Issuer:
|
JPMorgan Chase Financial Company LLC
|
Guarantor:
|
JPMorgan Chase & Co.
|
Index:
|
The EURO STOXX 50
®
Index (Bloomberg ticker: SX5E)
|
Payment at Maturity:
|
If the Ending Index Level is greater than the Initial Index Level, at maturity you will receive a cash payment that provides you with a return per $1,000 principal amount note equal to the Index Return, subject to the Maximum Upside Return. Accordingly, under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows:
|
|
$1,000 + ($1,000 × Index Return), subject to the Maximum Upside Return
|
|
If the Ending Index Level is equal to the Initial Index Level,
you will receive the principal amount of your notes at maturity.
If the Ending Index Level is less than the Initial Index
Level by up to the Contingent Buffer Amount, you will receive at maturity a cash payment that provides you with a return per $1,000
principal amount note equal to the Absolute Index Return, and your payment at maturity per $1,000 principal amount note will be
calculated as follows:
$1,000 + ($1,000 × Absolute Index Return)
Because the payment at maturity will not reflect the Absolute
Index Return if the Ending Index Level is less than the Initial Index Level by more than the Contingent Buffer Amount of 21.60%,
your maximum payment at maturity if the Index Return is negative is $1,216.00 per $1,000 principal amount note.
|
|
If the Ending Index Level is less than the Initial Index Level by more than the Contingent Buffer Amount, you will lose 1% of the principal amount of your notes for every 1% that the Ending Index Level is less than the Initial Index Level. Under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows:
|
|
$1,000 + ($1,000 × Index Return)
|
|
If the Ending Index Level is less than the Initial Index Level by more than the Contingent Buffer Amount of 21.60%, you will lose more than 21.60% of your principal amount at maturity and may lose all of your principal amount at maturity.
|
Maximum Upside Return:
|
21.60%. For example, if the Index Return is equal to or greater than 21.60%, you will receive the Maximum Upside Return of 21.60%, which entitles you to a maximum payment at maturity of $1,216.00 per $1,000 principal amount note that you hold.
|
Contingent Buffer Amount:
|
21.60%
|
Index Return:
|
(Ending Index Level – Initial Index Level)
Initial Index Level
|
|
Absolute Index Return:
|
The absolute value of the Index Return. For example, if the Index Return is -5%, the Absolute Index Return will equal 5%.
|
Initial Index Level:
|
The closing level of the Index on the Pricing Date
|
Ending Index Level:
|
The arithmetic average of the closing levels of the Index on the Ending Averaging Dates
|
Pricing Date:
|
On or about January 20, 2017
|
Original Issue Date:
|
On or about January 25, 2017 (Settlement Date)
|
Ending Averaging Dates*:
|
July 16, 2018, July 17, 2018, July 18, 2018, July 19, 2018 and July 20, 2018
|
Maturity Date*:
|
July 25, 2018
|
CUSIP:
|
46646QVT9
|
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.
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.
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.
The following
table and examples illustrate the hypothetical total return and the hypothetical payment 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. Each hypothetical total return or payment at maturity set forth below
assumes an Initial Index Level of 3,300 and reflects the Maximum Upside Return of 21.60% and the Contingent Buffer Amount of 21.60%.
Each hypothetical total return or 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 and in
the examples below have been rounded for ease of analysis.
