JPMorgan Chase Financial Company LLC Trigger Autocallable Contingent
Yield Notes
Linked to the common stock of Alaska Air Group, Inc. due on or
about October 1, 2020
Additional Information about JPMorgan Financial, JPMorgan Chase & Co. and the Notes
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You may revoke your offer to purchase the Notes at any time prior
to the time at which we accept such offer by notifying the agent. We reserve the right to change the terms of, or reject any offer
to purchase, the Notes prior to their issuance. In the event of any changes to the terms of the Notes, we will notify you and you
will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes in which case
we may reject your offer to purchase.
This pricing supplement relates to two (2) separate Note offerings.
Each issue of the offered Notes is linked to one, and only one, Underlying. The purchaser of a Note will acquire a Note linked
to a single Underlying (not to a basket or index that includes the other Underlyings). You may participate in any of the two (2)
Note offerings or, at your election, in both of the offerings. We reserve the right to withdraw, cancel or modify any of the offerings
and to reject orders in whole or in part. While each Note offering relates only to a single Underlying identified on the cover
page, you should not construe that fact as a recommendation of the merits of acquiring an investment linked to that Underlying
(or any other Underlying) or as to the suitability of an investment in the Notes.
You
should read this pricing supplement together with the accompanying prospectus, as supplemented by the accompanying prospectus
supplement relating to our Series A medium-term notes of which these Notes are a part, and the more detailed information contained
in the accompanying product supplement.
This pricing supplement, together with the documents listed below, contains the terms
of the Notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including
preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets,
brochures or other educational materials of ours.
You should carefully consider, among other things, the matters set forth
in the “Risk Factors” section of the accompanying product supplement, as the Notes involve risks not associated with
conventional debt securities.
You
may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings
for the relevant date on the SEC website):
Our
Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing
supplement, the “Issuer,” “JPMorgan Financial,” “we,” “us” and “our”
refer to JPMorgan Chase Financial Company LLC.
Supplemental Terms of the Notes
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For
purposes of the accompanying product supplement, each of the common stock of Alaska Air Group, Inc. and the common stock of Lowe’s
Companies, Inc. is an “Underlying Stock.”
The Notes may be suitable for you if, among other considerations:
t
You
fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
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You
can tolerate a loss of all or a substantial portion of your investment and are willing to make an investment that may have the
same downside market risk as an investment in the applicable Underlying.
t
You
accept that you may not receive a Contingent Coupon on some or all of the Coupon Payment Dates.
t
You
believe the applicable Underlying will close at or above the applicable Coupon Barrier on the Observation Dates and the applicable
Downside Threshold on the Final Valuation Date.
t
You
believe the applicable Underlying will close at or above the applicable Initial Value on one of the specified Observation Dates
(after an initial six-month non-call period).
t
You
understand and accept that you will not participate in any appreciation in the price of the applicable Underlying and that your
potential return is limited to the applicable Contingent Coupons.
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You
can tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside price fluctuations
of the applicable Underlying.
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You
would be willing to invest in the Notes if the applicable Downside Threshold and Coupon Barrier were set equal to the top of the
applicable range indicated on the cover hereof (the actual Downside Threshold and Coupon Barrier for each Note will be finalized
on the Trade Date and provided in the pricing supplement and will not be greater than the top of the applicable range listed on
the cover).
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You
do not seek guaranteed current income from this investment and are willing to forgo dividends paid on the applicable Underlying.
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You
are able and willing to invest in Notes that may be called early (after an initial six-month non-call period) or you are otherwise
able and willing to hold the Notes to maturity.
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You
accept that there may be little or no secondary market for the Notes and that any secondary market will depend in large part on
the price, if any, at which J.P. Morgan Securities LLC, which we refer to as JPMS, is willing to trade the Notes.
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You
understand and accept the single stock risk associated with the Notes and you understand and are willing to accept the risks associated
with the applicable Underlying.
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You
are willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Notes, and
understand that if JPMorgan Financial and JPMorgan Chase & Co. default on their obligations, you may not receive any amounts
due to you including any repayment of principal.
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The Notes may not be suitable for you if, among other considerations:
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You
do not fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
t
You
cannot tolerate a loss of all or a substantial portion of your investment and are unwilling to make an investment that may have
the same downside market risk as an investment in the applicable Underlying.
t
You
require an investment designed to provide a full return of principal at maturity.
t
You
do not accept that you may not receive a Contingent Coupon on some or all of the Coupon Payment Dates.
t
You
believe that the price of the applicable Underlying will decline during the term of the Notes and is likely to close below the
applicable Coupon Barrier on the Observation Dates and the applicable Downside Threshold on the Final Valuation Date.
t
You
seek an investment that participates in the full appreciation in the price of the applicable Underlying or that has unlimited return
potential.
t
You
cannot tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside price fluctuations
of the applicable Underlying.
t
You
would not be willing to invest in the Notes if the applicable Downside Threshold and Coupon Barrier were set equal to the top of
the applicable range indicated on the cover hereof (the actual Downside Threshold and Coupon Barrier for each Note will be finalized
on the Trade Date and provided in the pricing supplement and will not be greater than the top of the applicable range listed on
the cover).
t
You
prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable maturities
and credit ratings.
t
You
seek guaranteed current income from this investment or prefer to receive the dividends paid on the applicable Underlying.
t
You
are unable or unwilling to invest in Notes that may be called early (after an initial six-month non-call period), or you are otherwise
unable or unwilling to hold the Notes to maturity, or you seek an investment for which there will be an active secondary market.
t
You
do not understand or accept the single stock risk associated with the Notes or you do not understand or are not willing to accept
the risks associated with the applicable Underlying.
t
You
are not willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Notes,
including any repayment of principal.
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The suitability considerations identified above are not exhaustive.
Whether or not the Notes are a suitable investment for you will depend on your individual circumstances, and you should reach an
investment decision only after you and your investment, legal, tax, accounting and other advisers have carefully considered the
suitability of an investment in the Notes in light of your particular circumstances. You should also review carefully the “Key
Risks” section of this pricing supplement and the “Risk Factors” section of the accompanying product supplement
for risks related to an investment in the Notes. For more information on the Underlyings, please see the section titled “The
Underlyings” below.
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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Issue
Price
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$10
per Note
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Underlying
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Common stock of Alaska
Air Group, Inc.
Common stock of Lowe’s
Companies, Inc.
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Principal
Amount
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$10
per Note (subject to a minimum purchase of 100 Notes or $1,000)
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Term
1
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Approximately
3 years, unless called earlier
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Automatic
Call Feature
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The
Notes will be called automatically if the closing price
2
of one share of the applicable Underlying on any
Observation Date (beginning March 27, 2018) is equal to or greater than the applicable Initial Value. If the
Notes are called, JPMorgan Financial will pay you on the applicable Call Settlement Date a cash payment per Note equal to
the principal amount plus the applicable Contingent Coupon otherwise due for the applicable Observation Date, and no
further payments will be made on the Notes.
