Pricing supplement
To prospectus dated April 15, 2016,
prospectus supplement dated April 15, 2016 and
product supplement no. 4-I dated April 15, 2016
JPMorgan Chase Financial Company
LLC
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Registration
Statement Nos. 333-209682 and 333-209682-01
Dated November 10, 2017
Rule
424(b)(2)
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Structured
Investments
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$3,285,000
Review Notes Linked to the Common Stock of Celgene Corporation due November 28, 2018
Fully and Unconditionally Guaranteed
by JPMorgan Chase & Co.
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·
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The
notes are designed for investors who seek early exit prior to maturity at a premium if,
(1) with respect to any Review Date (other than the final Review Date), the closing price
of one share of the common stock of Celgene Corporation on that Review Date is at or
above the Call Level or, (2) with respect to the final Review Date, the Final Stock Price
is at or above the Call Level. If the notes are not automatically called and the Final
Stock Price is less than the Initial Stock Price by more than 30%, investors will lose
more than 30% of their principal amount at maturity and may lose all of their principal
amount at maturity.
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·
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Investors
in the notes should be willing to accept this risk of loss and be willing to forgo interest
and dividend payments, in exchange for the opportunity to receive a premium payment if
the notes are automatically called.
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·
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The
earliest date on which an automatic call may be initiated is February 22, 2018
†
.
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·
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The
notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company
LLC, which we refer to as JPMorgan Financial, the payment on which is fully and unconditionally
guaranteed by JPMorgan Chase & Co.
Any payment on the notes is subject to the
credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan
Chase & Co., as guarantor of the notes.
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·
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Minimum
denominations of $10,000 and integral multiples of $1,000 in excess thereof
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Key
Terms
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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Reference Stock:
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The common stock of Celgene Corporation, par value
$0.01 per share (Bloomberg ticker: CELG). We refer to Celgene Corporation as “Celgene.”
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Automatic Call:
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If (1) with respect to any Review Date (other
than the final Review Date), the closing price of one share of the Reference Stock on that Review Date is greater than or
equal to the Call Level or, (2) with respect to the final Review Date, the Final Stock Price is greater than or equal to the
Call Level, the notes will be automatically called for a cash payment per note that will be payable on the applicable Call
Settlement Date and that will vary depending on the applicable Review Date and call premium.
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Call Level:
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100% of the Initial Stock Price for each Review
Date
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Payment if Called:
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For every $1,000 principal
amount note, you will receive one payment of $1,000
plus
a call premium amount, calculated as follows:
• 3.9875% ×$1,000
if automatically called on the first Review Date
• 7.975% × $1,000
if automatically called on the second Review Date
• 11.9625% ×
$1,000 if automatically called on the third Review Date
• 15.95% × $1,000
if automatically called on the final Review Date
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Payment at Maturity:
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If the notes are not automatically
called and the Final Stock Price is less than the Initial Stock Price by up to 30%, you will receive the principal amount
of your notes at maturity.
If the notes are not automatically
called and the Final Stock Price is less than the Initial Stock Price by more than 30%, you will lose 1 % of the principal
amount of your notes for every 1% that the Final Stock Price is less than the Initial Stock Price. Under these circumstances,
your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000
+ ($1,000 × Stock Return)
If the notes are not
automatically called and the Final Stock Price is less than the Initial Stock Price by more than 30%, you will lose more
than 30% of your principal amount at maturity and may lose all of your principal amount at maturity
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Contingent Buffer Amount:
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30%
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Stock Return:
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(Final Stock Price –
Initial Stock Price)
Initial Stock Price
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Initial Stock Price:
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The closing price of one share of the Reference
Stock on the Pricing Date, which was $102.34
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Final Stock Price:
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The arithmetic
average of the closing prices of one share of the Reference Stock on the Ending Averaging Dates
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Stock Adjustment Factor:
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The Stock Adjustment
Factor is referenced in determining the closing price of one share of the Reference Stock and is set initially at 1.0 on the
Pricing Date. The Stock Adjustment Factor is subject to adjustment upon the occurrence of certain corporate events
affecting the Reference Stock. See “The Underlyings — Reference Stocks — Anti-Dilution Adjustments”
and “The Underlyings — Reference Stocks — Reorganization Events” in the accompanying product supplement
for further information.
