Additional
Information about JPMorgan Financial, JPMorgan Chase & Co. and the Notes
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes
of which these Notes are a part, and the more detailed information contained in the accompanying product supplement 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.
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.
For purposes of the accompanying product supplement,
each of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
is an “Index.”
Final
Terms
|
|
Investment
Timeline
|
Issuer
|
|
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
|
Guarantor
|
|
JPMorgan Chase & Co.
|
Underlyings
|
|
Russell 2000
®
Index
S&P 500
®
Index
EURO STOXX 50
®
Index
|
Principal Amount
|
|
$10 per Note (subject to a minimum purchase of 100 Notes or $1,000)
|
Term
|
|
Approximately 3 years, unless called earlier
|
Issuer Call Feature
|
|
JPMorgan Financial may elect to call the Notes on any Optional Call Notice Date (after an initial six-month non-call period), regardless of the closing level of any Underlying on that Optional Call Notice Date. 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
a Coupon, and no further payments will be made on the Notes. Before JPMorgan Financial elects to call the Notes on an Optional Call Notice Date, JPMorgan Financial will deliver written notice to The Depository Trust Company (“DTC”) on or before that Optional Call Notice Date.
|
Coupon Rate
|
|
5.45% per annum
|
Coupon payments
|
|
$0.1363 per $10 principal amount Note
|
Coupon Payment Dates
1
|
|
As specified under “Optional Call Notice Dates, Final Valuation Date and Coupon Payment Dates/Call Settlement Dates”
|
Call Settlement Dates
1
|
|
First Coupon Payment Date following the applicable Optional Call Notice Date
|
Payment at Maturity
(per $10 Note)
|
|
If JPMorgan Financial does not elect to call the Notes and
the Final Value of each Underlying is equal to or greater than
its Downside
Threshold,
we will pay you a cash payment at maturity per $10 principal amount Note equal to $10
plus
the final Coupon.
If JPMorgan Financial does not elect to call the Notes and
the Final Value of any Underlying is less than its Downside Threshold,
we will, in addition to paying the final Coupon, 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 of the Least Performing Underlying, equal to:
$10 × (1 + Least Performing
Underlying Return)
|
Underlying Return
|
|
With respect to each Underlying:
Final Value – Initial Value
Initial Value
|
Least Performing Underlying:
|
|
The Underlying with the lowest Underlying Return
|
Least Performing Underlying Return:
|
|
The lowest of the Underlying Returns of the Underlyings
|
Initial Value
|
|
With respect to each Underlying, the closing level of that Underlying on the Trade Date, as specified on the cover of this pricing supplement
|
Final Value
|
|
With respect to each Underlying, the closing level of that Underlying on the Final Valuation Date
|
Downside Threshold
2
|
|
With respect to each Underlying, a percentage of the Initial Value of that Underlying, as specified on the cover of this pricing supplement
|
|
|
|
1
|
See footnote 2 under “Key Dates” on the front cover
|
|
1
|
Rounded to three decimal places for the Russell 2000
®
Index and rounded to two decimal places for the S&P 500
®
Index and the EURO STOXX 50
®
Index
|
|
|
|
Trade Date:
|
|
The closing level of each Underlying (Initial Value) is observed and the Downside Threshold of each Underlying is determined. The Coupon Rate is finalized.
|
Quarterly (callable by JPMorgan Financial at its election after an initial six-month non-call period)
|
|
If the Notes have not been called, JPMorgan Financial will pay
you a Coupon on each Coupon Payment Date.
JPMorgan Financial may, at its election and upon written notice
to DTC, call the Notes on any Optional Call Notice Date (after an initial six-month non-call period), regardless of the closing
level of any Underlying on that Optional Call Notice Date. If JPMorgan Financial elects to call the Notes, JPMorgan Financial will
pay you a cash payment per Note equal to the principal amount
plus
a Coupon and no further payments will be made on the
Notes.
|
|
|
|
Maturity Date
|
|
The Final Value of each
Underlying is determined as of the Final Valuation Date.
If JPMorgan Financial does
not elect to call the Notes and the Final Value of each Underlying is equal to or greater
than
its
Downside
Threshold
, at maturity JPMorgan Financial will repay the principal amount
equal to $10.00 per Note
plus
the final Coupon.
If JPMorgan Financial does
not elect to call the Notes and the Final Value of any Underlying is less than its Downside Threshold, JPMorgan Financial will,
in addition to paying the final Coupon, repay less than the principal amount, if anything, at maturity, resulting in a loss on
your principal amount proportionate to the decline of the Least Performing Underlying, equal to a return of:
$10 × (1 + Least Performing Underlying
Return) per Note
|
|
|
|
INVESTING IN THE NOTES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE SOME OR ALL OF YOUR PRINCIPAL AMOUNT. YOU WILL BE EXPOSED TO THE MARKET RISK OF EACH UNDERLYING AND ANY DECLINE IN THE LEVEL OF ONE UNDERLYING MAY NEGATIVELY AFFECT YOUR RETURN AND WILL NOT BE OFFSET OR MITIGATED BY A LESSER DECLINE OR ANY POTENTIAL INCREASE IN THE LEVELS OF THE OTHER UNDERLYINGS. 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.
|
Optional
Call Notice Dates, Final Valuation Date and Coupon Payment Dates / Call Settlement Dates
Optional Call Notice Dates*
|
Final Valuation Date
|
Coupon Payment Dates/Call Settlement Dates
(if called)
|
—
|
—
|
October 25, 2017
|
January 18, 2018
|
—
|
January 25, 2018
|
April 18, 2018
|
—
|
April 25, 2018
|
July 18, 2018
|
—
|
July 25, 2018
|
October 18, 2018
|
—
|
October 25, 2018
|
January 18, 2019
|
—
|
January 28, 2019
|
April 18, 2019
|
—
|
April 29, 2019
|
July 18, 2019
|
—
|
July 25, 2019
|
October 18, 2019
|
—
|
October 25, 2019
|
January 21, 2020
|
—
|
January 28, 2020
|
April 20, 2020
|
—
|
April 27, 2020
|
—
|
July 20, 2020
|
July 27, 2020 (the Maturity Date)
|
*The notes are subject to an initial six-month non-call period
and, accordingly, the first Optional Call Notice Date is January 18, 2018.