Ending Index
Level
|
Index
Return
|
Absolute
Index
Return
|
Total Return
|
5,940.00
|
80.00%
|
N/A
|
21.60%
|
5,445.00
|
65.00%
|
N/A
|
21.60%
|
4,950.00
|
50.00%
|
N/A
|
21.60%
|
4,620.00
|
40.00%
|
N/A
|
21.60%
|
4,290.00
|
30.00%
|
N/A
|
21.60%
|
4,012.80
|
21.60%
|
N/A
|
21.60%
|
3,960.00
|
20.00%
|
N/A
|
20.00%
|
3,795.00
|
15.00%
|
N/A
|
15.00%
|
3,630.00
|
10.00%
|
N/A
|
10.00%
|
3,465.00
|
5.00%
|
N/A
|
5.00%
|
3,382.50
|
2.50%
|
N/A
|
2.50%
|
3,300.00
|
0.00%
|
N/A
|
0.00%
|
3,217.50
|
-2.50%
|
2.50%
|
2.50%
|
3,135.00
|
-5.00%
|
5.00%
|
5.00%
|
2,970.00
|
-10.00%
|
10.00%
|
10.00%
|
2,805.00
|
-15.00%
|
15.00%
|
15.00%
|
2,640.00
|
-20.00%
|
20.00%
|
20.00%
|
2,587.20
|
-21.60%
|
21.60%
|
21.60%
|
2,586.87
|
-21.61%
|
N/A
|
-21.61%
|
2,640.00
|
-20.00%
|
N/A
|
-20.00%
|
2,310.00
|
-30.00%
|
N/A
|
-30.00%
|
1,980.00
|
-40.00%
|
N/A
|
-40.00%
|
1,650.00
|
-50.00%
|
N/A
|
-50.00%
|
1,320.00
|
-60.00%
|
N/A
|
-60.00%
|
990.00
|
-70.00%
|
N/A
|
-70.00%
|
660.00
|
-80.00%
|
N/A
|
-80.00%
|
330.00
|
-90.00%
|
N/A
|
-90.00%
|
0.00
|
-100.00%
|
N/A
|
-100.00%
|
JPMorgan Structured Investments
|
PS-
2
|
Capped Dual Directional Contingent Buffered Equity Notes Linked to the EURO STOXX 50
®
Index
|
Hypothetical
Examples of Amount Payable at Maturity
The following
examples illustrate how the total payment at maturity in different hypothetical scenarios is calculated.
Example
1: The level of the Index increases from the Initial Index Level of 3,300 to an Ending Index Level of 3,465.
Because
the Ending Index Level of 3,465 is greater than the Initial Index Level of 3,300 and the Index Return of 5% does not exceed the
Maximum Upside Return of 21.60%, the investor receives a payment at maturity of $1,050 per $1,000 principal amount note, calculated
as follows:
$1,000
+ ($1,000 × 5%) = $1,050
Example
2: The level of the Index decreases from the Initial Index Level of 3,300 to an Ending Index Level of 3,135.
Although
the Index Return is negative, because the Ending Index Level of 3,135 is less than the Initial Index Level of 3,300 by up to the
Contingent Buffer Amount of 21.60% and the Absolute Index Return is 5.00%, the investor receives a payment at maturity of $1,050
per $1,000 principal amount note, calculated as follows:
$1,000
+ ($1,000 × 5%) = $1,050
Example
3: The level of the Index increases from the Initial Index Level of 3,300 to an Ending Index Level of 4,290.
Because
the Ending Index Level of 4,290 is greater than the Initial Index Level of 3,300 and the Index Return of 30% exceeds the Maximum
Upside Return of 21.60%, the investor receives a payment at maturity of $1,216.00 per $1,000 principal amount note, the maximum
payment at maturity if the Index Return is positive.
Example
4: The level of the Index decreases from the Initial Index Level of 3,300 to an Ending Index Level of 1,650.
Because
the Ending Index Level of 1,100 is less than the Initial Index Level of 3,300 by more than the Contingent Buffer Amount of 21.60%
and the Index Return is -50%, the investor receives a payment at maturity of $500 per $1,000 principal amount note, calculated
as follows:
$1,000
+ ($1,000 × -50%) = $500
Example
5: The level of the Index decreases from the Initial Index Level of 3,300 to an Ending Index Level of 2,587.20.
