500
|
December 20, 2018
|
December 24, 2018
|
13.125%
|
$11.3125
|
March 20, 2019
|
March 22, 2019
|
15.750%
|
$11.5750
|
June 20, 2019
|
June 24, 2019
|
18.375%
|
$11.8375
|
September 20, 2019
(Final Valuation Date)
|
September 24, 2019
(Maturity Date)
|
21.000%
|
$12.1000
|
†
|
See footnote 2 under “Key Dates” on the cover
|
|
|
What
Are the Tax Consequences of the Notes?
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. UBS-1-I. The following discussion,
when read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell
LLP, regarding the material U.S. federal income tax consequences of owning and disposing of Notes.
Based on current market conditions, in the opinion of
our special tax counsel it is reasonable to treat the Notes as “open transactions” that are not debt instruments for
U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences
to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement. Assuming
this treatment is respected, the gain or loss on your Notes should be treated as short-term capital gain or loss unless you hold
your Notes for more than a year, in which case the gain or loss should be long-term capital gain or loss, whether or not you are
an initial purchaser of Notes at the issue price. However, the IRS or a court may not respect this treatment, in which
case the timing and character of any income or loss on the Notes could be materially and adversely affected. In addition,
in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward
contracts” and similar instruments. The notice focuses in particular on whether to require investors in these
instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics,
including the character of income or loss with respect to these instruments; the relevance of factors such as the nature of the
underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals)
realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject to
the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term capital gain
as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate transition
rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially
and adversely affect the 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.
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.
Withholding under legislation commonly referred to as
“FATCA” may (if the Notes are recharacterized as debt instruments) apply to amounts treated as interest paid with respect
to the Notes, as well as to payments of gross proceeds of a taxable disposition, including an automatic call or redemption at maturity,
of a Note. However, under a recent IRS notice, this regime will not apply to payments of gross proceeds (other than
any amount treated as interest) with respect to dispositions occurring before January 1, 2019. You should consult your
tax adviser regarding the potential application of FATCA to the Notes.
Key
Risks
An investment in the Notes involves significant risks. Investing
in the Notes is not equivalent to investing directly in the Underlying. These risks are explained in more detail in the “Risk
Factors” section of the accompanying product supplement. We also urge you to consult your investment, legal, tax, accounting
and other advisors before you invest in the Notes.
Risks Relating to the Notes Generally
|
t
|
Your Investment in the Notes May Result in a Loss
— The
Notes differ from ordinary debt securities in that JPMorgan Financial will not necessarily repay the full principal amount of the
Notes. If the Notes are not called and the closing price of one share of the Underlying has declined below the Downside
Threshold on the Final Valuation Date, you will be fully exposed to any depreciation in the closing price of one share of the Underlying
from the Initial Value to the Final Value. In this case, JPMorgan Financial will repay less than the full principal
amount at maturity, resulting in a loss of principal that is proportionate to the negative Underlying Return. Under
these circumstances, the Contingent Absolute Return will not apply and you will lose 1% of your principal for every 1% that the
Final Value is less than the Initial Value. Accordingly, you could lose up to your entire principal amount.
|
|
t
|
Credit Risks of JPMorgan Financial and JPMorgan Chase & Co.
— The Notes are unsecured and unsubordinated debt obligations of the Issuer, JPMorgan Chase Financial Company LLC, the payment
on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. The Notes will rank
pari passu
with
all of our other unsecured and unsubordinated obligations, and the related guarantee JPMorgan Chase & Co. will rank
pari
passu
with all of JPMorgan Chase & Co.’s other unsecured and unsubordinated obligations. The Notes and
related guarantees are not, either directly or indirectly, an obligation of any third party. Any payment to be made
on the Notes, including any repayment of principal, depends on the ability of JPMorgan Financial and JPMorgan Chase & Co. to
satisfy their obligations as they come due. As a result, the actual and perceived creditworthiness of JPMorgan Financial
and JPMorgan Chase & Co. may affect the market value of the Notes and, in the event JPMorgan Financial and JPMorgan Chase &
Co. were to default on their obligations, you may not receive any amounts owed to you under the terms of the Notes and you could
lose your entire investment.