The Final Valuation Date, and therefore, the Maturity Date, 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 Multiple Underlyings” and “General Terms of Notes —
Postponement of a Payment Date” in the accompanying product supplement.
Each of the other Coupon Payment Dates is subject to postponement
as described under “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. 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 units each comprising a Put Option and a debt component for U.S. federal income
tax purposes. For this Note offering, we have allocated 41.71% per annum to interest on the debt component and 58.29% per annum
to Put Premium By purchasing the Notes, you agree to treat the Notes for U.S. federal income tax purposes consistently with the
treatment and allocation as described above. We will follow this approach in determining our information reporting responsibilities,
if any.
Assuming the treatment and allocation described above are respected,
(a) interest on the debt component will be taxed as ordinary income, while the Put Premium will not be taken into account prior
to maturity, sale or early redemption, and (b) assuming that you are an initial purchaser of Notes purchasing the Notes at the
Issue Price for cash, at maturity or upon early redemption you will recognize short-term capital gain in an amount equal to the
total Put Premium received.
There are, however, other reasonable treatments that the IRS
or a court may adopt for the Notes, in which case the timing and character of your income or loss 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 on a number of issues, the most relevant
of which for investors in the Notes are the character of income or loss (including whether the Put Premium might be currently included
as ordinary income) and the degree, if any, to which income realized by non-U.S. investors should be subject to withholding tax.
While it is not clear whether the Notes would be viewed as similar to the typical prepaid forward contract described in the notice,
it is possible that 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.
Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on dividend
equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices
that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked
to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations (such an index, a “Qualified
Index”). Additionally, the applicable regulations exclude from the scope of Section 871(m) instruments issued in 2017 that
do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax
purposes (each an “Underlying Security”). Based on certain determinations made by us, our special tax counsel is of
the opinion that Section 871(m) should not apply to the Notes with regard to Non-U.S. Holders. Our determination is not binding
on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend on your
particular circumstances, including whether you enter into other transactions with respect to an Underlying Security. You should
consult your tax adviser regarding the potential application of Section 871(m) to the Notes.
Withholding under legislation commonly referred to as “FATCA”
will apply to amounts treated as interest or other “fixed or determinable annual or periodical” income (“FDAP
Income”) for U.S. federal income tax purposes paid with respect to the Notes, and (if they are treated, in whole or in part,
as debt instruments) could also apply to payments of gross proceeds of a taxable disposition, including an early redemption or
redemption at maturity, of a Note. However, under a recent IRS notice, this regime will not apply to payments of gross proceeds
(other than any amount treated as 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.
You should consult your tax adviser regarding all aspects of
the U.S. federal income tax consequences of an investment in the Notes, including possible alternative treatments, the issues presented
by the notice and the potential application of the withholding requirements under FATCA to the Notes. Purchasers who are not initial
purchasers of Notes at the Issue Price should also consult their tax advisers with respect to the tax consequences of an investment
in the Notes, including possible alternative treatments, as well as the allocation of the purchase price of the Notes between the
debt component and the Put Option.
Key
Risks
An investment in the Notes involves significant risks. Investing
in the Notes is not equivalent to investing directly in any or all of the Underlyings. 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
|
t
|
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 JPMorgan Financial does not elect to call the Notes
and the closing level of any Underlying has declined below its Downside Threshold on the Final Valuation Date, you will be fully
exposed to any depreciation of the Least Performing Underlying from its Initial Value to its 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 of the Least Performing Underlying. Under these circumstances, you will lose 1% of your principal
for every 1% that the Final Value of the Least Performing Underlying is less than its 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 any Underlying.
|
|
t
|
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.
|
|
t
|
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.
|
|
t
|
Your Return on the Notes Is Limited to the Sum of the Coupon Payments and You Will Not Participate in Any Appreciation of
Any Underlying
— The return potential of the Notes is limited to the specified Coupon Rate, regardless of any appreciation
of any of the Underlyings, which may be significant. In addition, if JPMorgan Financial elects to call the Notes, you will not
receive any Coupons or any other payments after the Call Settlement Date. Because the Notes could be called as early as the first
Optional Call Notice Date (after an initial six-month non-call period), the total return on the Notes could be minimal. If JPMorgan
Financial does not elect to call the Notes, you may be subject to the risk of decline in the level of each Underlying, even though
you are not able to participate in any potential appreciation of any Underlying. As a result, the return on an investment
in the Notes could be less than the return on a hypothetical direct investment in any Underlying. In addition, if JPMorgan Financial
does not elect to call the Notes and the Final Value of any Underlying is below its Downside Threshold, you will lose some or all
of 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.
|
|
t
|
Because the Notes Are Linked to the Least Performing Underlying, You Are Exposed to a Greater Risk of Sustaining a Significant
Loss on Your Investment at Maturity Than If the Notes Were Linked to a Single Underlying
— The risk that you will lose
some or all of your principal amount at maturity is greater if you invest in the Notes as opposed to substantially similar securities
that are linked to the performance of a single Underlying or two Underlyings. With three Underlyings, it is more likely that the
closing level of an Underlying will be less than its Downside Threshold on the Final Valuation Date. Therefore, it is more likely
that you will suffer a significant loss on your investment at maturity. In addition, the performance of the Underlyings may not
be correlated or may be negatively correlated.
