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JPMorgan Chase Financial Company LLC
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September 2017
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Pricing
Supplement
Registration Statement Nos.
333-209682 and 333-209682-01
Dated September 15, 2017
Filed pursuant to Rule 424(b)(2)
Structured
Investments
Opportunities in International Equities
Trigger Jump Securities Based on the Value of
the EURO STOXX 50
®
Index due October 3, 2019
Principal at Risk Securities
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
The Trigger Jump Securities do not pay interest and do not guarantee
the return of any of the principal at maturity. At maturity, you will receive for each security that you hold an amount
in cash that will vary depending on the performance of the underlying index, as determined on the valuation date. If
the final index value is greater than or equal to the initial index value, you will receive for each security that you hold at
maturity the greater of a cash payment that reflects the index percent change and an upside payment in addition to the stated principal
amount. If the final index value is less than the initial index value by no more than 10%, you will receive the principal
amount of your securities at maturity. However, if the final index value is less
than the initial index
value by more than 10%, the payment due at maturity will be less than the stated principal amount of the securities by an amount
that is proportionate to the percentage decrease in the final index value from the initial index value. This amount
will be less than $9.00 and could be zero.
Accordingly, investors may lose their entire initial investment in the
securities.
The Trigger Jump Securities are for investors who are willing to risk their principal and forgo current
income in exchange for the upside payment feature that applies to a limited range of the performance of the underlying index. The
securities 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 securities is subject to the credit risk
of JPMorgan Financial, as issuer of the securities, and the credit risk of JPMorgan Chase & Co., as guarantor of the securities.
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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 index:
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EURO STOXX 50
®
Index
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Aggregate principal amount:
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$2,972,100
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Payment at maturity:
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§
If the final index value is
greater than or equal to
the initial index value, you will receive at maturity a cash payment per $10 stated principal amount security equal to:
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$10 + the greater of (a) $10 × index percent change and (b) the upside payment
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§
If
the final index value is
less than
the initial index value but
greater than or equal to
the downside threshold, you
will receive at maturity a cash payment per $10 stated principal amount security equal to:
$10
§
If
the final index value is less than the downside threshold, you will receive at maturity a cash payment per $10 stated principal
amount security equal to:
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$10 × index performance factor
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This amount will be less than the stated principal amount of $10, and will represent a loss of more than 10%, and possibly all, of your principal amount.
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Upside payment:
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$2.54 per $10 stated principal amount security (25.40% of the stated principal amount)
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Downside threshold:
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3,163.995, which is 90% of the initial index value
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Index percent change:
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(final index value – initial index value) / initial index value
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Index performance factor:
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final index value / initial index value
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Initial index value:
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The closing level of the underlying index on the pricing date, which was 3,515.55
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Final index value:
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The closing level of the underlying index on the valuation date
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Stated principal amount:
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$10 per security
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Issue price:
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$10 per security (see “Commissions and issue price” below)
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Pricing date:
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September 15, 2017
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Original issue date (settlement date):
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September 20, 2017
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Valuation date:
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September 30, 2019, 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 a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” in the accompanying product supplement
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Maturity date:
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October 3, 2019, 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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48129J673 / US48129J6736
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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 security
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$10.00
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$0.20
(2)
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$9.75
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$0.05
(3)
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Total
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$2,972,100.00
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$74,302.50
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$2,897,797.50
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(1)
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See “Additional Information about the Securities — Supplemental use of proceeds and hedging” in this document
for information about the components of the price to public of the securities.
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(2)
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JPMS, acting as agent for JPMorgan Financial., will pay all of the selling commissions of $0.20 per $10 stated principal
amount security 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 security
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The estimated value of the securities on the pricing date
was $9.703 per $10 stated principal amount security. See “Additional Information about the Securities —
The estimated value of the securities” in this document for additional information.
