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.
Pricing
supplement to product supplement no. 4-I dated April 15, 2016, underlying supplement no. 1-I dated April 15, 2016
and the prospectus and prospectus supplement, each dated April 15, 2016
Key
Terms
Issuer:
JPMorgan Chase Financial Company LLC
Guarantor:
JPMorgan Chase & Co.
Funds:
The SPDR
®
S&P
®
Biotech ETF (Bloomberg ticker: XBI) and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF (Bloomberg ticker: XOP)
Contingent
Interest
Payments:
If the notes have not been automatically called and the closing price of one share of each Fund on any Review Date is greater
than or equal to its Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal amount
note a Contingent Interest Payment equal to between $25.00 and $27.50 (equivalent to a Contingent Interest Rate of between 10.00%
and 11.00% per annum, payable at a rate of between 2.50% and 2.75% per quarter) (to be provided in the pricing supplement).
If the closing price of one share of either Fund on any Review
Date is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date.
Contingent
Interest
Rate:
Between 10.00% and 11.00% per annum, payable at a rate of between 2.50% and 2.75% per quarter (to be provided in the pricing supplement)
Interest Barrier / Trigger Value:
With respect to each Fund, 60.00% of its Initial Value
Pricing
Date:
On or about February 28, 2017
Original
Issue Date (Settlement Date):
On or about March 3, 2017
Review
Dates*:
May 30, 2017, August 28, 2017, November 28, 2017, February 28, 2018, May 29, 2018, August 28, 2018, November
28, 2018 and February 28, 2019 (final Review Date)
Interest
Payment Dates*:
June 2, 2017, August 31, 2017, December 1, 2017, March 5, 2018, June 1, 2018, August 31, 2018, December
3, 2018 and the Maturity Date
Maturity
Date*:
March 5, 2019
Call Settlement Date*:
If the notes are automatically called on any Review Date (other than the first and final Review Dates), the first Interest
Payment Date immediately following that Review Date
* Subject to postponement in the event of a market disruption
event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to
Multiple Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying
product supplement
|
Automatic Call:
If the closing price of one share of each Fund on any Review
Date (other than the first and final Review Dates) is greater than or equal to its Initial Value, the notes will be automatically
called for a cash payment, for each $1,000 principal amount note, equal to (a) $1,000
plus
(b) the Contingent Interest Payment
applicable to that Review Date, payable on the applicable Call Settlement Date. No further payments will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final Value
of each Fund is greater than or equal to its Trigger Value, you will receive a cash payment at maturity, for each $1,000 principal
amount note, equal to (a) $1,000
plus
(b) the Contingent Interest Payment applicable to the final Review Date.
If the notes have not been automatically called and the Final Value
of either Fund is less than its Trigger Value, your payment at maturity per $1,000 principal amount note will be calculated as
follows:
$1,000 + ($1,000 × Lesser Performing Fund
Return)
If the notes have not been automatically called and the Final Value
of either Fund is less than its Trigger Value, you will lose more than 40.00% of your principal amount at maturity and could lose
all of your principal amount at maturity.
Lesser Performing Fund:
The Fund with the Lesser Performing Fund Return
Lesser Performing Fund Return:
The lower of the Fund Returns of the Funds
Fund Return:
With respect to each Fund,
(Final Value – Initial Value)
Initial Value
Initial
Value:
With respect to each Fund
, t
he closing
price of one share of that Fund on the Pricing Date
Final
Value:
With respect to each Fund, the closing price of one share of that Fund on the
final Review Date
Share
Adjustment Factor:
With respect to each Fund, the Share Adjustment Factor is referenced
in determining the closing price of one share of that Fund and is set equal to 1.0 on the Pricing Date. The Share Adjustment Factor
of each Fund is subject to adjustment upon the occurrence of certain events affecting that Fund. See “The Underlyings —
Funds — Anti-Dilution Adjustments” in the accompanying product supplement for further information.
|
PS-
1
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the SPDR
®
S&P
®
Biotech ETF and the SPDR
®
S&P
®
Oil & Gas Exploration
& Production ETF
|
|
How
the Notes Work
Payment
in Connection with the First Review Date
Payments
in Connection with Review Dates (Other than the First and Final Review Dates)
PS-
2
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the SPDR
®
S&P
®
Biotech ETF and the SPDR
®
S&P
®
Oil & Gas Exploration
& Production ETF
|
|
Payment at Maturity If
the Notes Have Not Been Automatically Called
Total Contingent Interest Payments
The table below illustrates the hypothetical total
Contingent Interest Payments per $1,000 principal amount note over the term of the notes based on a hypothetical Contingent Interest
Rate of 10.00% per annum, depending on how many Contingent Interest Payments are made prior to automatic call or maturity. The
actual Contingent Interest Rate will be provided in the pricing supplement and will be between 10.00% and 11.00% per annum.
