PRICING SUPPLEMENT
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-209682 and 333-209682-01
Dated July 18, 2017
JPMorgan
Chase Financial Company LLC Trigger Absolute Return Autocallable Notes
$5,072,000 Linked to the common stock of Bank of America Corporation
due July 23, 2019
Fully and Unconditionally Guaranteed by JPMorgan Chase &
Co.
Investment
Description
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Trigger Absolute Return Autocallable Notes, which we refer to as the “Notes,” are unsecured and unsubordinated debt securities issued by JPMorgan Chase Financial Company LLC (“JPMorgan Financial”), the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co., linked to the performance of the common stock of a specific company (the “Underlying”). If the Underlying closes at or above the Initial Value on any Observation Date, JPMorgan Financial will automatically call the Notes and pay you a Call Price equal to the principal amount per Note plus a Call Return. The Call Return increases the longer the Notes are outstanding. If by maturity the Notes have not been called and the closing price of one share of the Underlying closes at or above the Downside Threshold on the Final Valuation Date, JPMorgan Financial will repay the principal amount
plus
pay you a return at maturity equal to the absolute value of the percentage decline in the price of the Underlying from the Initial Value to the Final Value (the “Contingent Absolute Return”). If by maturity the Notes have not been called and the Underlying closes below the Downside Threshold on the Final Valuation Date, the Contingent Absolute Return will not apply and JPMorgan Financial will repay less than the principal amount, if anything, resulting in a loss that is proportionate to the decline in the price of the Underlying from the Initial Value to the Final Value. The closing price of the Underlying is subject to adjustments, in the sole discretion of the calculation agent, in the case of certain corporate events described in the accompanying product supplement under “The Underlyings — Underlying Stocks — Anti-Dilution Adjustments” and “The Underlyings — Underlying Stocks — Reorganization Events.”
Investing in the Notes involves significant risks. The Notes do not pay interest. You may lose some or all of your principal amount. Generally, a higher Call Return Rate is associated with a greater risk of loss. The Contingent Absolute Return and any contingent repayment of principal apply only if you hold the Notes to maturity. Any payment on the Notes, including any repayment of principal, is subject to the creditworthiness of JPMorgan Financial, as issuer of the Notes, and the creditworthiness of JPMorgan Chase & Co., as guarantor of the Notes. If JPMorgan Financial and JPMorgan Chase & Co. were to default on their payment obligations, you may not receive any amounts owed to you under the Notes and you could lose your entire investment.
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Call Return:
JPMorgan Financial will automatically call the Notes for a Call Price equal to the principal amount plus a Call Return if the closing price of one share of the Underlying on any Observation Date is equal to or greater than the Initial Value. The Call Return increases the longer the Notes are outstanding. If the Notes are not called, investors will have the potential for downside equity market risk at maturity.
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Downside Exposure with Contingent Absolute Return at Maturity:
If by maturity the Notes have not been called and the price of the Underlying closes at or above the Downside Threshold on the Final Valuation Date, JPMorgan Financial will repay the principal amount
plus
pay the Contingent Absolute Return. If, by maturity the Note have not been called and the price of one share of the Underlying closes below the Downside Threshold on the Final Valuation Date, the Contingent Absolute Return will not apply and JPMorgan Financial will repay less than the principal amount, if anything, resulting in a loss that is proportionate to the decline in the price of the Underlying from the Initial Value to the Final Value. The Contingent Absolute Return and any contingent repayment of principal apply only if you hold the Notes to maturity. Any payment on the Notes, including any repayment of principal, is subject to the creditworthiness of JPMorgan Financial and JPMorgan Chase & Co.
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Trade Date
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July 18, 2017
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Original Issue Date (Settlement Date)
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July 21, 2017
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Observation Dates
1
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Quarterly (see page 4)
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Final Valuation Date
1
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July 18, 2019
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Maturity Date
1
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July 23, 2019
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1
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Subject to postponement in the event of a market disruption event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
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THE NOTES ARE SIGNIFICANTLY RISKIER THAN CONVENTIONAL DEBT
INSTRUMENTS. JPMORGAN FINANCIAL IS NOT NECESSARILY OBLIGATED TO REPAY THE FULL PRINCIPAL AMOUNT OF THE NOTES AT MATURITY, AND THE
NOTES CAN HAVE DOWNSIDE MARKET RISK SIMILAR TO THE UNDERLYING. THIS MARKET RISK IS IN ADDITION TO THE CREDIT RISK INHERENT IN PURCHASING
A DEBT OBLIGATION OF JPMORGAN FINANCIAL FULLY AND UNCONDITIONALLY GUARANTEED BY JPMORGAN CHASE & CO. YOU SHOULD NOT PURCHASE
THE NOTES IF YOU DO NOT UNDERSTAND OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS INVOLVED IN INVESTING IN THE NOTES.
YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER “KEY
RISKS” BEGINNING ON PAGE 6 OF THIS PRICING SUPPLEMENT AND UNDER “RISK FACTORS” BEGINNING ON PAGE PS-10 OF THE
ACCOMPANYING PRODUCT SUPPLEMENT BEFORE PURCHASING ANY NOTES. EVENTS RELATING TO ANY OF THOSE RISKS, OR OTHER RISKS AND UNCERTAINTIES,
COULD ADVERSELY AFFECT THE MARKET VALUE OF, AND THE RETURN ON, YOUR NOTES. YOU MAY LOSE SOME OR ALL OF YOUR INITIAL INVESTMENT
IN THE NOTES. THE NOTES WILL NOT BE LISTED ON ANY SECURITIES EXCHANGE.
