September 21, 2017
|
Registration Statement Nos. 333-209682 and 333-209682-01; Rule 424(b)(2)
|
JPMorgan Chase Financial Company LLC
Structured Investments
$650,000
Uncapped Buffered Return Enhanced Notes Linked
to an Unequally Weighted Basket Consisting of the S&P 500
®
Index, the Russell 2000
®
Index, the
iShares
®
MSCI EAFE ETF and the iShares
®
MSCI Emerging Markets ETF due September 26, 2022
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
|
·
|
The notes are designed for investors who seek a return of 1.10 times any appreciation of an unequally weighted basket of the
S&P 500
®
Index, the Russell 2000
®
Index, the iShares
®
MSCI EAFE ETF and the iShares
®
MSCI Emerging Markets ETF at maturity.
|
|
·
|
Because the S&P 500
®
Index makes up 50.00% of the Basket, we expect that generally
the market value of your notes and your payment at maturity will depend to a greater extent on the performance of the S&P 500
®
Index.
|
|
·
|
Investors should be willing to forgo interest and dividend payments and be willing to lose up to 80.00% of their principal
amount at maturity.
|
|
·
|
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.
|
|
·
|
Minimum denominations of $1,000 and integral multiples thereof
|
|
·
|
The notes priced on September 21, 2017 and are expected to settle on or about September 26, 2017.
|
Investing in the notes involves a number of risks. See
“Risk Factors” beginning on page PS-10 of the accompanying product supplement, “Risk Factors” beginning
on page US-2 of the accompanying underlying supplement and “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, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
|
Price to Public (1)
|
Fees and Commissions (2)
|
Proceeds to Issuer
|
Per note
|
$1,000
|
$5
|
$995
|
Total
|
$650,000
|
$3,250
|
$646,750
|
(1) See “Supplemental Use of Proceeds”
in this pricing supplement for information about the components of the price to public of the notes.
(2) 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 $5.00 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.
|
The estimated value of the notes, when the terms of the notes
were set, was $1,000.80 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.
Pricing supplement to product supplement no. 4-I
dated April 15, 2016, underlying supplement no. 1-I dated April 15, 2016
and the prospectus and prospectus supplement, each dated April 15, 2016
Key
Terms
Issuer:
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor:
JPMorgan Chase & Co.
Basket:
The
notes are linked to an unequally weighted basket consisting of the following:
|
·
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50.00% of the S&P 500
®
Index (Bloomberg
ticker: SPX);
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|
·
|
20.00% of the Russell 2000
®
Index (Bloomberg ticker: RTY)
(each of the S&P 500
®
Index and the Russell 2000
®
Index, an “Index” and collectively,
the “Indices”);
|
|
·
|
15.00% of the iShares
®
MSCI EAFE ETF (Bloomberg ticker: EFA);
and
|
|
·
|
15.00% of the iShares
®
MSCI Emerging Markets
ETF (Bloomberg ticker: EEM) (each of the iShares
®
MSCI EAFE ETF and the iShares
®
MSCI Emerging Markets
ETF, a “Fund” and collectively, the “Funds”);
|
(each of the Indices and Funds, an “Underlying” and
collectively, the “Underlyings”).
Upside Leverage
Factor:
1.10
Buffer Amount:
20.00%
Pricing Date:
September 21, 2017
Original Issue
Date (Settlement Date):
On or about September 26, 2017
Observation
Date *:
September 21, 2022
Maturity Date*:
September 26, 2022
* Subject to postponement in the event of a market disruption
event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to
Multiple Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying
product supplement
Payment at Maturity:
If the Final Basket Value is greater than the Initial Basket
Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Basket Return ×
Upside Leverage Factor)
If the Final Basket Value is equal to the Initial Basket Value
or is less than the Initial Basket Value by up to the Buffer Amount, you will receive the principal amount of your notes at maturity.
