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.
Fund:
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 the Fund on any Review Date is greater than or equal to the Interest Barrier, you will receive on the applicable
Interest Payment Date for each $1,000 principal amount note a Contingent Interest Payment equal to at least $20.00 (equivalent
to a Contingent Interest Rate of at least 8.00% per annum, payable at a rate of at least 2.00% per quarter) (to be provided in
the pricing supplement).
If the closing price of one share of the Fund on any Review
Date is less than the Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date.
Contingent
Interest Rate:
At least 8.00% per annum, payable at a rate of at least 2.00% per quarter
(to be provided in the pricing supplement)
Interest Barrier / Trigger Value:
60.00% of the Initial Value
Pricing
Date:
On or about April 4, 2017
Original
Issue Date (Settlement Date):
On or about April 7, 2017
Review
Dates*:
July 5, 2017, October 4, 2017, January 4, 2018, April 4, 2018 and July 5, 2018
(final Review Date)
Interest
Payment Dates*:
July 10, 2017, October 10, 2017, January 9, 2018, April 9, 2018 and the Maturity Date
Maturity
Date*:
July 10, 2018
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
a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General Terms
of Notes — Postponement of a Payment Date” in the accompanying product supplement
|
Automatic Call:
If the closing price of one share of the Fund on any Review Date (other
than the first and final Review Dates) is greater than or equal to the 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 (i) the Final
Value is greater than or equal to the Initial Value or (ii) a Trigger Event has not occurred, 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 (i) the Final
Value is less than the Initial Value and (ii) a Trigger Event has occurred, your payment at maturity per $1,000 principal amount
note, in addition to any Contingent Interest Payment, will be calculated as follows:
$1,000 + ($1,000 × Fund Return)
If the notes have not been automatically called and (i)
the Final Value is less than the Initial Value and (ii) a Trigger Event has occurred, you will lose some or all of your principal
amount at maturity.
Trigger Event:
A Trigger Event occurs if, on any day during the Monitoring Period, the closing price of one share of the Fund is less than the
Trigger Value.
Monitoring Period:
The
period from but excluding the Pricing Date to and including the final Review Date
Fund Return:
(Final Value – Initial Value)
Initial Value
Initial
Value:
The closing price of one share of the Fund on the Pricing Date
Final
Value:
The closing price of one share of the Fund on the final Review Date
Share
Adjustment Factor:
The Share Adjustment Factor is referenced in determining the
closing price of one share of the Fund and is set equal to 1.0 on the Pricing Date. The Share Adjustment Factor is subject to adjustment
upon the occurrence of certain events affecting the 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 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 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 8.00% 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 at least 8.00% per annum.
Number of Contingent Interest Payments
|
Total Contingent Interest Payments
|
5
|
$100.00
|
4
|
$80.00
|
3
|
$60.00
|
2
|
$40.00
|
1
|
$20.00
|
0
|
$0.00
|
PS-
3
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the SPDR
®
S&P
®
Oil &
Gas Exploration & Production ETF
|
|
Hypothetical
Payout Examples
The following examples illustrate payments on
the notes linked to a hypothetical Fund, assuming a range of performances for the hypothetical Fund on the Review Dates. The hypothetical
payments set forth below assume the following:
|
·
|
an Initial Value of $100.00;
|
|
·
|
an Interest Barrier and a Trigger Value of $60.00 (equal to 60.00% of the hypothetical Initial Value);
and
|
|
·
|
a Contingent Interest Rate of 8.00% per annum (payable at a rate of 2.00% per quarter).
|
The hypothetical Initial Value of $100.00 has
been chosen for illustrative purposes only and may not represent a likely actual Initial Value. The actual Initial Value will be
the closing price of one share of the 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 the Fund, please see the historical information set forth under “The
Fund” 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
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
$105.00
|
$20.00
|
Second Review Date
|
$110.00
|
$1,020.00
|
|
Total Payment
|
$1,040.00 (4.00% return)
|
Because the closing price of one share of the
Fund on the second Review Date is greater than or equal to the Initial Value, the notes will be automatically called for a cash
payment, for each $1,000 principal amount note, of $1,020.00 (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 the Fund on the first Review Date is greater than the 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 $1,040.00. No further payments will be made on the notes.