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Note
Offering
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We are offering Trigger Absolute Return Autocallable Notes linked to the common stock of Bank of America Corporation. The Notes are offered at a minimum investment of $1,000 in denominations of $10 and integral multiples thereof. The Call Return Rate applicable to each Observation Date is provided in “Call Returns/Call Prices” in this pricing supplement.
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Underlying
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Call Return Rate
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Initial Value
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Downside Threshold
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CUSIP
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ISIN
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Common stock of Bank of America Corporation
(Bloomberg ticker: BAC)
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10.50% per annum
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$23.90
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$17.93, which is 75.00% of the
Initial Value
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48129G364
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US48129G3645
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See “Additional Information about JPMorgan Financial,
JPMorgan Chase & Co. and the Notes” in this pricing supplement. The Notes will have the terms specified in the prospectus
and the prospectus supplement, each dated April 15, 2016, product supplement no. UBS-1-I dated April 15, 2016 and this pricing
supplement.
The terms of the Notes as set forth in this pricing supplement, to the extent they differ or conflict with those
set forth in the accompanying product supplement, will supersede the terms set forth in that product 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 prospectus, the accompanying prospectus supplement and the accompanying product supplement.
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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Offering of Notes
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Total
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Per Note
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Total
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Per Note
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Total
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Per Note
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Notes linked to the common stock of Bank of America Corporation
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$5,072,000
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$10
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$76,080
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$0.15
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$4,995,920
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$9.85
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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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UBS Financial Services Inc., which we refer to as UBS, will receive selling commissions from us of $0.15 per $10 principal amount Note. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement, as supplemented by “Supplemental Plan of Distribution” in this pricing supplement.
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The estimated value of the Notes, when the terms of the Notes
were set, was $9.734 per $10 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.
UBS Financial Services Inc.
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Additional
Information about JPMorgan Financial, JPMorgan Chase & Co. and the Notes
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes,
of which these Notes are a part, and the more detailed information contained in the accompanying product supplement.
This pricing
supplement, together with the documents listed below, contains the terms of the Notes and supersedes all other prior or contemporaneous
oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade
ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours.
You
should carefully consider, among other things, the matters set forth in the “Risk Factors” section of the accompanying
product supplement, as the Notes involve risks not associated with conventional debt securities.
You may access these documents on the SEC website
at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is
1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, the “Issuer,” “JPMorgan
Financial,” “we,” “us” and “our” refer to JPMorgan Chase Financial Company LLC.
Supplemental Terms of the Notes
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For purposes of the accompanying product supplement,
the common stock of Bank of America Corporation is an “Underlying Stock.”
Investor
Suitability
The Notes may be suitable for you if, among other considerations:
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You fully understand the risks inherent in an investment in the Notes,
including the risk of loss of your entire initial investment.
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You can tolerate a loss of all or a substantial portion of your investment
and are willing to make an investment that may have the same downside market risk as an investment in the Underlying.
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You believe the Underlying will close at or above the Initial Value
on one of the specified Observation Dates or will close at or above the Downside Threshold on the Final Valuation Date.
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You understand and accept that you will not participate in any appreciation
in the price of one share of the Underlying and that your potential return is limited to the applicable Call Return or, if the
Notes have not been called, to the Contingent Absolute Return (as limited by the Downside Threshold).
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You can tolerate fluctuations in the price of the Notes prior to maturity
that may be similar to or exceed the downside price fluctuations of the Underlying.
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You are willing to invest in the Notes based on the Call Return Rate
indicated on the cover hereof.
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You do not seek current income from this investment and are willing
to forgo dividends paid on the Underlying.
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You are able and willing to invest in Notes that may be called early
and you are otherwise able and willing to hold the Notes to maturity.
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You accept that there may be little or no secondary market for the
Notes and that any secondary market will depend in large part on the price, if any, at which J.P. Morgan Securities LLC, which
we refer to as JPMS, is willing to trade the Notes.
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You understand and accept the risks associated with the Underlying.
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You are willing to assume the credit risks of JPMorgan Financial and
JPMorgan Chase & Co. for all payments under the Notes, and understand that if JPMorgan Financial and JPMorgan Chase & Co.
default on their obligations, you may not receive any amounts due to you including any repayment of principal.
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The Notes may not be suitable for you if, among other considerations:
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You do not fully understand the risks inherent in an investment in
the Notes, including the risk of loss of your entire initial investment.
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You cannot tolerate a loss of all or a substantial portion of your
investment and are unwilling to make an investment that may have the same downside market risk as an investment in the Underlying.
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You require an investment designed to provide a full return of principal
at maturity.
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You believe that the price of one share of the Underlying will decline
during the term of the Notes and is likely to close below the Downside Threshold on the Final Valuation Date exposing you to the
full negative Underlying Return at maturity.
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You seek an investment that participates in the full appreciation in
the price of the Underlying or that has unlimited return potential.