|
|
t
|
As a Finance Subsidiary, JPMorgan Financial Has No Independent Operations
and Limited Assets —
As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the
issuance and administration of our securities. Aside from the initial capital contribution from JPMorgan Chase &
Co., substantially all of our assets relate to obligations of our affiliates to make payments under loans made by us or other intercompany
agreements. As a result, we are dependent upon payments from our affiliates to meet our obligations under the Notes. If
these affiliates do not make payments to us and we fail to make payments on the Notes, you may have to seek payment under the related
guarantee by JPMorgan Chase & Co., and that guarantee will rank
pari passu
with all other unsecured and unsubordinated
obligations of JPMorgan Chase & Co.
|
|
t
|
The Contingent Absolute Return Applies Only If You Hold the Notes
to Maturity
— You should be willing to hold your Notes to maturity. If you are able to sell your Notes in
the secondary market, if any, prior to maturity, you may have to sell them at a loss relative to your initial investment even if
the closing price of one share of the Underlying is above the Downside Threshold. If by maturity the Notes have not
been called, JPMorgan Financial will repay you your principal amount
plus
the Contingent Absolute Return, unless the Final
Value is below the Downside Threshold. However, if by maturity the Note have not been called and the Final Value is
less than the Downside Threshold, the Contingent Absolute Return will not apply and JPMorgan Financial will repay less than the
principal amount, if anything, resulting in a loss that is proportionate to the decline in the price of the Underlying from the
Initial Value to the Final Value. The Contingent Absolute Return and any contingent repayment of principal based on
whether the Final Value is below the Downside Threshold apply only if you hold your Notes to maturity.
|
|
t
|
Limited Return on the Notes
— If the Notes are called,
your potential gain on the Notes will be limited to the applicable Call Return regardless of the appreciation in the closing price
of one share of the Underlying, which may be significant. Because the Call Return increases the longer the Notes have
been outstanding and your Notes can be called as early as the first quarterly Observation Date, the term of the Notes could be
cut short and the return on the Notes would be less than if the Notes were called at a later date. In addition, if the
Notes are not called, any positive return on the Notes will be limited by the Downside Threshold because JPMorgan Financial will
pay you the principal amount
plus
the Contingent Absolute Return at maturity only when the Notes are not called and only
if the Final Value is greater than or equal to the Downside Threshold. You will not receive a Contingent Absolute Return and will
lose some or all of your investment if the Final Value is below the Downside Threshold. Furthermore, because the closing
price of one share of the Underlying at various times during the term of the Notes could be higher than on the Observation Dates
and on the Final Valuation Date, you may receive a lower payment if the Notes are automatically called or at maturity, as the case
may be, than you would have if you had invested directly in the Underlying. Even though you will not participate in
any potential appreciation of the Underlying, you may be exposed to the Underlying’s downside market risk if the Notes are
not automatically called.
|
|
t
|
The Probability That the Final Value Will Fall Below the Downside
Threshold on the Final Valuation Date Will Depend on the Volatility of the Underlying
— “Volatility” refers
to the frequency and magnitude of changes in the price of one share of the Underlying. Greater expected volatility with
respect to the Underlying reflects a higher expectation as of the Trade Date that the price of one share of that Underlying could
close below its Downside Threshold on the Final Valuation Date, resulting in the loss of some or all of your investment. In
addition, the Call Return Rate is a fixed amount and depends in part on this expected volatility. A higher Call Return
Rate is generally associated with greater expected volatility. However, the Underlying’s volatility can change
significantly over the term of the Notes. The price of one share of the Underlying for your Notes could fall sharply,
which could result in a significant loss of principal.
|
|
t
|
Reinvestment Risk
— If your Notes are called early, the
holding period over which you would have the opportunity to receive the Call Return Rate could be as short as approximately three
months. There is no guarantee that you would be able to reinvest the proceeds from an investment in the Notes at a comparable
rate of return for a similar level of risk in the event the Notes are called prior to the Maturity Date.
|
|
t
|
No Periodic Interest Payments
— You will not receive any
periodic interest payments on the Notes.
