Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this
pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
Pricing supplement to product supplement no.
4-I dated April 15, 2016, underlying supplement no. 1-I dated April 15, 2016
and the prospectus and prospectus supplement, each dated April 15, 2016
Key
Terms
Issuer:
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of
JPMorgan Chase & Co.
Guarantor:
JPMorgan Chase & Co.
Indices:
The S&P 500
®
Total Return Index (Bloomberg ticker: SPTR), the Russell 2000
®
Total Return Index
(Bloomberg ticker: RU20INTR) and the EURO STOXX 50
®
Net Return Index (Bloomberg ticker: SX5T)
Contingent
Interest
Payments:
If the notes have not been automatically called and the closing level of each Index on any Review Date is greater than or
equal to its Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal amount note a
Contingent Interest Payment equal to at least $22.50 (equivalent to a Contingent Interest Rate of at least 9.00% per annum, payable
at a rate of at least 2.25 % per quarter) (to be provided in the pricing supplement).
If the closing level of any Index on any Review Date is less
than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date.
Contingent
Interest
Rate:
At least 9.00% per annum, payable at a rate of at least 2.25% per quarter (to be provided in the pricing supplement)
Interest Barrier / Trigger Value:
With respect to each Index, 70.00% of its Initial Value
Pricing
Date:
On or about November 14, 2017
Original
Issue Date (Settlement Date):
On or about November 17, 2017
Review
Dates*:
February 14, 2018, May 14, 2018, August 14, 2018 and November 14, 2018 (final Review Date)
Interest
Payment Dates*:
February 20, 2018, May 17, 2018, August 17, 2018 and the Maturity Date
Maturity
Date*:
November 19, 2018
Call Settlement Date*:
If the notes are automatically called on any Review Date (other than the final Review Date), the first Interest Payment Date
immediately following that Review Date
* Subject to postponement in the event of a market disruption
event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to
Multiple Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying
product supplement
|
Automatic Call:
If the closing level of each Index on any Review Date (other
than the final Review Date) is greater than or equal to its Initial Value, the notes will be automatically called for a cash payment,
for each $1,000 principal amount note, equal to (a) $1,000
plus
(b) the Contingent Interest Payment applicable to that Review
Date, payable on the applicable Call Settlement Date. No further payments will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called and (i) the Final
Value of each Index is greater than or equal to its Initial Value or (ii) a Trigger Event has not occurred, you will receive a
cash payment at maturity, for each $1,000 principal amount note, equal to (a) $1,000
plus
(b) the Contingent Interest Payment
applicable to the final Review Date.
If the notes have not been automatically called and (i) the Final
Value of any Index is less than its Initial Value and (ii) a Trigger Event has occurred, your payment at maturity per $1,000 principal
amount note, in addition to any Contingent Interest Payment, will be calculated as follows:
$1,000 + ($1,000 × Least Performing Index
Return)
If the notes have not been automatically called and (i)
the Final Value of any Index is less than its Initial Value and (ii) a Trigger Event has occurred, you will lose some or all of
your principal amount at maturity.
Trigger Event:
A Trigger Event occurs if, on any day during the Monitoring Period, the closing level of any Index is less than its Trigger Value.
Monitoring Period:
The
period from but excluding the Pricing Date to and including the final Review Date
Least Performing Index:
The Index with the Least Performing Index Return
Least Performing Index Return:
The lowest of the Index Returns of the Indices
Index Return:
With respect to each Index,
(Final Value – Initial Value)
Initial Value
Initial
Value:
With respect to each Index
, t
he closing
level of that Index on the Pricing Date
Final
Value:
With respect to each Index, the closing level of that Index on the final Review
Date
|
PS-
1
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the S&P 500
®
Total Return Index, the Russell 2000
®
Total Return Index and the EURO STOXX 50
®
Net Return Index
|
|
How
the Notes Work
Payments in Connection with Review Dates Preceding
the Final Review Date
Payment at Maturity If
the Notes Have Not Been Automatically Called
Total Contingent Interest Payments
The table below illustrates the hypothetical total
Contingent Interest Payments per $1,000 principal amount note over the term of the notes based on a hypothetical Contingent Interest
Rate of 9.00% per annum, depending on how many Contingent Interest Payments are made prior to automatic call or maturity. The actual
Contingent Interest Rate will be provided in the pricing supplement and will be at least 9.00% per annum.
Number of Contingent Interest
Payments
|
Total Contingent Interest
Payments
|
4
|
$90.00
|
3
|
$67.50
|
2
|
$45.00
|
1
|
$22.50
|
0
|
$0.00
|
PS-
2
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the S&P 500
®
Total Return Index, the Russell 2000
®
Total Return Index and the EURO STOXX 50
®
Net Return Index
|
|
Hypothetical
Payout Examples
The following examples illustrate payments on
the notes linked to three hypothetical Indices, assuming a range of performances for the hypothetical Least Performing Index on
the Review Dates.
Each hypothetical payment set forth below assumes that the closing level of each Index that is not the Least
Performing Index on each Review Date is greater than or equal to its Initial Value (and therefore its Interest Barrier and Trigger
Value).