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Pricing Date:
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November 10, 2017
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Original Issue Date:
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On or about November
15, 2017 (Settlement Date)
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Review Dates
†
:
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February 22, 2018, May 24, 2018, August 23, 2018
and November 23, 2018 (final Review Date)
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Ending Averaging Dates
†
:
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November 16, 2018, November 19, 2018, November
20, 2018, November 21, 2018 and the final Review Date
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Call Settlement Dates
†
:
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February 27, 2018, May 30, 2018, August 28, 2018
and the Maturity Date
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Maturity Date
†
:
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November 28, 2018
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CUSIP:
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48129HNN3
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†
Subject to postponement in the event of certain market disruption events and as described under “General Terms of
Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single
Underlying (Other Than a Commodity Index)” and “General Terms of Notes — Postponement of a Payment Date”
in the accompanying product supplement.
Investing in the notes involves
a number of risks. See “Risk Factors” beginning on page PS-10 of the accompanying product supplement and “Selected
Risk Considerations” beginning on page PS-4 of this pricing supplement.
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, prospectus supplement and prospectus.
Any representation to the contrary is a criminal offense.
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Price
to Public (1)
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Fees
and Commissions (2)
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Proceeds
to Issuer
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Per
note
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$1,000
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$10
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$990
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Total
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$3,285,000
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$32,850
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$3,252,150
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(1)
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See “Supplemental
Use of Proceeds” in this pricing supplement for information about the components of the price to public of the notes.
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(2)
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J.P. Morgan Securities LLC,
which we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions of $10.00 per $1,000
principal amount note it receives from us to other affiliated or unaffiliated dealers. See “Plan of Distribution (Conflicts
of Interest)” in the accompanying product supplement.
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The estimated value of the notes,
when the terms of the notes were set, was $978.20 per $1,000 principal amount note.
See “The Estimated Value of the
Notes” in this pricing supplement for additional information.
The notes are not bank deposits, are not insured by the
Federal Deposit Insurance Corporation or any other governmental agency, and are not obligations of, or guaranteed by, a bank.
Additional Terms Specific to the Notes
You should read this pricing supplement together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which these
notes are a part, and the more detailed information contained in the accompanying product supplement.
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. We urge you to consult your investment,
legal, tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website
is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us”
and “our” refer to JPMorgan Financial.
JPMorgan Structured Investments —
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PS-
1
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Review Notes Linked to the Common Stock of Celgene Corporation
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What Is the Total Return on the Notes upon
an Automatic Call or at Maturity, Assuming a Range of Performances for the Reference Stock?”
The following table illustrates the hypothetical simple total
return (
i.e.
, not compounded) on the notes that could be realized with respect to the applicable Review Date for a range
of movements in the Reference Stock as shown under the columns “Reference Stock Price Appreciation/Depreciation at Review
Date” and “Stock Return.” The following table assumes a hypothetical Initial Stock Price of $100 and a hypothetical
Call Level of $100 (equal to 100% of the hypothetical Initial Stock Price) and reflects the Contingent Buffer Amount of 30%. The
table also reflects that the call premiums used to calculate the call premium amount applicable to the first, second, third and
final Review Dates are 3.9875%, 7.975%, 11.9625% and 15.95%, respectively, regardless of any appreciation of the Reference Stock,
which may be significant. There will be only one payment on the notes whether called or at maturity. An entry of “N/A”
indicates that the notes would not be called on the applicable Review Date and no payment would be made on the applicable Call
Settlement Date. Each hypothetical return set forth below is for illustrative purposes only and may not be the actual total return
applicable to a purchaser of the notes. The numbers appearing in the following table have been rounded for ease of analysis.