Although the
Index Return is negative, because the Ending Index Level of 2,587.20 is less than the Initial Index Level of 3,300 by up to the
Contingent Buffer Amount of 21.60% and the Absolute Index Return is 21.60%, the investor receives a payment at maturity of $1,216.00
per $1,000 principal amount note, the maximum payment at maturity if the Index Return is negative, calculated as follows:
$1,000
+ ($1,000 × 21.60%) = $1,216.00
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 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.
JPMorgan Structured Investments
|
PS-
3
|
Capped Dual Directional Contingent Buffered Equity Notes Linked to the EURO STOXX 50
®
Index
|
Selected
Purchase Considerations
|
·
|
CAPPED,
UNLEVERAGED APPRECIATION POTENTIAL IF THE INDEX RETURN IS POSITIVE
— The notes provide the opportunity to earn a capped,
unleveraged return equal to a positive Index Return, up to the Maximum Upside Return of 21.60%. Accordingly, the maximum payment
at maturity if the Index Return is positive is $1,216.00 per $1,000 principal amount note.
Because the notes are our unsecured
and unsubordinated obligations, the payment of which is fully and unconditionally guaranteed by JPMorgan Chase & Co., payment
of any amount on the notes is subject to our ability to pay our obligations as they become due and JPMorgan Chase & Co.’s
ability to pay its obligations as they become due.
|
|
·
|
POTENTIAL
FOR UP TO A 21.60% RETURN ON THE NOTES EVEN IF THE INDEX RETURN IS NEGATIVE
— If the Ending Index Level is less than
the Initial Index Level by up to the Contingent Buffer Amount, you will earn a positive, unleveraged return on the notes equal
to the Absolute Index Return. Under these circumstances, you will earn a positive return on the notes even though the Ending Index
Level is less than the Initial Index Level. For example, if the Index Return is -5%, the Absolute Index Return will equal 5%.
Because the payment at maturity will not reflect the Absolute Index Return if the Ending Index Level is less than the Initial
Index Level by more than the Contingent Buffer Amount of 21.60%, your maximum payment at maturity if the Index Return is negative
is $1,216.00 per $1,000 principal amount note.
|
|
·
|
RETURN
LINKED TO THE EURO STOXX 50
®
INDEX
— The EURO STOXX 50
®
Index consists of 50 component
stocks of market sector leaders from within the Eurozone. The EURO STOXX 50
®
Index and STOXX
®
are
the intellectual property (including registered trademarks) of STOXX Limited, Zurich, Switzerland and/or its licensors (the “Licensors”),
which are used under license. The notes based on the EURO STOXX 50
®
Index are in no way sponsored, endorsed, sold
or promoted by STOXX Limited and its Licensors and neither STOXX Limited nor any of its Licensors shall have any liability with
respect thereto. For additional information about the EURO STOXX 50
®
Index, see the information set forth under
“Equity Index Descriptions — The EURO STOXX 50
®
Index” in the accompanying underlying supplement.
|
|
·
|
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, 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. However, the IRS or a court may not respect this treatment, in which case the timing and character of
any income or loss on the notes could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released
a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their
investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to
these instruments; the relevance of factors such as the nature of the underlying property to which the instruments are linked;
the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding
tax; and whether these instruments are or should be subject to the “constructive ownership” regime, which very generally
can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. While the
notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated
after consideration of these issues could materially and adversely affect the tax consequences of an investment in the notes,
possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an
investment in the notes, including possible alternative treatments and the issues presented by this notice.
Withholding
under legislation commonly referred to as “FATCA” may (if the notes are recharacterized as debt instruments) apply
to amounts treated as interest paid with respect to the notes. Under a recent IRS notice, withholding under FATCA will not apply
to payments of gross proceeds (other than any amount treated as interest) of a taxable disposition, including redemption at maturity,
of the notes. You should consult your tax adviser regarding the potential application of FATCA to the notes.
