May 16, 2019
|
Registration Statement
Nos. 333-222672 and 333-222672-01; Rule 424(b)(2)
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JPMorgan
Chase Financial Company LLC
Structured Investments
$3,276,000
Auto Callable Contingent Interest Notes Linked
to the Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index due August 20, 2020
Fully
and Unconditionally Guaranteed by JPMorgan Chase & Co.
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●
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The notes are designed for investors who seek a Contingent Interest Payment with respect to each Review Date for which the
closing level of each of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index, which we refer to as the Indices, is greater than or equal to 70.00% of its Initial Value, which we refer to as an Interest
Barrier.
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The notes will be automatically called if the closing level of each Index on any Review Date (other than the final Review Date)
is greater than or equal to its Initial Value.
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Investors in the notes should be willing to accept the risk of losing some or all of their principal and the risk that no Contingent
Interest Payment may be made with respect to some or all Review Dates.
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Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive
Contingent Interest Payments.
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The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan
Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co.
Any payment on the notes
is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as
guarantor of the notes.
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Payments on the notes are not linked to a basket composed of the Indices. Payments on the notes are linked to the performance
of each of the Indices individually, as described below.
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Minimum denominations of $1,000 and integral multiples thereof
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The notes priced on May 16, 2019 and are expected to settle on or about May 21, 2019.
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Investing in the notes involves a number of risks.
See “Risk Factors” beginning on page PS-10 of the accompanying product supplement, “Risk Factors” beginning
on page US-1 of the accompanying underlying supplement and “Selected Risk Considerations” beginning on page PS-4 of
this pricing supplement.
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.
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Price to Public (1)
|
Fees and Commissions (2)
|
Proceeds to Issuer
|
Per note
|
$1,000
|
$6.8620
|
$993.1380
|
Total
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$3,276,000
|
$22,479.75
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$3,253,520.25
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(1) See “Supplemental Use
of Proceeds” in this pricing supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC,
which we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us
to other affiliated or unaffiliated dealers. These selling commissions will vary and will be up to $7.25 per $1,000 principal amount
note. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.
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The estimated value of the notes,
when the terms of the notes were set, was $983.20 per $1,000 principal amount note. See “The Estimated Value of the Notes”
in this pricing supplement for additional information.
The notes are not bank deposits, are
not insured by the Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed
by, a bank.
Pricing supplement to product supplement no. 4-I
dated April 5, 2018, underlying supplement no. 1-I dated April 5, 2018 and the prospectus and prospectus supplement, each dated
April 5, 2018
Key Terms
Issuer:
JPMorgan
Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor:
JPMorgan
Chase & Co.
Indices:
The
Russell 2000
®
Index (Bloomberg ticker: RTY), the S&P 500
®
Index (Bloomberg ticker: SPX) and the EURO STOXX 50
®
Index (Bloomberg ticker: SX5E) (each an “Index” and collectively, the “Indices”)
Contingent Interest Payments:
If
the notes have not been automatically called and the closing level of each Index on any Review Date is greater than or equal to
its Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal amount note a Contingent
Interest Payment of $26.25 (equivalent to a Contingent Interest Rate of 10.50% per annum, payable at a rate of 2.625% per quarter).
If the closing level of
any Index on any Review Date is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that
Review Date.
Contingent Interest Rate:
10.50%
per annum, payable at a rate of 2.625% per quarter
Interest Barrier/Trigger Value:
With
respect to each Index, 70.00% of its Initial Value, which is 1,090.0673 for the Russell 2000
®
Index, 2,013.424 for the S&P 500
®
Index and 2,406.992 for the EURO STOXX 50
®
Index
Pricing Date:
May
16, 2019
Original Issue Date (Settlement Date):
On or about May 21, 2019
Review Dates*:
August
16, 2019, November 18, 2019, February 18, 2020, May 18, 2020 and August 17, 2020 (final Review Date)
Interest Payment Dates*:
August
21, 2019, November 21, 2019, February 21, 2020, May 21, 2020 and the Maturity Date
Maturity Date*:
August
20, 2020
Call Settlement Date*:
If
the notes are automatically called on any Review Date (other than the final Review Date), the first Interest Payment Date immediately
following that Review Date
* Subject to postponement in the event of a market disruption
event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to
Multiple Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying
product supplement
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Least Performing Index:
The
Index with the Least Performing Index Return
Least Performing Index Return:
The
lowest
of
the Index Returns of the Indices
Index Return:
With
respect to each Index,
(Final
Value – Initial Value)
Initial Value
Initial Value:
With
respect to each Index
,
the closing level of that Index on the Pricing Date, which was 1,557.239 for the Russell 2000
®
Index, 2,876.32 for the S&P 500
®
Index and 3,438.56 for the EURO STOXX 50
®
Index
Final Value:
With
respect to each Index
,
the closing level of that Index on the final Review Date
Trigger Event:
A
Trigger Event occurs if, on any day during the Monitoring Period, the closing level of any Index is less than its Trigger Value
Monitoring Period:
The
period from but excluding the Pricing Date to and including the final Review Date
Automatic Call:
If
the closing level of each Index on any Review Date (other than the final Review Date) is greater than or equal to its Initial Value,
the notes will be automatically called for a cash payment, for each $1,000 principal amount note, 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 of each Index is greater than or equal to its 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 of any Index is less than its 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 × Least Performing Index Return)
If the notes have not been
automatically called and (i) the Final Value of any Index is less than its Initial Value and (ii) a Trigger Event has occurred,
you will lose some or all of your principal amount at maturity.