|
|
t
|
Potential Conflicts
— We and our affiliates play a variety
of roles in connection with the issuance of the Notes, including acting as calculation agent and hedging our obligations under
the Notes and making the assumptions used to determine the pricing of the Notes and the estimated value of the Notes when the terms
of the Notes are set, which we refer to as the estimated value of the Notes. In performing these duties, our and JPMorgan Chase
& Co.’s economic interests and the economic interests of the calculation agent and other affiliates of ours are potentially
adverse to your interests as an investor in the Notes. In addition, our and JPMorgan Chase & Co.’s business
activities, including hedging and trading activities, could cause our and JPMorgan Chase & Co.’s economic interests to
be adverse to yours and could adversely affect any payment on the Notes and the value of the Notes. It is possible that hedging
or trading activities of ours or our affiliates in connection with the Notes could result in substantial returns for us or our
affiliates while the value of the Notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts
of Interest” in the accompanying product supplement for additional information about these risks. We and/or our
affiliates may also currently or from time to time engage in business with the issuer of the Underlying, including extending loans
to, or making equity investments in, the issuer of the Underlying or providing advisory services to the issuer of the Underlying.
As a prospective purchaser of the Notes, you should undertake an independent investigation of the issuer of the Underlying as in
your judgment is appropriate to make an informed decision with respect to an investment in the Notes.
|
|
t
|
Single Stock Risk
— The price of the Underlying can rise
or fall sharply due to factors specific to the Underlying and its issuer, such as stock price volatility, earnings, financial conditions,
corporate, industry and regulatory developments, management changes and decisions and other events, as well as general market factors,
such as general stock market volatility and levels, interest rates and economic and political conditions. For additional
information regarding the Underlying and its issuer, please see “The Underlying” in this pricing supplement and the
issuer’s SEC filings referred to in that section. We urge you to review financial and other information filed
periodically with the SEC by the Underlying issuer.
|
|
t
|
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.
|
|
t
|
The Estimated Value of the Notes Does Not Represent Future Values
of the Notes and May Differ from Others’ Estimates
— The estimated value of the Notes is determined by reference
to internal pricing models of our affiliates when the terms of the Notes are set. This estimated value of the Notes
is based on market conditions and other relevant factors existing at that time and assumptions about market parameters, which can
include volatility, dividend rates, interest rates and other factors. Different pricing models and assumptions could
provide valuations for the Notes that are greater than or less than the estimated value of the Notes. In addition, market
conditions and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future
dates, the value of the Notes could change significantly based on, among other things, changes in market conditions, our or JPMorgan
Chase & Co.’s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any,
at which JPMS would be willing to buy Notes from you in secondary market transactions. See “The Estimated Value
of the Notes” in this pricing supplement.
|
|
t
|
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.
|
|
t
|
The Value of the Notes as Published by JPMS (and Which May Be Reflected
on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period
— We generally expect that some of the costs included in the original issue price of the Notes will be partially paid back
to you in connection with any repurchases of your Notes by JPMS in an amount that will decline to zero over an initial predetermined
period. These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances,
estimated hedging costs and our internal secondary market funding rates for structured debt issuances. See “Secondary
Market Prices of the Notes” in this pricing supplement for additional information relating to this initial period. Accordingly,
the estimated value of your Notes during this initial period may be lower than the value of the Notes as published by JPMS (and
which may be shown on your customer account statements).
|
|
t
|
Secondary Market Prices of the Notes Will Likely Be Lower Than the
Original Issue Price of the Notes
— Any secondary market prices of the Notes will likely be lower than the original issue
price of the Notes because, among other things, secondary market prices take into account our internal secondary market funding
rates for structured debt issuances and, also, because secondary market prices (a) exclude selling commissions and (b) may exclude
projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the Notes. As
a result, the price, if any, at which JPMS will be willing to buy Notes from you in secondary market transactions, if at all, is
likely to be lower than the original issue price.
|
Any sale by you prior to the Maturity
Date could result in a substantial loss to you. See the immediately following risk factor for information about additional
factors that will impact any secondary market prices of the Notes.