|
The lower the correlation between
any two of the Underlyings, the greater the potential for one of those Underlyings to close below its Downside Threshold on the
Final Valuation Date and with three Underlyings there is a greater potential that one pair of Underlyings will have low or negative
correlation. See “Correlation of the Underlyings” below. Although the correlation of the Underlyings’ performance
may change over the term of the Notes, the Coupon Rate is determined, in part, based on the correlation of the Underlyings’
performance, as calculated using internal models of our affiliates at the time when the terms of the Notes are finalized. A higher
Coupon Rate is generally associated with lower correlation of the Underlyings, which reflects a greater potential for loss on your
investment at maturity.
|
t
|
You Are Exposed to the Risk of Decline in the Level of Each Underlying
— Your return on the Notes and your payment
at maturity, if any, is not linked to a basket consisting of the Underlyings. If JPMorgan Financial does not elect to call the
Notes, your payment at maturity is contingent upon the performance of each individual Underlying such that you will be equally
exposed to the risks related to each of the Underlyings. In addition, the performance of the Underlyings may not be correlated.
Poor performance by any of the Underlyings over the term of the Notes may negatively affect your payment at maturity and will not
be offset or mitigated by
|
positive performance by any of the
other Underlyings. Accordingly, your investment is subject to the risk of decline in the value of each Underlying.
|
t
|
Your Payment at Maturity Will Be Determined By the Least Performing Underlying
— Because the payment at maturity
will be determined based on the performance of the Least Performing Underlying, you will not benefit from the performance of any
of the other Underlyings. Accordingly, if JPMorgan Financial does not elect to call the Notes and the Final Value of any Underlying
is less than its Downside Threshold, you will lose some or all of your principal amount at maturity, even if the Final Value of
either or both of the other Underlyings is greater than or equal to its Initial Value.
|
|
t
|
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 levels of all of the Underlyings are above their respective Downside Thresholds. If by maturity the Notes have not
been called, either JPMorgan Financial will repay you the full principal amount per Note plus the final Coupon, or, if any Underlying
closes below its Downside Threshold on the Final Valuation Date, JPMorgan Financial will, in addition to paying the final Coupon,
repay less than the principal amount, if anything, at maturity, resulting in a loss on your principal amount that is proportionate
to the decline in the closing level of the Least Performing Underlying from its Initial Value to its Final Value. This contingent
repayment of principal applies only if you hold your Notes to maturity.
|
|
t
|
A Higher Coupon Rate and/or a Lower Downside Threshold May Reflect Greater Expected Volatility of the Underlyings, Which
Is Generally Associated With a Greater Risk of Loss
— Volatility is a measure of the degree of variation in the levels
of the Underlyings over a period of time. The greater the expected volatilities of the Underlyings at the time the terms of the
Notes are set, the greater the expectation is at that time that the level of an Underlying could close below its 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 Coupon Rate and the Downside Threshold, are based, in part, on the expected volatilities
of the Underlyings at the time the terms of the Notes are set, where higher expected volatilities will generally be reflected in
a higher 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 Downside Threshold as compared to otherwise comparable securities. Accordingly, a higher Coupon
Rate will generally be indicative of a greater risk of loss while a lower Downside Threshold does not necessarily indicate that
the Notes have a greater likelihood of returning your principal at maturity. You should be willing to accept the downside
market risk of each Underlying and the potential loss of some or all of your principal at maturity.
|
|
t
|
Call and Reinvestment Risk
— JPMorgan Financial may, in its sole discretion, elect to call the Notes on any Optional
Call Notice Date (after an initial six-month non-call period), regardless of the closing level of any Underlying on that Optional
Call Notice Date. If JPMorgan Financial elects to call your Notes early, you will no longer have the opportunity to receive any
Coupons after the applicable Call Settlement Date. The first Optional Call Notice Date, and the first potential date on which JPMorgan
Financial may elect to call the Notes, occurs after approximately six months and therefore you may not have the opportunity to
receive any Coupons after approximately six months. In the event JPMorgan Financial elects to call the Notes, there is no guarantee
that you will 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.
|
It is more likely that JPMorgan
Financial will elect to call the Notes prior to maturity when the expected interest payable on the Notes is greater than the interest
that would be payable on other instruments issued by JPMorgan Financial of comparable maturity, terms and credit rating trading
in the market. The greater likelihood of JPMorgan Financial calling the Notes in that environment increases the risk that you will
not be able to reinvest the proceeds from the called Notes in an equivalent investment with a similar interest rate. JPMorgan Financial
is less likely to call the Notes prior to maturity when the expected interest payable on the Notes is less than the interest that
would be payable on other comparable instruments issued by JPMorgan Financial. Therefore, the Notes are more likely to remain outstanding
when the expected interest payable on the Notes is less than what would be payable on other comparable instruments.
|
t
|
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.
|
|
t
|
The Estimated Value of the Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes
— The estimated
value of the Notes is only an estimate determined by reference to several factors. The original issue price of the Notes exceeds
the estimated value of the Notes because costs associated with selling, structuring and hedging the Notes are included in the original
issue price of the Notes. These costs include the selling commissions, the projected profits, if any, that our affiliates expect
to realize for assuming risks inherent in hedging our obligations under the Notes and the estimated cost of hedging our obligations
under the Notes. See “The Estimated Value of the Notes” in this pricing supplement.
|
|
t
|
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.
|
t
|
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.