If the Final Basket Value is less than the Initial Basket Value
by more than the Buffer Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + [$1,000 × (Basket Return
+ Buffer Amount)]
If the Final Basket Value is less than the Initial Basket Value
by more than the Buffer Amount, you will lose some or most of your principal amount at maturity.
Basket Return:
(Final Basket Value – Initial Basket
Value)
Initial Basket Value
Initial Basket
Value:
Set equal to 100 on the Pricing Date
Final Basket
Value:
The closing level of the Basket on the Observation Date
Closing Level of the Basket:
100 × [1 + (50.00% × Underlying Return of the S&P
500
®
Index) + (20.00% × Underlying Return of the Russell 2000
®
Index) + (15.00% × Underlying
Return of the iShares
®
MSCI EAFE ETF) + (15.00% × Underlying Return of the iShares
®
MSCI Emerging
Markets ETF)]
Underlying
Return:
With respect to each Underlying,
(Final Value – Initial Value)
Initial Value
Initial Value:
With respect to each Underlying, the closing value of that Underlying
on the Pricing Date, which was 2,500.60 for the S&P 500
®
Index, 1,444.184 for the Russell 2000
®
Index, $68.18 for the iShares
®
MSCI EAFE ETF and $45.64 for the iShares
®
MSCI Emerging Markets ETF
Final Value:
With respect to each Underlying, the closing value of that Underlying
on the Observation Date
Share
Adjustment Factor:
With
respect to each Fund, the Share Adjustment Factor is referenced in determining the closing value of that Fund and is set equal
to 1.0 on the Pricing Date. The Share Adjustment Factor of each Fund is subject to adjustment upon the occurrence of certain events
affecting that Fund. See “The Underlyings — Funds — Anti-Dilution Adjustments” in the accompanying product
supplement for further information.
PS-
1
| Structured Investments
Uncapped Buffered Return Enhanced Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500
®
Index, the Russell 2000
®
Index, the iShares
®
MSCI EAFE ETF and the iShares
®
MSCI Emerging Markets ETF
|
|
Supplemental
Terms of the Notes
All references in this pricing supplement
to the closing value of each Index mean the closing level of that Index as defined in the accompanying product supplement, and
all references in this pricing supplement to the closing value of each Fund mean the closing price of one share of that Fund as
defined in the accompanying product supplement.
Hypothetical
Payout Profile
The following table illustrates the hypothetical
total return at maturity on the notes. The “total return” as used in this pricing supplement is the number, expressed
as a percentage, that results from comparing the payment at maturity per $1,000 principal amount note to $1,000. The hypothetical
total returns set forth below assume the following:
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an Initial Basket Value of 100.00;
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|
·
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an Upside Leverage Factor of 1.10; and
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·
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a Buffer Amount of 20.00%.
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Each hypothetical total return or hypothetical
payment at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity
applicable to a purchaser of the notes. The numbers appearing in the following table have been rounded for ease of analysis.
Final Basket Value
|
Basket Return
|
Total Return on the Notes
|
Payment at Maturity
|
165.00
|
65.00%
|
71.50%
|
$1,715.00
|
150.00
|
50.00%
|
55.00%
|
$1,550.00
|
140.00
|
40.00%
|
44.00%
|
$1,440.00
|
130.00
|
30.00%
|
33.00%
|
$1,330.00
|
120.00
|
20.00%
|
22.00%
|
$1,220.00
|
115.00
|
15.00%
|
16.50%
|
$1,165.00
|
110.00
|
10.00%
|
11.00%
|
$1,110.00
|
105.00
|
5.00%
|
5.50%
|
$1,055.00
|
102.50
|
2.50%
|
2.75%
|
$1,027.50
|
100.00
|
0.00%
|
0.00%
|
$1,000.00
|
95.00
|
-5.00%
|
0.00%
|
$1,000.00
|
90.00
|
-10.00%
|
0.00%
|
$1,000.00
|
85.00
|
-15.00%
|
0.00%
|
$1,000.00
|
80.00
|
-20.00%
|
0.00%
|
$1,000.00
|
70.00
|
-30.00%
|
-10.00%
|
$900.00
|
60.00
|
-40.00%
|
-20.00%
|
$800.00
|
50.00
|
-50.00%
|
-30.00%
|
$700.00
|
40.00
|
-60.00%
|
-40.00%
|
$600.00
|
30.00
|
-70.00%
|
-50.00%
|
$500.00
|
20.00
|
-80.00%
|
-60.00%
|
$400.00
|
10.00
|
-90.00%
|
-70.00%
|
$300.00
|
0.00
|
-100.00%
|
-80.00%
|
$200.00
|
PS-
2
| Structured Investments
Uncapped Buffered Return Enhanced Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500
®
Index, the Russell 2000
®
Index, the iShares
®
MSCI EAFE ETF and the iShares
®
MSCI Emerging Markets ETF
|
|
How
the Notes Work
Upside Scenario:
If the Final Basket Value is greater than the
Initial Basket Value, investors will receive at maturity the $1,000 principal amount
plus
a return equal to the Basket Return
times
the Upside Leverage Factor of 1.10.