Example
2 — Notes have NOT been automatically called, the Final Value is greater than or equal to the Initial Value and a Trigger
Event has occurred.
Date
|
Closing Price
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
$90.00
|
$20.00
|
Second Review Date
|
$95.00
|
$20.00
|
Third through Fourth Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
$105.00
|
$1,020.00
|
|
Total Payment
|
$1,060.00 (6.00% return)
|
Because the notes have not been automatically
called and the Final Value is greater than or equal to the Initial Value (and, therefore, the Interest Barrier), even though a
Trigger Event has occurred, the payment at maturity, for each $1,000 principal amount note, will be $1,020.00 (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 $1,060.00.
PS-
4
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the SPDR
®
S&P
®
Oil &
Gas Exploration & Production ETF
|
|
Example
3 — Notes have NOT been automatically called, the Final Value is less than the Initial Value and a Trigger Event has NOT
occurred.
Date
|
Closing Price
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
$90.00
|
$20.00
|
Second Review Date
|
$85.00
|
$20.00
|
Third through Fourth Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
$70.00
|
$1,020.00
|
|
Total Payment
|
$1,060.00 (6.00% return)
|
Because the notes have not been automatically
called, the Final Value is greater than or equal to the Interest Barrier and a Trigger Event has not occurred, even though the
Final Value is less than the Initial Value, the payment at maturity, for each $1,000 principal amount note, will be $1,020.00 (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 $1,060.00.
Example
4 — Notes have NOT been automatically called, the Final Value is less than the Initial Value and the Interest Barrier and
a Trigger Event has occurred.
Date
|
Closing Price
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
$55.00
|
$0
|
Second Review Date
|
$45.00
|
$0
|
Third through Fourth 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 is less than the Initial Value and the Interest Barrier, a Trigger Event has occurred and the 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.
PS-
5
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the SPDR
®
S&P
®
Oil &
Gas Exploration & Production ETF
|
|
Selected
Risk Considerations
An investment in the notes involves significant
risks. These risks are explained in more detail in the “Risk Factors” sections of the accompanying product supplement
and underlying supplement.
|
·
|
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 (i) the Final Value is less than the Initial Value and (ii) a
Trigger Event has occurred, you will lose 1% of the principal amount of your notes for every 1% that the Final Value is less than
the Initial Value. Accordingly, under these circumstances, you will lose some or 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 the
Fund on that Review Date is greater than or equal to the Interest Barrier. If the closing price of one share of the Fund on that
Review Date is less than the Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date. Accordingly,
if the closing price of one share of the Fund on each Review Date is less than the 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.
|
·
|
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 the Fund, which may be significant. You will not participate in any appreciation in the price of one share
of the 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.
|
·
|
THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON ANY DAY DURING THE MONITORING PERIOD
— If, on any day
during the Monitoring Period, the closing price of one share of the Fund is less than the Trigger Value (
i.e.
, a Trigger
Event occurs) 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 Fund. You will be subject to this potential
loss of principal even if the Fund subsequently recovers such that the closing price of one share of the Fund is greater than or
equal to the Trigger Value.
|
PS-
6
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the SPDR
®
S&P
®
Oil &
Gas Exploration & Production ETF
|
|
|
·
|
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 THE FUND OR THE SECURITIES HELD BY THE FUND OR HAVE ANY RIGHTS WITH RESPECT TO THE FUND
OR THOSE SECURITIES.
|
|
·
|
THERE ARE RISKS ASSOCIATED WITH THE FUND —
|
The Fund is subject to management risk,
which is the risk that the investment strategies of the Fund’s investment adviser, the implementation of which is subject
to a number of constraints, may not produce the intended results. These constraints could adversely affect the market price of
the shares of the Fund and, consequently, the value of the notes.