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PS-
1
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
|
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How
the Notes Work
Payments in Connection with Review Dates
Preceding the Final Review Date
Payment at Maturity If the Notes Have Not
Been Automatically Called
Total Contingent Interest Payments
The table below illustrates the total Contingent
Interest Payments per $1,000 principal amount note over the term of the notes based on the Contingent Interest Rate of 10.50% per
annum, depending on how many Contingent Interest Payments are made prior to automatic call or maturity.
Number of Contingent Interest Payments
|
Total Contingent Interest Payments
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5
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$131.25
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4
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$105.00
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3
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$78.75
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2
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$52.50
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1
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$26.25
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0
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$0.00
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PS-
2
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
|
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Hypothetical
Payout Examples
The following examples illustrate payments on
the notes linked to three hypothetical Indices, assuming a range of performances for the hypothetical Least Performing Index on
the Review Dates.
Each hypothetical payment set forth below assumes that the closing level of each Index that is not the Least
Performing Index on each Review Date is greater than or equal to its Initial Value (and therefore its Interest Barrier and Trigger
Value).
In addition, the hypothetical payments set forth
below assume the following:
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an Initial Value for the Least Performing
Index of 100.00;
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an Interest Barrier and a Trigger Value for the Least Performing Index of 70.00 (equal to 70.00% of its hypothetical Initial
Value); and
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a Contingent Interest Rate of 10.50% per annum (payable at a rate of 2.625% per quarter).
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The hypothetical Initial Value of the
Least
Performing Index of
100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value
of any Index.
The actual Initial Value of each
Index
is the closing level of
that Index
on the Pricing
Date and is specified under “Key Terms - Initial Value” in this pricing supplement. For historical data regarding the
actual closing levels of
each Index
, please
see the historical information set forth under “The Indices” 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 first Review Date.
Date
|
Closing Level of Least Performing Index
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Payment (per $1,000 principal amount note)
|
First Review Date
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105.00
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$1,026.25
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Total Payment
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$1,026.25 (2.625% return)
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Because the closing level of each Index on the
first Review Date is greater than or equal to its Initial Value, the notes will be automatically called for a cash payment, for
each $1,000 principal amount note, of $1,026.25 (or $1,000
plus
the Contingent Interest Payment applicable to the first
Review Date), payable on the applicable Call Settlement Date. No further payments will be made on the notes.
Example 2 — Notes have NOT been
automatically called, the Final Value of the Least Performing Index is greater than or equal to its Initial Value and a Trigger
Event has occurred.
Date
|
Closing Level of Least Performing Index
|
Payment (per $1,000 principal amount note)
|
First Review Date
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95.00
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$26.25
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Second Review Date
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85.00
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$26.25
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Third through Fourth Review Dates
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Less than Interest Barrier
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$0
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Final Review Date
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105.00
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$1,026.25
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Total Payment
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$1,078.75 (7.875% return)
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Because the notes have not been automatically
called and the Final Value of the Least Performing Index is greater than or equal to its Initial Value (and, therefore, its Interest
Barrier), even though a Trigger Event has occurred, the payment at maturity, for each $1,000 principal amount note, will be $1,026.25
(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 $1,078.75.
PS-
3
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
|
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Example 3 — Notes have NOT been
automatically called, the Final Value of the Least Performing Index is less than its Initial Value and a Trigger Event has NOT
occurred.
Date
|
Closing Level of Least Performing Index
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
95.00
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$26.25
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Second Review Date
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95.00
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$26.25
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Third through Fourth Review Dates
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Greater than Interest Barrier
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$26.25
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Final Review Date
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70.00
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$1,026.25
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Total Payment
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$1,131.25 (13.125% return)
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Because the notes have not been automatically
called, the Final Value of the Least Performing Index is greater than or equal to its Interest Barrier and a Trigger Event has
not occurred, even though the Final Value of the Least Performing Index is less than its Initial Value, the payment at maturity,
for each $1,000 principal amount note, will be $1,026.25 (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 $1,131.25.
Example 4 — Notes have NOT been
automatically called, the Final Value of the Least Performing Index is less than its Initial Value and its Interest Barrier and
a Trigger Event has occurred.