The Notes are not designed to be
short-term trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity. See
“— Lack of Liquidity” below.
|
t
|
Many Economic and Market Factors Will Impact the Value of the Notes
— As described under “The Estimated Value of the Notes” in this pricing supplement, the Notes can be thought
of as securities that combine a fixed-income debt component with one or more derivatives.
As
a result, the factors that influence the values of fixed-income debt and derivative instruments will also influence the terms of
the Notes at issuance and their value in the secondary market.
Accordingly,
the secondary market price of the Notes during their term will be impacted by a number of economic and market factors, which may
either offset or magnify each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging costs
and the price of the Underlying, including:
|
|
t
|
any
actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
|
|
t
|
customary
bid-ask spreads for similarly sized trades;
|
|
t
|
our
internal secondary market funding rates for structured debt issuances;
|
|
t
|
the
actual and expected volatility in the closing price of one share of the Underlying;
|
|
t
|
the
time to maturity of the Notes;
|
|
t
|
the
likelihood of an automatic call being triggered;
|
|
t
|
the
dividend rate on the Underlying;
|
|
t
|
the
occurrence of certain events affecting the issuer of the Underlying that may or may not require an adjustment to the closing price
and the Stock Adjustment Factor of the Underlying, including a merger or acquisition;
|
|
t
|
interest
and yield rates in the market generally; and
|
|
t
|
a
variety of other economic, financial, political, regulatory and judicial events.
|
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.
|
t
|
No Dividend Payments or Voting Rights or Other Ownership Rights
in the Underlying
— As a holder of the Notes, you will not have any ownership interest or rights in the Underlying, such
as voting rights or rights to receive cash dividends or other distributions. In addition, the issuer of the Underlying
will not have any obligation to consider your interests as a holder of the Notes in taking any corporate action that might affect
the value of the Underlying and the Notes.
|
|
t
|
No Affiliation with the Underlying Issuer
— We are not
affiliated with the issuer of the Underlying. We have not independently verified any of the information about the Underlying
issuer contained in this pricing supplement. You should make your own investigation into the Underlying and its issuer. We
are not responsible for the Underlying issuer’s public disclosure of information, whether contained in SEC filings or otherwise.
|
|
t
|
No Assurances That the Investment View Implicit in the Notes Will
Be Successful
— While the Notes are structured to provide potentially enhanced returns in a flat or bullish environment
or potential absolute returns in a negative environment above the Downside Threshold, we cannot assure you of the economic environment
during the term or at maturity of your Notes and you may lose some or all of your investment at maturity.
|
|
t
|
Lack of Liquidity
— The Notes will not be listed on any
securities exchange. JPMS intends to offer to purchase the Notes in the secondary market, but is not required to do
so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes
easily. Because other dealers are not likely to make a secondary market for the Notes, the price at which you may be
able to trade your Notes is likely to depend on the price, if any, at which JPMS is willing to buy the Notes.
|
|
t
|
Anti-Dilution Protection Is Limited and May Be Discretionary
— Although the calculation agent will adjust the closing price and the Stock Adjustment Factor of the Underlying for certain
corporate events (such as stock splits and stock dividends) affecting the Underlying, the calculation agent is not required to
make an adjustment for every corporate event that can affect the Underlying. If an event occurs that does not require
the calculation agent to make these adjustments, the market value of your Notes and the payment at maturity if not previously called
may be materially and adversely affected. You should also be aware that the calculation agent may make any such adjustment,
determination or calculation in a manner that differs from what is described in the accompanying product supplement as it deems
necessary to ensure an equitable result. Subject to the foregoing, the calculation agent is under no obligation to consider
your interests as a holder of the Notes in making these determinations.
|
|
t
|
Potentially Inconsistent Research, Opinions or Recommendations by
JPMS, UBS or Their Affiliates
— JPMS, UBS or their affiliates may publish research, express opinions or provide recommendations
(for example, with respect to the issuer of the Underlying) that are inconsistent with investing in or holding the Notes, and that
may be revised at any time. Any such research, opinions or recommendations may or may not recommend that investors buy or hold
the Underlying and could affect the value of the Underlying, and therefore the market value of the Notes.
|
|
t
|
Tax Treatment
— Significant aspects of the tax treatment
of the Notes are uncertain. You should consult your tax adviser about your tax situation.
|
|
t
|
Potential JPMorgan Financial Impact on the Market Price of the Underlying
— Trading or transactions by JPMorgan Financial or its affiliates in the Underlying and/or over-the-counter options, futures
or other instruments with returns linked to the performance of the Underlying may adversely affect the market price of the Underlying
and, therefore, the market value of the Notes.
|
Hypothetical
Examples
Hypothetical terms only. Actual
terms may vary. See the cover page for actual offering terms.
