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JPMorgan Chase Financial Company LLC
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July 2017
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Registration Statement Nos. 333-209682 and 333-209682-01
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Dated July 20, 2017
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Filed pursuant to Rule 424(b)(2)
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Structured
Investments
Opportunities in U.S. Equities
Trigger PLUS Based on the Worst Performing of
the Dow Jones Industrial Average
TM
, the Russell 2000
®
Index and the S&P 500
®
Index
due July 25, 2022
Trigger Performance Leveraged
Upside Securities
SM
Principal at Risk Securities
Fully and Unconditionally Guaranteed
by JPMorgan Chase & Co.
The Trigger PLUS will pay no interest and do not guarantee any
return of your principal at maturity. The payment at maturity on the Trigger PLUS will be based on the performance of the worst
performing of the Dow Jones Industrial Average
TM
, the Russell 2000
®
Index and the S&P 500
®
Index. At maturity, if each underlying index has appreciated in value, investors will receive the stated principal amount
of their investment plus leveraged upside performance of the worst performing index. If any underlying index has declined in value
but the final index value of each underlying index is greater than or equal to its trigger level, investors will receive the stated
principal amount of the Trigger PLUS at maturity. However, if the final index value of any underlying index has declined in value
so that the final index value of that underlying index is less than its trigger level, at maturity investors will lose a significant
portion or all of their investment, resulting in a 1% loss for every 1% decline in the closing level of the worst performing index
over the term of the Trigger PLUS. The Trigger PLUS are for investors who seek an equity -based return and who are willing to
risk their principal and forgo current income in exchange for the leverage feature. At maturity, an investor will receive an amount
in cash that may be greater than, equal to or less than the stated principal amount based upon the closing level of the worst
performing index on the valuation date. Because the payment at maturity is based on the worst performing index, if the final index
value of any underlying index is less than its trigger level, you will lose more than 30%, and possibly all, of your initial investment,
even if any other underlying index appreciates or does not decline as much. The Trigger PLUS 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., issued as part of JPMorgan Financial’s Medium-Term Notes, Series
A, program.
Any payment on the Trigger PLUS is subject to the credit risk of JPMorgan Financial, as issuer of the Trigger PLUS,
and the credit risk of JPMorgan Chase & Co., as guarantor of the Trigger PLUS. The investor may lose some or all of the stated
principal amount of the Trigger PLUS.
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FINAL TERMS
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Issuer:
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JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
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Guarantor:
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JPMorgan Chase & Co.
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Underlying indices:
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Dow Jones Industrial Average
TM
(the “INDU Index”), the Russell 2000
®
Index (the “RTY Index”) and S&P 500
®
Index (the “SPX Index”) (each, an “underlying index”)
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Aggregate principal amount:
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$4,729,000
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Payment at maturity:
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·
If the final index value of
each underlying index
is
greater than
its initial index value, for each $10 stated principal amount Trigger PLUS:
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$10 + leveraged upside payment
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·
If the final index value of
any underlying index
is
less than or equal to
its initial index value but the final index value of
each underlying index
is
greater than or equal to
its trigger level, for each $10 stated principal amount Trigger PLUS:
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$10
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·
If the final index value of
any underlying index
is
less than
its trigger level, for each $10 stated principal amount Trigger PLUS:
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$10 × index performance factor of the worst performing index
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This amount will be less than the stated principal amount of $10 per Trigger PLUS and will represent a loss of more than 30%, and possibly all, of your investment.
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Leveraged upside payment:
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$10 × leverage factor × index percent increase of the worst performing index
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Leverage factor:
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207%
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Index percent increase:
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With respect to each underlying index: (final index value – initial index value) / initial index value
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Index performance factor:
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With respect to each underlying index, the final index value divided by the initial index value
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Stated principal amount:
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$10 per Trigger PLUS
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Issue price:
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$10 per Trigger PLUS (see “Commissions and issue price” below)
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Pricing date:
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July 20, 2017
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Original issue date (settlement date):
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July 25, 2017
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Valuation date:
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July 20, 2022, subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes — Postponement of a Determination Date —Notes Linked to Multiple Underlyings” in the accompanying product supplement
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Maturity date:
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July 25, 2022, subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
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CUSIP/ISIN:
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48129G398 / US48129G3983
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Listing:
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The securities will not be listed on any securities exchange.
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Agent:
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J.P. Morgan Securities LLC (“JPMS”)
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Commissions and issue price:
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Price to public
(1)
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Fees and commissions
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Proceeds to issuer
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Per Trigger PLUS
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$10.00
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$0.25
(2)
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$9.70
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$0.05
(3)
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Total
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$4,729,000.00
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$141,870.00
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$4,587,130.00
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(1)
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See “Additional Information about the Trigger PLUS — Supplemental use of proceeds and hedging” in this
document for information about the components of the price to public of the Trigger PLUS.
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(2)
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JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions of $0.25 per $10 stated principal
amount Trigger PLUS it receives from us to Morgan Stanley Smith Barney LLC (“Morgan Stanley Wealth Management”). See
“Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.
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(3)
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Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $0.05 for each
$10 stated principal amount Trigger PLUS.
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The estimated value of the Trigger PLUS on the pricing date
was $9.778 per $10 stated principal amount Trigger PLUS. See “Additional Information about the Trigger PLUS — The estimated
value of the Trigger PLUS” in this document for additional information.
Investing in the Trigger PLUS 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 “Risk Factors” beginning on page 8 of this document.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the Trigger PLUS or passed upon the accuracy or the adequacy
of this document or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
The Trigger PLUS 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.
You should read this document together
with the related product supplement, underlying supplement, prospectus supplement and prospectus, each of which can be accessed
via the hyperlinks below. Please also see “Additional Information about the Trigger PLUS” at the end of this document.
Product supplement no. MS-1-I dated June 3, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316013935/crt_dp64833-424b2.pdf
Underlying supplement no. 1-I dated April
15, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012649/crt-dp64909_424b2.pdf
Prospectus supplement and prospectus, each dated April 15, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012636/crt_dp64952-424b2.pdf
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Worst Performing of the Dow Jones Industrial Average
TM
, the Russell 2000
®
Index and the S&P 500
®
Index due July 25, 2022
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
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Terms continued from previous page:
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Initial index value:
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With respect to the INDU Index, 21,611.78, which is the closing level of that underlying index on the pricing date
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With respect to the RTY Index, 1,442.354, which is the closing
level of that underlying index on the pricing date
With respect to the SPX Index, 2,473.45, which is the closing
level of that underlying index on the pricing date
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Trigger level:
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With respect to the INDU Index: 15,128.246, which is equal to
70% of its initial index value
With respect to the RTY Index: 1,009.6478, which is equal to 70%
of its initial index value
With respect to the SPX Index: 1,731.415, which is equal to 70%
of its initial index value
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Final index value:
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With respect to each underlying index, the closing level of that underlying index on the valuation date
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Worst performing index:
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The underlying index with the lowest index performance factor
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JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Worst Performing of the Dow Jones Industrial Average
TM
, the Russell 2000
®
Index and the S&P 500
®
Index due July 25, 2022
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
Investment Summary
Trigger Performance Leveraged Upside Securities
Principal at Risk Securities
The Trigger PLUS Based on the Worst Performing of the Dow Jones
Industrial Average
TM
, the Russell 2000
®
Index and the S&P 500
®
Index due July 25,
2022 (the “Trigger PLUS”) can be used:
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§
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As an alternative to direct exposure to the underlying indices that enhances returns for any
positive performance of the worst performing index if the final index value of each underlying index is greater than its initial
index value.