|
·
|
THE PERFORMANCE AND MARKET VALUE OF THE FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH THE
PERFORMANCE OF THE FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE —
|
The Fund does not fully replicate its
Underlying Index (as defined under “The Fund” below) and may hold securities different from those included in its Underlying
Index. In addition, the performance of the 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 the Fund
and its Underlying Index. In addition, corporate actions with respect to the equity securities underlying the Fund (such as mergers
and spin-offs) may impact the variance between the performances of the Fund and its Underlying Index. Finally, because the shares
of the Fund are traded on a securities exchange and are subject to market supply and investor demand, the market value of one share
of the Fund may differ from the net asset value per share of the Fund.
During periods of market volatility,
securities underlying the Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately
the net asset value per share of the Fund and the liquidity of the Fund may be adversely affected. This kind of market volatility
may also disrupt the ability of market participants to create and redeem shares of the Fund. Further, market volatility may adversely
affect, sometimes materially, the prices at which market participants are willing to buy and sell shares of the Fund. As a result,
under these circumstances, the market value of shares of the Fund may vary substantially from the net asset value per share of
the Fund. For all of the foregoing reasons, the performance of the Fund may not correlate with the performance of its Underlying
Index as well as the net asset value per share of the Fund, which could materially and adversely affect the value of the notes
in the secondary market and/or reduce any payment on the notes.
|
·
|
RISKS ASSOCIATED WITH THE OIL AND GAS EXPLORATION AND PRODUCTION INDUSTRY
—
|
All or substantially all of the equity
securities held by the Fund are issued by companies whose primary line of business is directly associated with the 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 Fund’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
Fund and the price of the Fund during the term of the notes, which may adversely affect the value of your notes.
PS-
7
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the SPDR
®
S&P
®
Oil &
Gas Exploration & Production ETF
|
|
|
·
|
THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED —
|
The calculation agent will make adjustments
to the Share Adjustment Factor for certain events affecting the shares of the Fund. However, the calculation agent will not make
an adjustment in response to all events that could affect the shares of the Fund. 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 THE FUND FALLING BELOW THE INTEREST BARRIER OR THE TRIGGER VALUE IS GREATER
IF THE PRICE OF ONE SHARE OF THE 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.
|
·
|
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 REFLEC
TED 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 —
|
PS-
8
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the SPDR
®
S&P
®
Oil &
Gas Exploration & Production ETF
|
|
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 price of one share of the Fund.
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-
9
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the SPDR
®
S&P
®
Oil &
Gas Exploration & Production ETF
|
|
The
Fund
The
Fund
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
Fund
.
The Underlying Index with respect to the
Fund
is currently
the S&P
®
Oil & Gas Exploration & Production Select Industry™ Index. The S&P
®
Oil & Gas Exploration & Production Select Industry™ 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
Fund
, see “Fund Descriptions — The SPDR
®
S&P
®
Industry ETFs” in the accompanying underlying supplement.
Historical
Information
The
following graph sets forth the historical performance of the Fund based on the weekly historical closing prices of one share of
the Fund from January 6, 2012 through March 17, 2017. The closing price of one share of the Fund on March 23, 2017 was $35.17.
We obtained the closing prices above and below from the Bloomberg Professional
®
service (“Bloomberg”),
without independent verification. The closing prices 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 the 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 the Fund on the Pricing Date or any Review Date. There can be no assurance
that the performance of the Fund will result in the return of any of your principal amount or the payment of any interest.
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.
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Oil &
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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.
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). Under a recent IRS notice, withholding under FATCA
will not apply to payments of gross proceeds (other than any amount treated as FDAP Income) of a taxable disposition, including
an early redemption or redemption at maturity, of the notes. 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
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Auto Callable Contingent Interest Notes Linked to the SPDR
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Oil &
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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 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 Fund” 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):
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.
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| Structured Investments
Auto Callable Contingent Interest Notes Linked to the SPDR
®
S&P
®
Oil &
Gas Exploration & Production ETF
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