|
|
t
|
The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than
the Then-Current Estimated Value of the Notes for a Limited Time Period
— We generally expect that some of the costs
included in the original issue price of the Notes will be partially paid back to you in connection with any repurchases of your
Notes by JPMS in an amount that will decline to zero over an initial predetermined period. These costs can include selling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding
rates for structured debt issuances. See “Secondary Market Prices of the Notes” in this pricing supplement for additional
information relating to this initial period. Accordingly, the estimated value of your Notes during this initial period may be lower
than the value of the Notes as published by JPMS (and which may be shown on your customer account statements).
|
|
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 (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 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 selling commissions, projected hedging profits, if any, estimated hedging costs and the levels
of the Underlyings, including:
|
|
t
|
any actual or potential change in our or JPMorgan
Chase & Co.’s creditworthiness or credit spreads;
|
|
t
|
customary bid-ask spreads for similarly sized trades;
|
|
t
|
our internal secondary market funding rates for structured
debt issuances;
|
|
t
|
the actual and expected volatility in the levels of
the Underlyings;
|
|
t
|
the time to maturity of the Notes;
|
|
t
|
whether the Final Value of any Underlying is expected
to be less than its Downside Threshold;
|
|
t
|
the dividend rates on the equity securities underlying
the Underlyings;
|
|
t
|
the actual and expected positive or negative correlation
between any two of the Underlyings, or the actual or expected absence of any such correlation;
|
|
t
|
interest and yield rates in the market generally;
|
|
t
|
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 EURO STOXX 50
®
Index trade and the correlation among those rates and the levels of the EURO STOXX 50
®
Index; and
|
|
t
|
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
|
Investing in the Notes Is Not Equivalent to Investing in the Stocks Composing the Underlyings
— Investing in the
Notes is not equivalent to investing in the stocks included in the Underlyings. As an investor in the Notes, you will not have
any ownership interest or rights in the stocks included in the Underlyings, such as voting rights, dividend payments or other distributions.
|
|
t
|
We Cannot Control Actions by the Sponsor of Any Underlying and That Sponsor Has No
Obligation to Consider Your Interests
— We and our affiliates are not affiliated with the sponsor of any Underlying and
have no ability to control or predict its actions, including any errors in or discontinuation of public disclosure regarding methods
or policies relating to the calculation of that Underlying. The sponsor of each Underlying is not involved in this Note offering
in any way and has no obligation to consider your interest as an owner of the Notes in taking any actions that might affect the
market value of your Notes.
|
|
t
|
Your Return on the Notes Will Not Reflect Dividends on the Stocks Composing the Underlyings
— Your return on the
Notes will not reflect the return you would realize if you actually owned the stock included in the Underlyings and received the
dividends on the stock included in the Underlyings. This is because the calculation agent will determine whether the Notes will
be called and, if the notes are not called, will calculate the amount payable to you at maturity of the Notes by reference to the
closing level of each Underlying on the Final Valuation Date, without taking into consideration the value of dividends on the stock
included in that Underlying.
|
|
t
|
No Assurances That the Investment View Implicit in the Notes Will Be Successful
— While the Notes are structured
to provide for the payment of Coupons and the return of principal at maturity if the Final Value of the Least Performing Underlying
is at or above its Downside Threshold on the Final Valuation Date, we cannot assure you of the economic environment during the
term or at maturity of your Notes.
|
|
t
|
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.
|
|
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 Underlyings and could affect the level of an Underlying, and therefore the market value of the Notes.
|
|
t
|
Tax Treatment
— Significant aspects of the tax treatment of the Notes are uncertain. You should consult your tax
adviser about your tax situation.
|
|
t
|
Potential JPMorgan Financial Impact on the Level of an Underlying
— Trading or transactions by JPMorgan Financial
or its affiliates in an Underlying and/or over-the-counter options, futures or other instruments with returns linked to the performance
of an Underlying may adversely affect the level of that Underlying and, therefore, the market value of the Notes.
|
Risks Relating to the Underlyings
|
t
|
An Investment in the Notes is Subject to Risks Associated with Small Capitalization Stocks with Respect to the
Russell
2000
®
Index
— The equity securities included in the
Russell
2000
®
Index
are issued by companies with relatively small market capitalization. The stock prices of smaller
companies may be more volatile than stock prices of large capitalization companies. Small capitalization companies may be less
able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. These companies tend
to be less well-established than large market capitalization companies. Small capitalization companies are less likely to pay dividends
on their stocks, and the presence of a dividend payment could be a factor that limits downward stock price pressure under adverse
market conditions.
|
|
t
|
JPMorgan Chase & Co. Is Currently One of the Companies that Make Up the S&P 500
®
Index
—
JPMorgan Chase & Co. is currently one of the companies that make up the S&P 500
®
Index. JPMorgan Chase &
Co. will not have any obligation to consider your interests as a holder of the Notes in taking any corporate action that might
affect the value of the S&P 500
®
Index and the Notes.
|
|
t
|
Non-U.S. Securities Risk with Respect to the EURO STOXX 50
®
Index —
The equity securities included in the EURO STOXX 50
®
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 about U.S. companies that are subject to the reporting
requirements of the SEC.
|
|
t
|
No Direct Exposure to Fluctuations in Foreign Exchange Rates with Respect to the EURO
STOXX 50
®
Index —
The value of the 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 EURO STOXX 50
®
Index are based,
although any currency fluctuations could affect the performance of the EURO STOXX 50
®
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.
|
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 issuer-elected call or at maturity under different hypothetical scenarios for a $10.00 Note on
an offering of the Notes, with the assumptions set forth below.* We cannot predict the closing level of any Underlying on any day
during the term of the Notes, including on the Final Valuation Date. You should not take these examples as an indication or assurance
of the expected performance of the Notes. Numbers in the examples below have been rounded for ease of analysis. In these examples,
we refer to the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index as the “RTY Index,” the “SPX Index” and the “SX5E Index,” respectively.