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·
|
If the closing level of the Basket increases 5.00%, investors will receive
at maturity a 5.50% return, or $1,055.00 per $1,000 principal amount note.
|
Par Scenario:
If the Final Basket Value is equal to the Initial
Basket Value or is less than the Initial Basket Value by up to the Buffer Amount of 20.00%, investors will receive at maturity
the principal amount of their notes.
Downside Scenario:
If the Final Basket Value is less than the Initial
Basket Value by more than the Buffer Amount of 20.00%, investors will lose 1% of the principal amount of their notes for every
1% that the Final Basket Value is less than the Initial Basket Value by more than the Buffer Amount.
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·
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For example, if the closing level of the Basket declines 50.00%, investors
will lose 30.00% of their principal amount and receive only $700.00 per $1,000 principal amount note at maturity, calculated as
follows:
|
$1,000
+ [$1,000 × (-50.00% + 20.00%)
] = $700.00
The hypothetical returns and hypothetical payments
on the notes shown above apply
only if you hold the notes for their entire term.
These hypotheticals do not reflect the
fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the
hypothetical returns and hypothetical payments shown above would likely be lower.
PS-
3
| Structured Investments
Uncapped Buffered Return Enhanced Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500
®
Index, the Russell 2000
®
Index, the iShares
®
MSCI EAFE ETF and the iShares
®
MSCI Emerging Markets ETF
|
|
Selected
Risk Considerations
An investment in the notes involves significant
risks. These risks are explained in more detail in the “Risk Factors” sections of the accompanying product supplement
and underlying supplement.
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·
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YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
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The notes do not guarantee any return
of principal. If the Final Basket Value is less than the Initial Basket Value by more than 20.00%, you will lose 1% of the principal
amount of your notes for every 1% that the Final Basket Value is less than the Initial Basket Value by more than 20.00%. Accordingly,
under these circumstances, you will lose up to 80.00% of your principal amount at maturity.
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·
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CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
|
Investors are dependent on our and
JPMorgan Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan
Chase & Co.’s creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely
to adversely affect the value of the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you
may not receive any amounts owed to you under the notes and you could lose your entire investment.
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·
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AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
—
|
As a finance subsidiary of JPMorgan
Chase & Co., we have no independent operations beyond the issuance and administration of our securities. Aside from the initial
capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates to
make payments under loans made by us or other intercompany agreements. As a result, we are dependent upon payments from our affiliates
to meet our obligations under the 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.
We and our affiliates play a variety
of roles in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests
are potentially adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours
or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the value of
the notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying
product supplement.
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JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500
®
INDEX,
|
but JPMorgan Chase & Co. will not
have any obligation to consider your interests in taking any corporate action that might affect the level of the S&P 500
®
Index.
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THE NOTES DO NOT PAY INTEREST.