In addition, the hypothetical payments set forth
below assume the following:
|
·
|
an Initial Value for the Least Performing Index of 100.00;
|
|
·
|
an Interest Barrier and a Trigger Value for the Least Performing Index of 70.00 (equal to 70.00% of its hypothetical Initial
Value); and
|
|
·
|
a Contingent Interest Rate of 9.00% per annum (payable at a rate of 2.25% per quarter).
|
The hypothetical Initial Value of the Least
Performing Index of 100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial Value of
any Index. The actual Initial Value of each Index will be the closing level of that Index on the Pricing Date and will be provided
in the pricing supplement. For historical data regarding the actual closing levels of each Index, please see the historical information
set forth under “The Indices” in this pricing supplement.
Each hypothetical payment set forth below is
for illustrative purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing
in the following examples have been rounded for ease of analysis.
Example 1 — Notes are automatically
called on the first Review Date.
Date
|
Closing Level of Least Performing Index
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
105.00
|
$1,022.50
|
|
Total Payment
|
$1,022.50 (2.25% return)
|
Because the closing level of each Index on the
first Review Date is greater than or equal to its Initial Value, the notes will be automatically called for a cash payment, for
each $1,000 principal amount note, of $1,022.50 (or $1,000
plus
the Contingent Interest Payment applicable to the first
Review Date), payable on the applicable Call Settlement Date. No further payments will be made on the notes.
Example 2 — Notes have NOT been automatically
called, the Final Value of the Least Performing Index is greater than or equal to its Initial Value and a Trigger Event has occurred.
Date
|
Closing Level of Least Performing Index
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
90.00
|
$22.50
|
Second Review Date
|
85.00
|
$22.50
|
Third Review Date
|
55.00
|
$0
|
Final Review Date
|
105.00
|
$1,022.50
|
|
Total Payment
|
$1,067.50 (6.75% return)
|
Because the notes have not been automatically
called and the Final Value of the Least Performing Index is greater than or equal to its Initial Value (and, therefore, its Interest
Barrier), even though a Trigger Event has occurred, the payment at maturity, for each $1,000 principal amount note, will be $1,022.50
(or $1,000
plus
the Contingent Interest Payment applicable to the final Review Date). When added to the Contingent Interest
Payments received with respect to the prior Review Dates, the total amount paid, for each $1,000 principal amount note, is $1,067.50.
PS-
3
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the S&P 500
®
Total Return Index, the Russell 2000
®
Total Return Index and the EURO STOXX 50
®
Net Return Index
|
|
Example 3 — Notes have NOT been automatically
called, the Final Value of the Least Performing Index is less than its Initial Value and a Trigger Event has NOT occurred.
Date
|
Closing Level of Least Performing Index
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
90.00
|
$22.50
|
Second Review Date
|
85.00
|
$22.50
|
Third Review Date
|
75.00
|
$22.50
|
Final Review Date
|
95.00
|
$1,022.50
|
|
Total Payment
|
$1,090.00 (9.00% return)
|
Because the notes have not been automatically
called, the Final Value of the Least Performing Index is greater than or equal to its Interest Barrier and a Trigger Event has
not occurred, even though the Final Value of the Least Performing Index is less than its Initial Value, the payment at maturity,
for each $1,000 principal amount note, will be $1,022.50 (or $1,000
plus
the Contingent Interest Payment applicable to the
final Review Date). When added to the Contingent Interest Payments received with respect to the prior Review Dates, the total amount
paid, for each $1,000 principal amount note, is $1,090.00.
Example
4 — Notes have NOT been automatically called, the Final Value of the Least Performing Index is less than its Initial Value
and its Interest Barrier and a Trigger Event has occurred
.
Date
|
Closing Level of Least Performing Index
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
40.00
|
$0
|
Second Review Date
|
45.00
|
$0
|
Third Review Date
|
55.00
|
$0
|
Final Review Date
|
50.00
|
$500.00
|
|
Total Payment
|
$500.00 (-50.00% return)
|
Because the notes have not been automatically
called, the Final Value of the Least Performing Index is less than its Initial Value and its Interest Barrier, a Trigger Event
has occurred and the Least Performing Index Return is -50.00%, the payment at maturity will be $500.00 per $1,000 principal amount
note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)] = $500.00
The hypothetical returns and hypothetical payments
on the notes shown above apply
only if you hold the notes for their entire term or until automatically called.
These hypotheticals
do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses
were included, the hypothetical returns and hypothetical payments shown above would likely be lower.
Selected
Risk Considerations
An investment in the notes involves significant
risks. These risks are explained in more detail in the “Risk Factors” sections of the accompanying product supplement
and underlying supplement.
|
·
|
YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
|
The notes do not guarantee any return
of principal. If the notes have not been automatically called and (i) the Final Value of any Index is less than its Initial Value
and (ii) a Trigger Event has occurred, you will lose 1% of the principal amount of your notes for every 1% that the Final Value
of the Least Performing Index is less than its Initial Value. Accordingly, under these circumstances, you will lose some or all
of your principal amount at maturity.
|
·
|
THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL —
|
If the notes have
not been automatically called, we will make a Contingent Interest Payment with respect to a Review Date only if the closing level
of each Index on that Review Date is greater than or equal to its Interest Barrier. If the closing level of any Index on that Review
Date is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date. Accordingly,
if the closing level of any Index on each Review Date is less than its Interest Barrier, you will not receive any interest payments
over the term of the notes.