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§
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To potentially achieve similar levels of upside exposure to the worst performing index as a direct
investment, while using fewer dollars by taking advantage of the leverage factor.
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§
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To provide limited market downside protection against loss of principal in the event of a decline
of any underlying index but only if the final index value of each underlying index is
greater than or equal to
its trigger
level.
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Maturity:
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5 years
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Leverage factor:
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207%
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Trigger level:
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With respect to each underlying index, 70% of its initial index value
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Minimum payment at maturity:
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None. Investors may lose their entire initial investment in the Trigger PLUS.
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Supplemental Terms of the Trigger PLUS
For purposes of the accompanying product supplement, each underlying
index is an “Index.”
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Worst Performing of the Dow Jones Industrial Average
TM
, the Russell 2000
®
Index and the S&P 500
®
Index due July 25, 2022
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
Key Investment Rationale
Trigger PLUS offer leveraged upside exposure to the worst performing
of the Dow Jones Industrial Average
TM
, the Russell 2000
®
Index and the S&P 500
®
Index,
while providing limited protection against negative performance of the worst performing index. In exchange for enhanced returns
from any positive performance of the worst performing index, investors are exposed to the risk of loss of some or all of their
investment due to the trigger feature. At maturity, if the final index value of
each
underlying index has appreciated, investors
will receive the stated principal amount of their investment plus leveraged upside performance of the worst performing index. At
maturity, if the final index value of any underlying index has depreciated but the final index value of each underlying index is
at or above its trigger level, investors will receive the stated principal amount of their investment. At maturity, if final index
value of
any underlying
index has depreciated below its trigger level, investors are fully exposed to the negative performance
of the worst performing index.
Investors may lose some or all of the stated principal amount of the Trigger PLUS.
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Leveraged Performance
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If the final index value of
each
underlying index is greater than its initial index value, the Trigger PLUS offer investors an opportunity to capture enhanced returns for any positive performance of the worst performing index relative to a hypothetical direct investment in that underlying index.
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Trigger Feature
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Even if the final index value of
any
underlying index is less than or equal to its initial index value, investors will receive their stated principal amount at maturity.
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Upside Scenario if the Worst Performing Index Appreciates
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The final index value of
each
underlying index is greater than its initial index value and, at maturity, the Trigger PLUS pay the stated principal amount of $10
plus
a return equal to 207% of the index percent increase of the worst performing index.
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Par Scenario
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The final index value of
any
underlying index is less than or equal to its initial index value but the final index value of
each
underlying index is greater than or equal to its trigger level. In this case, the Trigger PLUS pay the stated principal amount of $10 per Trigger PLUS at maturity even though the worst performing index has depreciated.
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Downside Scenario
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The final index value of
any
underlying index is less than its trigger level. In this case, the Trigger PLUS pay an amount that is over 30% less than the stated principal amount and this decrease will be by an amount that is proportionate to the percentage decline of the final index value of the worst performing index from its initial index value. (Example: if the worst performing index decreases in value by 40%, the Trigger PLUS will pay an amount that is less than the stated principal amount by 40%, or $6 per Trigger PLUS.)
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The payment at maturity on the Trigger PLUS is based solely on
the worst performing index and you will not benefit from the performance of any other underlying index. Therefore, investors will
receive a positive return on their investment only if the final index value of
each
underlying index is greater than its
initial index value, but investors will lose some or all of their investment if the final index value of
any
underlying
index is less than its trigger level, even if the value of the other underlying indices appreciates or does not decline as much.
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Worst Performing of the Dow Jones Industrial Average
TM
, the Russell 2000
®
Index and the S&P 500
®
Index due July 25, 2022
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
Hypothetical Examples
The following hypothetical examples illustrate how to calculate
the payment at maturity on the Trigger PLUS. The following examples are for illustrative purposes only. The actual initial index
value and trigger level for each underlying index are specified on the cover of this pricing supplement. All payments on the Trigger
PLUS, if any, are subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co. The numbers in the hypothetical
examples below may have been rounded for the ease of analysis. The examples below are based on the following assumed terms:
EXAMPLE 1: Each underlying index appreciates and investors
receive the stated principal amount
plus
the leveraged upside payment.
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Final index value
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INDU Index: 24,725
RTY Index: 1,540
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SPX Index: 2,520
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Index percent change
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INDU Index: (24,725 – 21,500) / 21,500 = 15%
RTY Index: (1,540 – 1,400) / 1,400 = 10%
SPX Index: (2,520 – 2,400) / 2,400 = 5%
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Payment at maturity
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=
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$10 + leveraged upside payment, subject to the maximum payment at maturity of $13.00
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=
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$10 + ($10 × leverage factor × index percent change of the worst performing index)
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=
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$10 + ($10 × 207% × 5%)
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=
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$10 + $1.035
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=
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$11.035
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In this example, the INDU Index has appreciated by 15%, the RTY
Index has appreciated by 10% and the SPX Index has appreciated by 5% from the pricing date to the valuation date. Because the final
index value of each underlying index is above its initial index value, investors receive at maturity the stated principal amount
plus
the leveraged upside payment of $1.035. Investors receive $11.035 per Trigger PLUS at maturity. Investors receive a
leveraged upside return based only on the 5% appreciation of the SPX Index, which is the worst performing index, even though the
other underlying indices have appreciated more.
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Worst Performing of the Dow Jones Industrial Average
TM
, the Russell 2000
®
Index and the S&P 500
®
Index due July 25, 2022
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
EXAMPLE 2
:
Two underlying indices appreciate while
the other declines below its initial index value but not below its trigger level, and investors receive the stated principal amount.
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Final index value
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INDU Index: 22,575
RTY Index: 1,680
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SPX Index: 2,280
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Index percent change
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INDU Index: (22,575 – 21,500) / 21,500 = 5%
RTY Index: (1,680 – 1,400) / 1,400 = 20%
SPX Index: (2,280 – 2,400) / 2,400 = -5%
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Payment at maturity
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=
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$10
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In this example, the INDU Index has appreciated by 5% and the
RTY Index has appreciated by 20% while the SPX Index has declined by 5% from the pricing date to the valuation date. Because the
final index value of each underlying index is at or above its trigger level, even though the final index value of the SPX Index
is less than its initial index value, investors receive, at maturity, the stated principal amount. However, investors do not participate
in the appreciation of the other underlying indices.