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Contingent
Coupon
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If the closing price
2
of one share of the applicable Underlying is equal to or greater than the applicable Coupon Barrier on any Observation
Date, we will pay you the applicable Contingent Coupon for that Observation Date on the relevant Coupon Payment Date.
If the closing price
2
of one share of the applicable Underlying is less than the applicable Coupon Barrier on any Observation Date, the
applicable Contingent Coupon for that Observation Date will not accrue or be payable, and we will not make any payment
to you on the relevant Coupon Payment Date.
Each Contingent Coupon
will be a fixed amount based on equal quarterly installments at the applicable Contingent Coupon Rate, which is a per annum rate.
The table below reflects the Contingent Coupon Rate of (i) 8.00% per annum for Notes linked to the common stock of Alaska Air
Group, Inc. and (ii) 7.00% per annum for Notes linked to the common stock of Lowe’s Companies, Inc.
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Contingent
Coupon (per $10 Note)
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Contingent
Coupon Payments
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Alaska
Air Group, Inc.
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Lowe’s
Companies, Inc.
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$0.20
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$0.175
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Contingent
Coupon payments on the Notes are not guaranteed. We will not pay you the applicable Contingent Coupon for any Observation
Date on which the closing price of one share of the applicable Underlying is less than the applicable Coupon Barrier.
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Contingent
Coupon Rate
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The
Contingent Coupon Rate is (i) 8.00% per annum for Notes linked to the common stock of Alaska Air Group, Inc. and, (ii) 7.00%
per annum for Notes linked to the common stock of Lowe’s Companies, Inc.
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Coupon
Payment Dates
3
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2nd
business day following the applicable Observation Date, except that the Coupon Payment Date for the Final Valuation Date is
the Maturity Date
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Call
Settlement Dates
3
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First
Coupon Payment Date following the applicable Observation Date
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Payment at Maturity (per $10 Note)
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If the Notes are not
automatically called and the applicable Final Value is equal to or greater than the applicable Downside Threshold,
we
will pay you a cash payment at maturity per $10 principal amount Note equal to $10 plus the applicable Contingent Coupon
otherwise due on the Maturity Date.
If the Notes are not
automatically called and the applicable Final Value is less than the applicable Downside Threshold,
we will pay you
a cash payment at maturity that is less than $10 per $10 principal amount Note resulting in a loss on your principal amount
proportionate to the negative Underlying Return, equal to:
$10
× (1 + Underlying Return)
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Underlying
Return
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(Final
Value – Initial Value)
Initial
Value
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Initial
Value
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The
closing price of one share of the applicable Underlying on the Trade Date
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Final
Value
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The
closing price
2
of one share of the applicable Underlying on the Final Valuation Date
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Downside
Threshold
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A percentage of the Initial
Value of the applicable Underlying, as specified on the cover of this pricing supplement.
The actual Downside Threshold
for each Note will be finalized on the Trade Date and provided in the pricing supplement and will be set to the same percentage
as the applicable Coupon Barrier.
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Coupon
Barrier
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A percentage of the Initial
Value of the applicable Underlying, as specified on the cover of this pricing supplement.
The actual Coupon Barrier
for each Note will be finalized on the Trade Date and provided in the pricing supplement and will be set to the same percentage
as the applicable Downside Threshold.
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Stock
Adjustment Factor
2
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The
Stock Adjustment Factor is referenced in determining the closing price of the applicable Underlying. The Stock
Adjustment Factor for the applicable Underlying is set initially at 1.0 on the Trade Date.
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1
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See footnote 1 under “Key Dates” on the front cover
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2
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The closing price and the Stock Adjustment Factor of the applicable Underlying are subject to adjustments, in the sole discretion of the calculation agent, in the case of certain corporate events described in the accompanying product supplement under “The Underlyings — Underlying Stocks — Anti-Dilution Adjustments” and “The Underlyings — Underlying Stocks — Reorganization Events.”
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3
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See footnote 2 under “Key Dates” on the front cover
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Trade
Date
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The closing price of one share
of the applicable Underlying (Initial Value) is observed, and the applicable Downside Threshold and the applicable Coupon
Barrier are determined.
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Quarterly
(callable after an initial six-month non-call period)
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If the closing price of
one share of the applicable Underlying is equal to or greater than the applicable Coupon Barrier on any Observation Date,
JPMorgan Financial will pay you a Contingent Coupon on the applicable Coupon Payment Date.
The Notes will also be
called if the closing price of one share of the applicable Underlying on any Observation Date (after an initial six-month non-call
period) is equal to or greater than the applicable Initial Value. If the Notes are called, JPMorgan Financial will pay you a cash
payment per Note equal to the principal amount plus the applicable Contingent Coupon otherwise due for the applicable Observation
Date, and no further payments will be made on the Notes.
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Maturity
Date
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The
applicable Final Value is determined as of the Final Valuation Date.
If
the Notes have not been called and the applicable Final Value is equal to or greater than the applicable Downside Threshold,
at maturity JPMorgan Financial will repay the principal amount equal to $10.00 per Note plus the applicable Contingent
Coupon otherwise due on the Maturity Date.
If
the Notes have not been called and the applicable Final Value is less than the applicable Downside Threshold, JPMorgan
Financial will repay less than the principal amount, if anything, at maturity, resulting in a loss on your principal amount
proportionate to the decline of the applicable Underlying, equal to a return of:
$10
× (1 + Underlying Return) per Note
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INVESTING IN THE NOTES INVOLVES
SIGNIFICANT RISKS. YOU MAY LOSE SOME OR ALL OF YOUR PRINCIPAL AMOUNT. ANY PAYMENT ON THE NOTES, INCLUDING ANY REPAYMENT
OF PRINCIPAL, IS SUBJECT TO THE CREDITWORTHINESS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. IF JPMORGAN
FINANCIAL AND JPMORGAN CHASE & CO. WERE TO DEFAULT ON THEIR PAYMENT OBLIGATIONS, YOU MAY NOT RECEIVE ANY AMOUNTS OWED
TO YOU UNDER THE NOTES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.
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Coupon Observation Dates and Coupon Payment Dates
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Coupon Observation Dates
†
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Coupon Payment Dates
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December 27, 2017
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December 29, 2017
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March 27, 2018
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March 29, 2018
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June 27, 2018
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June 29, 2018
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September 27, 2018
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October 1, 2018
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December 27, 2018
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December 31, 2018
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March 27, 2019
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March 29, 2019
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June 27, 2019
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July 1, 2019
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September 27, 2019
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October 1, 2019
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December 27, 2019
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December 31, 2019
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March 27, 2020
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March 31, 2020
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June 29, 2020
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July 1, 2020
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September 28, 2020 (the Final Valuation Date)
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October 1, 2020 (the Maturity Date)
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†
The Notes are not callable until the second
Coupon Observation Date, March 27, 2018.
Each of the Coupon Observation Dates, and therefore the Coupon
Payment Dates, is subject to postponement in the event of a market disruption event and as described under “General Terms
of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single
Underlying (Other Than a Commodity Index)” and “General Terms of Notes — Postponement of a Payment Date”
in the accompanying product supplement.
What Are the Tax Consequences of the Notes?