Number of Contingent Interest
Payments
|
Total Contingent Interest
Payments
|
8
|
$200.00
|
7
|
$175.00
|
6
|
$150.00
|
5
|
$125.00
|
4
|
$
100.00
|
3
|
$
75.00
|
2
|
$
50.00
|
1
|
$
25.00
|
0
|
$
0.00
|
PS-
3
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the SPDR
®
S&P
®
Biotech ETF and the SPDR
®
S&P
®
Oil & Gas Exploration
& Production ETF
|
|
Hypothetical
Payout Examples
The following examples illustrate payments on
the notes linked to two hypothetical Funds, assuming a range of performances for the hypothetical Lesser Performing Fund on the
Review Dates.
Each hypothetical payment set forth below assumes that the closing price of one share of the Fund that is not
the Lesser Performing Fund on each Review Date is greater than or equal to its Initial Value (and therefore its Interest Barrier
and Trigger Value).
In addition, the hypothetical payments set forth
below assume the following:
|
·
|
an Initial Value for the Lesser Performing Fund of $100.00;
|
|
·
|
an Interest Barrier and a Trigger Value for the Lesser Performing Fund of $60.00 (equal to 60.00% of its hypothetical Initial
Value); and
|
|
·
|
a Contingent Interest Rate of 10.00% per annum (payable at a rate of 2.50% per quarter).
|
The hypothetical Initial Value of the Lesser
Performing Fund of $100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial Value of
either Fund. The actual Initial Value of each Fund will be the closing price of one share of that Fund on the Pricing Date and
will be provided in the pricing supplement. For historical data regarding the actual closing prices of one share of each Fund,
please see the historical information set forth under “The Funds” in this pricing supplement.
Each hypothetical payment set forth below is
for illustrative purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing
in the following examples have been rounded for ease of analysis.
Example 1 — Notes are automatically
called on the second Review Date.
Date
|
Closing Price of One Share of Lesser Performing Fund
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
$105.00
|
$25.00
|
Second Review Date
|
$115.00
|
$1,025.00
|
|
Total Payment
|
$1,050.00 (5.00% return)
|
Because the closing price of one share of each
Fund on the second Review Date is greater than or equal to its Initial Value, the notes will be automatically called for a cash
payment, for each $1,000 principal amount note, of $1,025.00 (or $1,000
plus
the Contingent
Interest Payment applicable
to the second Review Date), payable on the applicable Call Settlement Date. The notes are not automatically callable before the
second Review Date, even though the closing price of one share of each Fund on the first Review Date is greater than its Initial
Value. When added to the Contingent Interest Payment received with respect to the prior Review Date, the total amount paid, for
each $1,000 principal amount note, is $1,050.00. No further payments will be made on the notes.
Example 2 — Notes have NOT been automatically
called and the Final Value of the Lesser Performing Fund is greater than or equal to its Trigger Value.
Date
|
Closing Price of One Share of Lesser Performing Fund
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
$95.00
|
$25.00
|
Second Review Date
|
$85.00
|
$25.00
|
Third through Seventh Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
$90.00
|
$1,025.00
|
|
Total Payment
|
$1,075.00 (7.50% return)
|
Because the notes have not been automatically
called and the Final Value of the Lesser Performing Fund is greater than or equal to its Trigger Value, the payment at maturity,
for each $1,000 principal amount note, will be $1,025.00 (or $1,000
plus
the Contingent Interest Payment applicable to the
final Review Date). When added to the Contingent Interest Payments received with respect to the prior Review Dates, the total amount
paid, for each $1,000 principal amount note, is $1,075.00.
PS-
4
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the SPDR
®
S&P
®
Biotech ETF and the SPDR
®
S&P
®
Oil & Gas Exploration
& Production ETF
|
|
Example
3 — Notes have NOT been automatically called and the Final Value of the Lesser Performing Fund is less than its Trigger Value
.