Investing in the securities 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 6 of this document.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the securities 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 securities 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 Securities” 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 Jump Securities Based on the Value of the EURO STOXX 50
®
Index due October 3, 2019
Principal at Risk Securities
Investment Summary
The Trigger Jump Securities
The Trigger Jump Securities Based on the Value of the EURO STOXX
50
®
Index due October 3, 2019 (the “securities”) can be used:
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§
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As an alternative to direct exposure to the underlying
index that provides a potential return equal to the greater of the index percent change and 25.40% (as reflected in the upside
payment of $2.54 per $10 stated principal amount security) if the final index value is greater than or equal to the initial index
value.
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§
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To enhance returns and potentially outperform the
underlying index in a moderately bullish scenario.
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§
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To obtain limited market downside protection against
the loss of principal in the event of a decline of the underlying index as of the valuation date, subject to the credit risks of
JPMorgan Financial and JPMorgan Chase & Co., but only if the final index value is greater than or equal to the downside threshold.
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If the final index value is less than the downside threshold,
the securities are exposed on a 1-to-1 basis to any percentage decline of the final index value from the initial index value. Accordingly,
investors may lose their entire initial investment in the securities.
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Maturity:
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2 years
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Upside payment:
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$2.54 per $10 stated principal amount security (25.40% of the stated principal amount)
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Downside threshold:
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90% of the 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 securities
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Interest:
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None
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Supplemental Terms of the Securities
For purposes of the accompanying
product supplement, the underlying index is an “Index.”
JPMorgan Chase Financial Company LLC
Trigger Jump Securities Based on the Value of the EURO STOXX 50
®
Index due October 3, 2019
Principal at Risk Securities
Key Investment Rationale
This investment offers a potential return at maturity based on
full participation in the positive performance of the underlying index, subject to a contingent minimum return, if the final index
value is greater than or equal to the initial index value, and provides limited market downside protection against a decline in
the underlying index of up to 10%, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co. However,
if the final index value is less than 90% of the initial index value, which we refer to as the downside threshold, the payment
at maturity will be less than $9 and could be zero.
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Upside Scenario
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If the final index value is greater than or equal to the initial index value,
the payment at maturity for each security will be equal to $10.00
plus
the greater of (a) $10 × the index percent change and (b) the upside payment of $2.54 per $10 stated principal amount security.
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Par Scenario
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If the final index value is less than the initial index value but is greater than or equal to the downside threshold
, which means that the underlying index has depreciated by no more than 10% from the initial index value, the payment at maturity will be $10 per $10 stated principal amount security.
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Downside Scenario
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If the final index value is less than the downside threshold
, which means that the underlying index has
depreciated by more than 10% from the initial index value
, you will lose 1% for every 1% decline of the level of the underlying index from the initial index value to the final index value (
e.g.
, a 50% depreciation of the underlying index will result in the payment at maturity that is less than the stated principal amount by 50%, or $5 per $10 stated principal amount security).
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JPMorgan Chase Financial Company LLC
Trigger Jump Securities Based on the Value of the EURO STOXX 50
®
Index due October 3, 2019
Principal at Risk Securities
How the Trigger Jump Securities Work
Payoff Diagram
The payoff diagram below illustrates the payment at maturity
on the securities based on the following terms:
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Stated principal amount:
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$10 per stated principal amount security
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Upside payment:
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$2.54 (25.40% of the stated principal amount) per $10 stated principal amount security
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Downside threshold:
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90% of the initial index value (-10% percent change in the final index value compared with the initial index value)
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Trigger Jump Securities Payoff Diagram
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How it works
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§
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Upside Scenario:
If
the final index value is
greater than or equal to
the initial index value, the payment at maturity is equal to the $10 stated
principal amount
plus
the greater of (a) $10 × the index percent change and (b) the upside payment. Under
the terms of the securities, in the payoff diagram, an investor would receive the payment at maturity of $12.54 per security if
the index percent change is no more than 25.40% and would receive $10
plus
an amount that represents a 1-to-1 participation
in the appreciation of the underlying index if the index percent change is greater than 25.40%.