PS-
4
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the S&P 500
®
Total Return Index, the Russell 2000
®
Total Return Index and the EURO STOXX 50
®
Net Return Index
|
|
|
·
|
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
|
Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase &
Co.’s creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely
affect the value of the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive
any amounts owed to you under the notes and you could lose your entire investment.
|
·
|
AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS —
|
As a finance subsidiary of JPMorgan Chase
& Co., we have no independent operations beyond the issuance and administration of our securities. Aside from the initial capital
contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates to make payments
under loans made by us or other intercompany agreements. As a result, we are dependent upon payments from our affiliates to meet
our obligations under the notes. If these affiliates do not make payments to us and we fail to make payments on the notes, you
may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank
pari passu
with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
|
·
|
THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS THAT MAY BE PAID OVER
THE TERM OF THE NOTES,
|
regardless of any appreciation of any
Index, which may be significant. You will not participate in any appreciation of any Index.
We and our affiliates play a variety
of roles in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests
are potentially adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours
or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the value of
the notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying
product supplement.
|
·
|
JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500
®
TOTAL RETURN INDEX,
|
but JPMorgan Chase & Co. will not
have any obligation to consider your interests in taking any corporate action that might affect the level of the S&P 500
®
Total Return Index.
|
·
|
YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX —
|
Payments on the notes are not linked
to a basket composed of the Indices and are contingent upon the performance of each individual Index. Poor performance by any of
the Indices over the term of the notes may result in the notes not being automatically called on a Review Date, may negatively
affect whether you will receive a Contingent Interest Payment on any Interest Payment Date and your payment at maturity and will
not be offset or mitigated by positive performance by any other Index.
|
·
|
YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING INDEX.
|
|
·
|
THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON ANY DAY DURING THE MONITORING PERIOD —
|
If, on any day during the Monitoring
Period, the closing level of any Index is less than its Trigger Value (
i.e.
, a Trigger Event occurs) and the notes have
not been automatically called, the benefit provided by the Trigger Value will terminate and you will be fully exposed to any depreciation
of the Least Performing Index. You will be subject to this potential loss of principal even if that Index subsequently recovers
such that the closing level of that Index is greater than or equal to its Trigger Value.
|
·
|
THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
|
If your notes are automatically called,
the term of the notes may be reduced to as short as approximately three months and you will not receive any Contingent Interest
Payments after the applicable Call Settlement Date. There is no guarantee that you would be able to reinvest the proceeds from
an investment in the notes at a comparable return and/or with a comparable interest rate for a similar level of risk. Even in cases
where the notes are called before maturity, you are not entitled to any fees and commissions described on the front cover of this
pricing supplement.
PS-
5
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the S&P 500
®
Total Return Index, the Russell 2000
®
Total Return Index and the EURO STOXX 50
®
Net Return Index
|
|
|
·
|
YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN ANY INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES.
|
|
·
|
AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH RESPECT TO THE RUSSELL 2000
®
TOTAL RETURN INDEX —
|
Small capitalization companies may be
less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization
companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits
downward stock price pressure under adverse market conditions.
|
·
|
NON-U.S. SECURITIES RISK WITH RESPECT TO THE EURO STOXX 50
®
NET RETURN INDEX —
|
The equity securities
included in the EURO STOXX 50
®
Net Return Index have been issued by non-U.S. companies. Investments in securities
linked to the value of such non-U.S. equity securities involve risks associated with the securities markets in the home countries
of the issuers of those non-U.S. equity securities. Also, there is generally less publicly available information about companies
in some of these jurisdictions than there is about U.S. companies that are subject to the reporting requirements of the SEC.
|
·
|
NO DIRECT EXPOSURE TO FLUCTUATIONS IN FOREIGN EXCHANGE RATES WITH RESPECT TO THE EURO STOXX 50
®
NET RETURN
INDEX —
|
The value of your notes will not be adjusted
for exchange rate fluctuations between the U.S. dollar and the currencies upon which the equity securities included in the EURO
STOXX 50
®
Net Return Index are based, although any currency fluctuations could affect the performance of the EURO
STOXX 50
®
Net Return Index.
|
·
|
THE RISK OF THE CLOSING LEVEL OF AN INDEX FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS GREATER IF THE LEVEL OF
THAT INDEX IS VOLATILE.
|
The notes will not be listed on any securities
exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which
JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your notes to maturity.
|
·
|
THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT —
|
You should consider your potential investment
in the notes based on the minimums for the estimated value of the notes and the Contingent Interest Rate.
|
·
|
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.
|
·
|
THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES
—
|
See “The Estimated Value of the
Notes” in this pricing supplement.
|
·
|
THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
|
The internal funding rate used in the
determination of the estimated value of the notes is based on, among other things, our and our affiliates’ view of the funding
value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison
to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. The use of an internal funding rate and any potential
changes to that rate may have an adverse effect on the terms of the notes and any secondary market prices of the notes. See “The
Estimated Value of the Notes” in this pricing supplement.