Date
|
Closing Level of Least Performing Index
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
40.00
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$0
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Second Review Date
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45.00
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$0
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Third through Fourth Review Dates
|
Less than Interest Barrier
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$0
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Final Review Date
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60.00
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$600.00
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Total Payment
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$600.00 (-40.00% return)
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Because the notes have not been automatically
called, the Final Value of the Least Performing Index is less than its Initial Value and its Interest Barrier, a Trigger Event
has occurred and the Least Performing Index Return is -40.00%, the payment at maturity will be $600.00 per $1,000 principal amount
note, calculated as follows:
$1,000 + [$1,000 × (-40.00%)] = $600.00
The hypothetical returns and hypothetical payments
on the notes shown above apply
only if you hold the notes for their entire term or until automatically called.
These hypotheticals
do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses
were included, the hypothetical returns and hypothetical payments shown above would likely be lower.
Selected
Risk Considerations
An investment in the notes involves significant risks. These risks
are explained in more detail in the “Risk Factors” sections of the accompanying product supplement and underlying supplement.
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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 of
any Index is less than its 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 of the Least Performing Index is less than its Initial Value. Accordingly, under these
circumstances, you will lose some or all of your principal amount at maturity.
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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 level of each Index on that Review Date is greater than or equal to its Interest Barrier. If the closing level of
any Index on that Review Date is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that
Review Date. Accordingly, if the closing level of any Index on each Review Date is less than its Interest Barrier, you will not
receive any interest payments over the term of the notes.
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PS-
4
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
|
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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.
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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.
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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 of any Index, which may be significant. You will not participate in any appreciation of any Index.
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POTENTIAL CONFLICTS
—
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.
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JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500
®
INDEX,
but JPMorgan Chase & Co. will not have any obligation to consider your interests in taking any corporate action that might
affect the level of the S&P 500
®
Index.
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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. Also, there is generally less publicly available information
about companies in some of these jurisdictions than there is about U.S. companies that are subject to the reporting requirements
of the SEC.
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AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH RESPECT TO THE RUSSELL 2000
®
INDEX —
Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative
to larger 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.
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NO DIRECT EXPOSURE TO FLUCTUATIONS IN FOREIGN EXCHANGE RATES WITH RESPECT TO THE EURO STOXX 50
®
INDEX
—
The value of your notes will not be adjusted for exchange rate fluctuations between the U.S. dollar and the currencies upon which
the equity securities included in the EURO STOXX 50
®
Index
are based, although any currency fluctuations
could affect the performance of the EURO STOXX 50
®
Index.
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YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX—
Payments on the notes are not linked to a basket composed of the Indices and are contingent upon the performance of each individual
Index. Poor performance by any of the Indices over the term of the notes may result in the notes not being automatically called
on a Review Date, may negatively affect whether you will receive a Contingent Interest Payment on any Interest Payment Date and
your payment at maturity and will not be offset or mitigated by positive performance by any other Index.
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YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING INDEX.
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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 level of any Index is less than its 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
of the Least
Performing Index. You will be subject to this potential loss of principal even if that Index subsequently recovers such that the
closing level of that Index is greater than or equal to its Trigger Value.
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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 three 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.
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YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN ANY INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES.
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THE RISK OF THE CLOSING LEVEL OF AN INDEX FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS GREATER IF THE LEVEL OF
THAT INDEX IS VOLATILE.
|
PS-
5
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
|
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|
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LACK OF LIQUIDITY—
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.
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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.
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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.
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THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
The internal funding rate used in the determination of the estimated value of the notes may differ from the market-implied funding
rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference
may be 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
income instruments of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which
may prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The use
of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any
secondary market prices of the notes. See “The Estimated Value of the Notes” in this pricing supplement.
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THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN
THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
We generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you
in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period.
See “Secondary Market Prices of the Notes” in this pricing supplement for additional information relating to this initial
period. Accordingly, the estimated value of your notes during this initial period may be lower than the value of the notes as published
by JPMS (and which may be shown on your customer account statements).
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SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
Any secondary market prices of the notes will likely be lower than the original issue price of the notes because, among other things,
secondary market prices take into account our internal secondary market funding rates for structured debt issuances and, also,
because secondary market prices may exclude selling commissions, 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.
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SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
The secondary market price of the notes during their term will be impacted by a number of economic and market factors, which may
either offset or magnify each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging costs
and the levels of the Indices. 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.
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The
Indices
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 “Equity Index Descriptions — The Russell Indices” in the accompanying
underlying supplement.
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 “Equity Index Descriptions — The S&P U.S. Indices” in the
accompanying underlying supplement.