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CORRELATION (OR LACK OF CORRELATION) OF THE UNDERLYINGS —
|
The notes are linked to an unequally
weighted Basket composed of two Indices and a Fund. Because the S&P 500
®
Index makes up 50.00% of the Basket,
we expect that generally the market value of your notes and your payment at maturity will depend to a greater extent on the performance
of the S&P 500
®
Index. In calculating the Final Basket Value, an increase in the value of one of the Underlyings
may be moderated, or more than offset, by lesser increases or declines in the values of the other Underlyings. In addition, high
correlation of movements in the values of the Underlyings during periods of negative returns among the Underlyings could have an
adverse effect on the payment at maturity on the notes.
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·
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YOU WILL NOT RECEIVE DIVIDENDS ON EITHER FUND OR THE SECURITIES INCLUDED IN OR HELD BY ANY UNDERLYING
OR HAVE ANY RIGHTS WITH RESPECT TO EITHER FUND OR THOSE SECURITIES.
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·
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AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH
RESPECT TO THE RUSSELL 2000
®
INDEX —
|
Small capitalization companies may
be less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization
companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits
downward stock price pressure under adverse market conditions.
PS-
4
| Structured Investments
Uncapped Buffered Return Enhanced Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500
®
Index, the Russell 2000
®
Index, the iShares
®
MSCI EAFE ETF and the iShares
®
MSCI Emerging Markets ETF
|
|
|
·
|
THERE ARE RISKS ASSOCIATED WITH THE FUNDS —
|
The Funds are subject to management
risk, which is the risk that the investment strategies of the applicable Fund’s investment adviser, the implementation of
which is subject to a number of constraints, may not produce the intended results. These constraints could adversely affect the
market price of the shares of each Fund and, consequently, the value of the notes.
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·
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THE PERFORMANCE AND MARKET VALUE OF EACH FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY,
MAY NOT CORRELATE WITH THE PERFORMANCE OF THAT FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE —
|
Each Fund does not fully replicate
its Underlying Index (as defined under “The Basket” below) and may hold securities different from those included in
its Underlying Index. In addition, the performance of each Fund will reflect additional transaction costs and fees that are not
included in the calculation of its Underlying Index. All of these factors may lead to a lack of correlation between the performance
of each Fund and its Underlying Index. In addition, corporate actions with respect to the equity securities underlying a Fund (such
as mergers and spin-offs) may impact the variance between the performances of that Fund and its Underlying Index. Finally, because
the shares in each Fund are traded on a securities exchange and are subject to market supply and investor demand, the market value
of one share of each Fund may differ from the net asset value per share of that Fund.
During periods of market volatility,
securities underlying each Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately
the net asset value per share of that Fund and the liquidity of that Fund may be adversely affected. This kind of market volatility
may also disrupt the ability of market participants to create and redeem shares of a Fund. Further, market volatility may adversely
affect, sometimes materially, the prices at which market participants are willing to buy and sell shares of a Fund. As a result,
under these circumstances, the market value of shares of a Fund may vary substantially from the net asset value per share of that
Fund. For all of the foregoing reasons, the performance of each Fund may not correlate with the performance of its Underlying Index
as well as the net asset value per share of that Fund, which could materially and adversely affect the value of the notes in the
secondary market and/or reduce any payments on the notes.
|
·
|
NON-U.S. SECURITIES RISK WITH RESPECT TO THE FUNDS —
|
The
equity securities held by the Funds have been issued by non-U.S. companies. Investments in securities linked to the value of such
non-U.S. equity securities involve risks associated with the securities markets in the home countries of the issuers of those non-U.S.
equity securities. Also, there is generally less publicly available information about companies in some of these jurisdictions
than there is about U.S. companies that are subject to the reporting requirements of the SEC.
|
·
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EMERGING MARKETS RISK WITH RESPECT TO THE ISHARES
®
MSCI EMERGING MARKETS ETF —
|
The
equity securities held by the iShares
®
MSCI Emerging Markets ETF
have been
issued by non-U.S. companies located in emerging markets countries. Countries with emerging markets may have relatively unstable
governments, may present the risks of nationalization of businesses, restrictions on foreign ownership and prohibitions on the
repatriation of assets, and may have less protection of property rights than more developed countries. The economies of countries
with emerging markets may be based on only a few industries, may be highly vulnerable to changes in local or global trade conditions,
and may suffer from extreme and volatile debt burdens or inflation rates. Local securities markets may trade a small number
of securities and may be unable to respond effectively to increases in trading volume, potentially making prompt liquidation of
holdings difficult or impossible at times.
