Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this
pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
Pricing
supplement to product supplement no. 4-I dated April 15, 2016, underlying supplement no. 1-I dated April 15, 2016
and the prospectus and prospectus supplement, each dated April 15, 2016
All references in this pricing supplement to
the closing value of the Index mean the closing level of the Index as defined in the accompanying product supplement, and all references
in this pricing supplement to the closing value of each Fund mean the closing price of one share of that Fund as defined in the
accompanying product supplement.
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 7.50% per annum, depending on how many Contingent Interest Payments are made prior to automatic call or maturity.
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 Review Dates.
Each hypothetical payment set forth below assumes that the closing value of each Underlying that is not
the Least Performing Underlying on each Review Date is greater than or equal to its Initial Value (and therefore its Interest Barrier
and Trigger Value).
In addition, the hypothetical payments set forth
below assume the following:
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.
Because the closing value of each Underlying
on the fourth Review Date is greater than or equal to its Initial Value, the notes will be automatically called for a cash payment,
for each $1,000 principal amount note, of $1,018.75 (or $1,000
plus
the Contingent Interest Payment applicable to the fourth
Review Date), payable on the applicable Call Settlement Date. The notes are not automatically callable before the fourth Review
Date, even though the closing value of each Underlying on each of the first, second and third Review Dates is greater than its
Initial Value. When added to the Contingent Interest Payments received with respect to the prior Review Dates, the total amount
paid, for each $1,000 principal amount note, is $1,075.00. No further payments will be made on the notes.
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 $1,018.75 (or $1,000
plus
the Contingent Interest Payment applicable to the
final Review Date). When added to the Contingent Interest Payments received with respect to the prior Review Dates, the total amount
paid, for each $1,000 principal amount note, is $1,056.25.
Date
|
Closing Value of Least Performing Underlying
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
40.00
|
$0
|
Second Review Date
|
45.00
|
$0
|
PS-
4
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Russell 2000
®
Index, the iShares
®
MSCI EAFE ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
Third through Fifteenth 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.
|
·
|
THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL —
|
If the notes have not been automatically
called, we will make a Contingent Interest Payment with respect to a Review Date only if the closing value of each Underlying on
that Review Date is greater than or equal to its Interest Barrier. If the closing value of any Underlying on that Review Date is
less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date. Accordingly, if the
closing value of any Underlying on each Review Date is less than its Interest Barrier, you will not receive any interest payments
over the term of the notes.
|
·
|
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
|
Investors are dependent on our and
JPMorgan Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan
Chase & Co.’s creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely
to adversely affect the value of the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you
may not receive any amounts owed to you under the notes and you could lose your entire investment.
|
·
|
AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS —
|
As a finance subsidiary of JPMorgan
Chase & Co., we have no independent operations beyond the issuance and administration of our securities. Aside from the initial
capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates to
make payments under loans made by us or other intercompany agreements. As a result, we are dependent upon payments from our affiliates
to meet our obligations under the notes. If these affiliates do not make payments to us and we fail to make payments on the notes,
you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank
pari passu
with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
|
·
|
THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS THAT MAY BE PAID OVER
THE TERM OF THE NOTES,
|
regardless of any appreciation of
any Underlying, which may be significant. You will not participate in any appreciation 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
PS-
5
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Russell 2000
®
Index, the iShares
®
MSCI EAFE ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
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 a Review Date, may
negatively affect whether you will receive a Contingent Interest Payment on any Interest Payment Date and your payment at maturity
and will not be offset or mitigated by positive performance by any other 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 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 one year and you will not receive any Contingent Interest Payments
after the applicable Call Settlement Date. There is no guarantee that you would be able to reinvest the proceeds from an investment
in the notes at a comparable return and/or with a comparable interest rate for a similar level of risk. Even in cases where the
notes are called before maturity, you are not entitled to any fees and commissions described on the front cover of this pricing
supplement.
|
·
|
YOU WILL NOT RECEIVE DIVIDENDS ON EITHER FUND OR THE SECURITIES INCLUDED IN OR HELD BY ANY UNDERLYING OR HAVE ANY RIGHTS
WITH RESPECT TO THE FUNDS OR THOSE SECURITIES.