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o
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For example, if the underlying index appreciates 5%, investors will receive an 25.40% return, or $12.54 per $10 stated principal
amount security.
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o
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For example, if the underlying index appreciates 30%, investors will receive an 30% return, or $13.00 per $10 stated principal
amount security.
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JPMorgan Chase Financial Company LLC
Trigger Jump Securities Based on the Value of the EURO STOXX 50
®
Index due October 3, 2019
Principal at Risk Securities
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§
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Par Scenario:
If
the final stock price is
less than
the initial stock price, but is
greater than or equal to
the downside threshold,
the investor would receive the $10 stated principal amount per security.
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o
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For example, if the underlying stock depreciates 5%,
investors will receive the $10 stated principal amount.
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§
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Downside Scenario:
If
the final index value is
less than
the downside threshold, investors will receive an amount that is less than the stated
principal amount by an amount proportionate to the percentage decrease of the final index value from the initial index value.
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o
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For example, if the final index value declines by 50% from the initial index value, investors will lose 50% of their principal
and the payment at maturity will be $5 per $10 stated principal amount security (50% of the stated principal amount).
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The hypothetical returns and hypothetical payments on the securities
shown above apply
only if you hold the securities 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 Jump Securities Based on the Value of the EURO STOXX 50
®
Index due October 3, 2019
Principal at Risk Securities
Risk Factors
The following is a non-exhaustive list of certain key risk
factors for investors in the securities. 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 securities
.
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§
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The securities do not pay interest or guarantee
the return of any principal and your investment in the securities may result in a loss.
The terms of the securities
differ from those of ordinary debt securities in that the securities do not pay interest or guarantee the payment of any stated
principal amount at maturity. If the final index value is less than the downside threshold, you will receive for each security
that you hold a payment at maturity that is less than the $10 stated principal amount of each security by an amount proportionate
to the decline in the closing level of the underlying index on the valuation date from the initial index value. There
is no minimum payment at maturity on the securities and, accordingly, you could lose your entire principal amount.
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§
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Your ability to receive the upside payment may
terminate on the valuation date.
If the final index value is less than the initial index value, you will not be
entitled to receive the upside payment at maturity. Under these circumstances, you may lose some or all of your principal
amount at maturity.
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§
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The securities 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 securities.
Investors are dependent on our and
JPMorgan Chase & Co.’s ability to pay all amounts due on the securities. 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 securities. If
we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed to you under the
securities and you could lose your entire investment.
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§
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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 securities. If these affiliates do not make payments to us and we fail to make payments on
the securities, 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.
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§
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Economic interests of the issuer, the guarantor,
the calculation agent, the agent of the offering of the securities 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 securities, including
acting as calculation agent and as an agent of the offering of the securities, hedging our obligations under the securities and
making the assumptions used to determine the pricing of the securities and the estimated value of the securities, which we refer
to as the estimated value of the securities. 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 securities. The calculation agent has determined the initial index value and the downside threshold,
will determine the final index value 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 the underlying index or calculation of the final index value in the event of a discontinuation or material change
in method of calculation of the underlying index, may affect the payment to you at maturity.
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In addition, our and JPMorgan Chase & Co.’s
business activities, including hedging and trading activities, could cause our and JPMorgan Chase & Co.’s economic interests
to be adverse to yours and could adversely affect any payment on the securities and the value of the securities. It
is possible that hedging or trading activities of ours or our affiliates in connection with the securities could result in substantial
returns for us or our affiliates while the value of the securities declines. Please refer to “Risk Factors —
Risks Relating to Conflicts of Interest” in the accompanying product supplement for additional information about these risks.
JPMorgan Chase Financial Company LLC
Trigger Jump Securities Based on the Value of the EURO STOXX 50
®
Index due October 3, 2019
Principal at Risk Securities
|
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§
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The benefit provided by the downside threshold
may terminate on the valuation date.