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·
|
THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK WITH RESPECT TO EACH FUND —
|
Because the prices of the equity securities
held by each Fund are converted into U.S. dollars for purposes of calculating the net asset value of that Fund, holders of the
notes will be exposed to currency exchange rate risk with respect to each of the currencies in which the equity securities held
by that Fund trade. Your net exposure will depend on the extent to which those currencies strengthen or weaken against the U.S.
dollar and the relative weight of equity securities held by a Fund denominated in each of those currencies. If, taking into account
the relevant weighting, the U.S. dollar strengthens against those currencies, the price of a Fund will be adversely affected and
any payment on the notes may be reduced.
|
·
|
THE ANTI-DILUTION PROTECTION FOR THE FUNDS IS LIMITED —
|
The calculation agent will make adjustments
to the Share Adjustment Factor for each Fund for certain events affecting the shares of that Fund. However, the calculation agent
will not make an adjustment in response to all events that could affect the shares of the Funds. 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.
PS-
5
| Structured Investments
Uncapped Buffered Return Enhanced Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500
®
Index, the Russell 2000
®
Index, the iShares
®
MSCI EAFE ETF and the iShares
®
MSCI Emerging Markets ETF
|
|
The notes will not be listed on any
securities exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any,
at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term
trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
|
·
|
THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS’ ESTIMATES —
|
See “The Estimated Value of the
Notes” in this pricing supplement.
|
·
|
THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
|
The internal funding rate used in the
determination of the estimated value of the notes is based on, among other things, our and our affiliates’ view of the funding
value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison
to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. The use of an internal funding rate and any potential
changes to that rate may have an adverse effect on the terms of the notes and any secondary market prices of the notes. See “The
Estimated Value of the Notes” in this pricing supplement.
|
·
|
THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS)
MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
|
We generally expect that some of the
costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of
your notes by JPMS in an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices
of the Notes” in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated
value of your notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be
shown on your customer account statements).
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES —
|
Any secondary market prices of the
notes will likely be lower than the original issue price of the notes because, among other things, secondary market prices take
into account our internal secondary market funding rates for structured debt issuances and, also, because secondary market prices
(a) exclude selling commissions and (b) may exclude estimated hedging costs that are included in the original issue price of the
notes. As a result, the price, if any, at which JPMS will be willing to buy the notes from you in secondary market transactions,
if at all, is likely to be lower than the original issue price. Any sale by you prior to the Maturity Date could result in a substantial
loss to you.
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
|
The secondary market price of the notes
during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside
from the selling commissions, estimated hedging costs and the level of the Basket. Additionally, independent pricing vendors and/or
third party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements. This
price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes
in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the
Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying
product supplement.
The
Basket
The return on the notes is linked to an unequally
weighted basket consisting of the S&P 500
®
Index, the Russell 2000
®
Index, the iShares
®
MSCI EAFE ETF and the iShares
®
MSCI Emerging Markets ETF. Because the S&P 500
®
Index makes up
50.00% of the Basket, we expect that generally the market value of your notes and your payment at maturity will depend to a greater
extent on the performance of the S&P 500
®
Index.
The S&P 500
®
Index consists
of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For additional information
about the S&P 500
®
Index, see “Equity Index Descriptions — The S&P U.S. Indices” in the
accompanying underlying supplement.