The examples below illustrate the hypothetical payment upon a
call or at maturity under different hypothetical scenarios for a $10.00 Note on an offering of the Notes linked to a hypothetical
Underlying and assume an Initial Value of $100.00, a Downside Threshold of $90.00 (which is 90.00% of the hypothetical Initial
Value) and a Call Return Rate of 5.00% per annum. The hypothetical Initial Value of $100.00 has been chosen for illustrative
purposes only and does not represent the actual Initial Value. The actual Initial Value and the resulting Downside Threshold
are based on the closing price of one share of the Underlying on the Trade Date and are specified on the cover of this pricing
supplement. For historical data regarding the actual closing prices of one share of the Underlying, please see the historical
information set forth under “The Underlying” in this pricing supplement. The actual Downside Threshold percentage
and Call Return Rate are specified on the cover of this pricing supplement. The hypothetical payments on the Notes set
forth in the examples below are for illustrative purposes only and may not be the actual returns applicable to a purchaser of the
Notes. The actual payment on the Notes may be more or less than the amounts displayed below and will be determined based
on the actual terms of the Notes, including the Initial Value, the Downside Threshold and the Call Return Rate, and the Final Value
on the Final Valuation Date. You should consider carefully whether the Notes are suitable to your investment goals. The
numbers appearing in the examples below have been rounded for ease of analysis.
Principal Amount:
|
$10.00
|
Term:
|
Approximately 2 years (unless earlier called)
|
Hypothetical Initial Value:
|
$100.00
|
Hypothetical Call Return Rate:
|
5.00% per annum (or 1.25% per quarter)
|
Observation Dates:
|
Quarterly
|
Hypothetical Downside Threshold:
|
$90.00 (which is 90.00% of the hypothetical Initial Value)
|
|
|
The examples below are purely hypothetical and are intended
to illustrate how the value of any payment on the Notes will depend on the closing price on the Observation Dates.
Example 1 — Notes Are Called on the First Observation
Date
Closing Price at first Observation Date:
|
$110.00 (at or above Initial Value, Notes are called)
|
Call Price (per Note):
|
$10.125
|
|
|
Because the Notes are called on the first Observation Date, we
will pay you on the applicable Call Settlement Date a total Call Price of $10.125 per $10.00 principal amount (1.25% return on
the Notes). No further amounts will be owed on the Notes.
Example 2 — Notes Are Called on the Final Valuation
Date
Closing Price at first Observation Date:
|
$90.00 (below Initial Value, Notes NOT called)
|
Closing Price at second Observation Date:
|
$80.00 (below Initial Value, Notes NOT called)
|
Closing Price at third through seventh
Observation Dates:
|
Various (all below Initial Value, Notes NOT called)
|
Closing Price at Final Valuation Date:
|
$105.00 (at or above Initial Value, Notes are called)
|
|
|
Call Price (per Note):
|
$11.00
|
|
|
Because the Notes are called on the Final Valuation Date, we
will pay you on the applicable Call Settlement Date (which coincides with the Maturity Date in this example) a total Call Price
of $11.00 per $10.00 principal amount (10.00% return on the Notes).
Example 3 — Notes Are NOT Called and the Final Value
Is Above the Downside Threshold
Closing Price at first Observation Date:
|
$90.00 (below Initial Value, Notes NOT called)
|
Closing Price at second Observation Date:
|
$80.00 (below Initial Value, Notes NOT called)
|
Closing Price at third through seventh
Observation Dates:
|
Various (all below Initial Value, Notes NOT called)
|
Closing Price at Final Valuation Date:
|
$95.00 (below Initial Value, but at or above Downside Threshold, Notes NOT called)
|
|
|
Settlement Amount (per Note):
|
$10.00 × (1 + Contingent Absolute Return)
$10.00 × (1 + 5%)
$10.50
|
Because the Notes are not called and the Underlying Return is
-5%, but the Final Value is above or equal to the Downside Threshold, at maturity we will pay you a total of $10.50 per $10.00
principal amount (a 5% return on the Notes).