EXAMPLE 3
:
Two underlying indices appreciate while
the other declines below its trigger level, and investors are exposed to the decline in the worst performing index from its initial
index value.
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Final index value
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INDU Index: 22,575
RTY Index: 840
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SPX Index: 2,640
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Index percent change
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INDU Index: (22,575 – 21,500) / 21,500 = 5%
RTY Index: (840 – 1,400) / 1,400 = -40%
SPX Index: (2,640 – 2,400) / 2,400 = 10%
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Payment at maturity
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=
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$10 × index performance factor of the worst performing index
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=
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$10 × 60%
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=
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$6.00
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In this example, the INDU Index has appreciated by 5% and the
SPX Index has appreciated by 10% while the RTY Index has declined by 40% from the pricing date to the valuation date. Therefore,
investors are exposed to the negative performance of the SPX Index, which is the worst performing index in this example, and receive
a payment at maturity of $6.00 per Trigger PLUS. Investors lose 1% of the stated principal amount for every 1% decline in the SPX
Index from its initial index value, even though each of the other underlying indices has appreciated from its initial index value.
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Worst Performing of the Dow Jones Industrial Average
TM
, the Russell 2000
®
Index and the S&P 500
®
Index due July 25, 2022
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
EXAMPLE 4: Each underlying index declines below its trigger
level, and investors are exposed to the decline in the worst performing index from its initial index value.
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Final index value
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INDU Index: 10,750
RTY Index: 770
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SPX Index: 1,440
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Index percent change
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INDU Index: (10,750 – 21,500) / 21,500 = -50%
RTY Index: (770 – 1,400) / 1,400 = -45%
SPX Index: (1,440 – 2,400) / 2,400 = -40%
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Payment at maturity
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=
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$10 × index performance factor of the worst performing index
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=
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$10 × 50%
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=
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$5.00
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In this example, the final index value of each underlying index
is less than its trigger level. The INDU Index has declined by 50%, the RTY Index has declined by 45% and the SPX Index has declined
by 40% from the pricing date to the valuation date. Therefore, investors are exposed to the negative performance of the INDU Index,
which is the worst performing index in this example, and receive a payment at maturity of $5.00 per Trigger PLUS.
Because the payment at maturity of the Trigger PLUS is based
on the worst performing index, if the final index value of any underlying index is less than its trigger level, you will lose more
than 30%, and possibly all, of your initial investment, even if the value of any other underlying index appreciates or does not
decline as much.
The hypothetical returns and hypothetical payments
on the Trigger PLUS shown above apply
only if you hold the Trigger PLUS for their entire term.
These hypotheticals do not
reflect fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included,
the hypothetical returns and hypothetical payments shown above would likely be lower.
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Worst Performing of the Dow Jones Industrial Average
TM
, the Russell 2000
®
Index and the S&P 500
®
Index due July 25, 2022
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
Risk Factors
The
following is a non-exhaustive list of certain key risk factors for investors in the Trigger PLUS.
For further discussion
of these and other risks, you should read the sections entitled “Risk Factors” of the accompanying product supplement
and the accompanying underlying supplement. We urge you to consult your investment, legal, tax, accounting and other advisers in
connection with your investment in the Trigger PLUS.
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|
§
|
Trigger PLUS do not pay interest or guarantee the
return of any principal and your investment in the Trigger PLUS may result in a loss.
The
terms of the Trigger PLUS differ from those of ordinary debt securities in that the Trigger PLUS do not pay interest or guarantee
the payment of any principal amount at maturity. If the final index value of any underlying index is less than its trigger level
(which is 70% of its initial index value), the payment at maturity will be an amount in cash that is over 30% less than the stated
principal amount of each Trigger PLUS, and this decrease will be by an amount that is proportionate to the decrease in the value
of the worst performing index and may be zero. There is no minimum payment at maturity on the Trigger PLUS and, accordingly, you
could lose your entire initial investment in the Trigger PLUS.
|
|
|
§
|
You are exposed to the price risk of all three
underlying indices.
Your return on the Trigger PLUS is not linked to a basket consisting
of the underlying indices. Rather, it will be contingent upon the independent performance of each underlying index. Unlike an instrument
with a return linked to a basket of underlying assets in which risk is mitigated and diversified among all the components of the
basket, you will be exposed to the risks related to each underlying index. The performance of the indices may not be correlated.
Poor performance by
any
underlying index over the term of the Trigger PLUS may
negatively affect your return and will not be offset or mitigated by any positive performance by the other underlying indices.
Accordingly, your investment is subject to the risk of decline in the closing level of each underlying index.
|
To
receive a positive return at maturity, each underlying index must close above its initial index value on the valuation date. If
any
underlying index has declined below its trigger level as of the valuation date,
you will be fully exposed to the decline in the worst performing index, as compared to its initial index value, on a 1-to-1 basis,
even if the other underlying indices have appreciated. Under this scenario, the value of any payment at maturity will be less than
the stated principal amount and could be zero.
|
|
§
|
Because the Trigger PLUS are linked to the performance
of the worst performing index, you are exposed to greater risks of sustaining a loss on your investment than if the Trigger PLUS
were linked to just one index.
The risk that you will suffer
a loss on your investment is greater if you invest in the Trigger PLUS than if you invest in substantially similar Trigger PLUS
that are linked to the performance of just one underlying index. With three indices, it is more likely that any underlying index
will close below its trigger level on the valuation date than if the Trigger PLUS were linked to only one underlying index. In
addition, you will not benefit from the performance of the index that is not the worst performing index. Therefore it is more likely
that you will suffer a loss, which may be significant, on your initial investment.
|
|
|
§
|
The Trigger PLUS are subject to the credit risks
of JPMorgan Financial and JPMorgan Chase & Co., and any actual or anticipated changes to our or JPMorgan Chase & Co.’s
credit ratings or credit spreads may adversely affect the market value of the Trigger PLUS.
Investors
are dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts due on the Trigger PLUS. Any actual or anticipated
decline in our or JPMorgan Chase & Co.’s credit ratings or increase in our or JPMorgan Chase & Co.’s credit
spreads determined by the market for taking that credit risk is likely to adversely affect the market value of the Trigger PLUS.
If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed to you under
the Trigger PLUS 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 Trigger PLUS. If these affiliates do not make payments to us and we fail to make payments on
the Trigger PLUS, 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.
|
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Worst Performing of the Dow Jones Industrial Average
TM
, the Russell 2000
®
Index and the S&P 500
®
Index due July 25, 2022
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
|
§
|
Economic interests of the issuer, the guarantor, the calculation agent, the agent of the offering
of the Trigger PLUS and other affiliates of the issuer may be different from those of investors.
