May 23, 2017
|
Registration Statement Nos. 333-209682 and 333-209682-01; Rule 424(b)(2)
|
JPMorgan Chase Financial Company LLC
Structured Investments
$3,775,000
Auto Callable Contingent Interest Notes Linked
to the Least Performing of the EURO STOXX 50
®
Index, the Russell 2000
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF due May 29, 2020
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
|
·
|
The notes are designed for investors who seek a Contingent Interest Payment with respect to each monthly Interest Review Date
for which the closing value of each of the EURO STOXX 50
®
Index, the Russell 2000
®
Index and the
SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF, which we refer to as the Underlyings,
is greater than or equal to 60.00% of its Initial Value, which we refer to as an Interest Barrier.
|
|
·
|
The notes will be automatically called if the closing value of each Underlying on any quarterly Autocall Review Date is greater
than or equal to its Initial Value.
|
|
·
|
The earliest date on which an automatic call may be initiated is November 24, 2017.
|
|
·
|
Investors in the notes should be willing to accept the risk of losing some or all of their principal and the risk that no Contingent
Interest Payment may be made with respect to some or all Interest Review Dates.
|
|
·
|
Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive
Contingent Interest Payments.
|
|
·
|
The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan
Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co.
Any payment on the notes
is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as
guarantor of the notes.
|
|
·
|
Payments on the notes are not linked to a basket composed of the Underlyings. Payments on the notes are linked to the performance
of each of the Underlyings individually, as described below.
|
|
·
|
Minimum denominations of $1,000 and integral multiples thereof
|
|
·
|
The notes priced on May 23, 2017 and are expected to settle on or about May 26, 2017.
|
Investing in the notes involves a number of risks. See “Risk
Factors” beginning on page PS-10 of the accompanying product supplement, “Risk Factors” beginning on page US-2
of the accompanying underlying supplement and “Selected Risk Considerations” beginning on page PS-5 of this pricing
supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this
pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
|
Price to Public (1)
|
Fees and Commissions (2)
|
Proceeds to Issuer
|
Per note
|
$1,000
|
$34
|
$966
|
Total
|
$3,775,000
|
$128,350
|
$3,646,650
|
(1) See “Supplemental Use of Proceeds”
in this pricing supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer to
as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions of $34.00 per $1,000 principal amount
note it receives from us to other affiliated or unaffiliated dealers. See “Plan of Distribution (Conflicts of Interest)”
in the accompanying product supplement.
|
The estimated value of the notes, when the terms of the notes were
set, was $935.50 per $1,000 principal amount note. See “The Estimated Value of the Notes” in this pricing supplement
for additional information.
The notes are not bank deposits, are not insured by the Federal
Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Pricing supplement to product supplement no.
4-I dated April 15, 2016, underlying supplement no. 1-I dated April 15, 2016
and the prospectus and prospectus supplement, each dated April 15, 2016
Key Terms
Issuer:
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of
JPMorgan Chase & Co.
Guarantor:
JPMorgan Chase & Co.
Underlyings:
The EURO STOXX 50
®
Index (Bloomberg ticker: SX5E) and the Russell 2000
®
Index (Bloomberg ticker:
RTY) (each of the EURO STOXX 50
®
Index and the Russell 2000
®
Index, an “Index” and collectively,
the “Indices”) and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
(Bloomberg ticker: XOP) (the “Fund”) (each of the Indices and the Fund, an “Underlying” and collectively,
the “Underlyings”)
Contingent
Interest
Payments:
If the notes have not been automatically called and the closing value of each Underlying on any Interest Review Date is
greater than or equal to its Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal
amount note a Contingent Interest Payment equal to $6.6667 (equivalent to a Contingent Interest Rate of 8.00% per annum, payable
at a rate of 0.66667% per month).
If the closing value of any Underlying on any Interest Review
Date is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Interest Review Date.
