JPMorgan Chase Financial Company LLC Trigger
Autocallable Contingent Yield Notes
Additional
Information about JPMorgan Financial, JPMorgan Chase & Co. and the Notes
You may revoke your offer to purchase the Notes at
any time prior to the time at which we accept such offer by notifying the agent. We reserve the right to change the terms of, or
reject any offer to purchase, the Notes prior to their issuance. In the event of any changes to the terms of the Notes, we will
notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes
in which case we may reject your offer to purchase.
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes
of which these Notes are a part, and the more detailed information contained in the accompanying product supplement and the accompanying
underlying supplement.
This pricing supplement, together with the documents listed below, contains the terms of the Notes and
supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative
pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational
materials of ours.
You should carefully consider, among other things, the matters set forth in the “Risk Factors”
sections of the accompanying product supplement and the accompanying underlying supplement, as the Notes involve risks not associated
with conventional debt securities.
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
For purposes of the accompanying product supplement, the SPDR
®
S&P
®
Bank ETF is a “Fund.”
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 accept that you may not receive a Contingent Coupon on some or
all of the Coupon Payment Dates.
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You believe the Underlying will close at or above the Coupon Barrier
on the Observation Dates and the Downside Threshold on the Final Valuation Date.
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You believe the Underlying will close at or above the Initial Value
on one of the specified Observation Dates (after an initial six-month non-call period).
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You understand and accept that you will not participate in any appreciation
of the Underlying and that your potential return is limited to the Contingent Coupons.
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You can tolerate fluctuations in the price of the Notes prior to maturity
that may be similar to or exceed the downside price fluctuations of the Underlying.
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You would be willing to invest in the Notes if the Contingent Coupon
Rate were set equal to the minimum Contingent Coupon Rate indicated on the cover hereof (the actual Contingent Coupon Rate will
be finalized on the Trade Date and provided in the pricing supplement and is expected to be, but will not be less than, the minimum
Contingent Coupon Rate listed on the cover).
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You do not seek guaranteed current income from this investment and
are willing to forgo dividends paid on the Underlying.
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You are able and willing to invest in Notes that may be called early
(after an initial six-month non-call period) 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 do not accept that you may not receive a Contingent Coupon on some
or all of the Coupon Payment Dates.
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You believe that the Underlying will decline during the term of the
Notes and is likely to close below the Coupon Barrier on the Observation Dates and the Downside Threshold on the Final Valuation
Date.
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You seek an investment that participates in the full appreciation 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 would not be willing to invest in the Notes if the Contingent Coupon
Rate were set equal to the minimum Contingent Coupon Rate indicated on the cover hereof (the actual Contingent Coupon Rate will
be finalized on the Trade Date and provided in the pricing supplement and is expected to be, but will not be less than, the minimum
Contingent Coupon Rate listed on the cover).
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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 guaranteed 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
(after an initial six-month non-call period), or you are otherwise unable or unwilling to hold the Notes to maturity or you seek
an investment for which there will be an active secondary market.
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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” sections of the accompanying product supplement
and the accompanying underlying 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 per Note
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Underlying
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SPDR
®
S&P
®
Bank ETF
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Principal Amount
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$10 per Note (subject to a minimum purchase of 100 Notes or $1,000)
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Term
1
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Approximately 3 years, unless called earlier
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Automatic Call Feature
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The Notes will be called automatically if the closing price
2
of one share of the Underlying on any Observation Date (beginning March 26, 2018) 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 principal amount
plus
the Contingent Coupon otherwise due for the applicable Observation Date, and no further payments will be made on the Notes.
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Contingent Coupon
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If the closing price
2
of the Underlying is equal to or greater than the Coupon Barrier on any Observation Date, we will pay you the Contingent Coupon for that Observation Date on the relevant Coupon Payment Date.
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If the closing price
2
of one share of the Underlying is less than the Coupon Barrier on any Observation Date, the Contingent Coupon for that Observation Date will not accrue or be payable, and we will not make any payment to you on the relevant Coupon Payment Date.
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Each Contingent Coupon will be a fixed amount based on equal quarterly installments at the Contingent Coupon Rate, which is a per annum rate.
You should be willing to invest in the Notes if the Contingent Coupon Rate were set equal to the minimum Contingent Coupon Rate set forth in “Contingent Coupon Rate” below.
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Contingent Coupon payments on the Notes are not guaranteed. We will not pay you the Contingent Coupon for any Observation Date on which the closing price of one share of the Underlying is less than the Coupon Barrier.
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Contingent Coupon Rate
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At least 6.50% per annum. The actual Contingent Coupon Rate will be finalized on the Trade Date and provided in the pricing supplement and is expected to be, but will not be less than, 6.50% per annum.
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Contingent Coupon payments
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At least $0.1625 per $10 principal amount Note. The actual Contingent Coupon payments will be based on the Contingent Coupon Rate and finalized on the Trade Date and provided in the pricing supplement.
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Coupon Payment Dates
3
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As specified under the “Coupon Payment Dates” column of the table under “Observation Dates and Coupon Payment Dates” below
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Call Settlement Dates
3
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First Coupon Payment Date following the applicable Observation Date
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Payment at Maturity
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(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
plus
the Contingent Coupon otherwise due on the Maturity Date.