PS-
6
| Structured Investments
Uncapped Buffered Return Enhanced Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500
®
Index, the Russell 2000
®
Index, the iShares
®
MSCI EAFE ETF and the iShares
®
MSCI Emerging Markets ETF
|
|
The Russell 2000
®
Index consists
of the middle 2,000 companies included in the Russell 3000E™ Index and, as a result of the index calculation methodology,
consists of the smallest 2,000 companies included in the Russell 3000
®
Index. The Russell 2000
®
Index
is designed to track the performance of the small capitalization segment of the U.S. equity market. For additional information
about the Russell 2000
®
Index, see “Equity Index Descriptions — The Russell Indices” in the accompanying
underlying supplement.
The iShares
®
MSCI EAFE ETF is an
exchange-traded fund of iShares
®
Trust, a registered investment company, that seeks to track the investment results,
before fees and expenses, of an index composed of large- and mid-capitalization developed market equities, excluding the United
States and Canada, which we refer to as the Underlying Index with respect to the iShares
®
MSCI EAFE ETF. The Underlying
Index for the iShares
®
MSCI EAFE ETF is currently the MSCI EAFE
®
Index. The MSCI EAFE
®
Index is a free float-adjusted market capitalization index intended to measure the equity market performance of certain developed
markets, excluding the United States and Canada. For additional information about the iShares
®
MSCI EAFE ETF, see
“Fund Descriptions — The iShares
®
ETFs” in the accompanying underlying supplement.
The iShares
®
MSCI Emerging Markets
ETF is an exchange-traded fund of iShares
®
, Inc., a registered investment company, that seeks to track the investment
results, before fees and expenses, of an index composed of large- and mid-capitalization emerging market equities, which we refer
to as the Underlying Index with respect to the iShares
®
MSCI Emerging Markets ETF. The Underlying Index for the
iShares
®
MSCI Emerging Markets ETF is currently the MSCI Emerging Markets Index. The MSCI Emerging Markets Index
is a free float-adjusted market capitalization index that is designed to measure equity market performance of global emerging markets.
For additional information about the iShares
®
MSCI Emerging Markets ETF, see the information set forth under “Fund
Descriptions — The iShares
®
ETFs” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical
performance of the Basket as a whole, as well as each Underlying, based on the weekly historical closing values from January 6,
2012 through September 15, 2017. The graph of the historical performance of the Basket assumes that the closing level of the Basket
on January 6, 2012 was 100 and that the weights of the Underlyings were as specified under “Key Terms — Basket”
in this pricing supplement on that date. The closing value of the S&P 500
®
Index on September 21, 2017 was 2,500.60.
The closing value of the Russell 2000
®
Index on September 21, 2017 was 1,444.184. The closing value of the iShares
®
MSCI EAFE ETF on September 21, 2017 was $68.18. The closing value of the iShares
®
MSCI Emerging Markets ETF on September
21, 2017 was $45.64. We obtained the closing values of the Underlyings above and below from the Bloomberg Professional
®
service (“Bloomberg”), without independent verification. The closing values of each Fund above and below may have been
adjusted by Bloomberg for actions taken by that Fund, such as stock splits.
PS-
7
| Structured Investments
Uncapped Buffered Return Enhanced Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500
®
Index, the Russell 2000
®
Index, the iShares
®
MSCI EAFE ETF and the iShares
®
MSCI Emerging Markets ETF
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The historical closing levels of the Basket
and the Underlyings should not be taken as an indication of future performance, and no assurance can be given as to the closing
level of the Basket on the Observation Date or the closing values of the Underlyings on the Observation Date. There can be no assurance
that the performance of the Basket will result in the return of any of your principal amount in excess of $200.00 per $1,000 principal
amount note, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
PS-
8
| Structured Investments
Uncapped Buffered Return Enhanced Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500
®
Index, the Russell 2000
®
Index, the iShares
®
MSCI EAFE ETF and the iShares
®
MSCI Emerging Markets ETF
|
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PS-
9
| Structured Investments
Uncapped Buffered Return Enhanced Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500
®
Index, the Russell 2000
®
Index, the iShares
®
MSCI EAFE ETF and the iShares
®
MSCI Emerging Markets ETF
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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.