Principal Amount:
|
$10.00
|
Term:
|
Approximately 3 years (unless earlier called)
|
Hypothetical Initial Value:
|
100.000 for the RTY Index, 100.00 for the SPX Index and 100.00 for the SX5E Index
|
Coupon Rate:
|
5.45% per annum (or 1.363% per quarter)
|
Optional Call Notice Dates:
|
Quarterly
|
Hypothetical Downside Threshold:
|
60.000 for the RTY Index, 60.00 for the SPX Index and 60.00 for the SX5E Index (which, with respect to each Underlying, is 60% of the hypothetical Initial Value of that Underlying)
|
*
|
Terms used for purposes of these hypothetical examples do not represent the actual Initial Values or Downside Thresholds. The hypothetical Initial Values of 100.000 for the RTY Index, 100.00 for the SPX Index and 100.00 for the SX5E Index have been chosen for illustrative purposes only and do not represent the Initial Value for any Underlying. The actual Initial Value and resulting Downside Threshold of each Underlying are based on the closing level of that Underlying on the Trade Date and are specified on the cover of this pricing supplement. For historical data regarding the actual closing levels of the Underlyings, please see the historical information set forth under the sections titled “The Russell 2000
®
Index,” “The S&P 500
®
Index” and “The EURO STOXX 50
®
Index” below.
|
The examples below are hypothetical. These examples are intended
to illustrate (a) the effect of an issuer-elected call, (b) how the value of the payment at maturity on the Notes will depend on
whether the Final Value of any Underlying is less than its Downside Threshold and (c) how the total return on the Notes may be
less than the total return on a direct investment in any or all Underlyings in certain scenarios. The “total return”
as used in this pricing supplement is the number, expressed as a percentage, that results from comparing the total payments per
$10.00 principal amount Note over the term of the Notes to the $10.00 initial issue price.
Example 1
—
JPMorgan Financial Elects to Call
the Notes on the First Optional Call Notice Date
Date
|
|
|
Payment (per Note)
|
First Optional Call Notice Date
|
Issuer elects to call the Notes. Issuer repays principal
plus
pays Coupon of $0.1363 on Call Settlement Date.
|
Total Payments (per $10.00 Note):
|
|
Payment on Call Settlement Date
:
|
$10.1363 ($10.00 + $0.1363)
|
|
|
Prior Coupon
:
|
$0.1363
|
|
|
Total
:
|
$10.2726
|
|
|
Total Return
:
|
2.726%
|
On the first Optional Call Notice Date (which is approximately
six month after the Trade Date and is the first date on which the Notes are callable), JPMorgan Financial elects to call the Notes.
JPMorgan Financial will pay you on the Call Settlement Date $10.2726 per $10.00 principal amount Note, which is equal to your principal
amount
plus
the Coupon due on the Coupon Payment Date that is also the Call Settlement Date. No further amounts will be
owed to you under the Notes.
Example 2
—
Notes Are NOT Called and the Final
Value of Each Underlying Is Above Its Downside Threshold
Date
|
|
Closing Level
|
|
Payment (per Note)
|
First to Tenth Optional Call Notice Dates
|
|
N/A
|
|
Notes NOT called at the election of the Issuer. Issuer pays Coupon of $0.1363 on each of the first to eleventh Coupon Payment Dates.
|
Final Valuation Date
|
|
RTY Index:
65.000
SPX Index:
80.00
SX5E Index:
75.00
|
|
Notes NOT callable. Final Value of each Underlying above its Downside Threshold; Issuer repays principal
plus
pays Coupon of $0.1363 on Maturity Date.
|
Total Payments (per $10.00 Note)
:
|
|
Payment at Maturity
:
|
$10.1363 ($10.00 + $0.1363)
|
|
|
Prior Coupons
:
|
$1.4993 ($0.1363 × 11)
|
|
|
Total
:
|
$11.6356
|
|
|
Total Return
:
|
16.356%
|
In this example, the Issuer does not elect to call the Notes
and the Notes remain outstanding until maturity. Because the Final Value of each Underlying is greater than or equal to its Downside
Threshold, JPMorgan Financial will pay you on the Maturity Date $10.1363 per $10.00 principal amount Note, which is equal to your
principal amount
plus
the final Coupon.
In addition, JPMorgan Financial will also pay the Coupon of $0.1363
on each of the first to eleventh Coupon Payment Dates. Accordingly, JPMorgan Financial will have paid a total of $11.6356 per $10.00
principal amount Note, for a 16.356% total return over the approximately 3 year term of the Notes.
Example 3
—
Notes Are NOT Called and the Final
Value of Any Underlying Is Below Its Downside Threshold
Date
|
|
Closing Level
|
|
Payment (per Note)
|
First to Tenth Optional Call Notice Dates
|
|
N/A
|
|
Notes NOT called at the election of the Issuer. Issuer pays Coupon of $0.1313 on each of the first to eleventh Coupon Payment Dates.
|
Final Valuation Date
|
|
RTY Index:
45.000
SPX Index:
110.00
SX5E Index:
80.00
|
|
Notes NOT callable. Final Value of RTY Index below its Downside Threshold; Issuer pays Coupon on Maturity Date, and Issuer will repay less than the principal amount resulting in a loss proportionate to the decline of the Least Performing Underlying.