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You cannot tolerate fluctuations in the price of the Notes prior to
maturity that may be similar to or exceed the downside price fluctuations of the Underlying.
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You are unwilling to invest in the Notes based on the Call Return Rate
indicated on the cover hereof.
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You prefer the lower risk, and therefore accept the potentially lower
returns, of fixed income investments with comparable maturities and credit ratings.
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You seek current income from this investment or prefer to receive the
dividends paid on the Underlying.
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You are unable or unwilling to invest in Notes that may be called early,
or you are otherwise unable or unwilling to hold the Notes to maturity, or you seek an investment for which there will be an active
secondary market.
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You do not understand or accept the risks associated with the Underlying.
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You are not willing to assume the credit risks of JPMorgan Financial
and JPMorgan Chase & Co. for all payments under the Notes, including any repayment of principal.
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The suitability considerations identified above are not exhaustive.
Whether or not the Notes are a suitable investment for you will depend on your individual circumstances, and you should reach an
investment decision only after you and your investment, legal, tax, accounting and other advisers have carefully considered the
suitability of an investment in the Notes in light of your particular circumstances. You should also review carefully the “Key
Risks” section of this pricing supplement and the “Risk Factors” section of the accompanying product supplement
for risks related to an investment in the Notes. For more information on the Underlying, please see the section titled “The
Underlying” below.
Issuer
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JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
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Guarantor
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JPMorgan Chase & Co.
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Issue Price
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$10.00 per Note
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Underlying
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Common stock of Bank of America Corporation
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Principal Amount
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$10 per Note (subject to a minimum purchase of 100 Notes or $1,000)
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Term
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Approximately 2 years, unless called earlier
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Call Feature
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The Notes will be called if the closing price
1
of one share of the Underlying on any Observation Date is equal to or greater than the Initial Value. If the Notes are called, JPMorgan Financial will pay you on the applicable Call Settlement Date a cash payment per Note equal to the applicable Call Price for the applicable Observation
Date.
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Observation Dates
2
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October 18, 2017
January 18, 2018
April 18, 2018
July 18, 2018
October 18, 2018
January 18, 2019
April 18, 2019
July 18, 2019 (Final Valuation Date)
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Call Settlement Dates
2
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As specified under “Call Settlement Dates” column of the table under “Call Returns/Call Prices” below
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Call Return
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The Call Return increases the longer the Notes are outstanding and is based upon a rate of 10.50% per annum. See “Call Returns/Call Prices.”
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Call Price
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The Call Price equals the principal amount per Note
plus
the Call Return.
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Payment at Maturity (per $10 Note)
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If
the Notes are not automatically called and the Final Value is equal to or greater than the Downside Threshold,
we will pay
you a cash payment at maturity per $10 principal amount Note equal
to:
$10 × (1 + Contingent Absolute Return)
If
the Notes are not automatically called and the Final Value is less than the Downside Threshold,
we will pay you a cash payment
at maturity that is less than $10 per $10 principal amount Note, equal
to:
$10 × (1 + Underlying Return)
In this scenario, the Contingent Absolute Return does not
apply, you will be exposed to the decline of the Underlying and you will lose some or all of your principal at maturity in an amount
proportionate to the negative Underlying Return.
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Underlying Return
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Final Value – Initial Value
Initial Value
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Contingent Absolute Return
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The absolute value of the Underlying Return. For example, if the Underlying Return is -5%, the Contingent Absolute Return will equal
5%.
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Initial Value
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The closing price of one share of the Underlying on the Trade Date, as specified on the cover of this pricing supplement
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Final Value
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The closing price
1
of one share of the Underlying on the Final Valuation Date
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Downside Threshold
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75.00% of the Initial Value, as specified on the cover of this pricing supplement
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Stock Adjustment Factor
1
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The Stock Adjustment Factor is referenced in determining the closing price of the Underlying. The Stock Adjustment Factor is set initially at 1.0 on the Trade Date.
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1
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The closing price and the Stock Adjustment Factor are subject to adjustments, in the sole discretion of the calculation agent, in the case of certain corporate events described in the accompanying product supplement under “The Underlyings — Underlying Stocks — Anti-Dilution Adjustments” and “The Underlyings — Underlying Stocks — Reorganization Events.”
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2
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See footnote 1 under “Key Dates” on the front cover
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Trade Date
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The closing price of one share of the Underlying (Initial Value) is observed, the Downside Threshold is determined and the applicable Call Return Rate is finalized.
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Quarterly
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The Notes will be called if the closing price of one share of
the Underlying on any Observation Date is equal to or greater than the Initial Value.
If the Notes are called, JPMorgan Financial will pay the applicable
Call Price for the applicable Observation Date: equal to the principal amount
plus
an amount based on the applicable Call
Return Rate.
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Maturity Date
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If
the Notes are not automatically called and the Final Value is equal to or greater than the Downside Threshold,
we will pay
you a cash payment at maturity per $10 principal amount Note equal
to:
$10 × (1 + Contingent Absolute Return)
If
the Notes are not automatically called and the Final Value is less than the Downside Threshold,
we will pay you a cash payment
at maturity that is less than $10 per $10 principal amount Note, equal
to:
$10 × (1 + Underlying Return)
In this scenario, the Contingent Absolute Return does not
apply, you will be exposed to the decline of the Underlying and you will lose some or all of your principal at maturity in an amount
proportionate to the negative Underlying Return.