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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 resulting in a loss on your principal amount proportionate to the negative Underlying Return, equal to:
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$10 × (1 + Underlying Return)
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Underlying Return
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Final Value – Initial Value
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Initial Value
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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
2
of one share of the Underlying on the Final Valuation Date
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Share Adjustment Factor
2
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The Share Adjustment Factor is referenced in determining the closing price of one share of the Underlying. The Share Adjustment Factor is set initially at 1.0 on the Trade Date.
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Downside Threshold
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A percentage of the Initial Value, as specified on the cover of this pricing supplement
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Coupon Barrier
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A percentage of the Initial Value, as specified on the cover of this pricing supplement
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1
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See footnote 1 under “Key Dates” on the front cover
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The closing price and the Share Adjustment Factor of the Underlying are subject to adjustments, in the case of certain events described in the accompanying product supplement under “The Underlyings — Funds — Anti-Dilution Adjustments.”
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See footnote 2 under “Key Dates” on the front cover
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Trade Date
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The closing price of one share of the Underlying (Initial Value) is observed and the Downside Threshold and the Coupon Barrier are determined. The Contingent Coupon Rate is finalized.
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Quarterly
(callable after an initial six-month non-call period)
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If the closing price of one share of the Underlying is equal to
or greater than the Coupon Barrier on any Observation Date, JPMorgan Financial will pay you a Contingent Coupon on the Coupon Payment
Date.
The Notes will also be called if the closing price of one share
of the Underlying on any Observation Date (after an initial six-month non-call period) is equal to or greater than the Initial
Value. If the Notes are called, JPMorgan Financial will pay you a cash payment per Note equal to the principal amount
plus
the Contingent Coupon otherwise due for the applicable Observation Date, and no further payments will be made on the Notes.
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Maturity Date
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The Final Value is determined
as of the Final Valuation Date.
If the Notes have not been
called and the Final Value is equal to or greater than the Downside Threshold, at maturity JPMorgan Financial will repay the principal
amount equal to $10.00 per Note
plus
the Contingent Coupon otherwise due on the Maturity Date.
If the Notes have not been
called and the Final Value is less than the Downside Threshold, JPMorgan Financial will repay less than the principal amount, if
anything, at maturity, resulting in a loss on your principal amount proportionate to the decline of the Underlying, equal to a
return of:
$10 × (1 + Underlying Return) per
Note
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INVESTING IN THE NOTES INVOLVES SIGNIFICANT
RISKS. YOU MAY LOSE SOME OR ALL OF YOUR PRINCIPAL AMOUNT. ANY PAYMENT ON THE NOTES, INCLUDING ANY REPAYMENT OF PRINCIPAL, IS SUBJECT
TO THE CREDITWORTHINESS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. IF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. WERE
TO DEFAULT ON THEIR PAYMENT OBLIGATIONS, YOU MAY NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE NOTES AND YOU COULD LOSE YOUR ENTIRE
INVESTMENT.
Observation
Dates and Coupon Payment Dates
Observation Dates
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Coupon Payment Dates
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December 26, 2017
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December 28, 2017
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March 26, 2018
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March 28, 2018
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June 26, 2018
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June 28, 2018
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September 26, 2018
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September 28, 2018
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December 26, 2018
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December 28, 2018
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March 26, 2019
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March 28, 2019
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June 26, 2019
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June 28, 2019
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September 26, 2019
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September 30, 2019
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December 26, 2019
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December 30, 2019
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March 26, 2020
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March 30, 2020
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June 26, 2020
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June 30, 2020
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September 28, 2020 (the Final Valuation Date)
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September 30, 2020 (the Maturity Date)
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†
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The Notes are not callable until the second Observation Date, March 26, 2018.
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Each of the Observation Dates, and therefore
the Coupon Payment Dates, is subject to postponement in the event of a market disruption event and as described under “General
Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to
a Single Underlying (Other Than a Commodity Index)” and “General Terms of Notes — Postponement of a Payment Date”
in the accompanying product supplement.
What
Are the Tax Consequences of the Notes?
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. UBS-1-I. In determining our reporting responsibilities
we intend to treat (i) the Notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent coupons
and (ii) any Contingent Coupons as ordinary income, as described in the section entitled “Material U.S. Federal Income Tax
Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated Contingent
Coupons” in the accompanying product supplement. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel,
we believe that this is a reasonable treatment, but that there are other reasonable treatments that the IRS or a court may adopt.
Sale, Exchange or Redemption of a Note.
Assuming
the treatment described above is respected, upon a sale or exchange of the Notes (including redemption upon an automatic call or
at maturity), you should recognize capital gain or loss equal to the difference between the amount realized on the sale or exchange
and your tax basis in the Notes, which should equal the amount you paid to acquire the Notes (assuming Contingent Coupons are properly
treated as ordinary income, consistent with the position referred to above). This gain or loss should be short-term capital gain
or loss unless you hold the Notes for more than one year, in which case the gain or loss should be long-term capital gain or loss,
whether or not you are an initial purchaser of the Notes at the issue price. The deductibility of capital losses is subject to
limitations. If you sell your Notes between the time your right to a Contingent Coupon is fixed and the time it is paid, it is
likely that you will be treated as receiving ordinary income equal to the Contingent Coupon. Although uncertain, it is possible
that proceeds received from the sale or exchange of your Notes prior to an Observation Date but that can be attributed to an expected
Contingent Coupon payment could be treated as ordinary income. You should consult your tax adviser regarding this issue.