Review Dates Prior to the Final Review Date
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Final Review Date
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Closing Price of One Share of the Reference Stock at Review Date
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Reference
Stock Price Appreciation/ Depreciation at Review Date
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Total
Return at First Call Settlement Date
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Total Return at Second Call Settlement Date
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Total Return at Third Call Settlement Date
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Final Stock Price (1)
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Stock Return
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Total Return at Maturity
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$180.00
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80.00%
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3.9875%
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7.975%
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11.9625%
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$180.00
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80.00%
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15.95%
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$170.00
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70.00%
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3.9875%
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7.975%
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11.9625%
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$170.00
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70.00%
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15.95%
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$160.00
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60.00%
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3.9875%
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7.975%
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11.9625%
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$160.00
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60.00%
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15.95%
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$150.00
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50.00%
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3.9875%
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7.975%
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11.9625%
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$150.00
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50.00%
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15.95%
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$140.00
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40.00%
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3.9875%
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7.975%
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11.9625%
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$140.00
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40.00%
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15.95%
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$130.00
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30.00%
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3.9875%
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7.975%
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11.9625%
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$130.00
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30.00%
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15.95%
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$120.00
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20.00%
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3.9875%
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7.975%
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11.9625%
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$120.00
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20.00%
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15.95%
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$110.00
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10.00%
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3.9875%
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7.975%
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11.9625%
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$110.00
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10.00%
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15.95%
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$100.00
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0.00%
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3.9875%
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7.975%
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11.9625%
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$100.00
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0.00%
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15.95%
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$95.00
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-5.00%
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N/A
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N/A
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N/A
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$95.00
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-5.00%
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0.00%
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$90.00
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-10.00%
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N/A
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N/A
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N/A
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$90.00
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-10.00%
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0.00%
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$80.00
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-20.00%
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N/A
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N/A
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N/A
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$80.00
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-20.00%
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0.00%
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$70.00
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-30.00%
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N/A
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N/A
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N/A
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$70.00
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-30.00%
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0.00%
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$69.99
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-30.01%
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N/A
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N/A
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N/A
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$69.99
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-30.01%
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-30.01%
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$60.00
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-40.00%
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N/A
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N/A
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N/A
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$60.00
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-40.00%
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-40.00%
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$50.00
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-50.00%
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N/A
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N/A
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N/A
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$50.00
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-50.00%
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-50.00%
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$40.00
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-60.00%
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N/A
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N/A
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N/A
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$40.00
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-60.00%
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-60.00%
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$30.00
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-70.00%
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N/A
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N/A
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N/A
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$30.00
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-70.00%
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-70.00%
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$20.00
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-80.00%
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N/A
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N/A
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N/A
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$20.00
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-80.00%
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-80.00%
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$10.00
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-90.00%
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N/A
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N/A
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N/A
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$10.00
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-90.00%
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-90.00%
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$0.00
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-100.00%
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N/A
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N/A
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N/A
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$0.00
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-100.00%
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-100.00%
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(1) The Final Stock Price is equal to the arithmetic average
of the closing prices of one share of the Reference Stock on the Ending Averaging Dates.
Hypothetical Examples of Amount Payable upon
Automatic Call or at Maturity
The following examples illustrate how the payment upon an automatic
call or at maturity in different hypothetical scenarios is calculated.
Example 1: The price of one share of the Reference Stock increases
from the Initial Stock Price of $100 to a closing level of $110 on the first Review Date.
Because the closing price of one
share of the Reference Stock on the first Review Date of $110 is greater than the Call Level of $100, the notes are automatically
called, and the investor receives a single payment of $1,039.875 per $1,000 principal amount note on the first Call Settlement
Date.
Example 2: The price of one share of the Reference Stock decreases
from the Initial Stock Price of $100 to closing prices of $95, $90 and $80 on the first, second and third Review Dates, respectively,
and increases from the Initial Stock Price of $100 to a Final Stock Price of $110.