Contingent
Interest
Rate:
8.00% per annum, payable at a rate of 0.66667% per month
Interest Barrier / Trigger Value:
With respect to each Underlying, 60.00% of its Initial Value, which is 2,157.018 for the EURO STOXX 50
®
Index,
828.5892 for the Russell 2000
®
Index and $21.126 for the Fund
Pricing
Date:
May 23, 2017
Original
Issue Date (Settlement Date):
On or about May 26, 2017
Interest
Review Dates*:
June 23, 2017, July 24, 2017, August 23, 2017, September 25, 2017, October 23, 2017, November 24, 2017,
December 27, 2017, January 23, 2018, February 23, 2018, March 23, 2018, April 23, 2018, May 23, 2018, June 25, 2018, July 23, 2018,
August 23, 2018, September 24, 2018, October 23, 2018, November 23, 2018, December 27, 2018, January 23, 2019, February 25, 2019,
March 25, 2019, April 23, 2019, May 23, 2019, June 24, 2019, July 23, 2019, August 23, 2019, September 23, 2019, October 23, 2019,
November 25, 2019, December 23, 2019, January 23, 2020, February 24, 2020, March 23, 2020, April 23, 2020 and May 26, 2020 (the
“final Review Date”)
Autocall Review Dates*:
November 24, 2017, February 23, 2018, May 23, 2018, August 23, 2018, November 23, 2018, February 25, 2019, May 23, 2019,
August 23, 2019, November 25, 2019 and February 24, 2020
* 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
|
Interest
Payment Dates*:
June 28, 2017, July 27, 2017, August 28, 2017, September 28, 2017, October 26, 2017, November 29, 2017,
January 2, 2018, January 26, 2018, February 28, 2018, March 28, 2018, April 26, 2018, May 29, 2018, June 28, 2018, July 26, 2018,
August 28, 2018, September 27, 2018, October 26, 2018, November 28, 2018, January 2, 2019, January 28, 2019, February 28, 2019,
March 28, 2019, April 26, 2019, May 29, 2019, June 27, 2019, July 26, 2019, August 28, 2019, September 26, 2019, October 28, 2019,
November 29, 2019, December 27, 2019, January 28, 2020, February 27, 2020, March 26, 2020, April 28, 2020 and the Maturity Date
Maturity
Date*:
May 29, 2020
Call Settlement Date*:
If the notes are automatically called on any Autocall Review Date, the first Interest Payment Date immediately following
that Autocall Review Date
Automatic Call:
If the closing value of each Underlying on any Autocall Review
Date is greater than or equal to its Initial Value, the notes will be automatically called for a cash payment, for each $1,000
principal amount note, equal to (a) $1,000
plus
(b) the Contingent Interest Payment applicable to the Interest Review Date
corresponding to that Autocall Review Date, payable on the applicable Call Settlement Date. No further payments will be made on
the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final Value
of each Underlying is greater than or equal to its Trigger Value, you will receive a cash payment at maturity, for each $1,000
principal amount note, equal to (a) $1,000
plus
(b) the Contingent Interest Payment applicable to the final Review Date.
If the notes have not been automatically called and the Final Value
of any Underlying is less than its Trigger Value, your payment at maturity per $1,000 principal amount note will be calculated
as follows:
$1,000 + ($1,000 × Least Performing Underlying
Return)
If the notes have not been automatically called and the Final Value
of any Underlying is less than its Trigger Value, you will lose more than 40.00% of your principal amount at maturity and could
lose all of your principal amount at maturity.
Least Performing Underlying:
The Underlying with the Least Performing Underlying Return
Least Performing Underlying Return:
The lowest of the Underlying Returns of the Underlyings
Underlying Return:
With respect to each Underlying,
(Final Value – Initial Value)
Initial Value
Initial
Value:
With respect to each Underlying
, t
he closing
value of that Underlying on the Pricing Date,
which was 3,595.03 for the EURO STOXX 50
®
Index, 1,380.982 for the Russell 2000
®
Index and $35.21 for the Fund
Final
Value:
With respect to each Underlying, the closing value of that Underlying on the
final Review Date
Share
Adjustment Factor:
The Share Adjustment Factor is referenced in determining the
closing value of the Fund and is set equal to 1.0 on the Pricing Date. The Share Adjustment Factor is subject to adjustment upon
the occurrence of certain events affecting the 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 Least Performing of the EURO STOXX 50
®
Index, the Russell 2000
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
Supplemental
Terms of the Notes
All references in this pricing supplement to the
closing value of each Index mean the closing level of that Index as defined in the accompanying product supplement, and all references
in this pricing supplement to the closing value of the Fund mean the closing price of one share of the Fund as defined in the accompanying
product supplement.