As described above, there are other reasonable treatments
that the IRS or a court may adopt, in which case the timing and character of any income or loss on the Notes could be materially
affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment
of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to require investors
in these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics,
including the character of income or loss with respect to these instruments and the relevance of factors such as the nature of
the underlying property to which the instruments are linked. While the notice requests comments on appropriate transition rules
and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially
affect the tax consequences of an investment in the Notes, possibly with retroactive effect. You should consult your tax adviser
regarding the U.S. federal income tax consequences of an investment in the Notes, including possible alternative treatments and
the issues presented by this notice.
Non-U.S. Holders — Tax
Considerations
. The U.S. federal income tax treatment of Contingent Coupons is uncertain, and although we believe it is reasonable
to take a position that Contingent Coupons are not subject to U.S. withholding tax (at least if an applicable Form W-8 is provided),
a withholding agent may nonetheless withhold on these payments (generally at a rate of 30%, subject to the possible reduction of
that rate under an applicable income tax treaty), unless income from your Notes is effectively connected with your conduct of a
trade or business in the United States (and, if an applicable treaty so requires, attributable to a permanent establishment in
the United States). If you are not a United States person, you are urged to consult your tax adviser regarding the U.S. federal
income tax consequences of an investment in the Notes in light of your particular circumstances.
Section 871(m) of the Code and Treasury
regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax
treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked
to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime,
including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations
(such an index, a “Qualified Index”). Additionally, the applicable regulations exclude from the scope of Section
871(m) instruments issued in 2017 that do not have a delta of one with respect to underlying securities that could pay U.S.-source
dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on certain determinations
made by us, we expect that Section 871(m) will not apply to the Notes with regard to Non-U.S. Holders. Our determination
is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application
may depend on your particular circumstances, including whether you enter into other transactions with respect to an Underlying
Security. If necessary, further information regarding the potential application of Section 871(m) will be provided in the
pricing supplement for the Notes. You should consult your tax adviser regarding the potential application of Section 871(m)
to the Notes.
FATCA
. Withholding under
legislation commonly referred to as “FATCA” could apply to payments with respect to the Notes that are treated as U.S.-source
“fixed or determinable annual or periodical” income (“FDAP Income”) for U.S. federal income tax purposes
(such as interest, if the Notes are recharacterized, in whole or in part, as debt instruments, or Contingent Coupons if they are
otherwise treated as FDAP Income). If the Notes are recharacterized, in whole or in part, as debt instruments, withholding could
also apply to payments of gross proceeds of a taxable disposition, including an early redemption or redemption at maturity. However,
under a recent IRS notice, this regime will not apply to payments of gross proceeds (other than any amount treated as FDAP Income)
with respect to dispositions occurring before January 1, 2019. You should consult your tax adviser regarding the potential application
of FATCA to the Notes.
In the event of any withholding
on the Notes, we will not be required to pay any additional amounts with respect to amounts so withheld.
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” sections of the accompanying product supplement and the accompanying underlying supplement. We also urge you to
consult your investment, legal, tax, accounting and other advisers before you invest in the Notes.
Risks Relating to the Notes Generally
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Your Investment in the Notes May Result in a Loss
— The
Notes differ from ordinary debt securities in that JPMorgan Financial will not necessarily repay the full principal amount of the
Notes. If the Notes are not called and the closing price of one share of the Underlying has declined below the Downside Threshold
on the Final Valuation Date, you will be fully exposed to any depreciation 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, you will lose 1% of your principal for every
1% that the Final Value is less than the Initial Value and could lose your entire principal amount. As a result, your investment
in the Notes may not perform as well as an investment in a security that does not have the potential for full downside exposure
to the Underlying.
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Credit Risks of JPMorgan Financial and JPMorgan Chase & Co.
— The Notes are unsecured and unsubordinated debt obligations of the Issuer, JPMorgan Chase Financial Company LLC, the
payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. The Notes will rank
pari passu
with
all of our other unsecured and unsubordinated obligations, and the related guarantee JPMorgan Chase & Co. will rank
pari
passu
with all of JPMorgan Chase & Co.’s other unsecured and unsubordinated obligations. The Notes and related guarantees
are not, either directly or indirectly, an obligation of any third party. Any payment to be made on the Notes, including any repayment
of principal, depends on the ability of JPMorgan Financial and JPMorgan Chase & Co. to satisfy their obligations as they come
due. As a result, the actual and perceived creditworthiness of JPMorgan Financial and JPMorgan Chase & Co. may affect the market
value of the Notes and, in the event JPMorgan Financial and JPMorgan Chase & Co. were to default on their obligations, you
may not receive any amounts owed to you under the terms of the Notes and you could lose your entire investment.