If the final index value is less than the downside threshold, the benefit provided
by the downside threshold will terminate and you will be fully exposed to any depreciation of the underlying index.
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§
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The estimated value of the securities is lower
than the original issue price (price to public) of the securities.
The estimated value of the securities is only
an estimate determined by reference to several factors. The original issue price of the securities exceeds the estimated
value of the securities because costs associated with selling, structuring and hedging the securities are included in the original
issue price of the securities. 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 securities and the
estimated cost of hedging our obligations under the securities. See “Additional Information about the Securities
— The estimated value of the securities” in this document.
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§
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The estimated value of the securities does not
represent future values of the securities and may differ from others’ estimates.
The estimated value of the
securities is determined by reference to internal pricing models of our affiliates. This estimated value of the securities
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 securities that are greater than or less than the estimated value of the securities. 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 securities 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 securities from you in secondary market transactions. See “Additional
Information about the Securities — The estimated value of the securities” in this document.
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§
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The estimated value of the securities is derived
by reference to an internal funding rate.
The internal funding rate used in the determination of the estimated value
of the securities is based on, among other things, our and our affiliates’ view of the funding value of the securities as
well as the higher issuance, operational and ongoing liability management costs of the securities 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 securities and any secondary market prices of the securities. See
“Additional Information about the Securities — The estimated value of the securities” in this document.
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§
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The value of the securities as published by JPMS
(and which may be reflected on customer account statements) may be higher than the then-current estimated value of the securities
for a limited time period.
We generally expect that some of the costs included in the original issue price of the
securities will be partially paid back to you in connection with any repurchases of your securities 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 Securities — Secondary market
prices of the securities” in this document for additional information relating to this initial period. Accordingly,
the estimated value of your securities during this initial period may be lower than the value of the securities as published by
JPMS (and which may be shown on your customer account statements).
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§
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Secondary market prices of the securities will
likely be lower than the original issue price of the securities.
Any secondary market prices of the securities will
likely be lower than the original issue price of the securities 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 securities. As a result, the price, if any, at which JPMS
will be willing to buy securities 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
securities.
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The securities are not designed to be short-term trading
instruments. Accordingly, you should be able and willing to hold your securities to maturity. See “—
Secondary trading may be limited” below.
JPMorgan Chase Financial Company LLC
Trigger Jump Securities Based on the Value of the EURO STOXX 50
®
Index due October 3, 2019
Principal at Risk Securities
|
|
§
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Secondary market prices of the securities will
be impacted by many economic and market factors.
The secondary market price of the securities 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 the underlying
index, including:
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|
o
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any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
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|
o
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customary bid-ask spreads for similarly sized trades;
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o
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our internal secondary market funding rates for structured debt issuances;
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o
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the actual and expected volatility of the underlying index;
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|
o
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the time to maturity of the securities;
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|
o
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dividend rates on the equity securities included in the underlying index;
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|
o
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interest and yield rates in the market generally;
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|
o
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the exchange rates and the volatility of the exchange rates between the U.S. dollar and each of the currencies in which the
equity securities included in the underlying index trade and the correlation among those rates and the levels of the underlying
index; and
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|
o
|
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 securities, which may also be reflected on customer account statements. This
price may be different (higher or lower) than the price of the securities, if any, at which JPMS may be willing to purchase your
securities in the secondary market.
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§
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Investing in the securities is not equivalent to
investing in the underlying index.
Investing in the securities is not equivalent to investing in the underlying
index or its component stocks. Investors in the securities will not have voting rights or rights to receive dividends
or other distributions or any other rights with respect to the stocks that constitute the underlying index.
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§
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Adjustments to the underlying index could adversely
affect the value of the securities.
The underlying index publisher may discontinue or suspend calculation or publication
of the 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.
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§
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The securities are subject to risks associated
with securities issued by non-U.S. companies.