Because the closing price of one share of
the Reference Stock on each of the first three Review Dates ($95, $90 and $80) is less than the Call Level of $100, the notes are
not automatically called on these Review Dates. However, because the Final Stock Price of $110 is greater than the Call Level of
$100, the notes are automatically called on the final Review Date, and the investor receives a single payment at maturity of $1,159.50
per $1,000 principal amount note.
Example 3: The price of one share of the Reference Stock decreases
from the Initial Stock Price of $100 to closing prices of $60, $40 and $50 on the first, second and third Review Dates, respectively,
and to a Final Stock Price of
JPMorgan Structured Investments —
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PS-
2
|
Review Notes Linked to the Common Stock of Celgene Corporation
|
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$70.
Because (a) the closing price of one share of the
Reference Stock on each of the first three Review Dates ($60, $40 and $50) is less than the Call Level of $100 and (b) the Final
Stock Price of $70 is less than the Initial Stock Price by up to the Contingent Buffer Amount of 30%, the notes are not automatically
called and the payment at maturity is the principal amount of $1,000 per $1,000 principal amount note.
Example 4: The price of one share of the Reference Stock decreases
from the Initial Stock Price of $100 to closing prices of $70, $90 and $80 on the first, second and third Review Dates, respectively,
and to a Final Stock Price of $60.
Because (a) the closing price of one share of the Reference Stock on each of the first three
Review Dates ($70, $90 and $80) is less than the Call Level of $100, and (b) the Final Stock Price of $60 is less than the Initial
Stock Price by more than the Contingent Buffer Amount of 30%, the notes are not automatically called and the investor receives
a payment at maturity that is less than the principal amount for each $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × -40%) = $600
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 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 Purchase Considerations
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·
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APPRECIATION POTENTIAL
— If (1) with
respect to any Review Date (other than the final Review Date), the closing price of one share of the Reference Stock on that Review
Date is greater than or equal to the Call Level or, (2) with respect to the final Review Date, the Final Stock Price is greater
than or equal to the Call Level, your investment will yield a payment per $1,000 principal amount note of $1,000
plus
: (i)
3.9875% × $1,000 if automatically called on the first Review Date, (ii) 7.975% × $1,000 if automatically called on
the second Review Date, (iii) 11.9625% × $1,000 if automatically called on the third Review Date, or (iv) 15.95% ×
$1,000 if automatically called on the final Review Date.
Because the notes are our unsecured and unsubordinated obligations,
the payment of which is fully and unconditionally guaranteed by JPMorgan Chase & Co., payment of any amount on the notes is
subject to our ability to pay our obligations as they become due and JPMorgan Chase & Co.’s ability to pay its obligations
as they become due.
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·
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Potential Early Exit
With Appreciation As a Result of Automatic Call Feature
—
While the original term of the notes is approximately one year, the notes will be automatically called before maturity if, (1)
with respect to any Review Date (other than the final Review Date), the closing price of one share of the Reference Stock on that
Review Date is at or above the Call Level or, (2) with respect to the final Review Date, the Final Stock Price is at or above the
Call Level, and you will be entitled to the applicable payment corresponding to the relevant Review Date as set forth on the cover
of this pricing supplement. 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.
|
|
·
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LIMITED PROTECTION AGAINST LOSS
— If
the notes are not automatically called and the Final Stock Price is less than the Initial Stock Price by up to the Contingent Buffer
Amount of 30%, you will be entitled to the full repayment of your principal at maturity. If the Final Stock Price is less than
the Initial Stock Price by more than 30%, for every 1% that the Final Stock Price is less than the Initial Stock Price, you will
lose an amount equal to 1% of the principal amount of your notes. Under these circumstances, you will lose more than 30% of your
principal amount at maturity and may lose all of your principal amount at maturity.