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You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. UBS-1-I. In determining our reporting responsibilities
we intend to treat (i) the Notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent coupons
and (ii) any Contingent Coupons as ordinary income, as described in the section entitled “Material U.S. Federal Income Tax
Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated Contingent
Coupons” in the accompanying product supplement. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel,
we believe that this is a reasonable treatment, but that there are other reasonable treatments that the IRS or a court may adopt.
Sale, Exchange or Redemption of a Note.
Assuming the treatment
described above is respected, upon a sale or exchange of the Notes (including redemption upon an automatic call or at maturity),
you should recognize capital gain or loss equal to the difference between the amount realized on the sale or exchange and your
tax basis in the Notes, which should equal the amount you paid to acquire the Notes (assuming Contingent Coupons are properly treated
as ordinary income, consistent with the position referred to above). This gain or loss should be short-term capital gain or loss
unless you hold the Notes for more than one year, in which case the gain or loss should be long-term capital gain or loss, whether
or not you are an initial purchaser of the Notes at the issue price. The deductibility of capital losses is subject to limitations.
If you sell your Notes between the time your right to a Contingent Coupon is fixed and the time it is paid, it is likely that you
will be treated as receiving ordinary income equal to the Contingent Coupon. Although uncertain, it is possible that proceeds received
from the sale or exchange of your Notes prior to an Observation Date but that can be attributed to an expected Contingent Coupon
payment could be treated as ordinary income. You should consult your tax adviser regarding this issue.
As described above, there are other reasonable treatments that
the IRS or a court may adopt, in which case the timing and character of any income or loss on the Notes could be materially affected.
In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid
forward contracts” and similar instruments. The notice focuses in particular on whether to require investors in these instruments
to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character
of income or loss with respect to these instruments and the relevance of factors such as the nature of the underlying property
to which the instruments are linked. While the notice requests comments on appropriate transition rules and effective dates, any
Treasury regulations or other guidance promulgated after consideration of these issues could materially affect the tax consequences
of an investment in the Notes, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal
income tax consequences of an investment in the Notes, including possible alternative treatments and the issues presented by this
notice.
Non-U.S. Holders — Tax Considerations.
The U.S.
federal income tax treatment of Contingent Coupons is uncertain, and although we believe it is reasonable to take a position that
Contingent Coupons are not subject to U.S. withholding tax (at least if an applicable Form W-8 is provided), a withholding agent
may nonetheless withhold on these payments (generally at a rate of 30%, subject to the possible reduction of that rate under an
applicable income tax treaty), unless income from your Notes is effectively connected with your conduct of a trade or business
in the United States (and, if an applicable treaty so requires, attributable to a permanent establishment in the United States).
If you are not a United States person, you are urged to consult your tax adviser regarding the U.S. federal income tax consequences
of an investment in the Notes in light of your particular circumstances.
Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on dividend
equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices
that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked
to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations (such an index, a “Qualified
Index”). Additionally, the applicable regulations exclude from the scope of Section 871(m) instruments issued in 2017 that
do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax
purposes (each an “Underlying Security”). Based on certain determinations made by us, we expect that Section 871(m)
will not apply to the Notes with regard to Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree
with this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including whether
you enter into other transactions with respect to an Underlying Security. If necessary, further information regarding the potential
application of Section 871(m) will be provided in the pricing supplement for the Notes. You should consult your tax adviser regarding
the potential application of Section 871(m) to the Notes.
FATCA
. Withholding under legislation commonly referred
to as “FATCA” could apply to payments with respect to the Notes that are treated as U.S.-source “fixed or determinable
annual or periodical” income (“FDAP Income”) for U.S. federal income tax purposes (such as interest, if the Notes
are recharacterized, in whole or in part, as debt instruments, or Contingent Coupons if they are otherwise treated as FDAP Income).
If the Notes are recharacterized, in whole or in part, as debt instruments, withholding could also apply to payments of gross proceeds
of a taxable disposition, including an early redemption or redemption at maturity. However, under a recent IRS notice, this regime
will not apply to payments of gross proceeds (other than any amount treated as FDAP Income) with respect to dispositions occurring
before January 1, 2019. You should consult your tax adviser regarding the potential application of FATCA to the Notes.
In the event of any withholding on the Notes, we will not be
required to pay any additional amounts with respect to amounts so withheld.
An investment in the Notes involves significant risks. Investing
in the Notes is not equivalent to investing directly in the applicable Underlying. These risks are explained in more detail in
the “Risk Factors” section of the accompanying product supplement. We also urge you to consult your investment, legal,
tax, accounting and other advisers before you invest in the Notes.
Risks Relating to the Notes Generally
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Your Investment in the Notes May Result in a Loss
— The
Notes differ from ordinary debt securities in that JPMorgan Financial will not necessarily repay the full principal amount of the
Notes. If the Notes are not called and the closing price of one share of the applicable Underlying has declined below the applicable
Downside Threshold on the Final Valuation Date, you will be fully exposed to any depreciation in the closing price of one share
of the applicable Underlying from the applicable Initial Value to the applicable Final Value. In this case, JPMorgan Financial
will repay less than the full principal amount at maturity, resulting in a loss of principal that is proportionate to the negative
Underlying Return. Under these circumstances, you will lose 1% of your principal for every 1% that the applicable Final Value is
less than the applicable Initial Value and could lose your entire principal amount. As a result, your investment in the Notes may
not perform as well as an investment in a security that does not have the potential for full downside exposure to the applicable
Underlying at maturity.
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Credit Risks of JPMorgan Financial and JPMorgan Chase & Co.
— The Notes are unsecured and unsubordinated debt obligations of the Issuer, JPMorgan Chase Financial Company LLC, the payment
on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. The Notes will rank
pari passu
with all of
our other unsecured and unsubordinated obligations, and the related guarantee JPMorgan Chase & Co. will rank
pari passu
with all of JPMorgan Chase & Co.’s other unsecured and unsubordinated obligations. The Notes and related guarantees are
not, either directly or indirectly, an obligation of any third party. Any payment to be made on the Notes, including any repayment
of principal, depends on the ability of JPMorgan Financial and JPMorgan Chase & Co. to satisfy their obligations as they come
due. As a result, the actual and perceived creditworthiness of JPMorgan Financial and JPMorgan Chase & Co. may affect the market
value of the Notes and, in the event JPMorgan Financial and JPMorgan Chase & Co. were to default on their obligations, you
may not receive any amounts owed to you under the terms of the Notes and you could lose your entire investment.
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As a Finance Subsidiary, JPMorgan Financial Has No Independent Operations
and Limited Assets
— As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the
issuance and administration of our securities. Aside from the initial capital contribution from JPMorgan Chase & Co., substantially
all of our assets relate to obligations of our affiliates to make payments under loans made by us or other intercompany agreements.
As a result, we are dependent upon payments from our affiliates to meet our obligations under the Notes. If these affiliates do
not make payments to us and we fail to make payments on the Notes, you may have to seek payment under the related guarantee by
JPMorgan Chase & Co., and that guarantee will rank
pari passu
with all other unsecured and unsubordinated obligations
of JPMorgan Chase & Co.