The EURO STOXX 50
®
Index consists
of 50 component stocks of market sector leaders from within the Eurozone. The EURO STOXX 50
®
Index and STOXX are
the intellectual property (including registered trademarks) of STOXX Limited, Zurich, Switzerland and/or its licensors (the “Licensors”),
which are used under license. The notes based on the EURO STOXX 50
®
Index are in no way sponsored, endorsed, sold
or promoted by STOXX Limited and its Licensors and neither STOXX Limited nor any of its Licensors shall have any liability with
respect thereto. For additional information about the EURO STOXX 50
®
Index, see “Equity Index Descriptions
— The EURO STOXX 50
®
Index” in the accompanying underlying supplement.
PS-
6
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
|
|
Historical Information
The following graphs set forth the historical
performance of each Index based on the weekly historical closing levels from January 3, 2014 through May 10, 2019. The closing
level of the Russell 2000
®
Index on May 16, 2019 was 1,557.239. The closing level of the S&P 500
®
Index on May 16, 2019 was 2,876.32. The closing level of the EURO STOXX 50
®
Index on May 16, 2019 was 3,438.56.
We obtained the closing levels above and below from the Bloomberg Professional
®
service (“Bloomberg”),
without independent verification.
The historical closing levels of each Index should
not be taken as an indication of future performance, and no assurance can be given as to the closing level of any Index on any
Review Date or any day during the Monitoring Period. There can be no assurance that the performance of the Indices will result
in the return of any of your principal amount or the payment of any interest.
Historical Performance
of the Russell 2000
®
Index
Source: Bloomberg
|
Historical Performance
of the S&P 500
®
Index
Source: Bloomberg
|
PS-
7
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
|
|
Historical Performance
of the EURO STOXX 50
®
Index
Source: Bloomberg
|
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. The discussions above
and in the accompanying product supplement do not address the consequences to taxpayers subject to special tax accounting rules
under Section 451(b) of the Code. 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 the notice described above.
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.
PS-
8
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
|
|
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, a recent IRS notice excludes from the scope of Section 871(m) instruments issued
prior to January 1, 2021 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.
FATCA
. Withholding under legislation commonly
referred to as “FATCA” could apply to payments with respect to the notes that are treated as U.S.-source “fixed
or determinable annual or periodical” income (“FDAP Income”) for U.S. federal income tax purposes (such as interest,
if the notes are recharacterized, in whole or in part, as debt instruments, or Contingent Interest Payments if they are otherwise
treated as FDAP Income). If the notes are recharacterized, in whole or in part, as debt instruments, withholding could also apply
to payments of gross proceeds of a taxable disposition, including an early redemption or redemption at maturity, although under
recently proposed regulations (the preamble to which specifies that taxpayers are permitted to rely on them pending finalization),
no withholding will apply to payments of gross proceeds (other than any amount treated as FDAP Income). 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 may differ from the market-implied funding rate for vanilla fixed
income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be 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 income instruments
of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove to be
incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. 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. 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 is lower than
the original issue price of the notes because costs associated with selling, structuring and hedging the notes are included in
the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated
dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk
and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected,
or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes may be allowed
to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits.
See “Selected Risk Considerations — The Estimated Value of the Notes Is Lower Than the Original Issue Price (Price
to Public) of the Notes” in this pricing supplement.
PS-
9
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
|
|
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 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.
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 Indices” 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.
Supplemental
Plan of Distribution
We expect that delivery of the notes will be made
against payment for the notes on or about the Original Issue Date set forth on the front cover of this pricing supplement, which
will be the third business day following the Pricing Date of the notes (this settlement cycle being referred to as “T+3”).
Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to
settle in two business days, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade
notes on any date prior to two business days before delivery will be required to specify an alternate settlement cycle at the time
of any such trade to prevent a failed settlement and should consult their own advisors.
Validity
of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP,
as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by this pricing supplement
have been executed and issued by JPMorgan Financial and authenticated by the trustee pursuant to the indenture, and delivered against
payment as contemplated herein, such notes will be valid and binding obligations of JPMorgan Financial and the related guarantee
will constitute a valid and binding obligation of JPMorgan Chase & Co., enforceable in accordance with their terms, subject
to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and
equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack
of bad faith),
provided
that such counsel expresses no opinion as to (i) the effect of fraudulent conveyance, fraudulent
transfer or similar provision of applicable law on the conclusions expressed above or (ii) any provision of the indenture that
purports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law by limiting the
amount of JPMorgan Chase & Co.’s obligation under the related guarantee. This opinion is given as of the date hereof
and is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited
Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution
and delivery of the indenture and its authentication of the notes and the validity, binding nature and enforceability of the indenture
with respect to the trustee, all as stated in the letter of such counsel dated March 8, 2018, which was filed as an exhibit to
the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on March 8, 2018.
PS-
10
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
|
|
Additional
Terms Specific to 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. 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.
PS-
11
| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
|
|
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