Example 4 — Notes Are NOT Called and the Final Value
Is Below the Downside Threshold
Closing Price at first Observation Date:
|
$90.00 (below Initial Value, Notes NOT called)
|
Closing Price at second Observation Date:
|
$80.00 (below Initial Value, Notes NOT called)
|
Closing Price at third through seventh
Observation Dates:
|
Various (all below Initial Value, Notes NOT called)
|
Closing Price at Final Valuation Date:
|
$50.00 (below Initial Value
and
Downside Threshold, Notes NOT called)
|
|
|
Settlement Amount (per Note):
|
$10.00 × (1 + Underlying Return)
$10.00 × (1 + -50%)
$5.00
|
Because the Notes are not called, the Final Value is below the
Downside Threshold and the Underlying Return -50%, at maturity we will pay you a total of $5.00 per $10.00 principal amount (a
50%
loss
on the Notes).
The hypothetical returns and hypothetical payments on the Notes
shown above apply
only if you hold the Notes for their entire term or until called
. These hypotheticals do not reflect fees
or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included,
the hypothetical returns and hypothetical payments shown above would likely be lower.
The
Underlying
According to its publicly available filings with the SEC, HP
Inc., which we refer to as HP, provides products, technologies, software, solutions and services to individual consumers, small-
and medium-sized businesses and large enterprises, including customers in the government, health and education sectors. The
common stock of HP, par value $0.01 per share (Bloomberg ticker: HPQ), is listed on the New York Stock Exchange, which we refer
to as the relevant exchange for purposes of HP in the accompanying product supplement. HP’s SEC file number is
001-04423.
Historical Information
The following table sets forth the quarterly high and low closing
prices of one share of the Underlying based on daily closing prices on the primary exchange for the Underlying, as reported by
the Bloomberg Professional
®
service (“Bloomberg”), without independent verification. This
information given below is for the four calendar quarters in each of 2012, 2013, 2014, 2015 and 2016 and the first and second calendar
quarters of 2017. Partial data is provided for the third calendar quarter of 2017. The closing price of one
share of the Underlying on September 20, 2017 was $19.60. We obtained the closing prices above and below from Bloomberg,
without independent verification. The closing prices may have been adjusted by Bloomberg for corporate actions such
as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
Since its inception, the price of one share of the Underlying
has experienced significant fluctuations. The historical performance of the Underlying should not be taken as an indication
of future performance, and no assurance can be given as to the closing prices of one share of the Underlying during the term of
the Notes. There can be no assurance that the performance of the Underlying will result in the return of any of your
principal amount.