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As a Finance Subsidiary, JPMorgan Financial Has No Independent Operations
and Limited Assets —
As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the
issuance and administration of our securities. Aside from the initial capital contribution from JPMorgan Chase & Co., substantially
all of our assets relate to obligations of our affiliates to make payments under loans made by us or other intercompany agreements.
As a result, we are dependent upon payments from our affiliates to meet our obligations under the Notes. If these affiliates do
not make payments to us and we fail to make payments on the Notes, you may have to seek payment under the related guarantee by
JPMorgan Chase & Co., and that guarantee will rank
pari passu
with all other unsecured and unsubordinated obligations
of JPMorgan Chase & Co.
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You Are Not Guaranteed Any Contingent Coupons
— We will
not necessarily make periodic coupon payments on the Notes. If the closing price of one share of the Underlying on an Observation
Date is less than the Coupon Barrier, we will not pay you the Contingent Coupon for that Observation Date, and the Contingent Coupon
that would otherwise be payable will not be accrued and will be lost. If the closing price of one share of the Underlying is less
than the Coupon Barrier on each of the Observation Dates, we will not pay you any Contingent Coupon during the term of, and you
will not receive a positive return on, your Notes. Generally, this non-payment of the Contingent Coupon coincides with a period
of greater risk of principal loss on your Notes.
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Return on the Notes Limited to the Sum of Any Contingent Coupons
and You Will Not Participate in Any Appreciation of the Underlying
— The return potential of the Notes is limited to
the specified Contingent Coupon Rate, regardless of the appreciation of the Underlying, which may be significant. In addition,
the total return on the Notes will vary based on the number of Observation Dates on which the requirements for a Contingent Coupon
have been met prior to maturity or an automatic call. Further, if the Notes are called, you will not receive any Contingent Coupons
or any other payments in respect of any Observation Dates after the Call Settlement Date. Because the Notes could be called as
early as the second Observation Date, the total return on the Notes could be minimal. If the Notes are not called, you may be subject
to the risk of decline of the Underlying even though you are not able to participate in any potential appreciation of the
Underlying. Generally, the longer the Notes remain outstanding, the less likely it is that they will be automatically called, due
to the decline in the price of the Underlying and the shorter time remaining for the price to recover to or above the Initial Value
on a subsequent Observation Date. As a result, the return on an investment in the Notes could be less than the return on
a hypothetical direct investment in the Underlying. In addition, if the Notes are not called and the Final Value is below the Downside
Threshold, you will have a loss on your principal amount and the overall return on the Notes may be less than the amount that would
be paid on a conventional debt security of JPMorgan Financial of comparable maturity.
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Contingent Repayment of Principal Applies Only If You Hold the Notes
to Maturity
— If you are able to sell your Notes in the secondary market 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, either JPMorgan Financial will repay you the full principal amount per Note, plus
the Contingent Coupon, or, if the Underlying closes below the Downside Threshold on the Final Valuation Date, JPMorgan Financial
will repay less than the principal amount, if anything, at maturity, resulting in a loss on your principal amount that is proportionate
to the decline of the Underlying from the Initial Value to the Final Value. This contingent repayment of principal applies only
if you hold your Notes to maturity.
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A Higher Contingent Coupon Rate and/or a Lower Coupon Barrier and/or
Downside Threshold May Reflect Greater Expected Volatility of the Underlying, Which Is Generally Associated With a Greater Risk
of Loss
— Volatility is a measure of the degree of variation in the price of the Underlying over a period of time.
The greater the expected volatility of the Underlying at the time the terms of the Notes are set, the greater the expectation is
at that time that the price of the Underlying could close below the Coupon Barrier on any Observation Date, resulting in the loss
of one or more, or all, Contingent Coupon payments, or below the Downside Threshold on the Final Valuation Date, resulting in the
loss of a significant portion or all of your principal at maturity. In addition, the economic terms of the Notes, including
the Contingent Coupon Rate, the Coupon Barrier and the Downside Threshold, are based, in part, on the expected volatility of the
Underlying at the time the terms of the Notes are set, where a higher expected volatility will generally be reflected in a higher
Contingent Coupon Rate than the fixed rate we would pay on conventional debt securities of the same maturity and/or on otherwise
comparable securities and/or a lower Coupon Barrier and/or a lower Downside Threshold as compared to otherwise comparable securities.
Accordingly, a higher Contingent Coupon Rate will generally be indicative of a greater risk of loss while a lower Coupon Barrier
or Downside Threshold does not necessarily indicate that the Notes have a greater likelihood of paying Contingent Coupon payments
or returning your principal at maturity. You should be willing to accept the downside market risk of the Underlying and the
potential loss of some or all of your principal at maturity.
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Reinvestment Risk
— If your Notes are called early, the
holding period over which you would have the opportunity to receive any Contingent Coupons could be as short as approximately six
months. There is no guarantee that you would be able to reinvest the proceeds from an investment in the Notes at a comparable return
and/or with a comparable interest rate for a similar level of risk in the event the Notes are called prior to the Maturity Date.