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 Least Performing of the EURO STOXX 50
®
Index, the Russell 2000
®
Index 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 8.00% 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
|
$240.0000
|
35
|
$233.3333
|
34
|
$226.6667
|
33
|
$220.0000
|
32
|
$
213.3333
|
31
|
$
206.6667
|
30
|
$
200.0000
|
29
|
$
193.3333
|
28
|
$
186.6667
|
27
|
$
180.0000
|
26
|
$
173.3333
|
25
|
$
166.6667
|
24
|
$
160.0000
|
23
|
$
153.3333
|
22
|
$
146.6667
|
21
|
$
140.0000
|
20
|
$
133.3333
|
19
|
$
126.6667
|
18
|
$
120.0000
|
17
|
$
113.3333
|
16
|
$
106.6667
|
15
|
$
100.0000
|
14
|
$
93.3333
|
PS-
3
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the EURO STOXX 50
®
Index, the Russell 2000
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
13
|
$
86.6667
|
12
|
$
80.0000
|
11
|
$
73.3333
|
10
|
$
66.6667
|
9
|
$
60.0000
|
8
|
$
53.3333
|
7
|
$
46.6667
|
6
|
$
40.0000
|
5
|
$
33.3333
|
4
|
$
26.6667
|
3
|
$
20.0000
|
2
|
$
13.3333
|
1
|
$
6.6667
|
0
|
$
0.0000
|
Hypothetical
Payout Examples
The following examples illustrate payments on
the notes linked to three hypothetical Underlyings, assuming a range of performances for the hypothetical Least Performing Underlying
on the Interest Review Dates and Autocall Review Dates.
Each hypothetical payment set forth below assumes that the closing value
of each Underlying that is not the Least Performing Underlying on (i) each Autocall Review Date is greater than or equal to its
Initial Value and (ii) on each Interest Review Date is greater than or equal to its Interest Barrier (and therefore its Trigger
Value).
In addition, the hypothetical payments set forth
below assume the following:
|
·
|
an Initial Value for the Least Performing Underlying of 100.00;
|
|
·
|
an Interest Barrier and a Trigger Value for the Least Performing Underlying of 60.00 (equal to 60.00% of its hypothetical Initial
Value); and
|
|
·
|
a Contingent Interest Rate of 8.00% per annum (payable at a rate of 0.6667% per month).
|
The hypothetical Initial Value of the Least
Performing Underlying of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value
of any Underlying. The actual Initial Value of each Underlying is the closing value of that Underlying on the Pricing Date and
is specified under “Key Terms — Initial Value” in this pricing supplement. For historical data regarding the
actual closing values of each Underlying, please see the historical information set forth under “The Underlyings” in
this pricing supplement.
Each hypothetical payment set forth below is
for illustrative purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing
in the following examples have been rounded for ease of analysis.
Example 1 — Notes are automatically
called on the first Autocall Review
Date.
Date
|
Closing Value of Least Performing Underlying
|
Payment (per $1,000 principal amount note)
|
First Interest Review Date
|
105.00
|
$6.6667
|
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
|
$1,006.6667
|
|
Total Payment
|
$1,013.3333 (1.33333% return)
|
Because the closing value of each Underlying
on the first Autocall Review Date, which is also the sixth Interest Review Date, is greater than or equal to its Initial Value,
the notes will be automatically called for a cash payment, for each $1,000 principal amount note, of
PS-
4
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the EURO STOXX 50
®
Index, the Russell 2000
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
$1,006.6667 (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 $1,013.3333. No further payments will be made on the notes.
Example 2 — Notes have NOT been automatically
called and the Final Value of the Least Performing Underlying is greater than or equal to its Trigger Value.