We
and our affiliates play a variety of roles in connection with the issuance of the Trigger PLUS, including acting as calculation
agent and as an agent of the offering of the Trigger PLUS, hedging our obligations under the Trigger PLUS
and making the
assumptions used to determine the pricing of the Trigger PLUS and the estimated value of the Trigger PLUS, which we refer to as
the estimated value of the Trigger PLUS
. In performing
these duties, our and JPMorgan Chase & Co.’s economic interests and the economic interests of the calculation agent and
other affiliates of ours are potentially adverse to your interests as an investor in the Trigger PLUS.
The calculation agent
has determined the initial index value and the trigger level of each underlying index, will determine the final index value of
each underlying index and will calculate the amount of payment you will receive at maturity, if any. Determinations made by the
calculation agent, including with respect to the occurrence or non-occurrence of market disruption events, the selection of a successor
to either of the underlying indices or calculation of the final index value of any underlying index in the event of a discontinuation
or material change in method of calculation of that underlying index, may affect the payment to you at maturity.
|
In
addition, JPMorgan Chase & Co. is currently one of the companies that make up the INDU Index and the SPX Index. JPMorgan Chase
& Co. will not have any obligation to consider your interests as a holder of the securities in taking any corporate action
that might affect the value of the INDU Index, the SPX Index or the securities.
Moreover,
our and JPMorgan Chase & Co.’s business activities, including hedging and trading activities, could cause our and JPMorgan
Chase & Co.’s economic interests to be adverse to yours and could adversely affect any payment on the Trigger PLUS and
the value of the Trigger PLUS. It is possible that hedging or trading activities of ours or our affiliates in connection with the
Trigger PLUS could result in substantial returns for us or our affiliates while the value of the Trigger PLUS declines. Please
refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement for
additional information about these risks.
|
|
§
|
The benefit provided by the trigger level may terminate
on the valuation date.
If the final index value of any underlying index is less than its
trigger level, the benefit provided by the trigger level will terminate and you will be fully exposed to any depreciation of the
worst performing index.
|
|
|
§
|
The estimated value of the Trigger PLUS is lower
than the original issue price (price to public) of the Trigger PLUS.
The estimated value
of the Trigger PLUS is only an estimate determined by reference to several factors. The original issue price of the Trigger PLUS
exceeds the estimated value of the Trigger PLUS because costs associated with selling, structuring and hedging the Trigger PLUS
are included in the original issue price of the Trigger PLUS. These costs include the selling commissions, the structuring fee,
the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under
the Trigger PLUS and the estimated cost of hedging our obligations under the Trigger PLUS. See “Additional Information about
the Trigger PLUS — The estimated value of the Trigger PLUS” in this document.
|
|
|
§
|
The estimated value of the Trigger PLUS does not
represent future values of the Trigger PLUS and may differ from others’ estimates. The estimated value of the Trigger PLUS
is determined by reference to internal pricing models of our affiliates.
This estimated value
of the Trigger PLUS is based on market conditions and other relevant factors existing at the time of pricing and assumptions about
market parameters, which can include volatility, dividend rates, interest rates and other factors. Different pricing models and
assumptions could provide valuations for the Trigger PLUS that are greater than or less than the estimated value of the Trigger
PLUS. 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 Trigger PLUS 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 Trigger PLUS from you in secondary market transactions. See “Additional
Information about the Trigger PLUS — The estimated value of the Trigger PLUS” in this document.
|
|
|
§
|
The estimated value of the Trigger PLUS is derived
by reference to an internal funding rate.
The internal funding rate used in the determination
of the estimated value of the Trigger PLUS is based on, among other things, our and our affiliates’ view of the funding value
of the Trigger PLUS as well as the higher issuance, operational and ongoing liability management costs of the Trigger PLUS
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 Trigger PLUS
and any secondary market
|
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Worst Performing of the Dow Jones Industrial Average
TM
, the Russell 2000
®
Index and the S&P 500
®
Index due July 25, 2022
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
prices
of the Trigger PLUS. See “Additional Information about the Trigger PLUS — The estimated value of the Trigger PLUS”
in this document.
|
|
§
|
The value of the Trigger PLUS as published by JPMS
(and which may be reflected on customer account statements) may be higher than the then-current estimated value of the Trigger
PLUS for a limited time period.
We generally expect that some of the costs included in the
original issue price of the Trigger PLUS will be partially paid back to you in connection with any repurchases of your Trigger
PLUS by JPMS in an amount that will decline to zero over an initial predetermined period. These costs can include selling commissions,
the structuring fee, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary
market funding rates for structured debt issuances. See “Additional Information about the Trigger PLUS — Secondary
market prices of the Trigger PLUS” in this document for additional information relating to this initial period. Accordingly,
the estimated value of your Trigger PLUS during this initial period may be lower than the value of the Trigger PLUS as published
by JPMS (and which may be shown on your customer account statements).
|
|
|
§
|
Secondary market prices of the Trigger PLUS will likely be lower than the original issue price
of the Trigger PLUS
.
Any secondary market prices of the Trigger
PLUS will likely be lower than the original issue price of the Trigger PLUS 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 the structuring fee and (b) may exclude projected hedging profits, if any, and estimated
hedging costs that are included in the original issue price of the Trigger PLUS. As a result, the price, if any, at which JPMS
will be willing to buy Trigger PLUS from you in secondary market transactions, if at all, is likely to be lower than the original
issue price. Any sale by you prior to the maturity date could result in a substantial loss to you. See the immediately following
risk factor for information about additional factors that will impact any secondary market prices of the Trigger PLUS.
|
The Trigger PLUS are not designed
to be short-term trading instruments. Accordingly, you should be able and willing to hold your Trigger PLUS to maturity. See “—
Secondary trading may be limited” below.
|
|
§
|
Secondary market prices of the
Trigger
PLUS
will be impacted by many economic and market factors.
The
secondary market price of the Trigger PLUS 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, structuring fee, projected hedging profits, if any,
estimated hedging costs and the closing level of each underlying index, including:
|
|
|
§
|
any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or
credit spreads;
|
|
|
§
|
customary bid-ask spreads for similarly sized trades;
|
|
|
§
|
our internal secondary market funding rates for structured debt issuances;
|
|
|
§
|
the actual and expected volatility of each underlying index;
|
|
|
§
|
the time to maturity of the Trigger PLUS;
|
|
|
§
|
the dividend rates on the equity securities included in the underlying indices;
|
|
|
§
|
the actual and expected positive or negative correlation among the underlying indices, or the
actual or expected absence of any such correlation;
|
|
|
§
|
interest and yield rates in the market generally; and
|
|
|
§
|
a variety of other economic, financial, political, regulatory and judicial events.
|
Additionally, independent pricing
vendors and/or third party broker-dealers may publish a price for the Trigger PLUS, which may also be reflected on customer account
statements. This price may be different (higher or lower) than the price of the Trigger PLUS, if any, at which JPMS may be willing
to purchase your Trigger PLUS in the secondary market.
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Worst Performing of the Dow Jones Industrial Average
TM
, the Russell 2000
®
Index and the S&P 500
®
Index due July 25, 2022
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
|
§
|
Investing in the Trigger PLUS is not equivalent to investing in any underlying index.