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t
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Potential Conflicts
— We and our affiliates play a variety
of roles in connection with the issuance of the Notes, including acting as calculation agent and hedging our obligations under
the Notes and making the assumptions used to determine the pricing of the Notes and the estimated value of the Notes when the terms
of the Notes are set, which we refer to as the estimated value of the Notes. In performing these duties, our and JPMorgan Chase
& Co.’s economic interests and the economic interests of the calculation agent and other affiliates of ours are potentially
adverse to your interests as an investor in the Notes. In addition, our and JPMorgan Chase & Co.’s business activities,
including hedging and trading activities, could cause our and JPMorgan Chase & Co.’s economic interests to be adverse
to yours and could adversely affect any payment on the Notes and the value of the Notes. It is possible that hedging or trading
activities of ours or our affiliates in connection with the Notes could result in substantial returns for us or our affiliates
while the value of the Notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest”
in the accompanying product supplement for additional information about these risks.
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|
t
|
Each Contingent Coupon Is Based Solely on the Closing Price of One
Share of the Underlying on the Applicable Observation Date
— Whether a Contingent Coupon will be payable with respect
to an Observation Date will be based solely on the closing price of one share of the Underlying on that Observation Date. As a
result, you will not know whether you will receive a Contingent Coupon until the related Observation Date. Moreover, because each
Contingent Coupon is based solely on the closing price of one share of the Underlying on the applicable Observation Date, if the
closing price of one share of the Underlying is less than the Coupon Barrier, you will not receive any Contingent Coupon with respect
to that Observation Date, even if the closing price of one share of the Underlying was higher on other days during the period before
that Observation Date.
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|
t
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The Estimated Value of the Notes Will Be Lower Than the Original
Issue Price (Price to Public) of the Notes
— The estimated value of the Notes is only an estimate determined by reference
to several factors. The original issue price of the Notes will exceed the estimated value of the Notes because costs associated
with structuring and hedging the Notes are included in the original issue price of the Notes. These costs include 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 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).
|
t
|
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 may exclude projected hedging profits, if any, and
estimated hedging costs that are included in the original issue price of the Notes. As a result, the price, if any, at which JPMS
will be willing to buy Notes from you in secondary market transactions, if at all, is likely to be lower than the original issue
price. Any sale by you prior to the Maturity Date could result in a substantial loss to you. See the immediately following risk
factor for information about additional factors that will impact any secondary market prices of the Notes.
|
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.
|
t
|
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 projected hedging profits, if any, estimated
hedging costs and the price of the Underlying, including:
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t
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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
|
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
|
the actual and expected volatility in the price of one share of the
Underlying;
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|
t
|
the time to maturity of the Notes;
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t
|
the likelihood of an automatic call being triggered;
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|
t
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whether the closing price of one share of the Underlying has been,
or is expected to be, less than the Coupon Barrier on any Observation Date and whether the Final Value is expected to be less than
the Downside Threshold;
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t
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the dividend rates on the Underlying and the equity securities held
by the Underlying;
|
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t
|
the occurrence of certain events affecting the Underlying that may
or may not require an adjustment to the closing price and the Share Adjustment Factor of the Underlying, including a merger or
acquisition;
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|
t
|
interest and yield rates in the market generally;
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|
t
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the exchange rates and the volatility of the exchange rates between
the U.S. dollar and each of the currencies in which the equity securities held by the Underlying trade and the correlation among
those rates and the price of the Underlying; and
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t
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a variety of other economic, financial, political, regulatory and judicial
events.
|
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.
|
t
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Investing in the Notes Is Not Equivalent to Investing in the Underlying
or the Equity Securities Composing the Underlying
— Investing in the Notes is not equivalent to investing in the Underlying
or the equity securities held by the Underlying. As an investor in the Notes, you will not have any ownership interest or rights
in the Underlying or the equity securities held by the Underlying, such as voting rights, dividend payments or other distributions.
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Your Return on the Notes Will Not Reflect Dividends on the Underlying
or the Equity Securities Composing the Underlying
— Your return on the Notes will not reflect the return you would realize
if you actually owned the Underlying or the equity securities held by the Underlying and received the dividends on the Underlying
or those equity securities. This is because the calculation agent will determine whether the Notes will be called and whether a
Contingent Coupon is payable and will calculate the amount payable to you at maturity of the Notes by reference to the closing
price of one share of the Underlying on the relevant Observation Date without taking into consideration the value of dividends
on the Underlying or the equity securities held by the Underlying.
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No Affiliation with the Underlying or the Issuers of the Equity
Securities Composing the Underlying
—
We
are not affiliated with the Underlying or, to our knowledge, the issuers of the equity securities held by the Underlying. We have
not independently verified the information about the Underlying or the issuers of the equity securities held by the Underlying
contained in this pricing supplement. You should make your own investigation into the Underlying and the issuers of the equity
securities held by the Underlying. We are not responsible for the public disclosure of information by the Underlying or the issuers
of the equity securities held by the Underlying, 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 for Contingent Coupons if the Underlying does not close below
the Coupon Barrier on the Observation Dates, we cannot assure you of the economic environment during the term or at maturity of
your Notes.
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Lack of Liquidity
— The Notes will not be listed on any
securities exchange. JPMS intends to offer to purchase the Notes in the secondary market, but is not required to do so. Even if
there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes easily. Because other
dealers are not likely to make a secondary market for the Notes, the price at which you may be able to trade your Notes is likely
to depend on the price, if any, at which JPMS is willing to buy the Notes.