Date
|
Closing Value of Least Performing Underlying
|
Payment (per $1,000 principal amount note)
|
First Interest Review Date
|
95.00
|
$6.6667
|
Second Interest Review Date
|
85.00
|
$6.6667
|
Third through Thirty-Fifth Interest Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
90.00
|
$1,006.6667
|
|
Total Payment
|
$1,020.00 (2.00% return)
|
Because the notes have not been automatically
called and the Final Value of the Least Performing Underlying is greater than or equal to its Trigger Value, the payment at maturity,
for each $1,000 principal amount note, will be $1,006.6667 (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 $1,020.00.
Example
3 — Notes have NOT been automatically called and the Final Value of the Least Performing Underlying is less than its Trigger
Value
.
Date
|
Closing Value of Least Performing Underlying
|
Payment (per $1,000 principal amount note)
|
First Interest Review Date
|
40.00
|
$0
|
Second Interest Review Date
|
45.00
|
$0
|
Third through Thirty-Fifth Interest Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
50.00
|
$500.00
|
|
Total Payment
|
$500.00 (-50.00% return)
|
Because the notes have not been automatically
called, the Final Value of the Least Performing Underlying is less than its Trigger Value and the Least Performing Underlying Return
is -50.00%, the payment at maturity will be $500.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)] = $500.00
The hypothetical returns and hypothetical payments
on the notes shown above apply
only if you hold the notes for their entire term or until automatically called.
These hypotheticals
do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses
were included, the hypothetical returns and hypothetical payments shown above would likely be lower.
Selected
Risk Considerations
An investment in the notes involves significant
risks. These risks are explained in more detail in the “Risk Factors” sections of the accompanying product supplement
and underlying supplement.
|
·
|
YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
|
The notes do not guarantee any return
of principal. If the notes have not been automatically called and the Final Value of any Underlying is less than its Trigger Value,
you will lose 1% of the principal amount of your notes for every 1% that the Final Value of the Least Performing Underlying is
less than its Initial Value. Accordingly, under these circumstances, you will lose more than 40.00% of your principal amount at
maturity and could lose all of your principal amount at maturity.
PS-
5
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the EURO STOXX 50
®
Index, the Russell 2000
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
|
·
|
THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL —
|
If the notes have not been automatically
called, we will make a Contingent Interest Payment with respect to an Interest Review Date only if the closing value of each Underlying
on that Interest Review Date is greater than or equal to its Interest Barrier. If the closing value of any Underlying on that Interest
Review Date is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Interest Review
Date. Accordingly, if the closing value of any Underlying on each Interest Review Date is less than its Interest Barrier, you will
not receive any interest payments over the term of the notes.
|
·
|
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
|
Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase &
Co.’s creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely
affect the value of the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive
any amounts owed to you under the notes and you could lose your entire investment.
|
·
|
AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS —
|
As a finance subsidiary of JPMorgan Chase
& Co., we have no independent operations beyond the issuance and administration of our securities. Aside from the initial capital
contribution from JPMorgan Chase & Co., substantially all of our assets relate to 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 in the
value of any Underlying, which may be significant. You will not participate in any appreciation in the value of any Underlying.
We and our affiliates play a variety
of roles in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests
are potentially adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours
or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the value of
the notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying
product supplement.
|
·
|
YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE VALUE OF EACH UNDERLYING —
|
Payments on the notes are not linked
to a basket composed of the Underlyings and are contingent upon the performance of each individual Underlying. Poor performance
by any of the Underlyings over the term of the notes may result in the notes not being automatically called on an Autocall Review
Date, may negatively affect whether you will receive a Contingent Interest Payment on any Interest Payment Date and your payment
at maturity and will not be offset or mitigated by positive performance by any other Underlying.
|
·
|
YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING UNDERLYING.
|
|
·
|
THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE —
|
If the Final Value of any Underlying
is less than its Trigger Value and the notes have not been automatically called, the benefit provided by the Trigger Value will
terminate and you will be fully exposed to any depreciation in the closing value of the Least Performing Underlying.
|
·
|
THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
|
If your notes are automatically called,
the term of the notes may be reduced to as short as approximately six months and you will not receive any Contingent Interest Payments
after the applicable Call Settlement Date. There is no guarantee that you would be able to reinvest the proceeds from an investment
in the notes at a comparable return and/or with a comparable interest rate for a similar level of risk. Even in cases where the
notes are called before maturity, you are not entitled to any fees and commissions described on the front cover of this pricing
supplement.