|
Total Payments (per $10.00 Note)
:
|
|
Payment at Maturity
:
|
$4.6363 ($4.50 + $0.1363)
|
|
|
Prior Coupons
:
|
$1.4993 ($0.1363 × 11)
|
|
|
Total
:
|
$6.1356
|
|
|
Total Return
:
|
-38.644%
|
In this example, the Issuer does not elect to call the Notes
and the Notes remain outstanding until maturity. Because the Final Value of at least one Underlying is less than its Downside Threshold
on the Final Valuation Date and the Least Performing Underlying Return is -55%, at maturity, JPMorgan Financial will pay you $4.6363
per $10.00 principal amount Note, which is equal to your principal amount
plus
the final Coupon, calculated as follows:
$10.00 × (1 + Least Performing Underlying
Return) + the final Coupon
Step 1
:
Determine the Underlying Return of each Underlying
:
Underlying Return of the RTY Index:
(Final Value – Initial Value)
|
=
|
45.000 – 100.000
|
= -55.00%
|
Initial Value
|
100.000
|
Underlying Return of the SPX Index:
(Final Value – Initial Value)
|
=
|
110.00 – 100.00
|
= 10.00%
|
Initial Value
|
100.000
|
Underlying Return of the SX5E Index:
(Final Value – Initial Value)
|
=
|
80.00 – 100.00
|
= -20.00%
|
Initial Value
|
100.00
|
Step 2
:
Determine the Least Performing Underlying
.
The RTY Index is the Underlying with the lowest Underlying Return.
Step 3
:
Calculate the Payment at Maturity
:
$10.00 × (1 + Least Performing Underlying
Return) + final Coupon = $10.00 × (1 + -55.00%) + $0.1363 = $4.6363
In addition, JPMorgan Financial will also pay the Coupon of $0.1313
on each of the first to eleventh Coupon Payment Dates. Accordingly, JPMorgan Financial will have paid a total of $6.1356 per $10.00
principal amount Note, for a -38.644% total return over the approximately 3 year term of the Notes.
The hypothetical returns and hypothetical payments on the Notes
shown above apply
only if you hold the Notes for their entire term or until called
. These hypotheticals do not reflect fees
or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical
returns and hypothetical payments shown above would likely be lower.
The
Underlyings
Included on the following pages is a brief description
of the Underlyings. This information has been obtained from publicly available sources, without independent verification. Set forth
below is a table that provides the quarterly high and low closing levels of each Underlying. 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. We obtained the closing levels information set forth below from the Bloomberg
Professional
®
service (“Bloomberg”), without independent verification.
You should not take the historical levels of any Underlying as an indication of future performance.
The
Russell 2000
®
Index
The Russell 2000
®
Index consists of
the middle 2,000 companies included in the Russell 3000E™ Index and, as a result of the index calculation methodology, consists
of the smallest 2,000 companies included in the Russell 3000
®
Index. The Russell 2000
®
Index is designed
to track the performance of the small capitalization segment of the U.S. equity market. For additional information about the Russell
2000
®
Index, see the information set forth under “Equity Index Descriptions — The Russell Indices”
in the accompanying underlying supplement.
Historical Information Regarding the Russell 2000
®
Index
The following table sets forth the quarterly high
and low closing levels of the Russell 2000
®
Index, based on daily closing levels of the Russell 2000
®
Index as reported by Bloomberg, without independent verification. The closing level of the Russell 2000
®
Index on
July 18, 2017 was 1,427.614. We obtained the closing levels of the Russell 2000
®
Index above and below from Bloomberg,
without independent verification. You should not take the historical levels of the Russell 2000
®
Index as an indication
of future performance.
Quarter Begin
|
Quarter End
|
Quarterly High
|
Quarterly Low
|
Close
|
1/1/2012
|
3/31/2012
|
846.129
|
747.275
|
830.301
|
4/1/2012
|
6/30/2012
|
840.626
|
737.241
|
798.487
|
7/1/2012
|
9/30/2012
|
864.697
|
767.751
|
837.450
|
10/1/2012
|
12/31/2012
|
852.495
|
769.483
|
849.350
|
1/1/2013
|
3/31/2013
|
953.068
|
872.605
|
951.542
|
4/1/2013
|
6/30/2013
|
999.985
|
901.513
|
977.475
|
7/1/2013
|
9/30/2013
|
1,078.409
|
989.535
|
1,073.786
|
10/1/2013
|
12/31/2013
|
1,163.637
|
1,043.459
|
1,163.637
|
1/1/2014
|
3/31/2014
|
1,208.651
|
1,093.594
|
1,173.038
|
4/1/2014
|
6/30/2014
|
1,192.964
|
1,095.986
|
1,192.964
|
7/1/2014
|
9/30/2014
|
1,208.150
|
1,101.676
|
1,101.676
|
10/1/2014
|
12/31/2014
|
1,219.109
|
1,049.303
|
1,204.696
|
1/1/2015
|
3/31/2015
|
1,266.373
|
1,154.709
|
1,252.772
|
4/1/2015
|
6/30/2015
|
1,295.799
|
1,215.417
|
1,253.947
|
7/1/2015
|
9/30/2015
|
1,273.328
|
1,083.907
|
1,100.688
|
10/1/2015
|
12/31/2015
|
1,204.159
|
1,097.552
|
1,135.889
|
1/1/2016
|
3/31/2016
|
1,114.028
|
953.715
|
1,114.028
|
4/1/2016
|
6/30/2016
|
1,188.954
|
1,089.646
|
1,151.923
|
7/1/2016
|
9/30/2016
|
1,263.438
|
1,139.453
|
1,251.646
|
10/1/2016
|
12/31/2016
|
1,388.073
|
1,156.885
|
1,357.130
|
1/1/2017
|
3/31/2017
|
1,413.635
|
1,345.598
|
1,385.920
|
4/1/2017
|
6/31/2017
|
1,425.985
|
1,345.244
|
1,415.359
|
7/1/2017
|
7/18/2017*
|
1,431.602
|
1,400.815
|
1,427.614
|
*
|
As of the date of this pricing supplement, available information for the third calendar quarter of 2017 includes data for the period from July 1, 2017 through July 18, 2017. Accordingly, the “Quarterly 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 Russell 2000
®
Index from January 3, 2007 through July 18, 2017, based on information from Bloomberg, without
independent verification. The dotted line represents the Downside Threshold of 856.568, equal to 60% of the closing level of the
Russell 2000
®
Index on July 18, 2017.