The equity securities included in the underlying index have been issued
by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity securities involve risks
associated with the securities markets in the home countries of the issuers of those non-U.S. equity securities, including risks
of volatility in those markets, governmental intervention in those markets and cross shareholdings in companies in certain countries. 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, and generally non-U.S. companies are subject to accounting,
auditing and financial reporting standards and requirements and securities trading rules different from those applicable to U.S.
reporting companies.
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§
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The securities are not directly exposed to fluctuations
in foreign exchange rates.
The value of your securities will not be adjusted for exchange rate fluctuations between the U.S.
dollar and the currencies upon which the equity securities included in the underlying index are based, although any currency fluctuations
could affect the performance of the underlying index. Therefore, if the applicable currencies appreciate or depreciate
relative to the U.S. dollar over the term of the securities, you will not receive any additional payment or incur any reduction
in any payment on the securities.
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§
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Hedging and trading activities by the issuer and
its affiliates could potentially affect the value of the securities.
The hedging or trading activities of the issuer’s
affiliates and of any other hedging counterparty with respect to the securities on or prior to the pricing date and prior to maturity
could have adversely affected, and may continue to adversely affect, the value of the underlying index and, as a result, could
decrease the amount an investor may receive on the securities at maturity, if any. Any of these hedging or
|
JPMorgan Chase Financial Company LLC
Trigger Jump Securities Based on the Value of the EURO STOXX 50
®
Index due October 3, 2019
Principal at Risk Securities
trading activities on or prior to the pricing date
could have affected the initial index value and the downside threshold and, therefore, could potentially increase the level that
the final index value must reach before you receive a payment at maturity that exceeds the issue price of the securities or so
that you do not suffer a loss on your initial investment in the securities. Additionally, these hedging or trading activities
during the term of the securities, including on the valuation date, could adversely affect the final index value and, accordingly,
the payment to you 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 securities declines.
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|
§
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Secondary trading may be limited.
The
securities will not be listed on a securities exchange. There may be little or no secondary market for the securities. Even
if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities easily. JPMS
may act as a market maker for the securities, 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 securities, the price at which you may be able to trade your
securities is likely to depend on the price, if any, at which JPMS is willing to buy the securities. 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 securities.
|
|
|
§
|
The tax consequences of an investment in the securities
are uncertain.
There is no direct legal authority as to the proper U.S. federal income tax characterization of the
securities, 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 securities described in “Additional Information about the Securities ― 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 securities, the timing
and character of any income or loss on the securities 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 securities, 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 securities,
including possible alternative treatments and the issues presented by this notice.
|
JPMorgan Chase Financial Company LLC
Trigger Jump Securities Based on the Value of the EURO STOXX 50
®
Index due October 3, 2019
Principal at Risk Securities
EURO STOXX 50
®
Index Overview
The EURO STOXX 50
®
Index consists of 50 component
stocks of market sector leaders from within the Eurozone. For additional information about the EURO STOXX 50
®
Index, see the information set forth under “Equity Index Descriptions ― The EURO STOXX 50
®
Index”
in the accompanying underlying supplement.
Information as of market close on September 15, 2017:
|
Bloomberg Ticker Symbol:
|
SX5E
|
|
Current Closing Level:
|
3,515.55
|
|
52 Weeks Ago (on 9/15/2016):
|
2,973.77
|
|
52 Week High (on 5/5/2017):
|
3,658.79
|
|
52 Week Low (on 9/16/2016):
|
2,935.25
|
The following table sets forth the published high and low closing
levels, as well as end-of-quarter closing levels, of the underlying index for each quarter in the period from January 1, 2012 through
September 15, 2017. The graph following the table sets forth the daily closing levels of the underlying index during
the same period. The closing level of the underlying index on September 15, 2017 was 3,515.55. We obtained
the closing level information above and in the table and graph below from the Bloomberg Professional
®
service (“Bloomberg”),
without independent verification. The historical levels of the underlying index should not be taken as an indication
of future performance, and no assurance can be given as to the closing level of the underlying index on the valuation date. The
payment of dividends on the stocks that constitute the underlying index are not reflected in its closing level and, therefore,
have no effect on the calculation of the payment at maturity.