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|
·
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RETURN LINKED TO A SINGLE REFERENCE STOCK
—
The return on the notes is linked to the performance of a single Reference Stock, which is the common stock of Celgene Corporation.
For additional information, see “The Reference Stock” in this pricing supplement.
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|
·
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TAX TREATMENT
— You should review carefully
the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I.
The following discussion, when read in combination with that section, constitutes the full opinion of our special tax counsel,
Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes.
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Based on current market conditions,
in the opinion of our special tax counsel it is reasonable to treat the notes as “open transactions” that are not debt
instruments for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences
— Tax Consequences to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the
accompanying product supplement. Assuming this treatment is respected, the gain or loss on your notes should be treated as short-term
capital gain or loss unless you hold your notes for more than a 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 notes at the issue price. However, the IRS or a court may not respect
this treatment, in which case the timing and character of any income or loss on the notes could be materially and adversely affected.
In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid
forward contracts” and similar instruments. The notice focuses in particular on whether to require investors in these instruments
to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character
of income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to
which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors
should be subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership”
regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional
interest charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations
or other guidance promulgated after
JPMorgan Structured Investments —
|
PS-
3
|
Review Notes Linked to the Common Stock of Celgene Corporation
|
|
consideration of these issues could
materially and adversely 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.
Section 871(m) of the Code and Treasury
regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax
treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked
to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime,
including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations
(such an index, a “Qualified Index”). Additionally, the applicable regulations exclude from the scope of Section 871(m)
instruments issued in 2017 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends
for U.S. federal income tax purposes (each an “Underlying Security”). Based on certain determinations made by us, our
special tax counsel is of the opinion that Section 871(m) should not apply to the notes with regard to Non-U.S. Holders. Our determination
is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may
depend on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security.
You should consult your tax adviser regarding the potential application of Section 871(m) to the notes.
Withholding under legislation commonly
referred to as “FATCA” may (if the notes are recharacterized as debt instruments) apply to amounts treated as interest
paid with respect to the notes. Under a recent IRS notice, withholding under FATCA will not apply to payments of gross proceeds
(other than any amount treated as interest) of a taxable disposition, including an automatic call or redemption at maturity, of
the notes. You should consult your tax adviser regarding the potential application of FATCA to the notes.
Selected Risk
Considerations
An investment in the notes involves significant risks. Investing
in the notes is not equivalent to investing directly in the Reference Stock. These risks are explained in more detail in the “Risk
Factors” section of the accompanying product supplement.
|
·
|
YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS
— The notes do not guarantee any return of principal. If the notes are not automatically called, the return on the notes
at maturity is linked to the performance of the Reference Stock and will depend on whether, and the extent to which, the Stock
Return is positive or negative. If the Final Stock Price is less than the Initial Stock Price by more than the Contingent Buffer
Amount of 30%, the benefit provided by the Contingent Buffer Amount will terminate and you will be exposed to a loss. In this case,
for every 1% that the Final Stock Price is less than the Initial Stock Price, you will lose an amount equal to 1% of the principal
amount of your notes. Under these circumstances, you will lose more than 30% of your principal amount at maturity and may lose
all of your principal amount at maturity.
|
|
·
|
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN
CHASE & CO.
— The notes are subject to our and JPMorgan Chase & Co.’s credit risks, and our and JPMorgan
Chase & Co.’s credit ratings and credit spreads may adversely affect the market value of the notes. 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.
|
|
·
|
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 as an agent of
the offering of the notes, 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.
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We and/or our affiliates may also
currently or from time to time engage in business with Celgene, including extending loans to, or making equity investments in,
Celgene or providing advisory services to Celgene. In addition, one or more of our affiliates may publish research reports or otherwise
express opinions with respect to Celgene, and these reports may or may not recommend that investors buy or hold the Reference Stock.