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You Are Not Guaranteed Any Contingent Coupons
— We will
not necessarily make periodic coupon payments on the Notes. If the closing price of one share of the applicable Underlying on an
Observation Date is less than the applicable Coupon Barrier, we will not pay you the applicable Contingent Coupon for that Observation
Date and the applicable Contingent Coupon that would otherwise be payable will not be accrued and will be lost. If the closing
price of one share of the applicable Underlying is less than the applicable Coupon Barrier on each of the Observation Dates, we
will not pay you any Contingent Coupon during the term of, and you will not receive a positive return on, your Notes. Generally,
this non-payment of the Contingent Coupon coincides with a period of greater risk of principal loss on your Notes.
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Return on the Notes Limited to the Sum of Any Contingent Coupons
and You Will Not Participate in Any Appreciation of the Applicable Underlying
— The return potential of the Notes is
limited to the specified Contingent Coupon Rate, regardless of the appreciation in the closing price of one share of the applicable
Underlying, which may be significant. In addition, the total return on the Notes will vary based on the number of Observation Dates
on which the requirements for a Contingent Coupon have been met prior to maturity or an automatic call. Further, if the Notes are
called, you will not receive any Contingent Coupons or any other payments in respect of any Observation Dates after the applicable
Call Settlement Date. Because the Notes could be called as early as the second Coupon Observation Date, the total return on the
Notes could be minimal. If the Notes are not called, you may be subject to the applicable Underlying’s risk of decline even
though you are not able to participate in any potential appreciation in the price of the applicable Underlying. Generally,
the longer the Notes remain outstanding, the less likely it is that they will be automatically called, due to the decline in the
price of the applicable Underlying and the shorter time remaining for the price of the applicable Underlying to recover to or above
the applicable Initial Value on a subsequent Observation Date. As a result, the return on an investment in the Notes could be less
than the return on a direct investment in the applicable Underlying. In addition, if the Notes are not called and the applicable
Final Value is below the applicable Downside Threshold, you will have a loss on your principal amount and the overall return on
the Notes may be less than the amount that would be paid on a conventional debt security of JPMorgan Financial of comparable maturity.
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Contingent Repayment of Principal Applies Only If You Hold the Notes
to Maturity
— If you are able to sell your Notes in the secondary market, if any, prior to maturity, you may have to
sell them at a loss relative to your initial investment even if the applicable stock price is above the applicable Downside Threshold.
If by maturity the Notes have not been called, either JPMorgan Financial will repay you the full principal amount per Note plus
the applicable Contingent Coupon, or if the price of one share of the applicable Underlying closes below the applicable Downside
Threshold on the Final Valuation Date, JPMorgan Financial will repay less than the principal amount, if anything, at maturity,
resulting in a loss on your principal amount that is proportionate to the decline in the closing price of one share of the applicable
Underlying from the applicable Initial Value to the applicable Final Value. This contingent repayment of principal applies only
if you hold your Notes to maturity.
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t
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A Higher Applicable Contingent Coupon Rate and/or a Lower Applicable
Coupon Barrier and/or Applicable Downside Threshold May Reflect Greater Expected Volatility of the Applicable Underlying, Which
Is Generally Associated With a Greater Risk of Loss —
Volatility is a measure of the degree of variation in the price
of the applicable Underlying over a period of time. The greater the expected volatility of the applicable Underlying at the time
the terms of the Notes are set, the greater the expectation is at that time that the price of the applicable Underlying could close
below the applicable Coupon Barrier on any Observation Date, resulting in the loss of one or more, or all, Contingent Coupon payments,
or below the applicable Downside Threshold on the Final Valuation Date, resulting in the loss of a significant portion or all of
your principal at maturity. In addition, the economic terms of the Notes, including the applicable Contingent Coupon Rate, the
applicable Coupon Barrier and the applicable Downside Threshold, are based, in part, on the expected volatility of the applicable
Underlying at the time the terms of the Notes are set, where a higher expected volatility will generally be reflected in a higher
applicable Contingent Coupon Rate than the fixed rate we would pay on conventional debt securities of the same maturity and/or
on otherwise comparable securities and/or a lower applicable Coupon Barrier and/or a lower applicable Downside Threshold as compared
to otherwise comparable securities. Accordingly, a higher applicable Contingent Coupon Rate will generally be indicative of a greater
risk of loss while a lower applicable Coupon Barrier or applicable Downside Threshold does not necessarily indicate that the Notes
have a greater likelihood of paying Contingent Coupon payments or returning your principal at maturity. You should be willing to
accept the downside market risk of the applicable Underlying and the potential loss of some or all of your principal at maturity.
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t
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Reinvestment Risk
— If your Notes are called early, the
holding period over which you would have the opportunity to receive any Contingent Coupons could be as short as approximately six
months. There is no guarantee that you would be able to reinvest the proceeds from an investment in the Notes at a comparable return
and/or with a comparable interest rate for a similar level of risk in the event the Notes are called prior to the maturity date.
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t
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Potential Conflicts
— We and our affiliates play a variety
of roles in connection with the issuance of the Notes, including acting as calculation agent and hedging our obligations under
the Notes and making the assumptions used to determine the pricing of the Notes and the estimated value of the Notes when the terms
of the Notes are set, which we refer to as the estimated value of the Notes. In performing these duties, our and JPMorgan Chase
& Co.’s economic interests and the economic interests of the calculation agent and other affiliates of ours are potentially
adverse to your interests as an investor in the Notes. In addition, our and JPMorgan Chase & Co.’s business activities,
including hedging and trading activities, could cause our and JPMorgan Chase & Co.’s economic interests to be adverse
to yours and could adversely affect any payment on the Notes and the value of the Notes. It is possible that hedging or trading
activities of ours or our affiliates in connection with the Notes could result in substantial returns for us or our affiliates
while the value of the Notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest”
in the accompanying product supplement for additional information about these risks. We and/or our affiliates may also currently
or from time to time engage in business with the issuer of the applicable Underlying, including extending loans to, or making equity
investments in, the issuer of the applicable Underlying or providing advisory services to the issuer of the applicable Underlying.
As a prospective purchaser of the Notes, you should undertake an independent investigation of the issuer of the applicable Underlying
as in your judgment is appropriate to make an informed decision with respect to an investment in the Notes.
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Each Contingent Coupon Is Based Solely on the Closing Price of One
Share of the Applicable Underlying on the Applicable Observation Date
— Whether a Contingent Coupon will be payable with
respect to an Observation Date will be based solely on the closing price of one share of the applicable Underlying on that Observation
Date. As a result, you will not know whether you will receive a Contingent Coupon until the related Observation Date. Moreover,
because each Contingent Coupon is based solely on the closing price of one share of the applicable Underlying on the applicable
Observation Date, if that closing price is less than the applicable Coupon Barrier, you will not receive any Contingent Coupon
with respect to that Observation Date, even if the closing price of one share of the applicable Underlying was higher on other
days during the period before that Observation Date.