PS-
6
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the S&P 500
®
Total Return Index, the Russell 2000
®
Total Return Index and the EURO STOXX 50
®
Net Return Index
|
|
|
·
|
THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN
THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
|
We generally expect that some of the
costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of
your notes by JPMS in an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices
of the Notes” in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated
value of your notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be
shown on your customer account statements).
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
|
Any secondary market prices of the notes
will likely be lower than the original issue price of the notes because, among other things, secondary market prices take into
account our internal secondary market funding rates for structured debt issuances and, also, because secondary market prices (a)
exclude selling commissions and (b) may exclude projected hedging profits, if any, and estimated hedging costs that are included
in the original issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy the notes from you
in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the
Maturity Date could result in a substantial loss to you.
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
|
The secondary market price of the notes
during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside
from the selling commissions, projected hedging profits, if any, estimated hedging costs and the levels of the Indices. Additionally,
independent pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on
customer account statements. This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may
be willing to purchase your notes in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value
and Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market
factors” in the accompanying product supplement.
PS-
7
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the S&P 500
®
Total Return Index, the Russell 2000
®
Total Return Index and the EURO STOXX 50
®
Net Return Index
|
|
The
Indices
The S&P 500
®
Total Return
Index represents the total return earned on a portfolio that tracks the S&P 500
®
Index and reinvests dividend
income in the S&P 500
®
Index, not in the specific stock paying the dividend. The S&P 500
®
Total Return Index consists of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets.
For additional information about the S&P 500
®
Total Return Index, see Annex A in this pricing supplement.
The Russell 2000
®
Total Return
Index tracks the total return performance of the constituents of the Russell 2000
®
Index, where regular cash dividends
are reinvested across the Russell 2000
®
Index. The Russell 2000
®
Index consists of the
middle 2,000 companies included in the Russell 3000E™ Index and, as a result of the index calculation methodology, consists
of the smallest 2,000 companies included in the Russell 3000
®
Index. The Russell 2000
®
Index
is designed to track the performance of the small capitalization segment of the U.S. equity market. For additional information
about the Russell 2000
®
Total Return Index, see Annex B in this pricing supplement.
The EURO STOXX 50
®
Net Return
Index is a version of the EURO STOXX 50
®
Index that reflects, in addition to the price performance of the constituents
of the EURO STOXX 50
®
Index, the reinvestment across all constituents of any dividends on those constituents after
deducting the relevant withholding taxes. The EURO STOXX 50
®
Index consists of 50 component stocks of market
sector leaders from within the Eurozone. The EURO STOXX 50
®
Net Return Index and STOXX are the intellectual property
(including registered trademarks) of STOXX Limited, Zurich, Switzerland and/or its licensors (the “Licensors”), which
are used under license. The notes based on the EURO STOXX 50
®
Net Return Index are in no way sponsored, endorsed,
sold or promoted by STOXX Limited and its Licensors and neither STOXX Limited nor any of its Licensors shall have any liability
with respect thereto. For additional information about the EURO STOXX 50
®
Net Return Index, see Annex C in this
pricing supplement.
Historical Information
The following graphs set forth the historical
performance of each Index based on the weekly historical closing levels from January 6, 2012 through November 10, 2017. The closing
level of the S&P 500
®
Total Return Index on November 10, 2017 was 5,020.307. The closing level of the Russell
2000
®
Total Return Index on November 10, 2017 was 7,239.865. The closing level of the EURO STOXX 50
®
Net Return Index on November 10, 2017 was 7,219.38. We obtained the closing levels above and below from the Bloomberg Professional
®
service (“Bloomberg”), without independent verification.
The historical closing levels of each Index
should not be taken as an indication of future performance, and no assurance can be given as to the closing level of any Index
on the Pricing Date, any Review Date or any day during the Monitoring Period. There can be no assurance that the performance of
the Indices will result in the return of any of your principal amount or the payment of any interest.
PS-
8
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the S&P 500
®
Total Return Index, the Russell 2000
®
Total Return Index and the EURO STOXX 50
®
Net Return Index
|
|
Tax
Treatment
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. In determining our
reporting responsibilities we intend to treat (i) the notes for U.S. federal income tax purposes as prepaid forward contracts with
associated contingent coupons and (ii) any
Contingent Interest Payments as ordinary income, as described
in the section entitled “Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders — Notes
Treated as Prepaid Forward Contracts with Associated Contingent Coupons” in the accompanying product supplement. Based on
the advice of Davis Polk & Wardwell LLP, our special tax counsel, we believe that this is a reasonable treatment, but that
there are other reasonable treatments that the IRS or a court may adopt, in which case the timing and character of any income or
loss on the notes could be materially affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments
on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses
in particular on whether to require investors in these instruments to accrue income over the term of their investment. It also
asks for comments on a number of related topics, including the character of income or loss with respect to these instruments and
the relevance of factors such as the nature of the underlying property to which the instruments are linked. While the notice requests
comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration
of these issues could materially affect the tax consequences of an investment in the notes, possibly with retroactive effect. You
should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, including possible
alternative treatments and the issues presented by this notice.