Selected
Risk Considerations
An investment
in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Index or any of
the component securities of the Index. These risks are explained in more detail in the “Risk Factors” sections of
the accompanying product supplement and the accompanying underlying supplement.
|
·
|
YOUR
INVESTMENT IN THE NOTES MAY RESULT IN A LOSS
— The notes do not guarantee any return of principal. The return on the
notes at maturity is linked to the performance of the Index and will depend on whether, and the extent to which, the Index Return
is positive or negative. If the Ending Index Level is less than the Initial Index Level by more than the Contingent Buffer Amount
of 21.60%, you will lose 1% of the principal amount of your notes for every 1% that the Ending Index Level is less than the Initial
Index Level. Accordingly,
|
JPMorgan Structured Investments
|
PS-
4
|
Capped Dual Directional Contingent Buffered Equity Notes Linked to the EURO STOXX 50
®
Index
|
under
these circumstances, you will lose more than 21.60% of your principal amount at maturity and may lose all of your principal amount
at maturity.
|
·
|
YOUR
MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE MAXIMUM UPSIDE RETURN AND THE CONTINGENT BUFFER AMOUNT
— If the Ending Index
Level is greater than the Initial Index Level, for each $1,000 principal amount note, you will receive at maturity $1,000
plus
an additional return that will not exceed the Maximum Upside Return of 21.60%, regardless of the appreciation in the Index,
which may be significant. In addition, if the Ending Index Level is less than the Initial Index Level by up to the Contingent
Buffer Amount of 21.60%, you will receive at maturity $1,000
plus
an additional return equal to the Absolute Index Return,
up to 21.60%. Because the payment at maturity will not reflect the Absolute Index Return if the Ending Index Level is less than
the Initial Index Level by more than the Contingent Buffer Amount of 21.60%, your maximum payment at maturity if the Index Return
is negative is $1,216.00 per $1,000 principal amount note.
|
|
·
|
CREDIT
RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO.
— The notes are subject to our and JPMorgan Chase & Co.’s
credit risks, and our and JPMorgan Chase & Co.’s credit ratings and credit spreads may adversely affect the market value
of the notes. Investors are dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts due on the
notes. Any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads, as determined
by the market for taking that credit risk, is likely to adversely affect the value of the notes. If we and JPMorgan Chase
& Co. were to default on our payment obligations, you may not receive any amounts owed to you under the notes and you could
lose your entire investment.
|
|
·
|
AS
A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS —
As a finance subsidiary
of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of our securities. Aside
from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of
our affiliates to make payments under loans made by us or other intercompany agreements. As a result, we are dependent upon payments
from our affiliates to meet our obligations under the notes. If these affiliates do not make payments to us and we fail to make
payments on the notes, you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee
will rank pari passu with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
|
|
·
|
POTENTIAL
CONFLICTS
— We and our affiliates play a variety of roles in connection with the issuance of the notes, including acting
as calculation agent and as an agent of the offering of the notes, hedging our obligations under the notes and making the assumptions
used to determine the pricing of the notes and the estimated value of the notes when the terms of the notes are set, which we
refer to as the estimated value of the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests
and the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as
an investor in the notes. In addition, our and JPMorgan Chase & Co.’s business activities, including hedging and trading
activities, could cause our and JPMorgan Chase & Co.’s economic interests to be adverse to yours and could adversely
affect any payment on the notes and the value of the notes. It is possible that hedging or trading activities of ours or our affiliates
in connection with the notes could result in substantial returns for us or our affiliates while the value of the notes declines.
Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement
for additional information about these risks.
|
|
·
|
THE
BENEFIT PROVIDED BY THE CONTINGENT BUFFER AMOUNT MAY TERMINATE ON THE FINAL ENDING AVERAGING DATE
— If the Ending Index
Level is less than the Initial Index Level by more than the Contingent Buffer Amount, the benefit provided by the Contingent Buffer
Amount will terminate and you will be fully exposed to any depreciation in the Index.
|
|
·
|
THE
ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES
— The estimated
value of the notes is only an estimate determined by reference to several factors. The original issue price of the notes will
exceed the estimated value of the notes because costs associated with selling, structuring and hedging the notes are included
in the original issue price of the notes. These costs include the selling commissions, the projected profits, if any, that our
affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated cost of
hedging our obligations under the notes. See “The Estimated Value of the Notes” in this pricing supplement.
|
|
·
|
THE
ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES
—
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.
|
|
·
|
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
|
JPMorgan Structured Investments
|
PS-
5
|
Capped Dual Directional Contingent Buffered Equity Notes Linked to the EURO STOXX 50
®
Index
|
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. 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).
|
|
·
|
SECONDARY
MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES
— Any secondary market prices
of the notes will likely be lower than the original issue price of the notes because, among other things, secondary market prices
take into account our internal secondary market funding rates for structured debt issuances and, also, because secondary market
prices (a) exclude selling commissions and (b) may exclude projected hedging profits, if any, and estimated hedging costs that
are included in the original issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy notes
from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior
to the Maturity Date could result in a substantial loss to you. See the immediately following risk consideration for information
about additional factors that will impact any secondary market prices of the notes.
|
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.
|
·
|
SECONDARY
MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS
— The secondary market price of the
notes during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other,
aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and the level of the Index, including:
|
|
·
|
any
actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
|
|
·
|
customary
bid-ask spreads for similarly sized trades;
|
|
·
|
our
internal secondary market funding rates for structured debt issuances;
|
|
·
|
the
actual and expected volatility of the Index;
|
|
·
|
the
time to maturity of the notes;
|
|
·
|
the
dividend rates on the equity securities included in the Index;
|
|
·
|
interest
and yield rates in the market generally;
|
|
·
|
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 included in the Index trade and the correlation among those rates and the level of the Index; and
|
|
·
|
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.
|
·
|
NO
INTEREST OR DIVIDEND PAYMENTS OR VOTING RIGHTS
— As a holder of the notes, you will not receive interest payments, and
you will not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of securities
included in the Index would have.
|
|
·
|
NON-U.S.
SECURITIES RISK
— The equity securities included in the Index have been issued by non-U.S. companies. Investments in
securities linked to the value of such non-U.S. equity securities involve risks associated with the securities markets in the
home countries of the issuers of those non-U.S. equity securities, including risks of volatility in those markets, governmental
intervention in those markets and cross shareholdings in companies in certain countries. 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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·
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NO
DIRECT EXPOSURE TO FLUCTUATIONS IN FOREIGN EXCHANGE RATES
— The value of your notes will not be adjusted for exchange
rate fluctuations between the U.S. dollar and the currencies upon which the equity securities included in the Index are based,
although any currency fluctuations could affect the performance of the Index. Therefore, if the applicable currencies appreciate
or depreciate relative to the U.S. dollar over the term of the notes, you will not receive any additional payment or incur any
reduction in any payment on the notes.
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VOLATILITY
RISK
— Greater expected volatility with respect to the Index indicates a greater likelihood as of the Pricing Date that
the Ending Index Level could be less than the Initial Index Level by more than the Contingent Buffer Amount. The Index’s
volatility, however, can change significantly over the term of the notes. The Index closing level could fall sharply during
the term of the notes, which could result in your losing some or all of your principal amount at maturity.
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JPMorgan Structured Investments
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PS-
6
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Capped Dual Directional Contingent Buffered Equity Notes Linked to the EURO STOXX 50
®
Index
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LACK
OF LIQUIDITY
— The notes will not be listed on any securities exchange. JPMS intends to offer to purchase the notes
in the secondary market but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity
to allow you to trade or sell the notes easily. Because other dealers are not likely to make a secondary market for the notes,
the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS is willing to buy
the notes.