PS-
6
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the EURO STOXX 50
®
Index, the Russell 2000
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
|
·
|
YOU WILL NOT RECEIVE DIVIDENDS ON THE FUND OR THE SECURITIES INCLUDED IN OR HELD BY ANY UNDERLYING OR HAVE ANY RIGHTS WITH
RESPECT TO THE FUND OR THOSE SECURITIES.
|
|
·
|
NON-U.S. SECURITIES RISK WITH RESPECT TO THE EURO STOXX 50
®
INDEX —
|
The equity securities included in or
held by the EURO STOXX 50
®
Index have been issued by non-U.S. companies. Investments in securities linked
to the value of such non-U.S. equity securities involve risks associated with the securities markets in the home countries of the
issuers of those non-U.S. equity securities. Also, there is generally less publicly available information about companies
in some of these jurisdictions than there is about U.S. companies that are subject to the reporting requirements of the SEC.
|
·
|
NO DIRECT EXPOSURE TO FLUCTUATIONS IN FOREIGN EXCHANGE RATES WITH RESPECT TO THE EURO STOXX 50
®
INDEX —
|
The value of your notes will not be adjusted
for exchange rate fluctuations between the U.S. dollar and the currencies upon which the equity securities included in the EURO
STOXX 50
®
Index are based, although any currency fluctuations could affect the performance of the EURO STOXX 50
®
Index.
|
·
|
AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH RESPECT TO THE RUSSELL 2000
®
INDEX —
|
Small capitalization companies may be
less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization
companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits
downward stock price pressure under adverse market conditions.
|
·
|
THERE ARE RISKS ASSOCIATED WITH THE FUND —
|
The Fund is subject to management risk,
which is the risk that the investment strategies of the 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 price of
the shares of the Fund and, consequently, the value of the notes.
|
·
|
THE PERFORMANCE AND MARKET VALUE OF THE FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH THE
PERFORMANCE OF THE FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE —
|
The Fund does not fully replicate its
Underlying Index (as defined under “The Underlyings” below) and may hold securities different from those included in
its Underlying Index. In addition, the performance of the 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 the Fund and its Underlying Index. In addition, corporate actions with respect to the equity securities underlying the Fund
(such as mergers and spin-offs) may impact the variance between the performances of the Fund and its Underlying Index. Finally,
because the shares of the Fund are traded on a securities exchange and are subject to market supply and investor demand, the market
value of one share of the Fund may differ from the net asset value per share of the Fund.
During periods of market volatility,
securities underlying the Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately
the net asset value per share of the Fund and the liquidity of the Fund may be adversely affected. This kind of market volatility
may also disrupt the ability of market participants to create and redeem shares of the Fund. Further, market volatility may adversely
affect, sometimes materially, the prices at which market participants are willing to buy and sell shares of the Fund. As a result,
under these circumstances, the market value of shares of the Fund may vary substantially from the net asset value per share of
the Fund. For all of the foregoing reasons, the performance of the Fund may not correlate with the performance of its Underlying
Index as well as the net asset value per share of the 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 OIL AND GAS EXPLORATION AND PRODUCTION INDUSTRY WITH RESPECT TO THE FUND
—
|
All or substantially all of the equity
securities held by the Fund 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
PS-
7
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the EURO STOXX 50
®
Index, the Russell 2000
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
maintain or expand their reserves.
Companies in the oil and gas sector 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 Fund’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
Fund and the price of the Fund during the term of the notes, which may adversely affect the value of your notes.
|
·
|
THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED —
|
The calculation agent will make adjustments
to the Share Adjustment Factor for certain events affecting the shares of the Fund. However, the calculation agent will not make
an adjustment in response to all events that could affect the shares of the Fund. If an event occurs that does not require the
calculation agent to make an adjustment, the value of the notes may be materially and adversely affected.
|
·
|
THE RISK OF THE CLOSING VALUE OF AN UNDERLYING FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS GREATER IF THE VALUE
OF THAT UNDERLYING IS VOLATILE.