PS-
9
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the S&P 500
®
Total Return Index, the Russell 2000
®
Total Return Index and the EURO STOXX 50
®
Net Return Index
|
|
Non-U.S. Holders — Tax Considerations
.
The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and although we believe it is reasonable to
take a position that Contingent Interest Payments are not subject to U.S. withholding tax (at least if an applicable Form W-8 is
provided), a withholding agent may nonetheless withhold on these payments (generally at a rate of 30%, subject to the possible
reduction of that rate under an applicable income tax treaty), unless income from your notes is effectively connected with your
conduct of a trade or business in the United States (and, if an applicable treaty so requires, attributable to a permanent establishment
in the United States). If you are not a United States person, you are urged to consult your tax adviser regarding the U.S. federal
income tax consequences of an investment in the notes in light of your particular circumstances.
Section 871(m) of the Code and Treasury regulations
promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies)
on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities
or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments
linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations (such an index, a
“Qualified Index”). Additionally, the applicable regulations exclude from the scope of Section 871(m) instruments issued
in 2017 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal
income tax purposes (each an “Underlying Security”). Based on certain determinations made by us, 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
Interest Payments if they are otherwise treated as FDAP Income). Under a recent IRS notice, withholding under FATCA will not apply
to payments of gross proceeds (other than any amount treated as FDAP Income) of a taxable disposition, including an early redemption
or redemption at maturity, of the notes.
You should consult your tax adviser regarding the potential application of FATCA
to the notes.
In the event
of any withholding on the notes, we will not be required to pay any additional amounts with respect to amounts so withheld.
The Estimated Value of the Notes
The estimated value of the notes set forth
on the cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income
debt component with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative
or derivatives underlying the economic terms of the notes. The estimated value of the notes does not represent a minimum price
at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time. The internal funding rate
used in the determination of the estimated value of the notes is based on, among other things, our and our affiliates’ view
of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. For additional information, see “Selected
Risk Considerations — The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate” in this
pricing supplement.
The value of the derivative or derivatives
underlying the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent
on inputs such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are
market-observable, and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about
future market events and/or environments. Accordingly, the estimated value of the notes is determined when the terms of the notes
are set based on market conditions and other relevant factors and assumptions existing at that time.
The estimated value of the notes does not
represent future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could
provide valuations for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions
and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value
of the notes could change significantly based on, among other things, changes in market conditions, our or JPMorgan Chase &
Co.’s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at which
JPMS would be willing to buy notes from you in secondary market transactions.
The estimated value of the notes will be
lower than the original issue price of the notes because costs associated with selling, structuring and hedging the notes are included
in the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated
dealers, the projected profits, if any, that our affiliates expect to realize for assuming
PS-
10
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the S&P 500
®
Total Return Index, the Russell 2000
®
Total Return Index and the EURO STOXX 50
®
Net Return Index
|
|
risks inherent in hedging our obligations
under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk
and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected,
or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes may be allowed
to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits.
See “Selected Risk Considerations — The Estimated Value of the Notes Will Be Lower Than the Original Issue Price (Price
to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact
any secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in
the accompanying product supplement. In addition, we generally expect that some of the costs included in the original issue price
of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will
decline to zero over an initial predetermined period. These costs can include projected hedging profits, if any, and, in some circumstances,
estimated hedging costs and our internal secondary market funding rates for structured debt issuances. This initial predetermined
time period is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial
period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities,
the estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates. See “Selected
Risk Considerations — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements)
May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this pricing supplement.
Supplemental
Use of Proceeds
The notes are offered to meet investor demand
for products that reflect the risk-return profile and market exposure provided by the notes. See “How the Notes Work”
and “Hypothetical Payout Examples” in this pricing supplement for an illustration of the risk-return profile of the
notes and “The Indices” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal
to the estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus
(minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes, plus the estimated cost of hedging our obligations under the notes.
Supplemental
Plan of Distribution
We expect that delivery of the notes will be
made against payment for the notes on or about the Original Issue Date set forth on the front cover of this pricing supplement,
which will be the third business day following the Pricing Date of the notes (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
notes 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.
Additional
Terms Specific to the Notes
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 applicable 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.
You should read this pricing supplement together
with the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term
notes of which these notes are a part, and the more detailed information contained in the accompanying product supplement and the
accompanying underlying supplement. This pricing supplement, together with the documents listed below, contains the terms of the
notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary
or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures
or other educational materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk
Factors” sections of the accompanying product supplement and the accompanying underlying supplement, as the notes involve
risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other
advisers before you invest in the notes.
PS-
11
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the S&P 500
®
Total Return Index, the Russell 2000
®
Total Return Index and the EURO STOXX 50
®
Net Return Index
|
|
You may access these documents on the SEC website
at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website
is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us”
and “our” refer to JPMorgan Financial.