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|
t
|
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
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 price of the Underlying,
and therefore the market value of the Notes.
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t
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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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t
|
Potential JPMorgan Financial Impact on the 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 price of the Underlying
and, therefore, the market value of the Notes.
|
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t
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The Final Terms and Valuation of the Notes
Will Be Finalized on the Trade Date and Provided in the Pricing Supplement
— The final terms of the Notes will be based
on relevant market conditions when the terms of the Notes are set and will be finalized on the Trade Date and provided in the pricing
supplement. In particular, each of the estimated value of the Notes and the Contingent Coupon Rate will be finalized on the Trade
Date and provided in the pricing supplement, and each may be as low as the applicable minimum set forth on the cover of this pricing
supplement. Accordingly, you should consider your potential investment in the Notes based on the minimums for the estimated value
of the Notes and the Contingent Coupon Rate.
|
Risks Relating to the Underlying
|
t
|
There Are Risks Associated with the Underlying
—
Although shares of the Underlying are listed for trading
on a securities exchange and a number of similar products have been trading on a securities exchange for varying periods of time,
there is no assurance that an active trading market will continue for the shares of the Underlying or that there will be liquidity
in the trading market.
The Underlying is subject to management
risk, which is the risk that the investment strategies of the Underlying’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 the Underlying, and consequently, the value of the Notes.
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The Performance and Market Value of the Underlying, Particularly
During Periods of Market Volatility, May Not Correlate with the Performance of the Underlying’s Underlying Index as well
as the Net Asset Value per Share
— The Underlying does not fully replicate its Underlying Index (as defined under “The
Underlying” below) and may hold securities different from those included in its Underlying Index.
In
addition, the performance of the Underlying 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 the Underlying and its Underlying Index.
In
addition, corporate actions with respect to the equity securities underlying the Underlying (such as mergers and spin-offs) may
impact the variance between the performances of the Underlying and its Underlying Index.
Finally,
because the shares of the Underlying are traded on a securities exchange and are subject to market supply and investor demand,
the market value of one share of the Underlying may differ from the net asset value per share of the Underlying.
|
During
periods of market volatility, securities underlying the Underlying may be unavailable in the secondary market, market participants
may be unable to calculate accurately the net asset value per share of the Underlying and the liquidity of the Underlying may be
adversely affected.
This kind of market volatility may also
disrupt the ability of market participants to create and redeem shares of the Underlying.
Further,
market volatility may adversely affect, sometimes materially, the prices at which market participants are willing to buy and sell
shares of the Underlying.
As a result, under these circumstances,
the market value of shares of the Underlying may vary substantially from the net asset value per share of the Underlying.
For
all of the foregoing reasons, the performance of the Underlying may not correlate with the performance of its Underlying Index
as well as the net asset value per share of the Underlying, which could materially and adversely affect the value of the Notes
in the secondary market and/or reduce any payment on the Notes.
|
t
|
Risks Associated with the Banking Industry
—
|
All
or substantially all of the equity securities held by the Fund are issued by companies whose primary line of business is directly
associated with the banking industry.
As a result, the value
of the Notes may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory
occurrence affecting this industry than a different investment linked to securities of a more broadly diversified group of issuers.
The performance of bank stocks may be affected by extensive governmental
regulation, which may limit both the amounts and types of loans and other financial commitments they can make, the interest rates
and fees they can charge and the amount of capital they must maintain.
Profitability
is largely dependent on the availability and cost of capital funds and can fluctuate significantly when interest rates change.
Credit losses resulting from financial difficulties of borrowers
can negatively impact the banking companies.
Banks may also
be subject to severe price competition.
Competition among
banking companies is high and failure to maintain or increase market share may result in lost market share.
These
factors could affect the banking industry and could affect the value of the equity securities held by the Fund and the price of
the Fund during the term of the notes, which may adversely affect the value of your notes.
|
t
|
Anti-Dilution Protection Is Limited
— Although the calculation
agent will adjust the closing price of one share of the Underlying for certain events affecting the Underlying, the calculation
agent is not required to make an adjustment for every event that can affect the Underlying.
If
an event occurs that does not require the calculation agent to adjust the closing price of one share of the Underlying, the market
value of your Notes and any payment on the Notes may be materially and adversely affected.
|
Hypothetical
Examples
Hypothetical terms only. Actual terms
may vary. See the cover page for actual offering terms.
The examples below illustrate the hypothetical payments on a
Coupon Payment Date, upon an automatic call or at maturity under different hypothetical scenarios for a $10.00 Note on an offering
of the Notes linked to a hypothetical Underlying and assume an Initial Value of $100.00, a Downside Threshold and Coupon Barrier
of $70.00 (which is 70.00% of the hypothetical Initial Value) and a Contingent Coupon Rate of 6.50%* per annum. The hypothetical
Initial Value has been chosen for illustrative purposes only and may not represent a likely actual Initial Value. The actual Initial
Value, Downside Threshold and Coupon Barrier are based on the closing price of one share of the Underlying on the Trade Date and
will be provided in the pricing supplement. For historical data regarding the actual closing prices of one share of the Underlying,
please see the historical information set forth under “The Underlying” in this pricing supplement.