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INVESTING IN THE NOTES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE SOME OR ALL OF YOUR PRINCIPAL AMOUNT. ANY PAYMENT ON THE NOTES, INCLUDING ANY REPAYMENT OF PRINCIPAL, IS SUBJECT TO THE CREDITWORTHINESS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. IF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. WERE TO DEFAULT ON THEIR PAYMENT OBLIGATIONS, YOU MAY NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE NOTES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.
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Call
Returns/Call Prices
Observation Dates
†
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Call Settlement Dates
†
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Call Return (numbers below reflect the rate of 10.50% per annum)
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Call Price (per $10)
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October 18, 2017
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October 23, 2017
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2.625%
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$10.2625
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January 18, 2018
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January 23, 2018
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5.250%
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$10.5250
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April 18, 2018
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April 23, 2018
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7.875%
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$10.7875
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July 18, 2018
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July 23, 2018
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10.500%
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$11.0500
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October 18, 2018
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October 23, 2018
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13.125%
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$11.3125
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January 18, 2019
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January 24, 2019
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15.750%
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$11.5750
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April 18, 2019
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April 24, 2019
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18.375%
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$11.8375
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July 18, 2019
(Final Valuation Date)
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July 23, 2019
(Maturity Date)
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21.000%
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$12.1000
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†
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See footnote 1 under “Key Dates” on the cover
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What
Are the Tax Consequences of the Notes?
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. UBS-1-I. The following discussion, when
read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP,
regarding the material U.S. federal income tax consequences of owning and disposing of Notes.
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 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, as well as to payments of gross proceeds of a taxable disposition, including an automatic call or redemption at maturity,
of a Note. However, under a recent IRS notice, this regime will not apply to payments of gross proceeds (other than any amount
treated as interest) with respect to dispositions occurring before January 1, 2019. You should consult your tax adviser regarding
the potential application of FATCA to the Notes.
Key
Risks
An investment in the Notes involves significant risks. Investing
in the Notes is not equivalent to investing directly in the Underlying. These risks are explained in more detail in the “Risk
Factors” section of the accompanying product supplement. We also urge you to consult your investment, legal, tax, accounting
and other advisors before you invest in the Notes.
Risks Relating to the Notes Generally
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Your Investment in the Notes May Result in a Loss
— The
Notes differ from ordinary debt securities in that JPMorgan Financial will not necessarily repay the full principal amount of the
Notes. If the Notes are not called and the closing price of one share of the Underlying has declined below the Downside Threshold
on the Final Valuation Date, you will be fully exposed to any depreciation in the closing price of one share of the Underlying
from the Initial Value to the Final Value. In this case, JPMorgan Financial will repay less than the full principal amount at maturity,
resulting in a loss of principal that is proportionate to the negative Underlying Return. Under these circumstances, the Contingent
Absolute Return will not apply and you will lose 1% of your principal for every 1% that the Final Value is less than the Initial
Value. Accordingly, you could lose up to your entire principal amount.
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Credit Risks of JPMorgan Financial and JPMorgan Chase & Co.
— The Notes are unsecured and unsubordinated debt obligations of the Issuer, JPMorgan Chase Financial Company LLC, the payment
on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. The Notes will rank
pari passu
with all of
our other unsecured and unsubordinated obligations, and the related guarantee JPMorgan Chase & Co. will rank
pari passu
with all of JPMorgan Chase & Co.’s other unsecured and unsubordinated obligations. The Notes and related guarantees are
not, either directly or indirectly, an obligation of any third party. Any payment to be made on the Notes, including any repayment
of principal, depends on the ability of JPMorgan Financial and JPMorgan Chase & Co. to satisfy their obligations as they come
due. As a result, the actual and perceived creditworthiness of JPMorgan Financial and JPMorgan Chase & Co. may affect the market
value of the Notes and, in the event JPMorgan Financial and JPMorgan Chase & Co. were to default on their obligations, you
may not receive any amounts owed to you under the terms of the Notes and you could lose your entire investment.
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As a Finance Subsidiary, JPMorgan Financial Has No Independent Operations
and Limited Assets —
As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the
issuance and administration of our securities. Aside from the initial capital contribution from JPMorgan Chase & Co., substantially
all of our assets relate to obligations of our affiliates to make payments under loans made by us or other intercompany agreements.
As a result, we are dependent upon payments from our affiliates to meet our obligations under the Notes. If these affiliates do
not make payments to us and we fail to make payments on the Notes, you may have to seek payment under the related guarantee by
JPMorgan Chase & Co., and that guarantee will rank
pari passu
with all other unsecured and unsubordinated obligations
of JPMorgan Chase & Co.
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The Contingent Absolute Return Applies Only If You Hold the Notes
to Maturity
— You should be willing to hold your Notes to maturity. If you are able to sell your Notes in the secondary
market, if any, prior to maturity, you may have to sell them at a loss relative to your initial investment even if the closing
price of one share of the Underlying is above the Downside Threshold. If by maturity the Notes have not been called, JPMorgan Financial
will repay you your principal amount
plus
the Contingent Absolute Return, unless the Final Value is below the Downside Threshold.
