May 20, 2019
|
Registration
Statement Nos. 333-222672 and 333-222672-01; Rule424(b)(2)
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JPMorgan Chase Financial Company LLC
Structured Investments
$645,000
Callable Contingent Interest Notes Linked to
the Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF due May 23, 2024
Fully
and Unconditionally Guaranteed by JPMorgan Chase & Co.
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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 value of each of the Russell 2000
®
Index, the S&P 500
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF, which we refer to as the Underlyings, is greater than or
equal to 60.00% of its Initial Value, which we refer to as an Interest Barrier.
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The notes may be redeemed early, in whole but not in part, at our option on any of the Interest Payment Dates (other than the
first, second, third and final Interest Payment Dates).
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The earliest date on which the notes may be redeemed early is May 26, 2020.
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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 Underlyings. Payments on the notes are linked to the performance
of each of the Underlyings 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 20, 2019 and are expected to settle on or about May 23, 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
|
$41.25
|
$958.75
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Total
|
$645,000
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$26,606.25
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$618,393.75
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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 of $41.25 per $1,000
principal amount note it receives from us to other affiliated or unaffiliated dealers. 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 $926.70 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.
Underlyings:
The
Russell 2000
®
Index
(Bloomberg ticker: RTY) and the S&P 500
®
Index
(Bloomberg ticker: SPX) (each an “Index” and collectively, the “Indices”) and the SPDR
®
S&P
®
Oil & Gas Exploration & Production
ETF (Bloomberg ticker: XOP) (the “Fund”) (each of the Indices and the Fund, an “Underlying” and collectively,
the “Underlyings”)
Contingent Interest Payment
s
:
If
the notes have not been previously redeemed early and the closing value of each Underlying on any Review Date is greater than or
equal to its Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal amount note a
Contingent Interest Payment equal to $21.25 (equivalent to a Contingent Interest Rate of 8.50% per annum, payable at a rate of
2.125% per quarter).
If
the closing value of any Underlying 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:
8.50% per annum, payable at
a rate of 2.125% per quarter
Interest Barrier/Trigger
Value:
With respect to each Underlying,
60.00% of its Initial Value, which is 914.9778 for the Russell 2000
®
Index, 1,704.138 for the S&P 500
®
Index and $17.544 for the SPDR
®
S&P
®
Oil & Gas Exploration & Production
ETF
Pricing Date:
May
20, 2019
Original Issue Date
(Settlement Date):
On or about May
23, 2019
Review Dates*:
August
20, 2019, November 20, 2019, February 20, 2020, May 20, 2020, August 20, 2020, November 20, 2020, February 22, 2021, May 20, 2021,
August 20, 2021, November 22, 2021, February 22, 2022, May 20, 2022, August 22, 2022, November 21, 2022, February 21, 2023, May
22, 2023, August 21, 2023, November 20, 2023, February 20, 2024 and May 20, 2024 (the “final Review Date”)
Interest Payment Dates*:
August 23, 2019, November 25, 2019,
February 25, 2020, May 26, 2020, August 25, 2020, November 25, 2020, February 25, 2021, May 25, 2021, August 25, 2021, November
26, 2021, February 25, 2022, May 25, 2022, August 25, 2022, November 25, 2022, February 24, 2023, May 25, 2023, August 24, 2023,
November 24, 2023, February 23, 2024 and the Maturity Date
Maturity Date*:
May
23, 2024
* 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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Early Redemption:
We, at
our election, may redeem the notes early, in whole but not in part, on any of the Interest Payment Dates (other than the first,
second, third and final Interest Payment Dates) at a price, for each $1,000 principal amount note, equal to $1,000
plus
the Contingent Interest Payment, if any, applicable to the immediately preceding Review Date. If we intend to redeem your notes
early, we will deliver notice to The Depository Trust Company, or DTC, at least five business days before the applicable Interest
Payment Date on which the notes are redeemed early.
Payment at Maturity:
If the
notes have not been redeemed early and the Final Value of each Underlying is greater than or equal to its Trigger Value, you will
receive a cash payment at maturity, for each $1,000 principal amount note, equal to (a) $1,000
plus
(b) the Contingent Interest
Payment applicable to the final Review Date.