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Single Stock Risk
— The price of the applicable Underlying
can rise or fall sharply due to factors specific to that Underlying and its issuer, such as stock price volatility, earnings, financial
conditions, corporate, industry and regulatory developments, management changes and decisions and other events, as well as general
market factors, such as general stock market volatility and levels, interest rates and economic and political conditions. For additional
information regarding each Underlying and its issuer, please see “The Underlyings” and the section applicable to that
Underlying issuer in this pricing supplement and that issuer’s SEC filings referred to in those sections. We urge you to
review financial and other information filed periodically with the SEC by the applicable Underlying issuer.
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The Estimated Value of the Notes Will Be Lower Than the Original
Issue Price (Price to Public) of the Notes
— The estimated value of the Notes is only an estimate determined by reference
to several factors. The original issue price of the Notes will exceed the estimated value of the Notes because costs associated
with selling, structuring and hedging the Notes are included in the original issue price of the Notes. These costs include the
selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging
our obligations under the Notes and the estimated cost of hedging our obligations under the Notes. See “The Estimated Value
of the Notes” in this pricing supplement.
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The Estimated Value of the Notes Does Not Represent Future Values
of the Notes and May Differ from Others’ Estimates
— The estimated value of the Notes is determined by reference
to internal pricing models of our affiliates when the terms of the Notes are set. This estimated value of the Notes is based on
market conditions and other relevant factors existing at that time and assumptions about market parameters, which can include volatility,
dividend rates, interest rates and other factors. Different pricing models and assumptions could provide valuations for Notes that
are greater than or less than the estimated value of the Notes. In addition, market conditions and other relevant factors in the
future may change, and any assumptions may prove to be incorrect. On future dates, the value of the Notes could change significantly
based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest
rate movements and
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other
relevant factors, which may impact the price, if any, at which JPMS would be willing to buy Notes from you in secondary market
transactions. See “The Estimated Value of the Notes” in this pricing supplement.
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t
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The Estimated Value of the Notes Is Derived by Reference to an Internal
Funding Rate
— The internal funding rate used in the determination of the estimated value of the Notes is based on, among
other things, our and our affiliates’ view of the funding value of the Notes as well as the higher issuance, operational
and ongoing liability management costs of the Notes in comparison to those costs for the conventional fixed-rate debt of JPMorgan
Chase & Co. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms
of the Notes and any secondary market prices of the Notes. See “The Estimated Value of the Notes” in this pricing supplement.
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The Value of the Notes as Published by JPMS (and Which May Be Reflected
on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period
— We generally expect that some of the costs included in the original issue price of the Notes will be partially paid back
to you in connection with any repurchases of your Notes by JPMS in an amount that will decline to zero over an initial predetermined
period. These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated hedging
costs and our internal secondary market funding rates for structured debt issuances. See “Secondary Market Prices of the
Notes” in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated
value of your Notes during this initial period may be lower than the value of the Notes as published by JPMS (and which may be
shown on your customer account statements).
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Secondary Market Prices of the Notes Will
Likely Be Lower Than the Original Issue Price of the Notes
— Any secondary market prices of the Notes will likely be
lower than the original issue price of the Notes because, among other things, secondary market prices take into account our internal
secondary market funding rates for structured debt issuances and, also, because secondary market prices (a) exclude selling commissions
and (b) may exclude projected hedging profits, if any, and estimated hedging costs that are included in the original issue price
of the Notes. As a result, the price, if any, at which JPMS will be willing to buy Notes from you in secondary market transactions,
if at all, is likely to be lower than the original issue price. Any sale by you prior to the Maturity Date could result in a substantial
loss to you. See the immediately following risk factor for information about additional factors that will impact any secondary
market prices of the Notes.
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The Notes are
not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity.
See “— Lack of Liquidity” below.
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t
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Many Economic and Market Factors Will Impact
the Value of the Notes
— As described under “The Estimated Value of the Notes” in this pricing supplement,
the Notes can be thought of as securities that combine a fixed-income debt component with one or more derivatives. As a result,
the factors that influence the values of fixed-income debt and derivative instruments will also influence the terms of the Notes
at issuance and their value in the secondary market. Accordingly, the secondary market price of the Notes during their term
will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the selling
commissions, projected hedging profits, if any, estimated hedging costs and the price of the applicable Underlying, including:
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any
actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
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customary
bid-ask spreads for similarly sized trades;
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our
internal secondary market funding rates for structured debt issuances;
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t
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the
actual and expected volatility in the closing price of one share of the applicable Underlying;
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t
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the
time to maturity of the Notes;
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the
likelihood of an automatic call being triggered;
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whether
the closing price of one share of the applicable Underlying has been, or is expected to be, less than the applicable Coupon Barrier
on any Observation Date and whether the applicable Final Value is expected to be less than the Downside Threshold;
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the
dividend rate on the applicable Underlying;
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the
occurrence of certain events affecting the issuer of the applicable Underlying that may or may not require an adjustment to the
closing price and the Stock Adjustment Factor of the applicable Underlying, including a merger or acquisition;
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interest
and yield rates in the market generally; and
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a
variety of other economic, financial, political, regulatory and judicial events.
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Additionally,
independent pricing vendors and/or third party broker-dealers may publish a price for the Notes, which may also be reflected on
customer account statements. This price may be different (higher or lower) than the price of the Notes, if any, at which JPMS may
be willing to purchase your Notes in the secondary market.
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No Dividend Payments or Voting Rights in the Applicable Underlying
— As a holder of the Notes, you will not have any ownership interest or rights in the applicable Underlying, such as
voting rights or dividend payments. In addition, the issuer of the applicable Underlying will not have any obligation to consider
your interests as a holder of the Notes in taking any corporate action that might affect the value of the applicable Underlying
and the Notes.
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No Affiliation with the Applicable Underlying Issuer
—
We are not affiliated with the issuer of the applicable Underlying. We have not independently verified any of the information about
the applicable Underlying issuer contained in this pricing
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supplement.
You should make your own investigation into the applicable Underlying and its issuer. We are not responsible for the applicable
Underlying issuer’s public disclosure of information, whether contained in SEC filings or otherwise.
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t
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No Assurances That the Investment View Implicit in the Notes Will
Be Successful
— While the Notes are structured to provide for Contingent Coupons if the applicable Underlying does not
close below the applicable Coupon Barrier on the Observation Dates, we cannot assure you of the economic environment during the
term or at maturity of your Notes.
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Lack of Liquidity
— The Notes will not be listed on any
securities exchange. JPMS intends to offer to purchase the Notes in the secondary market, but is not required to do so. Even if
there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes easily. Because other
dealers are not likely to make a secondary market for the Notes, the price at which you may be able to trade your Notes is likely
to depend on the price, if any, at which JPMS is willing to buy the Notes.