Date
|
Closing Price of One Share of Lesser Performing Fund
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
$45.00
|
$0
|
Second Review Date
|
$40.00
|
$0
|
Third through Seventh Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
$50.00
|
$500.00
|
|
Total Payment
|
$500.00 (-50.00% return)
|
Because the notes have not been automatically
called, the Final Value of the Lesser Performing Fund is less than its Trigger Value and the Lesser Performing Fund Return is -50.00%,
the payment at maturity will be $500.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)] = $500.00
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 the fees or expenses that would be associated with any sale in the secondary market. If these fees
and expenses were included, the hypothetical returns and hypothetical payments shown above would likely be lower.
Selected
Risk Considerations
An investment in the notes involves significant
risks. These risks are explained in more detail in the “Risk Factors” sections of the accompanying product supplement
and underlying supplement.
|
·
|
YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
|
The notes do not guarantee any return
of principal. If the notes have not been automatically called and the Final Value of either Fund is less than its Trigger Value,
you will lose 1% of the principal amount of your notes for every 1% that the Final Value of the Lesser Performing Fund is less
than its Initial Value. Accordingly, under these circumstances, you will lose more than 40.00% of your principal amount at maturity
and could lose all of your principal amount at maturity.
|
·
|
THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL —
|
If the notes have
not been automatically called, we will make a Contingent Interest Payment with respect to a Review Date only if the closing price
of one share of each Fund on that Review Date is greater than or equal to its Interest Barrier. If the closing price of one share
of either Fund on that Review Date is less than its Interest Barrier, no Contingent Interest Payment will be made with respect
to that Review Date. Accordingly, if the closing price of one share of either Fund on each Review Date is less than its Interest
Barrier, you will not receive any interest payments over the term of the notes.
|
·
|
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
|
Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase &
Co.’s creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely
affect the value of the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive
any amounts owed to you under the notes and you could lose your entire investment.
|
·
|
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.
PS-
5
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the SPDR
®
S&P
®
Biotech ETF and the SPDR
®
S&P
®
Oil & Gas Exploration
& Production ETF
|
|
|
·
|
THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS THAT MAY BE PAID OVER
THE TERM OF THE NOTES,
|
regardless of any appreciation in the
price of one share of either Fund, which may be significant. You will not participate in any appreciation in the price of one share
of either Fund.
We and our affiliates play a variety
of roles in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests
are potentially adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours
or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the value of
the notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying
product supplement.
|
·
|
YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE PRICE OF EACH FUND —
|
Payments on the notes are not linked
to a basket composed of the Funds and are contingent upon the performance of each individual Fund. Poor performance by either of
the Funds over the term of the notes may result in the notes not being automatically called on a Review Date, may negatively affect
whether you will receive a Contingent Interest Payment on any Interest Payment Date and your payment at maturity and will not be
offset or mitigated by positive performance by the other Fund.
|
·
|
YOUR PAYMENT AT MATURITY MAY BE DETERMINED BY THE LESSER PERFORMING FUND.
|
|
·
|
THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE —
|
If the Final Value of either Fund is
less than its Trigger Value and the notes have not been automatically called, the benefit provided by the Trigger Value will terminate
and you will be fully exposed to any depreciation in the closing price of one share of the Lesser Performing Fund.
|
·
|
THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
|
If your notes are automatically called,
the term of the notes may be reduced to as short as approximately six months and you will not receive any Contingent Interest Payments
after the applicable Call Settlement Date. 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. Even in cases where the
notes are called before maturity, you are not entitled to any fees and commissions described on the front cover of this pricing
supplement.
|
·
|
YOU WILL NOT RECEIVE DIVIDENDS ON EITHER FUND OR THE SECURITIES HELD BY EITHER FUND OR HAVE ANY RIGHTS WITH RESPECT TO THE
FUNDS OR THOSE SECURITIES.
|
|
·
|
THERE ARE RISKS ASSOCIATED WITH THE FUNDS —
|
The Funds are subject
to management risk, which is the risk that the investment strategies of the applicable Fund’s investment adviser, the implementation
of which is subject to a number of constraints, may not produce the intended results. These constraints could adversely affect
the market prices of the shares of the Funds and, consequently, the value of the notes.
|
·
|
THE PERFORMANCE AND MARKET VALUE OF EACH FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH
THE PERFORMANCE OF THAT FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE —
|
Each Fund does not fully replicate its
Underlying Index (as defined under “The Funds” below) and may hold securities different from those included in its
Underlying Index. In addition, the performance of each Fund will reflect additional transaction costs and fees that are not included
in the calculation of its Underlying Index. All of these factors may lead to a lack of correlation between the performance of each
Fund and its Underlying Index. In addition, corporate actions with respect to the equity securities underlying a Fund (such as
mergers and spin-offs) may impact the variance between the performances of that Fund and its Underlying Index. Finally, because
the shares of each Fund are traded on a securities exchange and are subject to market supply and investor demand, the market value
of one share of each Fund may differ from the net asset value per share of that Fund.