Principal Amount:
|
$10.00
|
Term:
|
Approximately three years (unless earlier called)
|
Hypothetical Initial Value:
|
$100.00
|
Hypothetical Contingent Coupon Rate:
|
6.50%* per annum (or 1.625% per quarter)
|
Observation Dates:
|
Quarterly (callable after six months)
|
Hypothetical Downside Threshold:
|
$70.00 (which is 70.00% of the hypothetical Initial Value)
|
Hypothetical Coupon Barrier:
|
$70.00 (which is 70.00% of the hypothetical Initial Value)
|
*
|
The actual Contingent Coupon Rate will be finalized on the Trade Date and provided in the pricing supplement. The actual value of any Contingent Coupon payments you will receive over the term of the Notes and the actual value of the payment upon automatic call or at maturity applicable to your Notes may be more or less than the amounts displayed in these hypothetical scenarios.
|
The examples below are purely hypothetical and are not based
on any specific offering of Notes linked to any specific Underlying. These examples are intended to illustrate how the value of
any payment on the Notes will depend on the closing price of one share on the Observation Dates.
Example 1 — Notes Are Automatically Called on the Second
Observation Date
Date
|
Closing Price
|
Payment (per Note)
|
First Observation Date
|
$105.00 (at or above Initial Value; Notes NOT called because Observation Date is prior to the second Observation Date)
|
$0.1625 (Contingent Coupon)
|
Second Observation Date
|
$110.00 (at or above Initial Value)
|
$10.1625 (Payment Upon Automatic Call)
|
|
Total Payment:
|
$10.325 (3.25% return)
|
|
|
|
Although the closing price is above the Initial Value on the
first Observation Date, the Notes are not called because the Notes cannot be called before the second Observation Date. Because
the Notes are automatically called on the second Observation Date, we will pay you on the applicable Call Settlement Date a total
of $10.1625 per Note, reflecting your principal amount
plus
the applicable Contingent Coupon. When that amount is added
to the Contingent Coupon payment of $0.1625 received in respect of the prior Observation Date, we will have paid you a total of
$10.325 per Note for a 3.25% total return on the Notes. No further amounts will be owed on the Notes.
Example 2 — Notes Are NOT Automatically Called
and
the Final Value Is at or above the Downside Threshold
Date
|
Closing Price
|
Payment (per Note)
|
First Observation Date
|
$90.00 (at or above Coupon Barrier; below Initial Value)
|
$0.1625 (Contingent Coupon)
|
Second Observation Date
|
$85.00 (at or above Coupon Barrier; below Initial Value)
|
$0.1625 (Contingent Coupon)
|
Third through Eleventh Observation Dates
|
Various (all below Coupon Barrier; all below Initial Value)
|
$0.00
|
Final Valuation Date
|
$85.00 (at or above Downside Threshold; below Initial Value)
|
$10.1625 (Payment at Maturity)
|
|
Total Payment:
|
$10.4875 (4.875% return)
|
|
|
|
At maturity, we will pay you a total of $10.1625 per Note, reflecting
your principal amount
plus
the applicable Contingent Coupon. When that amount is added to the Contingent Coupon payment
of $0.325 received in respect of prior Observation Dates, we will have paid you a total of $10.4875 per Note for a 4.875% total
return on the Notes.
Example 3 — Notes Are NOT Automatically Called
and
the Final Value is below the Downside Threshold
Date
|
Closing Price
|
Payment (per Note)
|
First Observation Date
|
$55.00 (below Coupon Barrier; below Initial Value)
|
$0.00
|
Second Observation Date
|
$50.00 (below Coupon Barrier; below Initial Value)
|
$0.00
|
Third through Eleventh Observation Dates
|
Various (all below Coupon Barrier; all below Initial Value)
|
$0.00
|
Final Valuation Date
|
$50.00 (below Downside Threshold)
|
$10.00 × (1 + Underlying Return) =
$10.00 × (1 + -50%) =
$10.00 × 50% =
$5.00 (Payment at Maturity)
|
|
Total Payment:
|
$5.00 (-50.00% return)
|
|
|
|
Because the Notes are not automatically called, the Final Value
is below the Downside Threshold and the Underlying Return is -50%, at maturity we will pay you $5.00 per Note for a loss on the
Notes of 50.00%. Because there is no Contingent Coupon paid during the term of the Notes, that represents the total payment on
the Notes.
The hypothetical returns and hypothetical payments on the Notes
shown above
apply only if you hold the Notes for their entire term or until automatically called
. These hypotheticals do
not reflect fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included,
the hypothetical returns and hypothetical payments shown above would likely be lower.