Past performance of the Russell 2000
®
Index is not indicative of the future performance of the Russell 2000
®
Index.
The
S&P 500
®
Index
The S&P 500
®
Index consists of stocks of 500
companies selected to provide a performance benchmark for the U.S. equity markets. For additional information about the S&P
500
®
Index, see the information set forth under “Equity Index Descriptions — The S&P U.S. Indices”
in the accompanying underlying supplement.
Historical Information Regarding the S&P 500
®
Index
The following table sets forth the quarterly high
and low closing levels of the S&P 500
®
Index, based on daily closing levels of the S&P 500
®
Index as reported by Bloomberg, without independent verification. The closing level of the S&P 500
®
Index on
July 18, 2017 was 2,460.61. We obtained the closing levels of the S&P 500
®
Index above and below from Bloomberg,
without independent verification. You should not take the historical levels of the S&P 500
®
Index as an indication
of future performance.
Quarter Begin
|
Quarter End
|
Quarterly High
|
Quarterly Low
|
Close
|
1/1/2012
|
3/31/2012
|
1,416.51
|
1,277.06
|
1,408.47
|
4/1/2012
|
6/30/2012
|
1,419.04
|
1,278.04
|
1,362.16
|
7/1/2012
|
9/30/2012
|
1,465.77
|
1,334.76
|
1,440.67
|
10/1/2012
|
12/31/2012
|
1,461.40
|
1,353.33
|
1,426.19
|
1/1/2013
|
3/31/2013
|
1,569.19
|
1,457.15
|
1,569.19
|
4/1/2013
|
6/30/2013
|
1,669.16
|
1,541.61
|
1,606.28
|
7/1/2013
|
9/30/2013
|
1,725.52
|
1,614.08
|
1,681.55
|
10/1/2013
|
12/31/2013
|
1,848.36
|
1,655.45
|
1,848.36
|
1/1/2014
|
3/31/2014
|
1,878.04
|
1,741.89
|
1,872.34
|
4/1/2014
|
6/30/2014
|
1,962.87
|
1,815.69
|
1,960.23
|
7/1/2014
|
9/30/2014
|
2,011.36
|
1,909.57
|
1,972.29
|
10/1/2014
|
12/31/2014
|
2,090.57
|
1,862.49
|
2,058.90
|
1/1/2015
|
3/31/2015
|
2,117.39
|
1,992.67
|
2,067.89
|
4/1/2015
|
6/30/2015
|
2,130.82
|
2,057.64
|
2,063.11
|
7/1/2015
|
9/30/2015
|
2,128.28
|
1,867.61
|
1,920.03
|
10/1/2015
|
12/31/2015
|
2,109.79
|
1,923.82
|
2,043.94
|
1/1/2016
|
3/31/2016
|
2,063.95
|
1,829.08
|
2,059.74
|
4/1/2016
|
6/30/2016
|
2,119.12
|
2,000.54
|
2,098.86
|
7/1/2016
|
9/30/2016
|
2,190.15
|
2,088.55
|
2,168.27
|
10/1/2016
|
12/31/2016
|
2,271.72
|
2,085.18
|
2,238.83
|
1/1/2017
|
3/31/2017
|
2,395.96
|
2,257.83
|
2,362.72
|
4/1/2017
|
6/31/2017
|
2,453.46
|
2,328.95
|
2,423.41
|
7/1/2017
|
7/18/2017*
|
2,460.61
|
2,409.75
|
2,460.61
|
*
|
As of the date of this pricing supplement, available information for the third calendar quarter of 2017 includes data for the period from July 1, 2017 through July 18, 2017. Accordingly, the “Quarterly 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 S&P 500
®
Index from January 3, 2007 through July 18, 2017, based on information from Bloomberg, without
independent verification. The dotted line represents the Downside Threshold of 1,476.37, equal to 60% of the closing level of the
S&P 500
®
Index on July 18, 2017.
Past performance of the S&P 500
®
Index is not indicative of the future performance of the S&P 500
®
Index
.
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 Securities 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.
Historical Information Regarding the EURO STOXX 50
®
Index
The following table sets forth the quarterly high and low closing
levels of the EURO STOXX 50
®
Index, based on daily closing levels of the EURO STOXX 50
®
Index as
reported by Bloomberg, without independent verification. The closing level of the EURO STOXX 50
®
Index on July 18,
2017 was 3,478.68. We obtained the closing levels of the EURO STOXX 50
®
Index above and below from Bloomberg, without
independent verification. You should not take the historical levels of the EURO STOXX 50
®
Index as an indication
of future performance.