During periods of market volatility,
securities underlying each Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately
the net asset value per share of that Fund and the liquidity of that Fund may be adversely affected. This kind of market volatility
may also disrupt the ability of market participants to create and redeem shares of a Fund. Further, market volatility may adversely
affect, sometimes materially, the prices at which market participants are willing to buy and sell shares of that Fund. As a result,
under these circumstances, the market value of shares of a Fund may vary substantially from the net asset value per share of that
Fund. For all of the foregoing reasons, the performance of each Fund may not correlate with the performance of its Underlying Index
as well as the net asset value per share of that Fund, which could materially and adversely affect the value of the notes in the
secondary market and/or reduce any payment on the notes.
PS-
6
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the SPDR
®
S&P
®
Biotech ETF and the SPDR
®
S&P
®
Oil & Gas Exploration
& Production ETF
|
|
|
·
|
RISKS ASSOCIATED WITH THE BIOTECHNOLOGY INDUSTRY WITH RESPECT TO THE SPDR
®
S&P
®
BIOTECH ETF —
|
All or substantially all of the equity
securities held by the SPDR
®
S&P
®
Biotech ETF are issued by companies whose primary line of business
is directly associated with the biotechnology 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. Biotechnology companies invest heavily in
research and development, which may not necessarily lead to commercially successful products. These companies are also subject
to increased governmental regulation, which may delay or inhibit the release of new products. Many biotechnology companies
are dependent upon their ability to use and enforce intellectual property rights and patents. Any impairment of these rights
may have adverse financial consequences. Biotechnology stocks, especially those of smaller, less-seasoned companies, tend
to be more volatile than the overall market. Biotechnology companies can be significantly affected by technological change
and obsolescence, product liability lawsuits and consequential high insurance costs. These factors could affect the biotechnology
industry and could affect the value of the equity securities held by the SPDR
®
S&P
®
Biotech ETF
and the price of the SPDR
®
S&P
®
Biotech ETF during the term of the notes, which may adversely
affect the value of your notes.
|
·
|
RISKS ASSOCIATED WITH THE OIL AND GAS EXPLORATION AND PRODUCTION INDUSTRY WITH RESPECT TO THE SPDR
®
S&P
®
OIL & GAS EXPLORATION & PRODUCTION ETF
—
|
All or substantially all of the equity
securities held by the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF are issued by
companies whose primary line of business is directly associated with the oil and gas exploration and production 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. Issuers in energy-related industries can be significantly affected by fluctuations in energy prices and supply
and demand of energy fuels. Markets for various energy-related commodities can have significant volatility, and are subject
to control or manipulation by large producers or purchasers. Companies in the energy sector may need to make substantial expenditures,
and to incur significant amounts of debt, in order to maintain or expand their reserves. Companies in the oil and gas sector
develop and produce crude oil and natural gas and provide drilling and other energy resources production and distribution related
services. Stock prices for these types of companies are affected by supply and demand both for their specific product or
service and for energy products in general. The price of oil and gas, exploration and production spending, government regulation,
world events and economic conditions will likewise affect the performance of these companies. Correspondingly, securities
of companies in the energy field are subject to swift price and supply fluctuations caused by events relating to international
politics, energy conservation, the success of exploration projects, and tax and other governmental regulatory policies. Weak
demand for the companies’ products or services or for energy products and services in general, as well as negative developments
in these other areas, would adversely impact the SPDR
®
S&P
®
Oil & Gas Exploration & Production
ETF’s performance. Oil and gas exploration and production can be significantly affected by natural disasters as well
as changes in exchange rates, interest rates, government regulation, world events and economic conditions. These companies may
be at risk for environmental damage claims. These factors could affect the oil and gas exploration and production industry
and could affect the value of the equity securities held by the SPDR
®
S&P
®
Oil & Gas Exploration
& Production ETF and the price of the SPDR
®
S&P
®
Oil & Gas Exploration & Production
ETF during the term of the notes, which may adversely affect the value of your notes.
|
·
|
THE ANTI-DILUTION PROTECTION FOR THE FUNDS IS LIMITED —
|
The calculation agent will make adjustments
to the Share Adjustment Factor for each Fund for certain events affecting the shares of that Fund. However, the calculation agent
will not make an adjustment in response to all events that could affect the shares of the Funds. If an event occurs that does not
require the calculation agent to make an adjustment, the value of the notes may be materially and adversely affected.
|
·
|
THE RISK OF THE CLOSING PRICE OF ONE SHARE OF A FUND FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS GREATER IF THE
PRICE OF ONE SHARE OF THAT FUND IS VOLATILE.
|
The notes will not be listed on any securities
exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which
JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your notes to maturity.
|
·
|
THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT —
|
You should consider your potential investment
in the notes based on the minimums for the estimated value of the notes and the Contingent Interest Rate.