|
|
·
|
AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH RESPECT TO THE 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 FUNDS —
|
The Funds are subject to management
risk, which is the risk that the investment strategies of the Fund’s applicable investment adviser, the implementation of
which is subject to a number of constraints, may not produce the intended results. These constraints could adversely affect the
market prices of the shares of the Funds and, consequently, the value of the notes.
|
·
|
THE PERFORMANCE AND MARKET VALUE OF EACH FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH
THE PERFORMANCE OF THAT FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE —
|
Each Fund does not fully replicate
its Underlying Index (as defined under “The Underlyings” below) and may hold securities different from those included
in its Underlying Index. In addition, the performance of each Fund will reflect additional transaction costs and fees that are
not included in the calculation of its Underlying Index. All of these factors may lead to a lack of correlation between the performance
of each Fund and its Underlying Index. In addition, corporate actions with respect to the equity securities underlying a Fund (such
as mergers and spin-offs) may impact the variance between the performances of that Fund and its Underlying Index. Finally, because
the shares of each Fund are traded on a securities exchange and are subject to market supply and investor demand, the market value
of one share of each Fund may differ from the net asset value per share of that Fund.
During periods of market volatility,
securities underlying each Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately
the net asset value per share of that Fund and the liquidity of that Fund may be adversely affected. This kind of market volatility
may also disrupt the ability of market participants to create and redeem shares of a Fund. Further, market volatility may adversely
affect, sometimes materially, the prices at which market participants are willing to buy and sell shares of that Fund. As a result,
under these circumstances, the market value of shares of a Fund may vary substantially from the net asset value per share of that
Fund. For all of the foregoing reasons, the performance of each Fund may not correlate with the performance of its Underlying Index
as well as the net asset value per share of that Fund, which could materially and adversely affect the value of the notes in the
secondary market and/or reduce any payment on the notes.
PS-
6
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Russell 2000
®
Index, the iShares
®
MSCI EAFE ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
|
·
|
NON-U.S. SECURITIES RISK WITH RESPECT TO THE iSHARES
®
MSCI EAFE ETF —
|
The equity securities held by the
iShares® MSCI EAFE ETF 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.
|
·
|
THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK WITH RESPECT TO THE iSHARES
®
MSCI EAFE ETF —
|
Because the prices of the equity securities
held by the iShares
®
MSCI EAFE ETF are converted into U.S. dollars for purposes of calculating the net asset value
of the iShares
®
MSCI EAFE ETF, holders of the notes will be exposed to currency exchange rate risk with respect
to each of the currencies in which the equity securities held by the iShares
®
MSCI EAFE ETF trade. Your net exposure
will depend on the extent to which those currencies strengthen or weaken against the U.S. dollar and the relative weight of equity
securities held by the iShares
®
MSCI EAFE ETF denominated in each of those currencies. If, taking into account the
relevant weighting, the U.S. dollar strengthens against those currencies, the price of the iShares
®
MSCI EAFE ETF
will be adversely affected and any payment on the notes may be reduced.
|
·
|
RISKS ASSOCIATED WITH THE OIL AND GAS EXPLORATION AND PRODUCTION INDUSTRY WITH RESPECT TO THE SPDR
®
S&P
®
OIL & GAS EXPLORATION & PRODUCTION ETF
—
|
All or substantially all of the equity
securities held by the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF are issued by
companies whose primary line of business is directly associated with the oil and gas exploration and production industry. As a
result, the value of the notes may be subject to greater volatility and be more adversely affected by a single economic, political
or regulatory occurrence affecting this industry than a different investment linked to securities of a more broadly diversified
group of issuers. Issuers in energy-related industries can be significantly affected by fluctuations in energy prices and supply
and demand of energy fuels. Markets for various energy-related commodities can have significant volatility, and are subject
to control or manipulation by large producers or purchasers. Companies in the energy sector may need to make substantial expenditures,
and to incur significant amounts of debt, in order to maintain or expand their reserves. 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 SPDR
®
S&P
®
Oil & Gas Exploration & Production
ETF’s performance. Oil and gas exploration and production can be significantly affected by natural disasters as well
as changes in exchange rates, interest rates, government regulation, world events and economic conditions. These companies may
be at risk for environmental damage claims. These factors could affect the oil and gas exploration and production industry
and could affect the value of the equity securities held by the SPDR
®
S&P
®
Oil & Gas Exploration
& Production ETF and the price of the SPDR
®
S&P
®
Oil & Gas Exploration & Production
ETF during the term of the notes, which may adversely affect the value of your notes.
|
·
|
THE ANTI-DILUTION PROTECTION FOR THE FUNDS IS LIMITED —
|
The calculation agent will make adjustments
to the Share Adjustment Factor for each Fund for certain events affecting the shares of that Fund. However, the calculation agent
will not make an adjustment in response to all events that could affect the shares of the Funds. If an event occurs that does not
require the calculation agent to make an adjustment, the value of the notes may be materially and adversely affected.
|
·
|
THE RISK OF THE CLOSING 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.