|
EURO STOXX 50
®
Index
|
High
|
Low
|
Period End
|
|
2012
|
|
|
|
|
First Quarter
|
2,608.42
|
2,286.45
|
2,477.28
|
|
Second Quarter
|
2,501.18
|
2,068.66
|
2,264.72
|
|
Third Quarter
|
2,594.56
|
2,151.54
|
2,454.26
|
|
Fourth Quarter
|
2,659.95
|
2,427.32
|
2,635.93
|
|
2013
|
|
|
|
|
First Quarter
|
2,749.27
|
2,570.52
|
2,624.02
|
|
Second Quarter
|
2,835.87
|
2,511.83
|
2,602.59
|
|
Third Quarter
|
2,936.20
|
2,570.76
|
2,893.15
|
|
Fourth Quarter
|
3,111.37
|
2,902.12
|
3,109.00
|
|
2014
|
|
|
|
|
First Quarter
|
3,172.43
|
2,962.49
|
3,161.60
|
|
Second Quarter
|
3,314.80
|
3,091.52
|
3,228.24
|
|
Third Quarter
|
3,289.75
|
3,006.83
|
3,225.93
|
|
Fourth Quarter
|
3,277.38
|
2,874.65
|
3,146.43
|
|
2015
|
|
|
|
|
First Quarter
|
3,731.35
|
3,007.91
|
3,697.38
|
|
Second Quarter
|
3,828.78
|
3,424.30
|
3,424.30
|
|
Third Quarter
|
3,686.58
|
3,019.34
|
3,100.67
|
|
Fourth Quarter
|
3,506.45
|
3,069.05
|
3,267.52
|
|
2016
|
|
|
|
|
First Quarter
|
3,178.01
|
2,680.35
|
3,004.93
|
|
Second Quarter
|
3,151.69
|
2,697.44
|
2,864.74
|
|
Third Quarter
|
3,091.66
|
2,761.37
|
3,002.24
|
|
Fourth Quarter
|
3,290.52
|
2,954.53
|
3,290.52
|
|
2017
|
|
|
|
|
First Quarter
|
3,500.93
|
3,230.68
|
3,500.93
|
|
Second Quarter
|
3,658.79
|
3,409.78
|
3,441.88
|
|
Third Quarter (through September 15, 2017)
|
3,527.83
|
3,388.22
|
3,515.55
|
JPMorgan Chase Financial Company LLC
Trigger Jump Securities Based on the Value of the EURO STOXX 50
®
Index due October 3, 2019
Principal at Risk Securities
|
EURO STOXX 50
®
Index Historical Performance – Daily Closing Levels
January 2, 2012
to September 15, 2017
|
|
License Agreement.
The EURO STOXX 50
®
Index
and STOXX
®
are the intellectual property (including registered trademarks) of STOXX Limited, Zurich, Switzerland
and/or its licensors (the “Licensors”), which are used under license. The securities based on the EURO STOXX
50
®
Index are in no way sponsored, endorsed, sold or promoted by STOXX Limited and its Licensors and neither Stoxx
Limited nor any of its Licensors shall have any liability with respect thereto. See “Equity Index Descriptions
— The EURO STOXX 50
®
Index — License Agreement” in the accompanying underlying supplement.