Investing in the Trigger PLUS is not equivalent to investing in any underlying index or its component stocks. Investors in
the Trigger PLUS will not have voting rights or rights to receive dividends or other distributions or any other rights with respect
to the stocks that constitute any underlying index.
|
|
|
§
|
Adjustments to any underlying index could adversely affect the value of the Trigger PLUS.
The underlying index publisher of any underlying index may discontinue or suspend calculation or publication of that underlying
index at any time. In these circumstances, the calculation agent will have the sole discretion to substitute a successor
index that is comparable to the discontinued underlying index and is not precluded from considering indices that are calculated
and published by the calculation agent or any of its affiliates.
|
|
|
§
|
An investment in the Trigger PLUS is subject to
risks associated with small capitalization stocks with respect to the RTY Index.
The stocks
that constitute the RTY Index are issued by companies with relatively small market capitalization. The stock prices of smaller
companies may be more volatile than stock prices of large capitalization companies. 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.
|
|
|
§
|
Hedging and trading activities by the issuer and its affiliates could potentially affect the
value of the
Trigger PLUS
.
The hedging or trading activities
of the issuer’s affiliates and of any other hedging counterparty with respect to the
Trigger
PLUS on or prior to the pricing date and prior to maturity could have adversely affected, and may continue to adversely affect,
the levels of the underlying indices, and, as a result, could decrease the amount an investor may receive on the Trigger PLUS at
maturity, if any. Any of these hedging or trading activities
on or prior to the pricing date could have affected the initial
index values and the trigger levels and, therefore, could potentially increase the levels that the final index values must reach
before you receive a payment at maturity that exceeds the issue price of the Trigger PLUS or so that you do not suffer a loss on
your initial investment in the Trigger PLUS. Additionally, these hedging or trading activities during the term of the
Trigger
PLUS
, including on the valuation date, could adversely affect the final index values and, accordingly, the amount of cash
an investor will receive at maturity, if any. It is possible that these hedging or trading activities could result in substantial
returns for us or our affiliates while the value of the Trigger PLUS declines.
|
|
|
§
|
Secondary trading may be limited.
Th
e
Trigger PLUS will not be listed on a securities exchange. There may be little or no secondary market for the Trigger PLUS. Even
if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Trigger PLUS easily
.
JPMS
may act as a market maker for the Trigger PLUS, but is not required to do so. Because we do not expect that other market
makers will participate significantly in the secondary market for the Trigger PLUS, the price at which you may be able to trade
your Trigger PLUS is likely to depend on the price, if any, at which
JPMS
is willing to buy the Trigger PLUS. If at any time
JPMS
or another agent does not act as a market maker, it is likely that there would be little or no secondary market for the Trigger
PLUS.
|
|
|
§
|
The tax consequences of an investment in the Trigger PLUS are uncertain.
There is no direct
legal authority as to the proper U.S. federal income tax characterization of the Trigger PLUS, and we do not intend to request
a ruling from the IRS. The IRS might not accept, and a court might not uphold, the treatment of the Trigger PLUS described in “Additional
Information about the Trigger PLUS ― Additional Provisions ― Tax considerations” in this document and in “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement. If the IRS were successful in asserting an
alternative treatment for the Trigger PLUS, the timing and character of any income or loss on the Trigger PLUS could differ materially
and adversely from our description herein. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the
U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular
on whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments
on a number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors
such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including
any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or
should be subject to the “constructive ownership” regime, which very generally can operate to recharacterize certain
long-term capital gain as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate
transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues
could materially and adversely affect the tax consequences of an investment in the
|
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Worst Performing of the Dow Jones Industrial Average
TM
, the Russell 2000
®
Index and the S&P 500
®
Index due July 25, 2022
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
Trigger PLUS, possibly with retroactive
effect. You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying
product supplement and consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the Trigger
PLUS, including possible alternative treatments and the issues presented by this notice.
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Worst Performing of the Dow Jones Industrial Average
TM
, the Russell 2000
®
Index and the S&P 500
®
Index due July 25, 2022
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
Dow Jones Industrial Average
TM
Overview
The Dow Jones Industrial Average
TM
consists of 30
component stocks that are intended to be representative of the broad market of U.S. industry. For additional information on the
Dow Jones Industrial Average
TM
, see the information set forth under “Equity Index Descriptions — The Dow
Jones Industrial Average
TM
” in the accompanying underlying supplement.
Information as of market close on July 20, 2017:
|
Bloomberg Ticker Symbol:
|
INDU
|
|
Current Closing Level:
|
21,611.78
|
|
52 Weeks Ago (on 7/20/2016):
|
18,595.03
|
|
52 Week High (on 7/19/2017):
|
21,640.75
|
|
52 Week Low (on 11/4/2016):
|
17,888.28
|
|
|
|
The following table sets forth the published high and low closing
levels, as well as end-of-quarter closing levels, of the Dow Jones Industrial Average
TM
for each quarter in the period
from January 1, 2012 through July 20, 2017. The closing level of the Dow Jones Industrial Average
TM
on July 20, 2017
was 21,611.78. The associated graph shows the closing levels of the Dow Jones Industrial Average
TM
for each day in the
same period. We obtained the closing level information above and the information in the table and graph below from the Bloomberg
Professional
®
service (“Bloomberg”), without independent verification.
The historical performance of the Dow Jones Industrial Average
TM
should not be taken as an indication of future performance, and no assurance can be given as to the closing level of the Dow Jones
Industrial Average
TM
on the valuation date. The payment of dividends on the stocks that constitute the Dow Jones Industrial
Average
TM
are not reflected in its closing level and, therefore, have no effect on the calculation of the payment at
maturity.