However, if by maturity the Note have not been called and the Final Value is less than the Downside Threshold, the Contingent Absolute
Return will not apply and JPMorgan Financial will repay less than the principal amount, if anything, resulting in a loss that is
proportionate to the decline in the price of the Underlying from the Initial Value to the Final Value. The Contingent Absolute
Return and any contingent repayment of principal based on whether the Final Value is below the Downside Threshold apply only if
you hold your Notes to maturity.
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Limited Return on the Notes
— If the Notes are called,
your potential gain on the Notes will be limited to the applicable Call Return regardless of the appreciation in the closing price
of one share of the Underlying, which may be significant. Because the Call Return increases the longer the Notes have been outstanding
and your Notes can be called as early as the first quarterly Observation Date, the term of the Notes could be cut short and the
return on the Notes would be less than if the Notes were called at a later date. In addition, if the Notes are not called, any
positive return on the Notes will be limited by the Downside Threshold because JPMorgan Financial will pay you the principal amount
plus
the Contingent Absolute Return at maturity only when the Notes are not called and only if the Final Value is greater
than or equal to the Downside Threshold. You will not receive a Contingent Absolute Return and will lose some or all of your investment
if the Final Value is below the Downside Threshold. Furthermore, because the closing price of one share of the Underlying at various
times during the term of the Notes could be higher than on the Observation Dates and on the Final Valuation Date, you may receive
a lower payment if the Notes are automatically called or at maturity, as the case may be, than you would have if you had invested
directly in the Underlying. Even though you will not participate in any potential appreciation of the Underlying, you may be exposed
to the Underlying’s downside market risk if the Notes are not automatically called.
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t
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The Probability That the Final Value Will Fall Below the Downside
Threshold on the Final Valuation Date Will Depend on the Volatility of the Underlying
— “Volatility” refers
to the frequency and magnitude of changes in the price of one share of the Underlying. Greater expected volatility with respect
to the Underlying reflects a higher expectation as of the Trade Date that the price of one share of that Underlying could close
below its Downside Threshold on the Final Valuation Date, resulting in the loss of some or all of your investment. In addition,
the Call Return Rate is a fixed amount and depends in part on this expected volatility. A higher Call Return Rate is generally
associated with greater expected volatility. However, the Underlying’s volatility can change significantly over the term
of the Notes. The price of one share of the Underlying for your Notes could fall sharply, which could result in a significant loss
of principal.
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t
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Reinvestment Risk
— If your Notes are called early, the
holding period over which you would have the opportunity to receive the Call Return Rate could be 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 rate
of return for a similar level of risk in the event the Notes are called prior to the Maturity Date.
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t
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No Periodic Interest Payments
— You will not receive any
periodic interest payments on the Notes.
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t
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Potential Conflicts
— We and our affiliates play a variety
of roles in connection with the issuance of the Notes, including acting as calculation agent and hedging our obligations under
the Notes and making the assumptions used to determine the pricing of the Notes and the estimated value of the Notes when the terms
of the Notes are set, which we refer to as the estimated value of the Notes. In performing these duties, our and JPMorgan Chase
& Co.’s economic interests and the economic interests of the calculation agent and other affiliates of ours are potentially
adverse to your interests as an investor in the Notes. In addition, our and JPMorgan Chase & Co.’s business activities,
including hedging and trading activities, could cause our and JPMorgan Chase & Co.’s economic interests to be adverse
to yours and could adversely affect any payment on the Notes and the value of the Notes. It is possible that hedging or trading
activities of ours or our affiliates in connection with the Notes could result in substantial returns for us or our affiliates
while the value of the Notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest”
in the accompanying product supplement for additional information about these risks. We and/or our affiliates may also currently
or from time to time engage in business with the issuer of the Underlying, including extending loans to, or making equity investments
in, the issuer of the Underlying or providing advisory services to the issuer of the Underlying. As a prospective purchaser of
the Notes, you should undertake an independent investigation of the issuer of the Underlying as in your judgment is appropriate
to make an informed decision with respect to an investment in the Notes.
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t
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Single Stock Risk
— The price of the Underlying can rise
or fall sharply due to factors specific to the Underlying and its issuer, such as stock price volatility, earnings, financial conditions,
corporate, industry and regulatory developments, management changes and decisions and other events, as well as general market factors,
such as general stock market volatility and levels, interest rates and economic and political conditions. For additional information
regarding the Underlying and its issuer, please see “The Underlying” in this pricing supplement and the issuer’s
SEC filings referred to in that section. We urge you to review financial and other information filed periodically with the SEC
by the Underlying issuer.
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t
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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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t
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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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t
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The Estimated Value of the Notes Is Derived by Reference to an Internal
Funding Rate
— The internal funding rate used in the determination of the estimated value of the Notes is based on, among
other things, our and our affiliates’ view of the funding value of the Notes as well as the higher issuance, operational
and ongoing liability management costs of the Notes in comparison to those costs for the conventional fixed-rate debt of JPMorgan
Chase & Co. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms
of the Notes and any secondary market prices of the Notes. See “The Estimated Value of the Notes” in this pricing supplement.