|
The notes will not be listed on any securities
exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which
JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your notes to maturity.
|
·
|
THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES —
|
The estimated value of the notes is only
an estimate determined by reference to several factors. The original issue price of the notes exceeds the estimated value of the
notes because costs associated with selling, structuring and hedging the notes are included in the original issue price of the
notes. These costs include the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming
risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. See
“The Estimated Value of the Notes” in this pricing supplement.
|
·
|
THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES
—
|
See “The Estimated Value of the
Notes” in this pricing supplement.
|
·
|
THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
|
The internal funding rate used in the
determination of the estimated value of the notes is based on, among other things, our and our affiliates’ view of the funding
value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison
to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. The use of an internal funding rate and any potential
changes to that rate may have an adverse effect on the terms of the notes and any secondary market prices of the notes. See “The
Estimated Value of the Notes” in this pricing supplement.
|
·
|
THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN
THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
|
We generally expect that some of the
costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of
your notes by JPMS in an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices
of the Notes” in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated
value of your notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be
shown on your customer account statements).
PS-
8
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the EURO STOXX 50
®
Index, the Russell 2000
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
|
Any secondary market prices of the notes
will likely be lower than the original issue price of the notes because, among other things, secondary market prices take into
account our internal secondary market funding rates for structured debt issuances and, also, because secondary market prices (a)
exclude selling commissions and (b) may exclude projected hedging profits, if any, and estimated hedging costs that are included
in the original issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy the notes from you
in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the
Maturity Date could result in a substantial loss to you.
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
|
The secondary market price of the notes
during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside
from the selling commissions, projected hedging profits, if any, estimated hedging costs and the values of the Underlyings. Additionally,
independent pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on
customer account statements. This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may
be willing to purchase your notes in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value
and Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market
factors” in the accompanying product supplement.
PS-
9
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the EURO STOXX 50
®
Index, the Russell 2000
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
The
Underlyings
The EURO STOXX 50
®
Index consists
of 50 component stocks of market sector leaders from within the Eurozone. The EURO STOXX 50
®
Index and STOXX are
the intellectual property (including registered trademarks) of STOXX Limited, Zurich, Switzerland and/or its licensors (the “Licensors”),
which are used under license. The notes based on the EURO STOXX 50
®
Index are in no way sponsored, endorsed, sold
or promoted by STOXX Limited and its Licensors and neither STOXX Limited nor any of its Licensors shall have any liability with
respect thereto. For additional information about the EURO STOXX 50
®
Index, see “Equity Index Descriptions
— The EURO STOXX 50
®
Index” in the accompanying underlying supplement.
The Russell 2000
®
Index consists
of the middle 2,000 companies included in the Russell 3000E™ Index and, as a result of the index calculation methodology,
consists of the smallest 2,000 companies included in the Russell 3000
®
Index. The Russell 2000
®
Index
is designed to track the performance of the small capitalization segment of the U.S. equity market. For additional information
about the Russell 2000
®
Index, see “Equity Index Descriptions — The Russell Indices” in the accompanying
underlying supplement.
The Fund 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 Fund. The Underlying Index with respect
to the Fund is currently the S&P
®
Oil & Gas Exploration & Production Select Industry™ Index. The
S&P
®
Oil & Gas Exploration & Production Select Industry™ 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 Fund, 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 Underlying based on the weekly historical closing values from January 6, 2012 through May 19, 2017. The closing
value of the EURO STOXX 50
®
Index on May 23, 2017 was 3,595.03. The closing value of the Russell 2000
®
Index on May 23, 2017 was 1,380.982. The closing value of the Fund on May 23, 2017 was $35.21. We obtained the closing values above
and below from the Bloomberg Professional
®
service (“Bloomberg”), without independent verification.
The closing values of the Fund above and below may have been adjusted by Bloomberg for actions taken by the Fund, such as stock
splits.
The historical closing values of each Underlying
should not be taken as an indication of future performance, and no assurance can be given as to the closing value of any Underlying
on any Interest Review Date or Autocall Review Date. There can be no assurance that the performance of the Underlyings will result
in the return of any of your principal amount or the payment of any interest.