Quarter Begin
|
Quarter End
|
Quarterly High
|
Quarterly Low
|
Close
|
1/1/2012
|
3/31/2012
|
2,608.42
|
2,286.45
|
2,477.28
|
4/1/2012
|
6/30/2012
|
2,501.18
|
2,068.66
|
2,264.72
|
7/1/2012
|
9/30/2012
|
2,594.56
|
2,151.54
|
2,454.26
|
10/1/2012
|
12/31/2012
|
2,659.95
|
2,427.32
|
2,635.93
|
1/1/2013
|
3/31/2013
|
2,749.27
|
2,570.52
|
2,624.02
|
4/1/2013
|
6/30/2013
|
2,835.87
|
2,511.83
|
2,602.59
|
7/1/2013
|
9/30/2013
|
2,936.20
|
2,570.76
|
2,893.15
|
10/1/2013
|
12/31/2013
|
3,111.37
|
2,902.12
|
3,109.00
|
1/1/2014
|
3/31/2014
|
3,172.43
|
2,962.49
|
3,161.60
|
4/1/2014
|
6/30/2014
|
3,314.80
|
3,091.52
|
3,228.24
|
7/1/2014
|
9/30/2014
|
3,289.75
|
3,006.83
|
3,225.93
|
10/1/2014
|
12/31/2014
|
3,277.38
|
2,874.65
|
3,146.43
|
1/1/2015
|
3/31/2015
|
3,731.35
|
3,007.91
|
3,697.38
|
4/1/2015
|
6/30/2015
|
3,828.78
|
3,424.30
|
3,424.30
|
7/1/2015
|
9/30/2015
|
3,686.58
|
3,019.34
|
3,100.67
|
10/1/2015
|
12/31/2015
|
3,506.45
|
3,069.05
|
3,267.52
|
1/1/2016
|
3/31/2016
|
3,178.01
|
2,680.35
|
3,004.93
|
4/1/2016
|
6/30/2016
|
3,151.69
|
2,697.44
|
2,864.74
|
7/1/2016
|
9/30/2016
|
3,091.66
|
2,761.37
|
3,002.24
|
10/1/2016
|
12/31/2016
|
3,290.52
|
2,954.53
|
3,290.52
|
1/1/2017
|
3/31/2017
|
3,500.93
|
3,230.68
|
3,500.93
|
4/1/2017
|
6/31/2017
|
3,658.79
|
3,409.78
|
3,441.88
|
7/1/2017
|
7/18/2017*
|
3,527.83
|
3,462.06
|
3,478.68
|
*
|
As of the date of this pricing supplement, available information for the third calendar quarter of 2017 includes data for the period from July 1, 2017 through July 18, 2017. Accordingly, the “Quarterly 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 EURO STOXX 50
®
Index from January 2, 2007 through July 18, 2017, based on information from Bloomberg, without
independent verification. The dotted line represents the Downside Threshold of 2,087.21, equal to 60% of the closing level of the
EURO STOXX 50
®
Index on July 18, 2017.
Past performance of the EURO STOXX 50
®
Index
is not indicative of the future performance of the EURO STOXX 50
®
Index.
Correlation
of the Underlyings
The graph below illustrates the daily performance of
the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index from
January 3, 2007 through July 18, 2017. For comparison purposes, each Underlying has been normalized to have a closing level of
100.00 on January 3, 2007 by dividing the closing level of that Underlying on each day by the closing level of that Underlying
on January 3, 2007 and multiplying by 100.00. We obtained the closing levels used to determine the normalized closing levels set
forth below from Bloomberg, without independent verification.
Past performance of the Underlyings is not indicative
of the future performance of the Underlyings
.
The correlation of a pair of Underlyings represents
a statistical measurement of the degree to which the returns of those Underlyings were similar to each other over a given period
in terms of timing and direction (
i
.
e
., positive or negative). Set forth below is a table that provides the correlation
of each pair of Underlyings, calculated based on the daily returns of the Underlyings from July 18, 2007 through July 18, 2017,
based on information from Bloomberg, without independent verification. You should not take the historical correlations of the Underlyings
as an indication of future correlation.
|
Russell 2000
®
Index
|
S&P 500
®
Index
|
EURO STOXX 50
®
Index
|
Russell 2000
®
Index
|
—
|
0.924
|
0.546
|
S&P 500
®
Index
|
0.924
|
—
|
0.616
|
EURO STOXX 50
®
Index
|
0.546
|
0.616
|
—
|
A correlation of 1.000 for a pair of Underlyings represents
a perfect positive correlation. This means that the closing levels of that pair of Underlyings have moved in the same direction
and the ratio of their daily returns has been constant. A correlation of -1.000 for a pair of Underlyings represents a perfect
negative correlation. This means that the closing levels of that pair of Underlyings have moved in the opposite direction and the
ratio of their daily returns has been constant. A correlation of 0.000 for a pair of Underlyings means that the Underlyings are
uncorrelated. This means that there is no statistical relationship between the daily returns of that pair of Underlyings. The closer
the correlation of a pair of Underlyings is to 1.000, the more positively correlated those Underlyings are. The closer the correlation
of a pair of Underlyings is to -1.000, the more negatively correlated those Underlyings. The closer the correlation of a pair of
Underlyings is to 0.000, the less correlated those Underlyings are. The lower the correlation between two Underlyings, the greater
the potential for one of those Underlyings to close below its Downside Threshold on the Final Valuation Date.
The correlations set forth above are based on the
historical performance of the Underlyings, and you should not take those historical correlations as an indication of future correlation.
In addition, the correlations set forth above are not the same as the correlations referenced in setting the terms of the Notes.
The correlations referenced in setting the terms of the Notes are calculated using internal models of our affiliates and are not
derived from the daily returns of the Underlyings over the period set forth above. Although the correlation of the Underlyings’
performance may change over the term of the Notes, the Coupon Rate is determined, in part, based on the correlations of the Underlyings’
performance calculated using internal models of our affiliates at the time when the terms of the Notes are finalized. A higher
Coupon Rate is generally associated with lower correlation of the Underlyings, which reflects a greater potential for a loss on
your investment at maturity.