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Anti-Dilution Protection Is Limited and May Be Discretionary
— Although the calculation agent will adjust the closing price and the Stock Adjustment Factor of the applicable Underlying
for certain corporate events (such as stock splits and stock dividends) affecting the applicable Underlying, the calculation agent
is not required to make an adjustment for every corporate event that can affect the applicable Underlying. If an event occurs that
does not require the calculation agent to make these adjustments, the market value of your Notes, whether the Notes will be automatically
called and any payment on the Notes may be materially and adversely affected. You should also be aware that the calculation agent
may make any such adjustment, determination or calculation in a manner that differs from what is described in the accompanying
product supplement as it deems necessary to ensure an equitable result. Subject to the foregoing, the calculation agent is under
no obligation to consider your interests as a holder of the Notes in making these determinations.
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Potentially Inconsistent Research, Opinions or Recommendations by
JPMS, UBS or Their Affiliates
— JPMS, UBS or their affiliates may publish research, express opinions or provide recommendations
(for example, with respect to the issuer of the applicable Underlying) that are inconsistent with investing in or holding the Notes,
and that may be revised at any time. Any such research, opinions or recommendations may or may not recommend that investors buy
or hold the applicable Underlying and could affect the value of the applicable Underlying, and therefore the market value of the
Notes.
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Tax Treatment
— Significant aspects of the tax treatment
of the Notes are uncertain. You should consult your tax adviser about your tax situation.
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Potential JPMorgan Financial Impact on the Market Price of the Applicable
Underlying
— Trading or transactions by JPMorgan Financial or its affiliates in the applicable Underlying and/or over-the-counter
options, futures or other instruments with returns linked to the performance of the applicable Underlying may adversely affect
the market price of the applicable Underlying and, therefore, the market value of the Notes.
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The Final Terms and Valuation of the Notes Will Be Finalized on
the Trade Date and Provided in the Pricing Supplement
— The final terms of the Notes will be based on relevant market
conditions when the terms of the Notes are set and will be finalized on the Trade Date and provided in the pricing supplement.
In particular, the estimated value of the applicable Notes will be finalized on the Trade Date and provided in the pricing supplement
and may be as low as the applicable minimum set forth on the cover of this pricing supplement. In addition, the Downside Threshold
and Coupon Barrier for each Note will be finalized on the Trade Date and provided in the pricing supplement and each may be as
high as the applicable maximum set forth on the cover of this pricing supplement. Accordingly, you should consider your potential
investment in the Notes based on the minimum for the estimated value of the applicable Notes and the maximum for the Downside Threshold
and Coupon Barrier of the applicable Notes.
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Hypothetical terms only. Actual terms
may vary. See the cover page for actual offering terms.
The examples below illustrate the hypothetical payments on a
Coupon Payment Date, upon an automatic call or at maturity under different hypothetical scenarios for a $10.00 Note on an offering
of the Notes linked to a hypothetical Underlying and assume an Initial Value of $100, a Downside Threshold and Coupon Barrier of
$80.00* (which is 80.00%* of the hypothetical Initial Value) and a Contingent Coupon Rate of 7.00% per annum. The hypothetical
Initial Value of $100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial Value for
any Underlying. The actual Initial Value and the resulting Downside Threshold and Coupon Barrier for each Underlying will be based
on the closing price of one share of that Underlying on the Trade Date and will be provided in the pricing supplement.** For historical
data regarding the actual closing prices of one share of each Underlying, please see the historical information set forth under
“The Underlyings” in this pricing supplement.
Principal Amount:
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$10.00
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Term:
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Approximately three years (unless earlier called)
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Hypothetical Initial Value:
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$100.00
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Hypothetical Contingent Coupon Rate:
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7.00% per annum (or 1.75% per quarter)
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Observation Dates:
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Quarterly (callable after six months)
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Hypothetical Downside Threshold:
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$80.00 (which is 80.00%* of the hypothetical Initial Value)
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Hypothetical Coupon Barrier:
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$80.00 (which is 80.00%* of the hypothetical Initial Value)
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*
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The actual Downside Threshold
and Coupon Barrier for each Underlying will be finalized on the Trade Date and provided in the pricing supplement. If
the actual Downside Threshold and Coupon Barrier for the applicable Underlying are greater than the assumed Downside Threshold
and Coupon Barrier specified above, there will be a greater possibility that the closing price of one share of that Underlying
will decline below its Coupon Barrier on an Observation Date and/or its Downside Threshold on the Final Valuation Date. Accordingly,
the payments on the Notes may be less than the amounts shown below.
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**
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The actual value of any Contingent Coupon payments
you will receive over the term of the Notes, the actual value of the payment upon automatic call or at maturity and the actual
Initial Value, Downside Threshold and Coupon Barrier for each Underlying applicable to your Notes may be more or less than
the amounts displayed in these hypothetical scenarios. The actual Contingent Coupon Rate for each Underlying is
specified on the cover of this pricing supplement.
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The examples below are purely hypothetical and are not based
on any specific offering of Notes linked to any specific Underlying. These examples are intended to illustrate how the value of
any payment on the Notes will depend on the closing price on the Observation Dates.
Example 1 — Notes Are Automatically Called on the Second
Observation Date
Date
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Closing Price
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Payment (per Note)
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First Observation Date
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$105.00 (at or above Initial Value; Notes NOT called because Observation Date is prior to the second Observation Date)
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$0.175 (Contingent Coupon)
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Second Observation Date
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$110.00 (at or above Initial Value)
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$10.175
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Total Payment:
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$10.35 (3.50% return)
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Although the closing price is above the Initial Value on the
first Observation Date, the Notes are not called because the Notes cannot be called before the second Observation Date. Because
the Notes are automatically called on the second Observation Date, we will pay you on the applicable Call Settlement Date a total
of $10.175 per Note, reflecting your principal amount
plus
the applicable Contingent Coupon. When that amount is added to
the Contingent Coupon payment of $0.175 received in respect of prior Observation Dates, we will have paid you a total of $10.35
per Note for a 3.50% total return on the Notes. No further amounts will be owed on the Notes.
Example 2 — Notes Are Automatically Called on the Eleventh
Observation Date
Date
|
Closing Price
|
Payment (per Note)
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First Observation Date
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$90.00 (at or above Coupon Barrier; below Initial Value)
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$0.175 (Contingent Coupon)
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Second Observation Date
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$85.00 (at or above Coupon Barrier; below Initial Value)
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$0.175 (Contingent Coupon)
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Third through Tenth Observation Dates
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Various (all at or above Coupon Barrier, all below Initial Value)
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$1.40 (Contingent Coupons)
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Eleventh Observation Date
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$105.00 (at or above Initial Value)
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$10.175 (Payment upon Automatic Call)
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Total Payment:
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$11.925 (19.25% return)
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Because the Notes are automatically called on the eleventh Observation
Date, we will pay you on the applicable Call Settlement Date a total of $10.175 per Note, reflecting your principal amount
plus
the applicable Contingent Coupon. When that amount is added to the Contingent Coupon payments of $1.75 received in respect of prior
Observation Dates, we will have paid you a total of $11.925 per Note for a 19.25% total return on the Notes. No further amounts
will be owed on the Notes.