PS-
12
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the S&P 500
®
Total Return Index, the Russell 2000
®
Total Return Index and the EURO STOXX 50
®
Net Return Index
|
|
Annex A
The
S&P 500
®
Total
Return
Index
All information contained in this pricing supplement
regarding the S&P 500
®
Total Return Index, including, without limitation, its make-up, method of calculation
and changes in its components, has been derived from publicly available information, without independent verification. This information
reflects the policies of, and is subject to change by, S&P Dow Jones Indices LLC (“S&P Dow Jones”). The S&P
500
®
Total Return Index is calculated, maintained and published by S&P Dow Jones. S&P Dow Jones has no obligation
to continue to publish, and may discontinue the publication of, the S&P 500
®
Total Return Index.
The S&P 500
®
Total Return Index
is reported by Bloomberg L.P. under the ticker symbol “SPTR.”
The S&P 500
®
Total Return
Index represents the total return earned on a portfolio that tracks the S&P 500
®
Index and reinvests dividend income in the S&P 500
®
Index,
not in the specific stock paying the dividend. In the S&P 500
®
Index
changes in the index level reflect changes in stock prices. In the S&P 500
®
Total Return Index, changes in the
index level reflect both movements in stock prices and the reinvestment of dividend income. For additional information about the
S&P 500
®
Index, see “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying
underlying supplement, as supported by “— Supplemental Information About the S&P 500
®
Index”
below.
Ordinary cash dividends are applied on the
ex-date in calculating the S&P 500
®
Total Return Index. Special dividends are those dividends that are outside
of the normal payment pattern established historically by the issuer of the stocks composing the S&P 500
®
Index. These may be described by the issuer as “special,” “extra,” “year-end,”
or “return of capital.” Whether a dividend is funded from operating earnings or from other sources of cash does not
affect the determination of whether it is ordinary or special. S&P Dow Jones will generally consider the third consecutive
instance of a non-ordinary dividend (in terms of timing, not amount) to be ordinary for index purposes as a third consecutive instance
will now be considered to be part of the normal payment pattern established by the company. Special dividends are treated as corporate
actions with offsetting price and divisor adjustments. The S&P 500
®
Total Return Index reflects both ordinary
and special dividends.
License Agreement
JPMorgan Chase & Co. or its affiliate has
entered into an agreement with S&P Dow Jones that provides it and certain of its affiliates or subsidiaries, including JPMorgan
Financial, with a non-exclusive license and, for a fee, with the right to use the S&P 500
®
Total Return Index,
which is owned and published by S&P Dow Jones, in connection with certain securities, including the notes.
The notes are not sponsored, endorsed, sold
or promoted by S&P Dow Jones or its third party licensors. Neither S&P Dow Jones nor its third party licensors makes any
representation or warranty, express or implied, to the owners of the notes or any member of the public regarding the advisability
of investing in securities generally or in the notes particularly or the ability of the S&P 500
®
Total Return
Index to track general stock market performance. S&P Dow Jones’ and its third party licensors’ only relationship
to JPMorgan Financial or JPMorgan Chase & Co. is the licensing of certain trademarks and trade names of S&P Dow Jones and
the third party licensors and of the S&P 500
®
Total Return Index which is determined, composed and calculated
by S&P Dow Jones or its third party licensors without regard to JPMorgan Financial or JPMorgan Chase & Co. or the notes.
S&P Dow Jones and its third party licensors have no obligation to take the needs of JPMorgan Financial or JPMorgan Chase &
Co. or the owners of the notes into consideration in determining, composing or calculating the S&P 500
®
Total
Return Index. Neither S&P Dow Jones nor its third party licensors is responsible for and has not participated in the determination
of the prices and amount of the notes or the timing of the issuance or sale of the notes or in the determination or calculation
of the equation by which the notes are to be converted into cash. S&P Dow Jones has no obligation or liability in connection
with the administration, marketing or trading of the notes.
NEITHER
S&P Dow Jones, ITS AFFILIATES NOR THEIR THIRD PARTY LICENSORS GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS
OF THE S&P 500
®
Total Return Index OR ANY DATA INCLUDED THEREIN OR ANY COMMUNICATIONS, INCLUDING BUT NOT LIMITED
TO, ORAL OR WRITTEN COMMUNICATIONS (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P Dow Jones, ITS AFFILIATES
AND THEIR THIRD PARTY LICENSORS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS OR DELAYS THEREIN. S&P
Dow Jones MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR
PURPOSE OR USE WITH RESPECT TO THE MARKS, THE S&P 500
®
Total Return Index OR ANY DATA INCLUDED THEREIN. WITHOUT
LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P Dow Jones, ITS AFFILIATES OR THEIR THIRD PARTY LICENSORS BE
LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE OR CONSEQUENTIAL DAMAGES, INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS,
TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT,
TORT, STRICT LIABILITY OR OTHERWISE.
“Standard & Poor’s,”
“S&P,” and “S&P 500” are trademarks of Standard & Poor’s Financial Services LLC and have
been licensed for use by JPMorgan Chase & Co and its affiliates, including JPMorgan Financial.