|
Dow Jones Industrial Average
TM
|
High
|
Low
|
Period End
|
|
2012
|
|
|
|
|
First Quarter
|
13,252.76
|
12,359.92
|
13,212.04
|
|
Second Quarter
|
13,279.32
|
12,101.46
|
12,880.09
|
|
Third Quarter
|
13,596.93
|
12,573.27
|
13,437.13
|
|
Fourth Quarter
|
13,610.15
|
12,542.38
|
13,104.14
|
|
2013
|
|
|
|
|
First Quarter
|
14,578.54
|
13,328.85
|
14,578.54
|
|
Second Quarter
|
15,409.39
|
14,537.14
|
14,909.60
|
|
Third Quarter
|
15,676.94
|
14,776.13
|
15,129.67
|
|
Fourth Quarter
|
16,576.66
|
14,776.53
|
16,576.66
|
|
2014
|
|
|
|
|
First Quarter
|
16,530.94
|
15,372.80
|
16,457.66
|
|
Second Quarter
|
16,947.08
|
16,026.75
|
16,826.60
|
|
Third Quarter
|
17,279.74
|
16,368.27
|
17,042.90
|
|
Fourth Quarter
|
18,053.71
|
16,117.24
|
17,823.07
|
|
2015
|
|
|
|
|
First Quarter
|
18,288.63
|
17,164.95
|
17,776.12
|
|
Second Quarter
|
18,312.39
|
17,596.35
|
17,619.51
|
|
Third Quarter
|
18,120.25
|
15,666.44
|
16,284.70
|
|
Fourth Quarter
|
17,918.15
|
16,272.01
|
17,425.03
|
|
2016
|
|
|
|
|
First Quarter
|
17,716.66
|
15,660.18
|
17,685.09
|
|
Second Quarter
|
18,096.27
|
17,140.24
|
17,929.99
|
|
Third Quarter
|
18,636.05
|
17,840.62
|
18,308.15
|
|
Fourth Quarter
|
19,974.62
|
17,888.28
|
19,762.60
|
|
2017
|
|
|
|
|
First Quarter
|
21,115.55
|
19,732.40
|
20,663.22
|
|
Second Quarter
|
21,528.99
|
20,404.49
|
21,349.63
|
|
Third Quarter (through July 20, 2017)
|
21,640.75
|
21,320.04
|
21,611.78
|
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Worst Performing of the Dow Jones Industrial Average
TM
, the Russell 2000
®
Index and the S&P 500
®
Index due July 25, 2022
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
Dow Jones Industrial Average
TM
Historical Performance – Daily Closing Levels
January 3, 2012 to July
20, 2017
|
|
|
|
License Agreement.
The Dow Jones Industrial Average
TM
is a registered trademark of Dow Jones Trademark Holdings LLC and has been licensed for use. “Dow Jones
®
,”
“Dow Jones Industrial Average
TM
,” “DJIA
SM
” and “Dow Jones Indexes” are
service marks of Dow Jones & Company, Inc. (“Dow Jones”) and have been licensed for use for certain purposes by
JPMorgan Chase & Co. and certain of its affiliated companies. S&P Dow Jones Indices LLC, Dow Jones, CME Group Inc. and
their respective affiliates have no relationship to JPMorgan Chase & Co., other than the licensing of the Dow Jones Industrial
Average
TM
(DJIA) and their respective service marks for use in connection with the certain financial products, including
the Trigger PLUS. See “Equity Index Descriptions — The Dow Jones Industrial Average
TM
— License Agreement”
in the accompanying underlying supplement.
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Worst Performing of the Dow Jones Industrial Average
TM
, the Russell 2000
®
Index and the S&P 500
®
Index due July 25, 2022
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
Russell 2000
®
Index Overview
The Russell 2000
®
Index consists of the middle
2,000 companies included in the Russell 3000E
TM
Index and, as a result of the index calculation methodology, consists
of the smallest 2,000 companies included in the Russell 3000
®
Index. The Russell 2000
®
Index is designed
to track the performance of the small capitalization segment of the U.S. equity market. For additional information about the Russell
2000
®
Index, see the information set forth under “Equity Index Descriptions — The Russell Indices”
in the accompanying underlying supplement.
Information as of market close on July 20, 2017:
|
Bloomberg Ticker Symbol:
|
RTY
|
|
Current Closing Level:
|
1,442.354
|
|
52 Weeks Ago (on 7/20/2016):
|
1,209.745
|
|
52 Week High (on 7/20/2017):
|
1,442.354
|
|
52 Week Low (on 11/3/2016):
|
1,156.885
|
|
|
|
The following table sets forth the published high and low closing
levels, as well as end-of-quarter closing levels, of the Russell 2000
®
Index for each quarter in the period from
January 1, 2012 through July 20, 2017. The closing level of the Russell 2000
®
Index on July 20, 2017 was 1,442.354.
The associated graph shows the closing levels of the Russell 2000
®
Index for each day in the same period. We obtained
the closing level information above and the information in the table and graph below from the Bloomberg Professional
®
service (“Bloomberg”), without independent verification.
The historical performance of the Russell 2000
®
Index should not be taken as an indication of future performance, and no assurance can be given as to the closing level of the
Russell 2000
®
Index on the valuation date. The payment of dividends on the stocks that constitute the Russell 2000
®
Index are not reflected in its closing level and, therefore, have no effect on the calculation of the payment at maturity.
|
Russell 2000
®
Index
|
High
|
Low
|
Period End
|
|
2012
|
|
|
|
|
First Quarter
|
846.129
|
747.275
|
830.301
|
|
Second Quarter
|
840.626
|
737.241
|
798.487
|
|
Third Quarter
|
864.697
|
767.751
|
837.450
|
|
Fourth Quarter
|
852.494
|
769.483
|
849.349
|
|
2013
|
|
|
|
|
First Quarter
|
953.068
|
872.605
|
951.542
|
|
Second Quarter
|
999.985
|
901.513
|
977.475
|
|
Third Quarter
|
1,078.409
|
989.535
|
1,073.786
|
|
Fourth Quarter
|
1,163.637
|
1,043.459
|
1,163.637
|
|
2014
|
|
|
|
|
First Quarter
|
1,208.651
|
1,093.594
|
1,173.038
|
|
Second Quarter
|
1,192.964
|
1,095.986
|
1,192.964
|
|
Third Quarter
|
1,208.150
|
1,101.676
|
1,101.676
|
|
Fourth Quarter
|
1,219.109
|
1,049.303
|
1,204.696
|
|
2015
|
|
|
|
|
First Quarter
|
1,266.373
|
1,154.709
|
1,252.772
|
|
Second Quarter
|
1,295.799
|
1,215.417
|
1,253.947
|
|
Third Quarter
|
1,273.328
|
1,083.907
|
1,100.688
|
|
Fourth Quarter
|
1,204.159
|
1,097.552
|
1,135.889
|
|
2016
|
|
|
|
|
First Quarter
|
1,114.028
|
953.715
|
1,114.028
|
|
Second Quarter
|
1,188.954
|
1,089.646
|
1,151.923
|
|
Third Quarter
|
1,263.438
|
1,139.453
|
1,251.646
|
|
Fourth Quarter
|
1,388.073
|
1,156.885
|
1,357.130
|
|
2017
|
|
|
|
|
First Quarter
|
1,413.635
|
1,345.598
|
1,385.920
|
|
Second Quarter
|
1,425.985
|
1,345.244
|
1,415.359
|
|
Third Quarter (through July 20, 2017)
|
1,442.354
|
1,400.815
|
1,442.354
|
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Worst Performing of the Dow Jones Industrial Average
TM
, the Russell 2000
®
Index and the S&P 500
®
Index due July 25, 2022
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
Russell 2000
®
Index Historical Performance – Daily Closing Levels
January 3, 2012 to July
20, 2017
|
|
|
|
License Agreement.
The “Russell 2000
®
Index” is a trademark of FTSE Russell and has been licensed for use by JPMorgan Chase Bank, National Association and its
affiliates. For more information, see “Equity Index Descriptions — The Russell Indices — Disclaimers”
in the accompanying underlying supplement.