Example 3 — Notes Are NOT Automatically Called
and
the Final Value Is at or above the Downside Threshold
Date
|
Closing Price
|
Payment (per Note)
|
First Observation Date
|
$90.00 (at or above Coupon Barrier; below Initial Value)
|
$0.175 (Contingent Coupon)
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Second Observation Date
|
$85.00 (at or above Coupon Barrier; below Initial Value)
|
$0.175 (Contingent Coupon)
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Third through Eleventh Observation Dates
|
Various (all below Coupon Barrier)
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$0.00
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Final Valuation Date
|
$85.00 (at or above Downside Threshold; below Initial Value)
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$10.175 (Payment at Maturity)
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Total Payment:
|
$10.525 (5.25% return)
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At maturity, we will pay you a total of $10.175 per Note, reflecting
your principal amount
plus
the applicable Contingent Coupon. When that amount is added to the Contingent Coupon payments
of $0.35 received in respect of prior Observation Dates, we will have paid you a total of $10.525 per Note for a 5.25% total return
on the Notes.
Example 4 — Notes Are NOT Automatically Called
and
the Final Value Is below the Downside Threshold
Date
|
Closing Price
|
Payment (per Note)
|
First Observation Date
|
$90.00 (at or above Coupon Barrier; below Initial Value)
|
$0.175 (Contingent Coupon)
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Second Observation Date
|
$85.00 (at or above Coupon Barrier; below Initial Value)
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$0.175 (Contingent Coupon)
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Third through Eleventh Observation Dates
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Various (all at or above Coupon Barrier; all below Initial Value)
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$1.575 (Contingent Coupons)
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Final Valuation Date
|
$60.00 (below Downside Threshold)
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$10.00 × (1 + Underlying Return) =
$10.00 × (1 + -40%) =
$10.00 × 60% =
$6.00 (Payment at Maturity)
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Total Payment:
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$7.925 (-20.75% return)
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Because the Notes are not called and the Final Value of $60.00
is below the Downside Threshold, at maturity we will pay you $6.00 per Note. When that amount is added to the Contingent Coupon
payments of $1.925 received in respect of prior Observation Dates, we will have paid you $7.925 per Note for a loss on the Notes
of 20.75%.
Example 5 — Notes Are NOT Automatically Called
and
the Final Value is below the Downside Threshold
Date
|
Closing Price
|
Payment (per Note)
|
First Observation Date
|
$65.00 (below Coupon Barrier)
|
$0.00
|
Second Observation Date
|
$60.00 (below Coupon Barrier)
|
$0.00
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Third through Eleventh Observation Dates
|
Various (all below Coupon Barrier)
|
$0.00
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Final Valuation Date
|
$50.00 (below Downside Threshold)
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$10.00 × (1 + Underlying Return) =
$10.00 × (1 + -50%) =
$10.00 × 50% =
$5.00 (Payment at Maturity)
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Total Payment:
|
$5.00 (-50.00% return)
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Because the Notes are not called, the Final Value is below the
Downside Threshold and the Underlying Return is -50%, at maturity we will pay you $5.00 per Note for a loss on the Notes of 50.00%.
Because there is no Contingent Coupon paid during the term of the Notes, that represents the total payment on the Notes.
The hypothetical returns and hypothetical payments on the Notes
shown above apply
only if you hold the Notes for their entire term or until called
. These hypotheticals do not reflect fees
or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical
returns and hypothetical payments shown above would likely be lower.
Included on the following pages is a brief description of the
issuers of the Underlyings. This information has been obtained from publicly available sources, without independent verification.
Set forth below is a table that provides the quarterly high and low closing prices of one share of each Underlying. Except as set
forth below, the information given below is for the four calendar quarters in each of 2012, 2013, 2014, 2015, 2016 and the first
and second calendar quarters of 2017. Partial data is provided for the third calendar quarter of 2017. We obtained the closing
price information set forth below from the Bloomberg Professional
®
service (“Bloomberg”), without independent
verification. You should not take the historical prices of any Underlying as an indication of future performance.
Each of the Underlyings is registered under the Securities Exchange
Act of 1934, as amended (the “Exchange Act”). Companies with securities registered under the Exchange Act are required
to file financial and other information specified by the SEC periodically. Information filed by the issuer of each Underlying with
the SEC can be reviewed electronically through a web site maintained by the SEC. The address of the SEC’s web site is http://www.sec.gov.
Information filed with the SEC by the issuer of each Underlying under the Exchange Act can be located by reference to its SEC file
number provided below. In addition, information filed with the SEC can be inspected and copied at the Public Reference Section
of the SEC, 100 F Street, N.E., Room 1580, Washington, D.C. 20549. Copies of this material can also be obtained from the Public
Reference Section, at prescribed rates. We do not make any representation that these publicly available documents are accurate
or complete.
According to its publicly available filings with the SEC, Alaska
Air Group, Inc., which we refer to as Alaska Air, operates Alaska Airlines, Inc., Virgin America Inc. and Horizon Air Industries
Inc., which, together with its regional partner airlines, serve a network across the United States, Mexico, Canada, Costa Rica
and Cuba. The common stock of Alaska Air, par value $0.01 per share (Bloomberg ticker: ALK), is listed on the New York Stock Exchange,
which we refer to as the Relevant Exchange for purposes of Alaska Air in the accompanying product supplement. Alaska Air’s
SEC file number is 001-08957.
Historical Information Regarding the Common Stock of Alaska
Air
The following table sets forth the quarterly high and low closing
prices of one share of the common stock of Alaska Air, based on daily closing prices on the primary exchange for Alaska Air, as
reported by Bloomberg. The closing price of one share of the common stock of Alaska Air on September 22, 2017 was $74.75. The actual
Initial Value will be the closing price of one share of the common stock of Alaska Air on the Trade Date. We obtained the closing
prices above and below from Bloomberg, without independent verification. The closing prices may have been adjusted by Bloomberg
for corporate actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
Since its inception, the price of the common stock of Alaska
Air has experienced significant fluctuations. The historical performance of the common stock of Alaska Air should not be taken
as an indication of future performance, and no assurance can be given as to the closing prices of one share of the common stock
of Alaska Air during the term of the Notes. We cannot give you assurance that the performance of the common stock of Alaska Air
will result in the return of any of your principal amount.