Additional Information about the Securities
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 securities will be postponed to the third business day following the valuation date as postponed.
|
|
Minimum
ticketing size:
|
$1,000 / 100 securities
|
|
Trustee:
|
Deutsche Bank Trust Company Americas (formerly Bankers Trust Company)
|
|
Calculation
agent:
|
JPMS
|
|
The
estimated value of the securities:
|
The estimated value of the securities 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 securities, valued using the internal funding rate described below, and (2) the derivative or derivatives
underlying the economic terms of the securities. The estimated value of the securities does not represent a minimum
price at which JPMS would be willing to buy your securities in any secondary market (if any exists) at any time. The
internal funding rate used in the determination of the estimated value of the securities is based on, among other things, our and
our affiliates’ view of the funding value of the securities as well as the higher issuance, operational and ongoing liability
management costs of the securities 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 securities 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
securities 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 securities on the pricing date is based on market conditions
and other relevant factors and assumptions existing at that
|
JPMorgan Chase Financial Company LLC
Trigger Jump Securities Based on the Value of the EURO STOXX 50
®
Index due October 3, 2019
Principal at Risk Securities
|
|
time. See “Risk Factors — The estimated
value of the securities does not represent future values of the securities and may differ from others’ estimates” in
this document.
The estimated value of the securities is lower than the original
issue price of the securities because costs associated with selling, structuring and hedging the securities are included in the
original issue price of the securities. 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 securities and the estimated cost of hedging our obligations under the securities. 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 securities. See “Risk Factors — The estimated value
of the securities is lower than the original issue price (price to public) of the securities” in this document.
|
|
Secondary
market prices of the securities:
|
For information about factors that will impact any secondary market prices of the securities, see “Risk Factors — Secondary market prices of the securities 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 securities will be partially paid back to you in connection with any repurchases of your securities 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 the stated term of the securities. The length of any such initial period reflects the structure of the securities, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the securities and when these costs are incurred, as determined by our affiliates. See “Risk Factors — The value of the securities as published by JPMS (and which may be reflected on customer account statements) may be higher than the then-current estimated value of the securities 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 securities.
Based on current market conditions, in the opinion of our special
tax counsel, your securities 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 securities should be treated as long-term capital gain or loss if you hold
your securities for more than a year, whether or not you are an initial purchaser of securities at the issue price. However,
the IRS or a court may not respect this treatment of the securities, in which case the timing and character of any income or loss
on the securities 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 securities,
possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences
of an investment in the securities, including possible alternative treatments and the issues presented by this notice.
Withholding under legislation commonly referred to as “FATCA”
may (if the securities are recharacterized as debt instruments) apply to amounts treated as interest paid with respect to the securities,
as well as to payments of gross proceeds of a taxable disposition, including redemption at maturity, of the securities. However,
under a recent IRS notice, this regime will not apply to payments of gross proceeds (other than any amount treated as interest)
with respect to dispositions occurring before January 1, 2019. You should consult your tax adviser regarding the potential application
of FATCA to the securities.
|
|
Supplemental
use of proceeds and hedging:
|
The securities are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the securities. See “How the Trigger Jump
|
JPMorgan Chase Financial Company LLC
Trigger Jump Securities Based on the Value of the EURO STOXX 50
®
Index due October 3, 2019
Principal at Risk Securities
|
|
Securities Work” in this document for an illustration of
the risk-return profile of the securities and “EURO STOXX 50
®
Index Overview” in this document for a
description of the market exposure provided by the securities.
The original issue price of the securities is equal to the estimated
value of the securities 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 securities, plus the estimated cost of hedging our obligations under the securities.
|
|
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 securities 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 security.
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 securities
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.
We expect that delivery of the securities will be made against
payment for the securities on or about the original issue date set forth on the front cover of this document, which will be the
third business day following the pricing date of the securities (this settlement cycle being referred to as “T+3”). Under
Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle
in two business days, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to
trade securities on any date prior to two business days before delivery will be required to specify an alternate settlement cycle
at the time of any such trade to prevent a failed settlement and should consult their own advisors.
|
|
Validity
of the securities and the guarantee:
|
In the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the securities 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 securities 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 securities 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
securities 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 securities 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,
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 securities 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 securities.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such
|
JPMorgan Chase Financial Company LLC
Trigger Jump Securities Based on the Value of the EURO STOXX 50
®
Index due October 3, 2019
Principal at Risk Securities
|
|
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.
|
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