As a prospective purchaser of the notes, you
JPMorgan Structured Investments —
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should undertake an independent investigation
of the Reference Stock issuer that in your judgment is appropriate to make an informed decision with respect to an investment in
the notes.
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LIMITED RETURN ON THE NOTES
— Your potential
gain on the notes will be limited to the call premium applicable to the Review Dates, as set forth on the cover of this pricing
supplement, regardless of any appreciation of the Reference Stock, which may be significant. Because the closing price of one share
of the Reference Stock at various times during the term of the notes could be higher than on the Review Dates, you may receive
a lower payment if automatically called or at maturity, as the case may be, than you would have if you had invested directly in
the Reference Stock.
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REINVESTMENT RISK
— If your notes are
automatically called early, the term of the notes may be reduced to as short as approximately three months. There is no guarantee
that you would be able to reinvest the proceeds from an investment in the notes at a comparable return for a similar level of risk
in the event the notes are automatically called prior to the Maturity Date.
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THE BENEFIT PROVIDED BY THE CONTINGENT BUFFER AMOUNT
MAY TERMINATE ON THE FINAL ENDING AVERAGING DATE
— If the Final Stock Price is less than the Initial Stock Price by more
than the Contingent Buffer Amount, the benefit provided by the Contingent Buffer Amount will terminate and you will be fully exposed
to any depreciation of the Reference Stock from the Initial Stock Price to the Final Stock Price.
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THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN
THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES —
The estimated value of the notes is only an estimate determined
by reference to several factors. The original issue price of the notes exceeds the estimated value of the notes because costs associated
with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include the
selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging
our obligations under the notes and the estimated cost of hedging our obligations under the notes. See “The Estimated Value
of the Notes” in this pricing supplement.
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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 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. See “The Estimated Value of the Notes” in this pricing supplement.
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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 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 consideration 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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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 price of one share of the Reference Stock, 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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the actual and expected volatility of the Reference
Stock;
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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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the dividend rate on the Reference Stock;
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interest and yield rates in the market generally;
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the occurrence of certain events affecting the issuer
of the Reference Stock that may or may not require an adjustment to the Stock Adjustment Factor, including a merger or acquisition;
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 OWNERSHIP OR DIVIDEND RIGHTS IN THE REFERENCE
STOCK —
As a holder of the notes, you will not have any ownership interest or rights in the Reference Stock, such as
voting rights or dividend payments. In addition, the issuer of the Reference Stock 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 Reference Stock and the notes.
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NO AFFILIATION WITH THE REFERENCE STOCK ISSUER
—
We are not affiliated with the issuer of the Reference Stock. We assume no responsibility for the adequacy of the information
about the Reference Stock issuer contained in this pricing supplement. You should undertake your own investigation into the Reference
Stock and its issuer. We are not responsible for the Reference Stock issuer’s public disclosure of information, whether contained
in SEC filings or otherwise.
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SINGLE STOCK RISK —
The price of the
Reference Stock can fall sharply due to factors specific to the Reference Stock 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.
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NO INTEREST PAYMENTS
— As a holder of
the notes, you will not receive any interest payments.
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VOLATILITY RISK —
Greater expected volatility
with respect to the Reference Stock indicates a greater likelihood as of the Pricing Date that the Final Stock Price could be less
than the Initial Stock Price by more than the Contingent Buffer Amount. The Reference Stock’s volatility, however, can change
significantly over the term of the notes. The price of one share of the Reference Stock could fall sharply during the term of the
notes, which could result in your losing some or all of your principal amount at maturity.
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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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THE ANTI-DILUTION PROTECTION FOR THE REFERENCE
STOCK IS LIMITED AND MAY BE DISCRETIONARY
— The calculation agent will make adjustments to the Stock Adjustment Factor
for certain corporate events affecting the Reference Stock. However, the calculation agent will not make an adjustment in response
to all events that could affect the Reference Stock. If an event occurs that does not require the calculation agent to make an
adjustment, the value of the notes may be materially and adversely affected. You should also be aware that the calculation agent
may make adjustments in response to events that are not described in the accompanying product supplement to account for any diluting
or concentrative effect, but the calculation agent is under no obligation to do so or to consider your interests as a holder of
the notes in making these determinations.