Quarter Begin
|
Quarter End
|
Quarterly Closing High
|
Quarterly Closing Low
|
Close
|
1/1/2012
|
3/31/2012
|
$19.59
|
$16.97
|
$17.91
|
4/1/2012
|
6/30/2012
|
$18.17
|
$16.10
|
$17.95
|
7/1/2012
|
9/30/2012
|
$18.98
|
$16.75
|
$17.53
|
10/1/2012
|
12/31/2012
|
$22.46
|
$17.59
|
$21.55
|
1/1/2013
|
3/31/2013
|
$31.98
|
$21.97
|
$31.98
|
4/1/2013
|
6/30/2013
|
$33.74
|
$25.21
|
$26.00
|
7/1/2013
|
9/30/2013
|
$32.11
|
$25.91
|
$31.31
|
10/1/2013
|
12/31/2013
|
$39.10
|
$30.67
|
$36.69
|
1/1/2014
|
3/31/2014
|
$46.66
|
$36.59
|
$46.66
|
4/1/2014
|
6/30/2014
|
$50.04
|
$44.68
|
$47.53
|
7/1/2014
|
9/30/2014
|
$49.78
|
$42.72
|
$43.54
|
10/1/2014
|
12/31/2014
|
$59.77
|
$41.58
|
$59.76
|
1/1/2015
|
3/31/2015
|
$71.07
|
$58.77
|
$66.18
|
4/1/2015
|
6/30/2015
|
$68.30
|
$60.65
|
$64.43
|
7/1/2015
|
9/30/2015
|
$82.09
|
$64.30
|
$79.45
|
10/1/2015
|
12/31/2015
|
$86.33
|
$73.45
|
$80.51
|
1/1/2016
|
3/31/2016
|
$82.35
|
$63.06
|
$82.02
|
4/1/2016
|
6/30/2016
|
$82.38
|
$55.66
|
$58.29
|
7/1/2016
|
9/30/2016
|
$71.32
|
$58.54
|
$65.86
|
10/1/2016
|
12/31/2016
|
$91.56
|
$67.09
|
$88.73
|
1/1/2017
|
3/31/2017
|
$100.24
|
$86.98
|
$92.22
|
4/1/2017
|
6/30/2017
|
$92.37
|
$82.19
|
$89.76
|
7/1/2017
|
9/22/2017*
|
$94.63
|
$72.24
|
$74.75
|
*
|
As of the date of this pricing
supplement, available information for the third calendar quarter of 2017 includes data for the period from July 1, 2017 through
September 22, 2017. Accordingly, the “Quarterly Closing High,” “Quarterly Closing Low” and “Close”
data indicated are for this shortened period only and do not reflect complete data for the third calendar quarter of 2017.
|
The graph below illustrates the daily performance of the common
stock of Alaska Air from January 3, 2007 through September 22, 2017, based on information from Bloomberg, without independent verification.
The dotted line represents a hypothetical Downside Threshold and Coupon Barrier of $47.84, equal to 64.00% (based on the top of
the range of 59.00% to 64.00%) of the closing price on September 22, 2017. The actual Downside Threshold and Coupon Barrier will
be finalized on the Trade Date and provided in the pricing supplement based on the closing price of one share of the common stock
of Alaska Air on the Trade Date and will not be greater than 64.00% of the Initial Value.
Past performance of the Underlying is not indicative of
the future performance of the Underlying.
According to its publicly available filings with the SEC, Lowe’s
Companies, Inc., which we refer to as Lowe’s, is a home improvement retailer. The common stock of Lowe’s, par value
$0.50 per share (Bloomberg ticker: LOW), is listed on the New York Stock Exchange, which we refer to as the Relevant Exchange for
purposes of Lowe’s in the accompanying product supplement. Lowe’s SEC file number is 001-07898.
Historical Information Regarding the Common Stock of Lowe’s
The following table sets forth the quarterly high and low closing
prices of one share of the common stock of Lowe’s, based on daily closing prices on the primary exchange for Lowe’s,
as reported by Bloomberg. The closing price of one share of the common stock of Lowe’s on September 22, 2017 was $78.23.
The actual Initial Value will be the closing price of one share of the common stock of Lowe’s on the Trade Date. We obtained
the closing prices above and below from Bloomberg, without independent verification. The closing prices may have been adjusted
by Bloomberg for corporate actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and
bankruptcy.
Since its inception, the price of the common stock of Lowe’s
has experienced significant fluctuations. The historical performance of the common stock of Lowe’s should not be taken as
an indication of future performance, and no assurance can be given as to the closing prices of one share of the common stock of
Lowe’s during the term of the Notes. We cannot give you assurance that the performance of the common stock of Lowe’s
will result in the return of any of your principal amount.
Quarter Begin
|
Quarter End
|
Quarterly Closing High
|
Quarterly Closing Low
|
Close
|
1/1/2012
|
3/31/2012
|
$31.38
|
$25.52
|
$31.38
|
4/1/2012
|
6/30/2012
|
$32.10
|
$25.49
|
$28.44
|
7/1/2012
|
9/30/2012
|
$30.26
|
$24.85
|
$30.24
|
10/1/2012
|
12/31/2012
|
$36.09
|
$30.29
|
$35.52
|
1/1/2013
|
3/31/2013
|
$39.79
|
$34.76
|
$37.92
|
4/1/2013
|
6/30/2013
|
$43.23
|
$37.32
|
$40.90
|
7/1/2013
|
9/30/2013
|
$48.98
|
$41.06
|
$47.61
|
10/1/2013
|
12/31/2013
|
$51.95
|
$46.50
|
$49.55
|
1/1/2014
|
3/31/2014
|
$50.82
|
$44.90
|
$48.90
|
4/1/2014
|
6/30/2014
|
$49.52
|
$44.63
|
$47.99
|
7/1/2014
|
9/30/2014
|
$54.15
|
$47.20
|
$52.92
|
10/1/2014
|
12/31/2014
|
$68.80
|
$51.21
|
$68.80
|
1/1/2015
|
3/31/2015
|
$75.61
|
$66.08
|
$74.39
|
4/1/2015
|
6/30/2015
|
$75.06
|
$66.97
|
$66.97
|
7/1/2015
|
9/30/2015
|
$74.37
|
$66.25
|
$68.92
|
10/1/2015
|
12/31/2015
|
$77.61
|
$69.79
|
$76.04
|
1/1/2016
|
3/31/2016
|
$76.02
|
$63.40
|
$75.75
|
4/1/2016
|
6/30/2016
|
$80.76
|
$75.01
|
$79.17
|
7/1/2016
|
9/30/2016
|
$82.94
|
$70.81
|
$72.21
|
10/1/2016
|
12/31/2016
|
$76.40
|
$65.63
|
$71.12
|
1/1/2017
|
3/31/2017
|
$83.53
|
$70.95
|
$82.21
|
4/1/2017
|
6/30/2017
|
$86.06
|
$76.07
|
$77.53
|
7/1/2017
|
9/22/2017*
|
$78.66
|
$72.56
|
$78.23
|
*
|
As of the date of this pricing
supplement, available information for the third calendar quarter of 2017 includes data for the period from July 1, 2017 through
September 22, 2017. Accordingly, the “Quarterly Closing High,” “Quarterly Closing Low” and “Close”
data indicated are for this shortened period only and do not reflect complete data for the third calendar quarter of 2017.
|
The graph below illustrates the daily performance of the common
stock of Lowe’s from January 3, 2007 through September 22, 2017, based on information from Bloomberg, without independent
verification. The dotted line represents a hypothetical Downside Threshold and Coupon Barrier of $58.67, equal to 75.00% (based
on the top of the range of 72.00% to 75.00%) of the closing price on September 22, 2017. The actual Downside Threshold and Coupon
Barrier will be finalized on the Trade Date and provided in the pricing supplement based on the closing price of one share of the
common stock of Lowe’s on the Trade Date and will not be greater than 75.00% of the Initial Value.
Past performance of the Underlying is not indicative of
the future performance of the Underlying.