Quarter Begin
|
Quarter End
|
Quarterly Closing High
|
Quarterly Closing Low
|
Close
|
1/1/2012
|
3/31/2012
|
$13.57
|
$10.46
|
$10.82
|
4/1/2012
|
6/30/2012
|
$11.46
|
$8.79
|
$9.13
|
7/1/2012
|
9/30/2012
|
$9.24
|
$7.59
|
$7.75
|
10/1/2012
|
12/31/2012
|
$7.81
|
$5.32
|
$6.47
|
1/1/2013
|
3/31/2013
|
$10.82
|
$6.82
|
$10.82
|
4/1/2013
|
6/30/2013
|
$11.55
|
$8.88
|
$11.26
|
7/1/2013
|
9/30/2013
|
$12.39
|
$9.53
|
$9.53
|
10/1/2013
|
12/31/2013
|
$12.85
|
$9.42
|
$12.70
|
1/1/2014
|
3/31/2014
|
$14.78
|
$12.46
|
$14.69
|
4/1/2014
|
6/30/2014
|
$15.96
|
$14.34
|
$15.29
|
7/1/2014
|
9/30/2014
|
$17.32
|
$15.21
|
$16.10
|
10/1/2014
|
12/31/2014
|
$18.49
|
$14.64
|
$18.22
|
1/1/2015
|
3/31/2015
|
$18.47
|
$14.15
|
$14.15
|
4/1/2015
|
6/30/2015
|
$15.78
|
$13.61
|
$13.62
|
7/1/2015
|
9/30/2015
|
$14.18
|
$11.15
|
$11.63
|
10/1/2015
|
12/31/2015
|
$14.64
|
$11.43
|
$11.84
|
1/1/2016
|
3/31/2016
|
$12.32
|
$9.02
|
$12.32
|
4/1/2016
|
6/30/2016
|
$13.87
|
$11.43
|
$12.55
|
7/1/2016
|
9/30/2016
|
$15.53
|
$12.36
|
$15.53
|
10/1/2016
|
12/31/2016
|
$16.16
|
$13.80
|
$14.84
|
1/1/2017
|
3/31/2017
|
$17.88
|
$14.58
|
$17.88
|
4/1/2017
|
6/30/2017
|
$19.47
|
$17.27
|
$17.48
|
7/1/2017
|
9/20/2017*
|
$19.60
|
$17.19
|
$19.60
|
|
|
|
|
|
*
|
As of the date of this pricing supplement, available information for the third calendar quarter of 2017 includes data for the period from July 1, 2017 through September 20, 2017. Accordingly, the “Quarterly Closing High,” “Quarterly Closing Low” and “Close” data indicated are for this shortened period only and do not reflect complete data for the third calendar quarter of 2017.
|
The graph below illustrates the daily performance of the Underlying
from January 3, 2007 through September 20, 2017, based on information from Bloomberg, without independent verification. The
dotted line represents a hypothetical Downside Threshold of $14.70, equal to 75.00% of the closing price on September 20, 2017.
Past performance of the Underlying is not indicative of
the future performance of the Underlying.
Supplemental
Plan of Distribution
We and JPMorgan Chase & Co. have agreed to indemnify UBS
and JPMS against liabilities under the Securities Act of 1933, as amended, or to contribute to payments that UBS may be required
to make relating to these liabilities as described in the prospectus supplement and the prospectus. We have agreed that
UBS may sell all or a part of the Notes that it purchases from us to the public or its affiliates at the price to public indicated
on the cover hereof.
Subject
to regulatory constraints, JPMS intends to offer to purchase the Notes in the secondary market, but it is not required to do
so.
We or our affiliates may enter into swap agreements or related
hedge transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the Notes, and
JPMS and/or an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions. See
“Supplemental Use of Proceeds” in this pricing supplement and “Use of Proceeds and Hedging” in the accompanying
product supplement.
We expect that delivery of the Notes will be made against payment
for the Notes on or about the Original Issue Date set forth on the front cover of this pricing supplement, which will be the third
business day following the Trade Date of the Notes (this settlement cycle being referred to as “T+3”). Under
Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle
in two business days, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to
trade Notes on any date prior to two business days before delivery will be required to specify an alternate settlement cycle at
the time of any such trade to prevent a failed settlement and should consult their own advisors.
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 values 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 “Key Risks — Risks Relating to the Notes Generally — 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. See
“Key Risks — Risks Relating to the Notes Generally — The Estimated Value of the Notes Does Not Represent Future
Values of the Notes and May Differ from Others’ Estimates” in this pricing supplement.
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 UBS, 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. We
or one or
more of our affiliates will retain any profits realized in hedging
our obligations under the Notes. See “Key Risks — Risks Relating to the Notes Generally — 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 “Key Risks — Risks Relating to the Notes Generally — Secondary Market Prices
of the Notes Will Be Impacted by Many Economic and Market Factors” in this pricing 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 that is
intended to be up to five months. The length of any such initial period reflects secondary market volumes for the Notes,
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 “Key Risks
— Risks Relating to the Notes Generally — 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 “Hypothetical Examples” in
this pricing supplement for an illustration of the risk-return profile of the Notes and “The Underlying” 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 UBS, 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.
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Aug 2024 to Sep 2024
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Sep 2023 to Sep 2024