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t
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The Value of the Notes as Published by JPMS (and Which May Be Reflected
on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period
— We generally expect that some of the costs included in the original issue price of the Notes will be partially paid back
to you in connection with any repurchases of your Notes by JPMS in an amount that will decline to zero over an initial predetermined
period. These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated hedging
costs and our internal secondary market funding rates for structured debt issuances. See “Secondary Market Prices of the
Notes” in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated
value of your Notes during this initial period may be lower than the value of the Notes as published by JPMS (and which may be
shown on your customer account statements).
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t
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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.
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Any sale by you prior to the Maturity
Date could result in a substantial loss to you. See the immediately following risk factor for information about additional factors
that will impact any secondary market prices of the Notes.
The Notes are not designed to be
short-term trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity. See “—
Lack of Liquidity” below.
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t
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Many Economic and Market Factors Will Impact the Value of the Notes
— As described under “The Estimated Value of the Notes” in this pricing supplement, the Notes can be thought
of as securities that combine a fixed-income debt component with one or more derivatives.
As
a result, the factors that influence the values of fixed-income debt and derivative instruments will also influence the terms of
the Notes at issuance and their value in the secondary market.
Accordingly,
the secondary market price of the Notes during their term will be impacted by a number of economic and market factors, which may
either offset or magnify each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging costs
and the price of the Underlying, including:
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any
actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
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t
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customary
bid-ask spreads for similarly sized trades;
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t
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our
internal secondary market funding rates for structured debt issuances;
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t
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the
actual and expected volatility in the closing price of one share of the Underlying;
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t
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the
time to maturity of the Notes;
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t
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the
likelihood of an automatic call being triggered;
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t
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the
dividend rate on the Underlying;
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t
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the
occurrence of certain events affecting the issuer of the Underlying that may or may not require an adjustment to the closing price
and the Stock Adjustment Factor of the Underlying, including a merger or acquisition;
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t
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interest
and yield rates in the market generally; and
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t
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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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t
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No Dividend Payments or Voting Rights or Other Ownership Rights
in the Underlying
— As a holder of the Notes, you will not have any ownership interest or rights in the Underlying, such
as voting rights or rights to receive cash dividends or other distributions. In addition, the issuer of the Underlying will not
have any obligation to consider your interests as a holder of the Notes in taking any corporate action that might affect the value
of the Underlying and the Notes.
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No Affiliation with the Underlying Issuer
— We are not
affiliated with the issuer of the Underlying. We have not independently verified any of the information about the Underlying issuer
contained in this pricing supplement. You should make your own investigation into the Underlying and its issuer. We are not responsible
for the Underlying issuer’s public disclosure of information, whether contained in SEC filings or otherwise.
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No Assurances That the Investment View Implicit in the Notes Will
Be Successful
— While the Notes are structured to provide potentially enhanced returns in a flat or bullish environment
or potential absolute returns in a negative environment above the Downside Threshold, we cannot assure you of the economic environment
during the term or at maturity of your Notes and you may lose some or all of your investment at maturity.
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t
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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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t
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Anti-Dilution Protection Is Limited and May Be Discretionary
— Although the calculation agent will adjust the closing price and the Stock Adjustment Factor of the Underlying for certain
corporate events (such as stock splits and stock dividends) affecting the Underlying, the calculation agent is not required to
make an adjustment for every corporate event that can affect the Underlying. If an event occurs that does not require the calculation
agent to make these adjustments, the market value of your Notes and the payment at maturity if not previously called may be materially
and adversely affected. You should also be aware that the calculation agent may make any such adjustment, determination or calculation
in a manner that differs from what is described in the accompanying product supplement as it deems necessary to ensure an equitable
result. Subject to the foregoing, the calculation agent is under no obligation to consider your interests as a holder of the Notes
in making these determinations.
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t
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Potentially Inconsistent Research, Opinions or Recommendations by
JPMS, UBS or Their Affiliates
— JPMS, UBS or their affiliates may publish research, express opinions or provide recommendations
(for example, with respect to the issuer of the Underlying) that are inconsistent with investing in or holding the Notes, and that
may be revised at any time. Any such research, opinions or recommendations may or may not recommend that investors buy or hold
the Underlying and could affect the value of the Underlying, and therefore the market value of the Notes.
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Tax Treatment
— Significant aspects of the tax treatment
of the Notes are uncertain. You should consult your tax adviser about your tax situation.
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Potential JPMorgan Financial Impact on the Market Price of the Underlying
— Trading or transactions by JPMorgan Financial or its affiliates in the Underlying and/or over-the-counter options, futures
or other instruments with returns linked to the performance of the Underlying may adversely affect the market price of the Underlying
and, therefore, the market value of the Notes.
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Hypothetical
Examples
Hypothetical terms only. Actual terms
may vary. See the cover page for actual offering terms.