The
Underlying
The SPDR
®
S&P
®
Bank ETF is an exchange-traded fund of the Select Sector SPDR
®
Trust, a registered investment
company, that seeks to provide investment results that, before fees and expenses, correspond generally to the total return performance
of an index that tracks the performance of publicly traded national money centers and leading regional banks, which we refer to
as the Underlying Index with respect to the SPDR
®
S&P
®
Bank ETF. The Underlying Index with respect
to the SPDR
®
S&P
®
Bank ETF is currently the S&P
®
Banks Select Industry
TM
Index. The S&P
®
Banks Select Industry
TM
Index is a modified equal-weighted index that is designed
to measure the performance of the following GICS
®
sub-industries of the S&P Total Market Index: asset management
& custody banks (must also meet the North American Industry Classification of depository credit intermediation); diversified
banks; regional banks; other diversified financial services; and thrifts & mortgage finance. For additional information about
the SPDR
®
S&P
®
Bank ETF, see “Fund Descriptions — The SPDR
®
S&P
®
Industry ETFs” in the accompanying underlying supplement. For the purposes of the accompanying underlying supplement, the
SPDR
®
S&P
®
Bank ETF is a “SPDR
®
S&P
®
Industry
ETF.” For additional information about the S&P
®
Banks Select Industry
TM
Index, see Annex A
to this pricing supplement.
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 of one share of 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 September
22, 2017 was $43.48. We obtained the closing prices of one share of the Underlying above and below from Bloomberg, without independent
verification. The closing prices may have been adjusted by Bloomberg for certain actions, such as stock splits. You should not
take the historical prices of one share of the Underlying as an indication of future performance.
Quarter Begin
|
Quarter End
|
Quarterly High
|
Quarterly Low
|
Close
|
1/1/2012
|
|
3/31/2012
|
|
$24.44
|
$20.29
|
$23.85
|
4/1/2012
|
|
6/30/2012
|
|
$24.10
|
$20.25
|
$22.04
|
7/1/2012
|
|
9/30/2012
|
|
$24.63
|
$21.12
|
$23.48
|
10/1/2012
|
|
12/31/2012
|
|
$24.40
|
$22.29
|
$23.83
|
1/1/2013
|
|
3/31/2013
|
|
$27.23
|
$24.57
|
$26.92
|
4/1/2013
|
|
6/30/2013
|
|
$28.84
|
$25.47
|
$28.72
|
7/1/2013
|
|
9/30/2013
|
|
$31.98
|
$29.09
|
$30.03
|
10/1/2013
|
|
12/31/2013
|
|
$33.18
|
$29.54
|
$33.17
|
1/1/2014
|
|
3/31/2014
|
|
$34.67
|
$30.78
|
$34.04
|
4/1/2014
|
|
6/30/2014
|
|
$34.50
|
$31.03
|
$33.42
|
7/1/2014
|
|
9/30/2014
|
|
$33.87
|
$31.24
|
$31.91
|
10/1/2014
|
|
12/31/2014
|
|
$33.92
|
$30.05
|
$33.55
|
1/1/2015
|
|
3/31/2015
|
|
$34.15
|
$29.99
|
$33.51
|
4/1/2015
|
|
6/30/2015
|
|
$37.20
|
$33.44
|
$36.26
|
7/1/2015
|
|
9/30/2015
|
|
$37.06
|
$31.61
|
$33.24
|
10/1/2015
|
|
12/31/2015
|
|
$36.59
|
$32.93
|
$33.82
|
1/1/2016
|
|
3/31/2016
|
|
$33.05
|
$26.52
|
$30.37
|
4/1/2016
|
|
6/30/2016
|
|
$33.64
|
$28.19
|
$30.48
|
7/1/2016
|
|
9/30/2016
|
|
$34.23
|
$29.27
|
$33.38
|
10/1/2016
|
|
12/31/2016
|
|
$44.16
|
$33.21
|
$43.47
|
1/1/2017
|
|
3/31/2017
|
|
$46.56
|
$41.67
|
$42.98
|
4/1/2017
|
|
6/31/2017
|
|
$44.10
|
$41.01
|
$43.52
|
7/1/2017
|
|
9/22/2017*
|
|
$44.44
|
$39.81
|
$43.48
|
|
*
|
As of the date of this pricing supplement, available
information for the third calendar quarter of 2017 includes data for the period from July 1, 2017 through September 22, 2017.
Accordingly, the “Quarterly High,” “Quarterly Low” and “Close” data indicated are for this
shortened period only and do not reflect complete data for the third calendar quarter of 2017.
|
The graph below illustrates the daily performance of the Underlying
from January 3, 2007 through September 22, 2017, based on information from Bloomberg, without independent verification. The dotted
line represents the Downside Threshold and Coupon Barrier of $30.44, equal to 70% of the closing price of one share of the Underlying
on September 22, 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 will agree 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.
All sales of the Notes will be made to certain fee-based advisory
accounts for which UBS is an investment advisor and UBS will act as placement agent. The purchase price will be $10.00 per Note
and UBS will forgo any selling commissions related to these sales.
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 Trade Date of the Notes (this settlement cycle being referred to as “T+3”). Under Rule 15c6-1
of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in two business
days, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade Notes on any date prior
to two business days before delivery will be required to specify an alternate settlement cycle at the time of any such trade to
prevent a failed settlement and should consult their own advisors.
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 will be lower than the original
issue price of the Notes because costs associated with structuring and hedging the Notes are included in the original issue price
of the Notes. These costs include 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 Will Be Lower Than the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact any secondary
market prices of the Notes, see “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.