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, subject to the possible application of the “constructive ownership”
rules, the gain or loss on your notes should be treated as long-term capital gain or loss if you hold your notes for more than
a year, whether or not you are an initial purchaser of notes at the issue price. The notes could be treated as “constructive
ownership transactions” within the meaning of Section 1260 of the Code, in which case any gain recognized in respect of the
notes that would otherwise be long-term capital gain and that was in excess of the “net underlying long-term capital gain”
(as defined in Section 1260) would be treated as ordinary income, and a notional interest charge would apply as if that income
had accrued for tax purposes at a constant yield over your holding period for the notes. Our special tax counsel has not expressed
an opinion with respect to whether the constructive ownership rules apply to the notes. Accordingly, U.S. Holders should consult
their tax advisers regarding the potential application of the constructive ownership rules.
The IRS or a court may not respect the treatment
of the notes described above, in which case the timing and character of any income or loss on your 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 described above. 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 the potential application of the constructive
ownership rules, 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 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.
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
PS-
10
| Structured Investments
Uncapped Buffered Return Enhanced Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500
®
Index, the Russell 2000
®
Index, the iShares
®
MSCI EAFE ETF and the iShares
®
MSCI Emerging Markets ETF
|
|
notes does not represent a minimum price at
which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time. The internal funding rate used
in the determination of the estimated value of the notes is based on, among other things, our and our affiliates’ view of
the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. For additional information, see “Selected
Risk Considerations — The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate” in this
pricing supplement.
The value of the derivative or derivatives
underlying the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent
on inputs such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are
market-observable, and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about
future market events and/or environments. Accordingly, the estimated value of the notes is determined when the terms of the notes
are set based on market conditions and other relevant factors and assumptions existing at that time.
The estimated value of the notes does not
represent future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could
provide valuations for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions
and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value
of the notes could change significantly based on, among other things, changes in market conditions, our or JPMorgan Chase &
Co.’s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at which
JPMS would be willing to buy notes from you in secondary market transactions.
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 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 loss that
is more or less than expected, or it may result in a profit.
Secondary
Market Prices of the Notes
For information about factors that will impact
any secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in
the accompanying product supplement. In addition, we generally expect that some of the costs included in the original issue price
of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will
decline to zero over an initial predetermined period. These costs can include projected hedging profits, if any, and, in some circumstances,
estimated hedging costs and our internal secondary market funding rates for structured debt issuances. This initial predetermined
time period is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial
period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities,
the estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates. See “Selected
Risk Considerations — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements)
May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this pricing supplement.
Supplemental
Use of Proceeds
The notes are offered to meet investor demand
for products that reflect the risk-return profile and market exposure provided by the notes. See “Hypothetical Payout Profile”
and “How the Notes Work” in this pricing supplement for an illustration of the risk-return profile of the notes and
“The Basket” 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,
minus (plus) the projected losses (profits) 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,
PS-
11
| Structured Investments
Uncapped Buffered Return Enhanced Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500
®
Index, the Russell 2000
®
Index, the iShares
®
MSCI EAFE ETF and the iShares
®
MSCI Emerging Markets ETF
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|
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.
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 and the
accompanying underlying supplement. This pricing supplement, together with the documents listed below, contains the terms of the
notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary
or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures
or other educational materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk
Factors” sections of the accompanying product supplement and the accompanying underlying supplement, as the notes involve
risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other
advisers before you invest in the notes.
You may access these documents on the SEC
website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website
is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us”
and “our” refer to JPMorgan Financial.
PS-12| Structured Investments
Uncapped Buffered Return
Enhanced Notes Linked to an Unequally Weighted Basket Consisting of the S&P 500
®
Index, the Russell 2000
®
Index, the iShares
®
MSCI EAFE ETF and the iShares
®
MSCI Emerging Markets ETF
|
|
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