The examples below illustrate the hypothetical payment upon a
call or at maturity under different hypothetical scenarios for a $10.00 Note on an offering of the Notes linked to a hypothetical
Underlying and assume an Initial Value of $100.00, a Downside Threshold of $90.00 (which is 90.00% of the hypothetical Initial
Value) and a Call Return Rate of 5.00% per annum. The hypothetical Initial Value of $100.00 has been chosen for illustrative purposes
only and does not represent the actual Initial Value. The actual Initial Value and the resulting Downside Threshold are based on
the closing price of one share of the Underlying on the Trade Date and are specified on the cover of this pricing supplement. For
historical data regarding the actual closing prices of one share of the Underlying, please see the historical information set forth
under “The Underlying” in this pricing supplement. The actual Call Return Rate are specified on the cover of this pricing
supplement. The hypothetical payments on the Notes set forth in the examples below are for illustrative purposes only and may not
be the actual returns applicable to a purchaser of the Notes. The actual payment on the Notes may be more or less than the amounts
displayed below and will be determined based on the actual terms of the Notes, including the Initial Value, the Downside Threshold
and the Call Return Rate, and the Final Value on the Final Valuation Date. You should consider carefully whether the Notes are
suitable to your investment goals. The numbers appearing in the examples below have been rounded for ease of analysis.
Principal Amount:
|
$10.00
|
Term:
|
Approximately 2 years (unless earlier called)
|
Hypothetical Initial Value:
|
$100.00
|
Hypothetical Call Return Rate:
|
5.00% per annum (or 1.25% per quarter)
|
Observation Dates:
|
Quarterly
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Hypothetical Downside Threshold:
|
$90.00 (which is 90.00% of the hypothetical Initial Value)
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|
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The examples below are purely hypothetical and are intended
to illustrate how the value of any payment on the Notes will depend on the closing price on the Observation Dates.
Example 1 — Notes Are Called on the First Observation
Date
Closing Price at first Observation Date:
|
$110.00 (at or above Initial Value, Notes are called)
|
Call Price (per Note):
|
$10.125
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|
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Because the Notes are called on the first Observation Date, we
will pay you on the applicable Call Settlement Date a total Call Price of $10.125 per $10.00 principal amount (1.25% return on
the Notes). No further amounts will be owed on the Notes.
Example 2 — Notes Are Called on the Final Valuation
Date
Closing Price at first Observation Date:
|
$90.00 (below Initial Value, Notes NOT called)
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Closing Price at second Observation Date:
|
$80.00 (below Initial Value, Notes NOT called)
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Closing Price at third through seventh
Observation Dates:
|
Various (all below Initial Value, Notes NOT called)
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Closing Price at Final Valuation Date:
|
$105.00 (at or above Initial Value, Notes are called)
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|
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Call Price (per Note):
|
$11.00
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|
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Because the Notes are called on the Final Valuation Date, we
will pay you on the applicable Call Settlement Date (which coincides with the Maturity Date in this example) a total Call Price
of $11.00 per $10.00 principal amount (10.00% return on the Notes).
Example 3 — Notes Are NOT Called and the Final Value
Is Above the Downside Threshold
Closing Price at first Observation Date:
|
$90.00 (below Initial Value, Notes NOT called)
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Closing Price at second Observation Date:
|
$80.00 (below Initial Value, Notes NOT called)
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Closing Price at third through seventh
Observation Dates:
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Various (all below Initial Value, Notes NOT called)
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Closing Price at Final Valuation Date:
|
$95.00 (below Initial Value, but at or above Downside Threshold, Notes NOT called)
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|
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Settlement Amount (per Note):
|
$10.00 × (1 + Contingent Absolute Return)
$10.00 × (1 + 5%)
$10.50
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|
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Because the Notes are not called and the Underlying Return is
-5%, but the Final Value is above or equal to the Downside Threshold, at maturity we will pay you a total of $10.50 per $10.00
principal amount (a 5% return on the Notes).
Example 4 — Notes Are NOT Called and the Final Value
Is Below the Downside Threshold
Closing Price at first Observation Date:
|
$90.00 (below Initial Value, Notes NOT called)
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Closing Price at second Observation Date:
|
$80.00 (below Initial Value, Notes NOT called)
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Closing Price at third through seventh
Observation Dates:
|
Various (all below Initial Value, Notes NOT called)
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Closing Price at Final Valuation Date:
|
$50.00 (below Initial Value
and
Downside Threshold, Notes NOT called)
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|
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Settlement Amount (per Note):
|
$10.00 × (1 + Underlying Return)
$10.00 × (1 + -50%)
$5.00
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|
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Because the Notes are not called, the Final Value is below the
Downside Threshold and the Underlying Return -50%, at maturity we will pay you a total of $5.00 per $10.00 principal amount (a
50%
loss
on the Notes).
The hypothetical returns and hypothetical payments on the Notes
shown above apply
only if you hold the Notes for their entire term or until called
. These hypotheticals do not reflect fees
or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical
returns and hypothetical payments shown above would likely be lower.
The
Underlying
According to its publicly available filings with the SEC, Bank
of America Corporation, which we refer to as Bank of America, is a financial institution that serves individual consumers, small-
and middle-market businesses, institutional investors, large corporations and governments with a range of banking, investing, asset
management and other financial and risk management products and services. The common stock of Bank of America, par value $0.01
per share (Bloomberg ticker: BAC), is listed on the New York Stock Exchange, which we refer to as the relevant exchange for purposes
of Bank of America in the accompanying product supplement. Bank of America’s SEC file number is 001-06523.