Supplemental Information About the S&P
500
®
Index
In addition to the criteria for addition to the S&P
500
®
Index set forth in the accompanying underlying supplement, a company must have a primary listing of its common
stock on the NYSE, NYSE Arca, NYSE American (formerly NYSE MKT), NASDAQ Global Select
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| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the S&P 500
®
Total Return Index, the Russell 2000
®
Total Return Index and the EURO STOXX 50
®
Net Return Index
|
|
Market, NASDAQ Select Market, Investors Exchange (IEX),
NASDAQ Capital Market, Bats BZX, Bats BYX, Bats EDGA, Bats EDGX or Investors Exchange (IEX). Also, effective March 10, 2017,
company additions to the S&P 500
®
Index should have an unadjusted company market capitalization of $6.1 billion
or more (an increase from the previous requirement of an unadjusted company market capitalization of $5.3 billion or more).
As of July 31, 2017, the securities of companies with multiple share class structures are no longer eligible to be added to the
S&P 500
®
Index, but securities already included in the S&P 500
®
Index have been grandfathered
and are not affected by this change.
PS-
14
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the S&P 500
®
Total Return Index, the Russell 2000
®
Total Return Index and the EURO STOXX 50
®
Net Return Index
|
|
Annex
B
The
Russell 2000
®
Total
Return
Index
All information contained in this pricing supplement
regarding the Russell 2000
®
Total Return Index, including, without limitation, its make-up, method of calculation
and changes in its components, has been derived from publicly available information, without independent verification. This information
reflects the policies of, and is subject to change by, FTSE Russell. The Russell 2000
®
Total Return Index is calculated,
maintained and published by FTSE Russell. FTSE Russell has no obligation to publish, and may discontinue the publication of, the
Russell 2000
®
Total Return Index.
The Russell 2000
®
Total Return
Index is reported by Bloomberg L.P. under the ticker symbol “RU20INTR.”
The Russell 2000
®
Total Return Index
tracks the total return performance of the constituents of the Russell 2000
®
Index, where regular cash dividends
are reinvested across the Russell 2000
®
Index. Regular cash dividends are those paid to shareholders out of a company’s
profits or reserves. These cash dividends impact the total return and are reinvested across the Russell 2000
®
Total
Return Index on the dividend ex-date. In addition to paying regular dividends, a company may at times pay special cash dividends.
These are normally paid outside a company’s regular dividend schedule and can occur for a variety of reasons, such as a major
litigation win, the sale of a business or liquidation of an investment. For special cash dividends, the price of the stock is adjusted
to deduct the dividend amount before the open on the ex-date. Special cash dividends are not included within the Russell 2000
®
Total Return Index calculation. For additional information about the Russell 2000
®
Index, see “Equity Index
Descriptions — The Russell Indices” in the accompanying underlying supplement, as supported by “— Supplemental
Information About the Russell 2000
®
Index” below.
FTSE Russell deems a dividend to be special
if the distributing company describes it as such. However, in cases where a company pays a special cash dividend in a recurring
cycle (
e.g.
, monthly, quarterly, semi-annually, or annually) on more than three consecutive occasions which are not deemed
to be extraordinary, FTSE Russell will normally consider any further such cash distributions as ordinary dividends.
Disclaimers
The notes are not sponsored, endorsed, sold,
or promoted by FTSE Russell or any successor thereto or index owner and neither FTSE Russell nor any party hereto makes any representation
or warranty whatsoever, whether express or implied, to the owners of the notes or any member of the public regarding the advisability
of investing in securities generally or in the notes particularly or the ability of the Russell 2000
®
Total Return
Index to track general stock market performance or a segment of the same. FTSE Russell’s publication of the Russell 2000
®
Total Return Index in no way suggests or implies an opinion by FTSE Russell as to the advisability of investment in any or all
of the securities upon which the Russell 2000
®
Total Return Index is based. FTSE Russell’s only relationship
to JPMorgan Financial, JPMorgan Chase & Co. and their affiliates is the licensing of certain trademarks and trade names of
FTSE Russell and of the Russell 2000
®
Total Return Index, which is determined, composed and calculated by FTSE Russell
without regard to JPMorgan Financial, JPMorgan Chase & Co. and their affiliates or the notes. FTSE Russell is not responsible
for and has not reviewed the notes or any associated literature or publications and FTSE Russell makes no representation or warranty
express or implied as to their accuracy or completeness, or otherwise. FTSE Russell reserves the right, at any time and without
notice, to alter, amend, terminate or in any way change the Russell 2000
®
Total Return Index. FTSE Russell has no
obligation or liability in connection with the administration, marketing or trading of the notes.
“Russell 2000
®
Index”
is a trademark of FTSE Russell and has been licensed for use by JPMorgan Chase Bank, National Association and its affiliates. This
transaction is not sponsored, endorsed, sold, or promoted by FTSE Russell and FTSE Russell makes no representation regarding the
advisability of entering into this transaction.