PS-
7
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the SPDR
®
S&P
®
Biotech ETF and the SPDR
®
S&P
®
Oil & Gas Exploration
& Production ETF
|
|
|
·
|
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
—
|
See “The Estimated Value of the
Notes” in this pricing supplement.
|
·
|
THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
|
The internal funding rate used in the
determination of the estimated value of the notes is based on, among other things, our and our affiliates’ view of the funding
value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison
to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. The use of an internal funding rate and any potential
changes to that rate may have an adverse effect on the terms of the notes and any secondary market prices of the notes. See “The
Estimated Value of the Notes” in this pricing supplement.
|
·
|
THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN
THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
|
We generally expect that some of the
costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of
your notes by JPMS in an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices
of the Notes” in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated
value of your notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be
shown on your customer account statements).
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
|
Any secondary market prices of the notes
will likely be lower than the original issue price of the notes because, among other things, secondary market prices take into
account our internal secondary market funding rates for structured debt issuances and, also, because secondary market prices (a)
exclude selling commissions and (b) may exclude 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 the notes from you
in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the
Maturity Date could result in a substantial loss to you.
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
|
The secondary market price of the notes
during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside
from the selling commissions, projected hedging profits, if any, estimated hedging costs and the prices of one share of the Funds.
Additionally, independent pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be
reflected on customer account statements. This price may be different (higher or lower) than the price of the notes, if any, at
which JPMS may be willing to purchase your notes in the secondary market. See “Risk Factors — Risks Relating to the
Estimated Value and Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many
economic and market factors” in the accompanying product supplement.
PS-
8
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the SPDR
®
S&P
®
Biotech ETF and the SPDR
®
S&P
®
Oil & Gas Exploration
& Production ETF
|
|
The
Funds
The SPDR
®
S&P
®
Biotech
ETF is an exchange-traded fund of the SPDR
®
Series 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 derived from
the biotechnology segment of a U.S. total market composite index, which we refer to as the Underlying Index with respect to the
SPDR
®
S&P
®
Biotech ETF. The Underlying Index for the SPDR
®
S&P
®
Biotech ETF is currently the S&P Biotechnology Select Industry
TM
Index. The S&P Biotechnology Select
Industry
TM
Index is a modified equal-weight index that is designed to measure the performance of the GICS
®
biotechnology sub-industry of the S&P Total Market Index. The S&P Biotechnology Select Industry
TM
Index
may also include companies in the life sciences tools & services sub-industry of the S&P Total Market Index. For
additional information about the SPDR
®
S&P
®
Biotech ETF, see the information set forth under
“Fund Descriptions — The SPDR
®
S&P Industry ETFs” in the accompanying underlying supplement.
For purposes of this pricing supplement, all references to an SPDR
®
S&P Industry ETF in the accompanying underlying
supplement are deemed to include the SPDR
®
S&P
®
Biotech ETF. For additional information
about the S&P Biotechnology Select Industry
TM
Index, see “Annex A” in this pricing supplement.
The SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF is an exchange-traded fund of the SPDR
®
Series 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 derived from the oil and gas exploration and production segment of a U.S. total market composition
index, which we refer to as the Underlying Index with respect to the SPDR
®
S&P
®
Oil & Gas
Exploration & Production ETF. The Underlying Index with respect to the SPDR
®
S&P
®
Oil &
Gas Exploration & Production ETF is currently the S&P
®
Oil & Gas Exploration & Production Select
Industry
TM
Index. The S&P
®
Oil & Gas Exploration & Production 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: integrated oil & gas, oil & gas exploration & mining and oil & gas refining
& marketing. For additional information about the SPDR
®
S&P
®
Oil & Gas Exploration &
Production ETF, see the information set forth under “Fund Descriptions — The SPDR
®
S&P
®
Industry ETFs” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical
performance of each Fund based on the weekly historical closing prices from January 6, 2012 through February 17, 2017. The closing
price of one share of the SPDR
®
S&P
®
Biotech ETF on February 23, 2017 was $67.14. The closing
price of one share of the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF on February
23, 2017 was $38.63. We obtained the closing prices above and below from the Bloomberg Professional
®
service (“Bloomberg”),
without independent verification. The closing prices above and below may have been adjusted by Bloomberg for actions taken by the
Fund, such as stock splits.