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Worst Performing of the Dow Jones Industrial Average
TM
, the Russell 2000
®
Index and the S&P 500
®
Index due July 25, 2022
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
S&P 500
®
Index Overview
The S&P 500
®
Index, which is calculated, maintained
and published by S&P Dow Jones Indices LLC, consists of stocks of 500 companies selected to provide a performance benchmark
for the U.S. equity markets. For additional information on the S&P 500
®
Index, see the information set forth
under “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying underlying supplement.
Information as of market close
on July 20, 2017:
|
Bloomberg Ticker Symbol:
|
SPX
|
|
Current Closing Level:
|
2,473.45
|
|
52 Weeks Ago (on 7/20/2016):
|
2,173.02
|
|
52 Week High (on 7/19/2017):
|
2,473.83
|
|
52 Week Low (on 11/4/2016):
|
2,085.18
|
|
|
|
The following table sets forth the published high and low closing
levels, as well as end-of-quarter closing levels, of the S&P 500
®
Index for each quarter in the period from
January 1, 2012 through July 20, 2017. The closing level of the S&P 500
®
Index on July 20, 2017 was 2,473.45.
The associated graph shows the closing levels of the S&P 500
®
Index for each day in the same period. We obtained
the closing level information above and the information in the table and graph below from the Bloomberg, without independent verification.
The historical performance of the S&P 500
®
Index should not be taken as an indication of future performance, and no assurance can be given as to the closing level of the
S&P 500
®
Index on the valuation date. The payment of dividends on the stocks that constitute the S&P 500
®
Index are not reflected in its closing level and, therefore, have no effect on the calculation of the payment at maturity.
|
S&P 500
®
Index
|
High
|
Low
|
Period End
|
|
2012
|
|
|
|
|
First Quarter
|
1,416.51
|
1,277.06
|
1,408.47
|
|
Second Quarter
|
1,419.04
|
1,278.04
|
1,362.16
|
|
Third Quarter
|
1,465.77
|
1,334.76
|
1,440.67
|
|
Fourth Quarter
|
1,461.40
|
1,353.33
|
1,426.19
|
|
2013
|
|
|
|
|
First Quarter
|
1,569.19
|
1,457.15
|
1,569.19
|
|
Second Quarter
|
1,669.16
|
1,541.61
|
1,606.28
|
|
Third Quarter
|
1,725.52
|
1,614.08
|
1,681.55
|
|
Fourth Quarter
|
1,848.36
|
1,655.45
|
1,848.36
|
|
2014
|
|
|
|
|
First Quarter
|
1,878.04
|
1,741.89
|
1,872.34
|
|
Second Quarter
|
1,962.87
|
1,815.69
|
1,960.23
|
|
Third Quarter
|
2,011.36
|
1,909.57
|
1,972.29
|
|
Fourth Quarter
|
2,090.57
|
1,862.49
|
2,058.90
|
|
2015
|
|
|
|
|
First Quarter
|
2,117.39
|
1,992.67
|
2,067.89
|
|
Second Quarter
|
2,130.82
|
2,057.64
|
2,063.11
|
|
Third Quarter
|
2,128.28
|
1,867.61
|
1,920.03
|
|
Fourth Quarter
|
2,109.79
|
1,923.82
|
2,043.94
|
|
2016
|
|
|
|
|
First Quarter
|
2,063.95
|
1,829.08
|
2,059.74
|
|
Second Quarter
|
2,119.12
|
2,000.54
|
2,098.86
|
|
Third Quarter
|
2,190.15
|
2,088.55
|
2,168.27
|
|
Fourth Quarter
|
2,271.72
|
2,085.18
|
2,238.83
|
|
2017
|
|
|
|
|
First Quarter
|
2,395.96
|
2,257.83
|
2,362.72
|
|
Second Quarter
|
2,453.46
|
2,328.95
|
2,423.41
|
|
Third Quarter (through July 20, 2017)
|
2,473.83
|
2,409.75
|
2,473.45
|
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Worst Performing of the Dow Jones Industrial Average
TM
, the Russell 2000
®
Index and the S&P 500
®
Index due July 25, 2022
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
S&P 500
®
Index Historical Performance – Daily Closing Levels
January 3, 2012 to July
20, 2017
|
|
License Agreement.
“Standard & Poor’s
®
,”
“S&P
®
,” “S&P 500
®
” and “Standard & Poor’s 500”
are trademarks of Standard & Poor’s Financial Services LLC and have been licensed for use by JPMorgan Chase & Co.
and its affiliates. See “Equity Index Descriptions — The S&P U.S. Indices — License Agreement” in the
accompanying underlying supplement.
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Worst Performing of the Dow Jones Industrial Average
TM
, the Russell 2000
®
Index and the S&P 500
®
Index due July 25, 2022
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
Additional Information about the Trigger PLUS
Please read this information in conjunction with the summary
terms on the front cover of this document.
|
Additional Provisions:
|
|
Postponement of maturity date:
|
If the scheduled maturity date is not a business day, then the maturity date will be the following business day. If the scheduled valuation date is not a trading day or if a market disruption event occurs on that day so that the valuation date is postponed and falls less than three business days prior to the scheduled maturity date, the maturity date of the Trigger PLUS will be postponed to the third business day following the valuation date as postponed.
|
|
Minimum ticketing size:
|
$1,000 / 100 Trigger PLUS
|
|
Trustee:
|
Deutsche Bank Trust Company Americas (formerly Bankers Trust Company)
|
|
Calculation agent:
|
JPMS
|
|
The estimated value of the Trigger PLUS:
|
The estimated value of the Trigger PLUS set forth on the cover
of this document 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 Trigger PLUS, valued using the internal funding rate described below, and (2) the derivative or derivatives
underlying the economic terms of the Trigger PLUS. The estimated value of the Trigger PLUS does not represent a minimum price at
which JPMS would be willing to buy your Trigger PLUS in any secondary market (if any exists) at any time. The internal funding
rate used in the determination of the estimated value of the Trigger PLUS is based on, among other things, our and our affiliates’
view of the funding value of the Trigger PLUS as well as the higher issuance, operational and ongoing liability management costs
of the Trigger PLUS in comparison to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. For additional
information, see “Risk Factors — The estimated value of the Trigger PLUS is derived by reference to an internal funding
rate” in this document. The value of the derivative or derivatives underlying the economic terms of the Trigger PLUS 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 Trigger PLUS on the pricing date is based on market conditions and other relevant factors and assumptions
existing at that time. See “Risk Factors — The estimated value of the Trigger PLUS does not represent future values
of the Trigger PLUS and may differ from others’ estimates” in this document.