FTSE RUSSELL DOES NOT GUARANTEE THE ACCURACY
AND/OR THE COMPLETENESS OF THE
Russell 2000
®
Total Return Index
OR
ANY DATA INCLUDED THEREIN AND FTSE RUSSELL SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN. FTSE RUSSELL
MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, THE GUARANTOR (IF APPLICABLE) AND/OR THEIR AFFILIATES,
INVESTORS, OWNERS OF THE PRODUCT(S), OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE
Russell
2000
®
Total Return Index
OR ANY DATA INCLUDED THEREIN. FTSE RUSSELL MAKES NO EXPRESS OR IMPLIED WARRANTIES,
AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE
Russell
2000
®
Total Return Index
OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT
SHALL FTSE RUSSELL HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN
IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
Supplemental Information About the Russell
2000
®
Index
As of August 25, 2017, to be eligible
for inclusion in the Russell 2000
®
Index, each company is required to have more than 5% of its voting rights (aggregated
across all of its equity securities) in the hands of unrestricted shareholders. Companies already included in the Russell
2000
®
Index have a five-year grandfathering period to comply or they will be removed from the Russell 2000
®
Index in September 2022.
PS-
15
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the S&P 500
®
Total Return Index, the Russell 2000
®
Total Return Index and the EURO STOXX 50
®
Net Return Index
|
|
Annex
C
The
EURO STOXX 50
®
Net
Return
Index
All information contained
in this pricing supplement regarding the EURO STOXX 50
®
Net Return Index, including, without limitation, its make-up,
method of calculation and changes in its components, from publicly available information, without independent verification. This
information reflects the policies of, and is subject to change by, STOXX Limited (“STOXX”). The EURO STOXX 50
®
Net Return Index is calculated, maintained and published by STOXX. STOXX has no obligation to continue to publish,
and may discontinue the publication of, the EURO STOXX 50
®
Net Return Index.
The EURO STOXX 50
®
Net Return Index is reported by Bloomberg, L.P. under the ticker symbol “SX5T.”
The EURO STOXX 50
®
Net Return
Index is a version of the EURO STOXX 50
®
Index that reflects, in addition to the price performance of the constituents
of the EURO STOXX 50
®
Index, the reinvestment across all constituents of any dividends on those constituents after
deducting the relevant withholding taxes. For additional information about the EURO STOXX 50
®
Index, see “Equity
Index Descriptions — The EURO STOXX 50
®
Index” in the accompanying underlying supplement.
All dividend adjustments
are implemented at the effective date (ex-date). Regular cash dividends are subject to the same corporate action adjustments
as those for special cash dividends as described under “Equity Index Descriptions — The EURO STOXX 50
®
Index
— EURO STOXX 50
®
Index Calculation” in the accompanying underlying supplement. Changes in weights
due to dividends are distributed proportionally across all index components and equal an investment into the portfolio. Withholding
taxes are considered for all dividends and are defined per country. The withholding tax rates for the relevant countries
are currently between 15% and 30%. If STOXX becomes aware of an exception on the taxation (
e.g.
, in case
a company confirms a deviating tax treatment), the exception will be used for the index calculation.
License Agreement
JPMorgan Chase & Co. or its affiliate has
entered into an agreement with STOXX providing it and certain of its affiliates or subsidiaries, including JPMorgan Financial,
with a non-exclusive license and, for a fee, with the right to use the EURO STOXX 50
®
Net Return Index, which is
owned and published by STOXX, in connection with certain securities, including the notes.
STOXX and its licensors (the “Licensors”)
have no relationship to the Issuer or the Guarantor (if applicable), other than the licensing of the EURO STOXX 50
®
Net Return Index and the related trademarks for use in connection with the notes.
STOXX and its Licensors do
not
:
|
·
|
sponsor, endorse, sell or promote the notes;
|
|
·
|
recommend that any person invest in the notes or any other securities;
|
|
·
|
have any responsibility or liability for or make any decisions about the timing, amount or pricing
of the notes;
|
|
·
|
have any responsibility or liability for the administration, management or marketing of the notes;
or
|
|
·
|
consider the needs of the notes or the holders of the notes in determining, composing or calculating
the EURO STOXX 50
®
Net Return Index or have any obligation to do so.
|
STOXX and its Licensors will not have any
liability in connection with the notes. Specifically,
|
·
|
STOXX and its Licensors do not make any warranty, express or implied and disclaim any and all
warranty about:
|
|
·
|
the results to be obtained by the notes, the holders of the notes or any other person in connection
with the use of the EURO STOXX 50
®
Net Return Index and the data included in the EURO STOXX 50
®
Net
Return Index;
|
|
·
|
the accuracy or completeness of the EURO STOXX 50
®
Net Return Index and its
data; or
|
|
·
|
the merchantability and the fitness for a particular purpose or use of the EURO STOXX 50
®
Net Return Index and its data;
|
|
·
|
STOXX and its Licensors will have no liability for any errors, omissions or interruptions in
the EURO STOXX 50
®
Net Return Index or its data; and
|
|
·
|
under no circumstances will STOXX or its Licensors be liable for any lost profits or indirect,
punitive, special or consequential damages or losses, even if STOXX or its Licensors knows that they might occur.
|
The licensing agreement with STOXX is solely
for the benefit of the parties to that agreement and not for the benefit of the holders of the notes or any other third parties.
PS-
16
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Least Performing of the S&P 500
®
Total Return Index, the Russell 2000
®
Total Return Index and
the EURO STOXX 50
®
Net Return Index
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JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Aug 2024 to Sep 2024
JP Morgan Chase (NYSE:JPM)
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From Sep 2023 to Sep 2024