The historical closing prices of one share
of each Fund should not be taken as an indication of future performance, and no assurance can be given as to the closing price
of one share of either Fund on the Pricing Date or any Review Date. There can be no assurance that the performance of the Funds
will result in the return of any of your principal amount or the payment of any interest.
PS-
9
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the SPDR
®
S&P
®
Biotech ETF and the SPDR
®
S&P
®
Oil & Gas Exploration
& Production ETF
|
|
Tax
Treatment
You
should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product
supplement no. 4-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 Interest Payments 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, 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 Interest Payments is uncertain, and
although we believe it is reasonable to take a position that Contingent Interest Payments 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.
PS-
10
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the SPDR
®
S&P
®
Biotech ETF and the SPDR
®
S&P
®
Oil & Gas Exploration
& Production ETF
|
|
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 Interest Payments 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.
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.
The
estimated value of the notes does not represent future values of the notes and may differ from others’ estimates. Different
pricing models and assumptions could provide valuations for the notes that are greater than or less than the estimated value of
the notes. In addition, market conditions and other relevant factors in the future may change, and any assumptions may prove to
be incorrect. On future dates, the value of the notes could change significantly based on, among other things, changes in market
conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements and other relevant factors, which
may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market transactions.
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. A portion of the profits, if any, realized
in hedging our obligations under the notes may be allowed to other affiliated or unaffiliated dealers, and we or one or more of
our affiliates will retain any remaining hedging profits. 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 “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in
the accompanying product supplement. In addition, we generally expect that some of the costs included in the original issue price
of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will
decline to zero over an initial predetermined period. These costs can include projected hedging profits, if any, and, in some circumstances,
estimated hedging costs and our internal secondary market funding rates for structured debt issuances. This initial predetermined
time period is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial
period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities,
the estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates. See “Selected
Risk Considerations — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer
PS-
11
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the SPDR
®
S&P
®
Biotech ETF and the SPDR
®
S&P
®
Oil & Gas Exploration
& Production ETF
|
|
Account
Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this pricing
supplement.
Supplemental
Use of Proceeds
The
notes are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the
notes. See “How the Notes Work” and “Hypothetical Payout Examples” in this pricing supplement for an illustration
of the risk-return profile of the notes and “The Funds” 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.
Additional
Terms Specific to 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 applicable
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. 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):
|
·
|
Underlying supplement no. 1-I dated April 15, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012649/crt-dp64909_424b2.pdf
|
Our
Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing
supplement, “we,” “us” and “our” refer to JPMorgan Financial.
PS-
12
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the SPDR
®
S&P
®
Biotech ETF and the SPDR
®
S&P
®
Oil & Gas Exploration
& Production ETF
|
|
Annex A
The S&P Biotechnology Select Industry
TM
Index
We have derived all information contained
in this pricing supplement regarding the S&P Biotechnology Select Industry
TM
Index, including, without limitation,
its make-up, method of calculation and changes in their components, from publicly available information, without independent verification.
This information reflects the policies of, and is subject to change by S&P Dow Jones Indices LLC. S&P Dow Jones LLC has
no obligation to continue to calculate and publish, and may discontinue calculation and publication of, the S&P Biotechnology
Select Industry
TM
Index.
The S&P Biotechnology Select Industry
TM
Index is a modified equal-weighted index that measures the performance of the GICS
®
biotechnology sub-industry.
As described in the accompanying underlying supplement, the S&P Biotechnology Select Industry
TM
Index may also include
companies in the following supplementary sub-industry: life sciences tools & services. The S&P Biotechnology Select
Industry
TM
Index is reported by Bloomberg L.P. under the ticker symbol “SPSIBI.”
For more information on the index calculation
methodology used to formulate the S&P Biotechnology Select Industry
TM
Index, see “Equity Index Descriptions
— The Select Industry Indices” in the accompanying underlying supplement. For purposes of this pricing supplement,
all references to a Select Industry Index contained in the accompanying underlying supplement are deemed to include the S&P
Biotechnology Select Industry
TM
Index.
PS-
13
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the SPDR
®
S&P
®
Biotech ETF and the SPDR
®
S&P
®
Oil & Gas Exploration
& Production ETF
|
|
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