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THE
FINAL TERMS AND VALUATION OF THE NOTES WILL BE 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 provided in the pricing supplement. In
particular, the estimated value of the notes will be provided in the pricing supplement and may be as low as the minimum for the
estimated value of the notes set forth on the cover of this pricing supplement. Accordingly, you should consider your potential
investment in the notes based on the minimum for the estimated value of the notes.
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Historical
Information
The following
graph sets forth the historical performance of the Index based on the weekly historical closing levels of the Index from January
6, 2012 through January 13, 2017. The closing level of the Index on January 19, 2017 was 3,290.33.
We obtained
the closing levels of the Index above and below from the Bloomberg Professional
®
service (“Bloomberg”),
without independent verification. The historical levels of the Index should not be taken as an indication of future performance,
and no assurance can be given as to the closing level of the Index on the Pricing Date or the Ending Averaging Date. There can
be no you assurance that the performance of the Index will result in the return of any of your principal amount.
The
Estimated Value of the Notes
The estimated
value of the notes set forth on the cover of this pricing supplement is equal to the sum of the values of the following hypothetical
components: (1) a fixed-income debt component with the same maturity as the notes, valued using the internal funding rate described
below, and (2) the derivative or derivatives underlying the economic terms of the notes. The estimated value of the notes does
not represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any
time. The internal funding rate used in the determination of the estimated value of the notes is based on, among other things,
our and our affiliates’ view of the funding value of the notes as well as the higher issuance, operational and ongoing liability
management costs of the notes in comparison to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. For
additional information, see “Selected Risk Considerations — The Estimated Value of the Notes Is Derived by Reference
to an Internal Funding Rate” in this pricing supplement. The value of the derivative or derivatives underlying the economic
terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as the
traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and
which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events
and/or environments. Accordingly, the estimated value of the notes is determined when the terms of the notes are set based on
market conditions and other relevant factors and assumptions existing at that time. See “Selected Risk Considerations —
The Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ from Others’ Estimates”
in this pricing supplement.
The estimated
value of the notes will be lower than the original issue price of the notes because costs associated with selling, structuring
and hedging the notes are included in the original issue price of the notes. These costs include the selling commissions paid
to JPMS and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for
assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the
notes. Because hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may
result in a profit that is more or less than expected, or it may result in a loss. We or one or more of our affiliates will retain
any profits realized in hedging our obligations under the notes. See “Selected Risk Considerations — The Estimated
Value of the Notes 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 “Selected Risk Considerations — Secondary
Market Prices of the Notes Will Be Impacted by Many Economic and Market Factors” in this pricing supplement. In addition,
we generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you
in connection with any repurchases of your notes by JPMS in an amount that will
JPMorgan Structured Investments
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Capped Dual Directional Contingent Buffered Equity Notes Linked to the EURO STOXX 50
®
Index
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decline
to zero over an initial predetermined period that is intended to be the shorter of six months and one-half of the stated term
of the notes. The length of any such initial period reflects the structure of the notes, whether our affiliates expect to earn
a profit in connection with our hedging activities, the estimated costs of hedging the notes and when these costs are incurred,
as determined by our affiliates. See “Selected Risk Considerations — The Value of the Notes as Published by JPMS (and
Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a
Limited Time Period.”
Supplemental
Use of Proceeds
The notes
are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the notes.
See “What Is the Total Return on the Notes at Maturity, Assuming a Range of Performances for the Index?” and “Hypothetical
Examples of Amount Payable at Maturity” in this pricing supplement for an illustration of the risk-return profile of the
notes and “Selected Purchase Considerations — Return Linked to the EURO STOXX 50
®
Index” in this
pricing supplement for a description of the market exposure provided by the notes.
The original
issue price of the notes is equal to the estimated value of the notes plus the selling commissions paid to JPMS and other affiliated
or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks
inherent in hedging our obligations under the notes, plus
the estimated cost of hedging our obligations under the notes.
JPMorgan Structured Investments
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Capped Dual Directional Contingent Buffered Equity Notes Linked to the EURO STOXX 50
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Index
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