Historical Information
The following table sets forth the quarterly high and low closing
prices of one share of the Underlying based on daily closing prices on the primary exchange for the Underlying, as reported by
the Bloomberg Professional
®
service (“Bloomberg”), without independent verification. This information
given below is for the four calendar quarters in each of 2012, 2013, 2014, 2015 and 2016 and the first and second calendar quarters
of 2017. Partial data is provided for the third calendar quarter of 2017. The closing price of one share of the Underlying on July
18, 2017 was $23.90. We obtained the closing prices above and below from Bloomberg, without independent verification. The closing
prices may have been adjusted by Bloomberg for corporate actions such as stock splits, public offerings, mergers and acquisitions,
spin-offs, delistings and bankruptcy.
Since its inception, the price of one share of the Underlying
has experienced significant fluctuations. The historical performance of the Underlying should not be taken as an indication of
future performance, and no assurance can be given as to the closing prices of one share of the Underlying during the term of the
Notes. There can be no assurance that the performance of the Underlying will result in the return of any of your principal amount.
Quarter Begin
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Quarter End
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Quarterly Closing High
|
Quarterly Closing Low
|
Close
|
1/1/2012
|
3/31/2012
|
$9.93
|
$5.80
|
$9.57
|
4/1/2012
|
6/30/2012
|
$9.68
|
$6.83
|
$8.18
|
7/1/2012
|
9/30/2012
|
$9.55
|
$7.04
|
$8.83
|
10/1/2012
|
12/31/2012
|
$11.60
|
$8.93
|
$11.60
|
1/1/2013
|
3/31/2013
|
$12.78
|
$11.03
|
$12.18
|
4/1/2013
|
6/30/2013
|
$13.83
|
$11.44
|
$12.86
|
7/1/2013
|
9/30/2013
|
$14.95
|
$12.83
|
$13.80
|
10/1/2013
|
12/31/2013
|
$15.88
|
$13.69
|
$15.57
|
1/1/2014
|
3/31/2014
|
$17.92
|
$16.10
|
$17.20
|
4/1/2014
|
6/30/2014
|
$17.34
|
$14.51
|
$15.37
|
7/1/2014
|
9/30/2014
|
$17.18
|
$14.98
|
$17.05
|
10/1/2014
|
12/31/2014
|
$18.13
|
$15.76
|
$17.89
|
1/1/2015
|
3/31/2015
|
$17.90
|
$15.15
|
$15.39
|
4/1/2015
|
6/30/2015
|
$17.67
|
$15.41
|
$17.02
|
7/1/2015
|
9/30/2015
|
$18.45
|
$15.26
|
$15.58
|
10/1/2015
|
12/31/2015
|
$17.95
|
$15.38
|
$16.83
|
1/1/2016
|
3/31/2016
|
$16.43
|
$11.16
|
$13.52
|
4/1/2016
|
6/30/2016
|
$15.11
|
$12.18
|
$13.27
|
7/1/2016
|
9/30/2016
|
$16.19
|
$12.74
|
$15.65
|
10/1/2016
|
12/31/2016
|
$23.16
|
$15.63
|
$22.10
|
1/1/2017
|
3/31/2017
|
$25.50
|
$22.05
|
$23.59
|
4/1/2017
|
6/30/2017
|
$24.32
|
$22.23
|
$24.26
|
7/1/2017
|
7/18/2017*
|
$24.92
|
$23.90
|
$23.90
|
*
|
As of the date of this pricing supplement, available information for the third calendar quarter of 2017 includes data for the period from July 1, 2017 through July 18, 2017. Accordingly, the “Quarterly Closing High,” “Quarterly Closing Low” and “Close” data indicated are for this shortened period only and do not reflect complete data for the second calendar quarter of 2017.
|
The graph below illustrates the daily performance of the Underlying
from January 3, 2007 through July 18, 2017, based on information from Bloomberg, without independent verification. The dotted line
represents a hypothetical Downside Threshold of $17.93, equal to 75.00% of the closing price on July 18, 2017.
Past performance of the Underlying is not indicative of
the future performance of the Underlying.
Supplemental
Plan of Distribution
We and JPMorgan Chase & Co. have agreed to indemnify UBS
and JPMS against liabilities under the Securities Act of 1933, as amended, or to contribute to payments that UBS may be required
to make relating to these liabilities as described in the prospectus supplement and the prospectus. We have agreed that UBS may
sell all or a part of the Notes that it purchases from us to the public or its affiliates at the price to public indicated on the
cover hereof.
Subject
to regulatory constraints, JPMS intends to offer to purchase the Notes in the secondary market, but it is not required to do
so.
We or our affiliates may enter into swap agreements or related
hedge transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the Notes, and
JPMS and/or an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions.
See “Supplemental Use of Proceeds” in this pricing supplement and “Use of Proceeds and Hedging” in the
accompanying product supplement.
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 values 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 “Key Risks —
Risks Relating to the Notes Generally — 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 “Key Risks — Risks Relating to the Notes Generally — The Estimated
Value of the Notes Does Not Represent Future Values of the Notes and May Differ from Others’ Estimates” in this pricing
supplement.
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 UBS, 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 “Key Risks — Risks Relating to the
Notes Generally — 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 “Key Risks — Risks Relating to the Notes Generally — 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 up to five months. The length of any such initial period reflects secondary market volumes for the Notes, 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 “Key Risks — Risks Relating
to the Notes Generally — 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 “Hypothetical Examples” in this pricing
supplement for an illustration of the risk-return profile of the Notes and “The Underlying” 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 UBS, 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.
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.
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