PS-
10
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the EURO STOXX 50
®
Index, the Russell 2000
®
Index 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.
PS-
11
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the EURO STOXX 50
®
Index, the Russell 2000
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
Non-U.S. Holders — Tax Considerations
.
The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and although we believe it is reasonable to
take a position that Contingent Interest Payments are not subject to U.S. withholding tax (at least if an applicable Form W-8 is
provided), a withholding agent may nonetheless withhold on these payments (generally at a rate of 30%, subject to the possible
reduction of that rate under an applicable income tax treaty), unless income from your notes is effectively connected with your
conduct of a trade or business in the United States (and, if an applicable treaty so requires, attributable to a permanent establishment
in the United States). If you are not a United States person, you are urged to consult your tax adviser regarding the U.S. federal
income tax consequences of an investment in the notes in light of your particular circumstances.
Section 871(m) of the Code and Treasury regulations
promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies)
on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities
or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments
linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations (such an index, a
“Qualified Index”). Additionally, the applicable regulations exclude from the scope of Section 871(m) instruments issued
in 2017 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal
income tax purposes (each an “Underlying Security”). Based on certain determinations made by us, our special tax counsel
is of the opinion that Section 871(m) should not apply to the notes with regard to Non-U.S. Holders. Our determination is not binding
on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend on your
particular circumstances, including whether you enter into other transactions with respect to an Underlying Security. You should
consult your tax adviser regarding the potential application of Section 871(m) to the notes.
FATCA.
Withholding under legislation commonly referred to as “FATCA” could apply to payments with respect to the notes
that are treated as U.S.-source “fixed or determinable annual or periodical” income (“FDAP Income”) for
U.S. federal income tax purposes (such as interest, if the notes are recharacterized, in whole or in part, as debt instruments,
or Contingent Interest Payments if they are otherwise treated as FDAP Income). If the notes are recharacterized, in whole or in
part, as debt instruments, withholding could also apply to payments of gross proceeds of a taxable disposition, including an early
redemption or redemption at maturity. However, under a recent IRS notice, this regime will not apply to payments of gross proceeds
(other than any amount treated as FDAP Income) with respect to dispositions occurring before January 1, 2019. You should consult
your tax adviser regarding the potential application of FATCA to the notes.
In the event
of any withholding on the notes, we will not be required to pay any additional amounts with respect to amounts so withheld.
The Estimated Value of the Notes
The estimated value of the notes set forth
on the cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income
debt component with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative
or derivatives underlying the economic terms of the notes. The estimated value of the notes does not represent a minimum price
at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time. The internal funding rate
used in the determination of the estimated value of the notes is based on, among other things, our and our affiliates’ view
of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. For additional information, see “Selected
Risk Considerations — The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate” in this
pricing supplement.
The value of the derivative or derivatives
underlying the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent
on inputs such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are
market-observable, and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about
future market events and/or environments. Accordingly, the estimated value of the notes is determined when the terms of the notes
are set based on market conditions and other relevant factors and assumptions existing at that time.
The estimated value of the notes does not
represent future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could
provide valuations for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions
and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value
of the notes could change significantly based on, among other things, changes in market conditions, our or JPMorgan Chase &
Co.’s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at which
JPMS would be willing to buy notes from you in secondary market transactions.
The estimated value of the notes is lower
than the original issue price of the notes because costs associated with selling, structuring and hedging the notes are included
in the original issue price of the notes. These costs include the selling commissions paid to JPMS
PS-
12
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the EURO STOXX 50
®
Index, the Russell 2000
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
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 Account Statements)
May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this pricing supplement.
Supplemental
Use of Proceeds
The notes are offered to meet investor demand
for products that reflect the risk-return profile and market exposure provided by the notes. See “How the Notes Work”
and “Hypothetical Payout Examples” in this pricing supplement for an illustration of the risk-return profile of the
notes and “The Underlyings” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal
to the estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus
(minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes, plus the estimated cost of hedging our obligations under the notes.
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
PS-
13
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the EURO STOXX 50
®
Index, the Russell 2000
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
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-14 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Least Performing of the EURO STOXX 50
®
Index, the Russell 2000
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
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