The estimated value of the Trigger PLUS is lower than the original
issue price of the Trigger PLUS because costs associated with selling, structuring and hedging the Trigger PLUS are included in
the original issue price of the Trigger PLUS. These costs include the selling commissions paid to JPMS and other affiliated or
unaffiliated dealers, the structuring fee, the projected profits, if any, that our affiliates expect to realize for assuming risks
inherent in hedging our obligations under the Trigger PLUS and the estimated cost of hedging our obligations under the Trigger
PLUS. Because hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may
result in a profit that is more or less than expected, or it may result in a loss. We or one or more of our affiliates will retain
any profits realized in hedging our obligations under the Trigger PLUS. See “Risk Factors — The estimated value of
the Trigger PLUS is lower than the original issue price (price to public) of the Trigger PLUS” in this document.
|
|
Secondary market prices of the Trigger PLUS:
|
For information about factors that will impact any secondary market prices of the Trigger PLUS, see “Risk Factors — Secondary market prices of the Trigger PLUS will be impacted by many economic and market factors” in this document. In addition, we generally expect that some of the costs included in the original issue price of the Trigger PLUS will be partially paid back to you in connection with any repurchases of your Trigger PLUS by JPMS in an amount that will decline to zero over an initial predetermined period that is intended to be the shorter of six months and one-half of
|
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Worst Performing of the Dow Jones Industrial Average
TM
, the Russell 2000
®
Index and the S&P 500
®
Index due July 25, 2022
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
|
the stated term of the Trigger PLUS. The length of any such initial period reflects the structure of the Trigger PLUS, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the Trigger PLUS and when these costs are incurred, as determined by our affiliates. See “Risk Factors — The value of the Trigger PLUS as published by JPMS (and which may be reflected on customer account statements) may be higher than the then-current estimated value of the Trigger PLUS for a limited time period.”
|
|
Tax considerations:
|
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. MS-1-I. The following discussion, when read
in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding
the material U.S. federal income tax consequences of owning and disposing of the Trigger PLUS.
Based on current market conditions, in the opinion of our special
tax counsel, your Trigger PLUS should be treated as “open transactions” that are not debt instruments for U.S. federal
income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences to
U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement.
Assuming this treatment is respected, the gain or loss on your Trigger PLUS should be treated as long-term capital gain or loss
if you hold your Trigger PLUS for more than a year, whether or not you are an initial purchaser of Trigger PLUS at the issue price.
However, the IRS or a court may not respect this treatment of the Trigger PLUS, in which case the timing and character of any income
or loss on the Trigger PLUS could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice
requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment.
It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments;
the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any,
to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether
these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate
to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. While the notice requests
comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration
of these issues could materially and adversely affect the tax consequences of an investment in the Trigger PLUS, possibly with
retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in
the Trigger PLUS, including possible alternative treatments and the issues presented by this notice.
Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on dividend
equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices
that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked
to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations (such an index, a “Qualified
Index”). Additionally, the applicable regulations exclude from the scope of Section 871(m) instruments issued in 2017 that
do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax
purposes (each an “Underlying Security”). Based on certain determinations made by us, our special tax counsel is of
the opinion that Section 871(m) should not apply to the PLUS 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 Trigger PLUS.
Withholding under legislation commonly referred to as “FATCA”
may (if the Trigger PLUS are recharacterized as debt instruments) apply to amounts treated as interest paid with respect to the
Trigger PLUS, as well as to payments of gross proceeds of a taxable disposition, including redemption at maturity, of a Trigger
PLUS. However, under a recent IRS notice, this regime will not apply to payments of gross proceeds (other than any amount treated
as interest) with respect to dispositions occurring before January 1, 2019. You should consult your tax adviser regarding the potential
application
|
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Worst Performing of the Dow Jones Industrial Average
TM
, the Russell 2000
®
Index and the S&P 500
®
Index due July 25, 2022
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
|
of FATCA to the Trigger PLUS.
|
|
Supplemental use of proceeds and hedging:
|
The Trigger PLUS are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the Trigger PLUS. See “Hypothetical Examples”
in this document for an illustration of the risk-return profile of the Trigger PLUS and “Dow Jones Industrial Average
TM
”,
“Russell 2000
®
Index Overview” and “S&P 500
®
Index Overview” in this
document for a description of the market exposure provided by the Trigger PLUS.
The original issue price of the Trigger PLUS is equal to the
estimated value of the Trigger PLUS plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers and
the structuring fee, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent
in hedging our obligations under the Trigger PLUS, plus the estimated cost of hedging our obligations under the Trigger PLUS.
|
|
Benefit plan investor considerations:
|
See “Benefit Plan Investor Considerations” in the accompanying product supplement.
|
|
Supplemental plan of distribution:
|
Subject to regulatory constraints, JPMS intends to use its reasonable
efforts to offer to purchase the Trigger PLUS in the secondary market, but is not required to do so. JPMS, acting as agent for
JPMorgan Financial, will pay all of the selling commissions it receives from us to Morgan Stanley Wealth Management. In addition,
Morgan Stanley Wealth Management will receive a structuring fee as set forth on the cover of this document for each Trigger PLUS.
We or our affiliate may enter into swap agreements or related
hedge transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the Trigger PLUS
and JPMS and/or an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions.
See “— Supplemental use of proceeds and hedging” above and “Use of Proceeds and Hedging” in the accompanying
product supplement.
|
|
Validity of the Trigger PLUS and the guarantee:
|
In the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the Trigger PLUS 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 Trigger PLUS 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 Trigger PLUS 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.
|
|
Contact:
|
Morgan Stanley Wealth Management clients may contact their local Morgan Stanley branch office or Morgan Stanley’s principal executive offices at 1585 Broadway, New York, New York 10036 (telephone number (800) 869-3326).
|
|
Where you can find more information:
|
You should read this document together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which these
Trigger PLUS are a part, and the more detailed information contained in the accompanying product supplement and the accompanying
underlying supplement.
This document, together with the documents listed below, contains
the terms of the Trigger PLUS and supersedes all other prior or contemporaneous oral statements as well as any other written materials
including preliminary or indicative pricing terms,
|
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Worst Performing of the Dow Jones Industrial Average
TM
, the Russell 2000
®
Index and the S&P 500
®
Index due July 25, 2022
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
|
correspondence, trade ideas, structures for implementation, sample
structures, stand-alone fact sheets, brochures or other educational materials of ours. You should carefully consider, among other
things, the matters set forth in the “Risk Factors” sections of the accompanying product supplement and the accompanying
underlying supplement, as the Trigger PLUS 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 Trigger PLUS.
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):
• Product supplement no. MS-1-I dated June 3, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316013935/crt_dp64833-424b2.pdf
• Underlying supplement no. 1-I dated April 15, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012649/crt-dp64909_424b2.pdf
• Prospectus supplement and prospectus, each dated April
15, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012636/crt_dp64952-424b2.pdf
Our Central Index Key, or CIK, on the SEC website is 1665650,
and JPMorgan Chase & Co.’s CIK is 19617.
As used in this document, “we,” “us,”
and “our” refer to JPMorgan Financial.
“Performance Leveraged Upside Securities
SM
”
and “Trigger PLUS
SM
” are service marks of Morgan Stanley.
|
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