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The Reference
Stock
Public Information
All information contained herein on the Reference Stock
and on Celgene is derived from publicly available sources and is provided for informational purposes only. According to its publicly
available filings with the SEC, Celgene is a global biopharmaceutical company engaged primarily in the discovery, development and
commercialization of therapies for the treatment of cancer and inflammatory diseases through solutions in protein homeostasis,
immuno-oncology, epigenetics, immunology and neuro-inflammation. The common stock of Celgene, par value $0.01 per share (Bloomberg
ticker: CELG), is registered under the Securities Exchange Act of 1934, as amended, which we refer to as the Exchange Act, and
is listed on The NASDAQ Stock Market, which we refer to as the relevant exchange for purposes of Celgene in the accompanying product
supplement. Information provided to or filed with the SEC by Celgene pursuant to the Exchange Act can be located by reference to
SEC file number 001-34912, and can be accessed through www.sec.gov. We do not make any representation that these publicly available
documents are accurate or complete.
Historical Information Regarding
the Reference Stock
The following graph sets forth the historical performance
of the Reference Stock based on the weekly historical closing prices of one share of the Reference Stock from January 6, 2012 through
November 10, 2017. The closing price of one share of the Reference Stock on November 10, 2017 was $102.34. We obtained the closing
prices above and below from the Bloomberg Professional
®
service (“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 Reference Stock has experienced
substantial fluctuations. The historicals performance of the Reference Stock should not be taken as an indication of future performance,
and no assurance can be given as to the closing price of one share of the Reference Stock on any Review Date or Ending Averaging
Date. There can be no assurance that the performance of the Reference Stock will result in the return of any of your principal
amount.
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. See “Selected Risk Considerations — The Estimated Value of the Notes Does Not Represent Future Values
of the Notes and May Differ from Others’ Estimates” in this pricing supplement.
JPMorgan Structured Investments —
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The estimated value of the notes is lower than the original issue
price of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue
price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the
projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the
notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be
influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may
result in a loss. We or one or more of our affiliates will retain any profits realized in hedging our obligations under the notes.
See “Selected Risk Considerations — The Estimated Value of the Notes Is Lower Than the Original Issue Price (Price
to Public) of the Notes” in this pricing supplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondary
market prices of the notes, see “Selected Risk Considerations — Secondary Market Prices of the Notes Will Be Impacted
by Many Economic and Market Factors” in this pricing 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 that 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.”
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 “What Is the Total Return on the Notes upon
an Automatic Call or at Maturity, Assuming a Range of Performances for the Reference Stock?” and “Hypothetical Examples
of Amount Payable upon an Automatic Call or at Maturity” in this pricing supplement for an illustration of the risk-return
profile of the notes and “The Reference Stock” 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.
Validity of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as special products
counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by this pricing supplement have been executed
and issued by JPMorgan Financial and authenticated by the trustee pursuant to the indenture, and delivered against payment as contemplated
herein, such notes will be valid and binding obligations of JPMorgan Financial and the related guarantee will constitute a valid
and binding obligation of JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicable bankruptcy,
insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of
general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith),
provided
that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable
law on the conclusions expressed above. This opinion is given as of the date hereof and is limited to the laws of the State of
New York, the General Corporation Law of the State of Delaware and the Delaware Limited Liability Company Act. In addition, this
opinion is subject to customary assumptions about the trustee’s authorization, execution and delivery of the indenture and
its authentication of the notes and the validity, binding nature and enforceability of the indenture with respect to the trustee,
all as stated in the letter of such counsel dated February 24, 2016, which was filed as an exhibit to the Registration Statement
on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24, 2016.
JPMorgan Structured Investments —
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