PS-
7
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Russell 2000
®
Index, the iShares
®
MSCI EAFE ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
|
·
|
THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES —
|
The estimated value of the notes is
only an estimate determined by reference to several factors. The original issue price of the notes exceeds the estimated value
of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue price
of the notes. These costs include the selling commissions, the projected profits, if any, that our affiliates expect to realize
for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under
the notes. See “The Estimated Value of the Notes” in this pricing supplement.
|
·
|
THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES
—
|
See “The Estimated Value of
the Notes” in this pricing supplement.
|
·
|
THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
|
The internal funding rate used in
the determination of the estimated value of the notes is based on, among other things, our and our affiliates’ view of the
funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison
to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. The use of an internal funding rate and any potential
changes to that rate may have an adverse effect on the terms of the notes and any secondary market prices of the notes. See “The
Estimated Value of the Notes” in this pricing supplement.
|
·
|
THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN
THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
|
We generally expect that some of the
costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of
your notes by JPMS in an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices
of the Notes” in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated
value of your notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be
shown on your customer account statements).
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
|
Any secondary market prices of the
notes will likely be lower than the original issue price of the notes because, among other things, secondary market prices take
into account our internal secondary market funding rates for structured debt issuances and, also, because secondary market prices
(a) exclude selling commissions and (b) may exclude projected hedging profits, if any, and estimated hedging costs that are included
in the original issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy the notes from you
in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the
Maturity Date could result in a substantial loss to you.
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
|
The secondary market price of the
notes during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other,
aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and the 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-
8
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Russell 2000
®
Index, the iShares
®
MSCI EAFE ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
The
Underlyings
The 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 Index is designed to track the performance of the small capitalization
segment of the U.S. equity market. For additional information about the Index, see “Equity Index Descriptions — The
Russell Indices” in the accompanying underlying supplement.
The iShares
®
MSCI EAFE ETF is
an exchange-traded fund of iShares
®
Trust, a registered investment company, that seeks to track the investment results,
before fees and expenses, of an index composed of large- and mid-capitalization developed market equities, excluding the United
States and Canada, which we refer to as the Underlying Index with respect to the iShares
®
MSCI EAFE ETF. The Underlying
Index for the iShares
®
MSCI EAFE ETF is currently the MSCI EAFE
®
Index. The MSCI EAFE
®
Index is a free float-adjusted market capitalization index intended to measure the equity market performance of the developed equity
markets in Europe, Asia, Australia and New Zealand. For additional information about the iShares
®
MSCI EAFE ETF,
see “Fund Descriptions — The iShares
®
ETFs” in the accompanying underlying supplement.
The SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF is an exchange-traded fund of the SPDR
®
Series Trust, a registered
investment company, that seeks to provide investment results that, before fees and expenses, correspond generally to the total
return performance of an index derived from the oil and gas exploration and production segment of a U.S. total market composition
index, which we refer to as the Underlying Index with respect to the SPDR
®
S&P
®
Oil & Gas
Exploration & Production ETF. The Underlying Index with respect to the SPDR
®
S&P
®
Oil &
Gas Exploration & Production ETF is currently the S&P
®
Oil & Gas Exploration & Production Select
Industry
TM
Index. The S&P
®
Oil & Gas Exploration & Production Select Industry
TM
Index is a modified equal-weighted index that is designed to measure the performance of the following GICS
®
sub-industries
of the S&P Total Market Index: integrated oil & gas; oil & gas exploration & mining; and oil & gas refining
& marketing. For additional information about the SPDR
®
S&P
®
Oil & Gas Exploration &
Production ETF, see the information set forth under “Fund Descriptions — The SPDR
®
S&P
®
Industry ETFs” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical
performance of each Underlying based on the weekly historical closing values from January 6, 2012 through July 14, 2017. The closing
value of the Index on July 20, 2017 was 1,442.354. The closing value of the iShares
®
MSCI EAFE ETF on July 20, 2017
was $66.81. The closing value of the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
on July 20, 2017 was $32.04. We obtained the closing values above and below from the Bloomberg Professional
®
service
(“Bloomberg”), without independent verification. The closing values of the Funds above and below may have been adjusted
by Bloomberg for actions taken by the Funds, 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 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-
9
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Russell 2000
®
Index, the iShares
®
MSCI EAFE ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
Tax
Treatment
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. In determining our
reporting responsibilities we intend to treat (i) the notes for U.S. federal income tax purposes as prepaid forward contracts with
associated contingent coupons and (ii) any Contingent Interest Payments as ordinary income, as described in the section entitled
“Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid
Forward Contracts with Associated Contingent Coupons” in the accompanying product supplement. Based on the advice of Davis
Polk & Wardwell LLP, our special tax counsel, we believe that this is a reasonable treatment, but that there are other reasonable
treatments that the IRS or a court may adopt, in which case the timing and character of any income or loss on the notes could be
materially affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income
tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to
require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number
of related topics, including the character of income or loss with respect to these instruments and the relevance of factors such
as the nature of the underlying property to which the instruments are linked. While the notice requests comments on appropriate
transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues
could materially affect the tax consequences of an investment in the notes, possibly with retroactive effect. You should consult
your tax adviser regarding the
PS-
10
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Russell 2000
®
Index, the iShares
®
MSCI EAFE ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
U.S. federal income tax consequences of an investment
in the notes, including possible alternative treatments and the issues presented by this notice.
Non-U.S. Holders — Tax Considerations
.
The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and although we believe it is reasonable to
take a position that Contingent Interest Payments are not subject to U.S. withholding tax (at least if an applicable Form W-8 is
provided), a withholding agent may nonetheless withhold on these payments (generally at a rate of 30%, subject to the possible
reduction of that rate under an applicable income tax treaty), unless income from your notes is effectively connected with your
conduct of a trade or business in the United States (and, if an applicable treaty so requires, attributable to a permanent establishment
in the United States). If you are not a United States person, you are urged to consult your tax adviser regarding the U.S. federal
income tax consequences of an investment in the notes in light of your particular circumstances.
Section 871(m) of the Code and Treasury regulations
promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies)
on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities
or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments
linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations (such an index, a
“Qualified Index”). Additionally, the applicable regulations exclude from the scope of Section 871(m) instruments issued
in 2017 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal
income tax purposes (each an “Underlying Security”). Based on certain determinations made by us, our special tax counsel
is of the opinion that Section 871(m) should not apply to the notes with regard to Non-U.S. Holders. Our determination is not binding
on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend on your
particular circumstances, including whether you enter into other transactions with respect to an Underlying Security. You should
consult your tax adviser regarding the potential application of Section 871(m) to the notes.
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.
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11
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Russell 2000
®
Index, the iShares
®
MSCI EAFE ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
The estimated value of the notes is lower than
the original issue price of the notes because costs associated with selling, structuring and hedging the notes are included in
the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated
dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk
and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected,
or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes may be allowed
to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits.
See “Selected Risk Considerations — The Estimated Value of the Notes Is Lower Than the Original Issue Price (Price
to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact
any secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in
the accompanying product supplement. In addition, we generally expect that some of the costs included in the original issue price
of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will
decline to zero over an initial predetermined period. These costs can include projected hedging profits, if any, and, in some circumstances,
estimated hedging costs and our internal secondary market funding rates for structured debt issuances. This initial predetermined
time period is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial
period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities,
the estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates. See “Selected
Risk Considerations — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer 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
PS-
12
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Russell 2000
®
Index, the iShares
®
MSCI EAFE ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
other things, the matters set forth in the “Risk
Factors” sections of the accompanying product supplement and the accompanying underlying supplement, as the notes involve
risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other
advisers before you invest in the notes.
You may access these documents on the SEC website
at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website
is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us”
and “our” refer to JPMorgan Financial.
PS-
13
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the Russell 2000
®
Index, the iShares
®
MSCI EAFE ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
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