If
the notes have not been redeemed early and the Final Value of any Underlying is less than its Trigger Value, your payment at maturity
per $1,000 principal amount note will be calculated as follows:
$1,000
+ ($1,000 × Least Performing Underlying Return)
If
the notes have not been redeemed early and the Final Value of any Underlying is less than its Trigger Value, you will lose more
than 40.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
Least Performing Underlying:
The Underlying with the Least Performing
Underlying Return
Least Performing Underlying
Return:
The lowest of the Underlying
Returns of the Underlyings
Underlying Return:
With
respect to each Underlying,
(Final Value – Initial
Value)
Initial Value
Initial Value:
With
respect to each Underlying, the closing value of that Underlying on the Pricing Date, which was 1,524.963 for the Russell 2000
®
Index, 2,840.23 for the S&P 500
®
Index and $29.24 for the SPDR
®
S&P
®
Oil & Gas Exploration & Production
ETF
Final Value:
With
respect to each Underlying, the closing value of that Underlying on the final Review Date
Share Adjustment Factor:
The Share Adjustment Factor is referenced
in determining the closing value 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.
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PS-
1
| Structured Investments
Callable Contingent Interest Notes Linked to the
Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
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How
the Notes Work
Payment in Connection with the First, Second
and Third Review Dates
Payments in Connection with Review Dates
(Other than the First, Second, Third and Final Review Dates)
Payment at Maturity If the Notes Have Not
Been Redeemed Early
PS-
2
| Structured Investments
Callable Contingent Interest Notes Linked to the
Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
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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 the Contingent Interest Rate
of 8.50% per annum, depending on how many Contingent Interest Payments are made prior to early redemption or maturity.
Number of Contingent
Interest Payments
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Total Contingent Interest
Payments
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20
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$425.00
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19
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$403.75
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18
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$382.50
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17
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$361.25
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16
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$340.00
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15
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$318.75
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14
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$297.50
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13
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$276.25
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12
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$255.00
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11
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$233.75
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10
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$212.50
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9
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$191.25
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8
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$170.00
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7
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$148.75
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6
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$127.50
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5
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$106.25
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4
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$85.00
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3
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$63.75
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2
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$42.50
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1
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$21.25
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0
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$0.00
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Hypothetical Payout Examples
The
following examples illustrate payments on the notes linked to three hypothetical Underlyings, assuming a range of performances
for the hypothetical Least Performing Underlying on the Review Dates.
The hypothetical payments set forth below assume
the following:
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the notes have not been redeemed early;
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an Initial Value for the Least Performing
Underlying
of 100.00;
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an Interest Barrier and a Trigger Value for the
Least Performing Underlying of
60.00
(equal to
60.00
% of its
hypothetical Initial Value); and
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a Contingent Interest Rate of 8.50% per annum
(payable at a rate of 2.125%
per quarter
).
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The hypothetical Initial Value of the
Least
Performing Underlying of
100.00 has been chosen for illustrative purposes only and does not represent the actual Initial
Value of any Underlying.
The actual Initial Value of each
Underlying
is the closing value of
that Underlying
on
the Pricing Date and is specified under “Key Terms - Initial Value” in this pricing supplement. For historical data
regarding the actual closing values of
each Underlying
,
please see the historical information set forth under “The Underlyings” 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.
PS-
3
| Structured Investments
Callable Contingent Interest Notes Linked to the
Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
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Example 1 — Notes have NOT been
redeemed early and the Final Value of the Least Performing Underlying is greater than or equal to its Trigger Value.
Date
|
Closing Value of Least Performing Underlying
|
Payment (per $1,000 principal amount note)
|
First Review Date
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95.00
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$21.25
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Second Review Date
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85.00
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$21.25
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Third through Nineteenth Review Dates
|
Less than Interest Barrier
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$0
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Final Review Date
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90.00
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$1,021.25
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Total Payment
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$1,063.75 (6.375% return)
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Because the notes have not been redeemed early and the
Final Value of the Least Performing Underlying is greater than or equal to its Trigger Value, the payment at maturity, for each
$1,000 principal amount note, will be $1,021.25 (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 $1,063.75.
Example 2 — Notes have NOT been
redeemed early and the Final Value of the Least Performing Underlying is less than its Trigger Value.
Date
|
Closing Value of Least Performing Underlying
|
Payment (per $1,000 principal amount note)
|
First Review Date
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45.00
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$0
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Second Review Date
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55.00
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$0
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Third through Nineteenth Review Dates
|
Less than Interest Barrier
|
$0
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Final Review Date
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40.00
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$400.00
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Total Payment
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$400.00 (-60.00% return)
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Because the notes have not been redeemed early, the
Final Value of the Least Performing Underlying is less than its Trigger Value and the Least Performing Underlying Return
is
-60.00
%, the payment at maturity will be $400.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-60.00%)] = $400.00
The hypothetical returns and hypothetical payments on
the notes shown above apply
only if you hold the notes for their entire term
. These hypotheticals do not reflect 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 redeemed early and the Final Value of any Underlying
is less than its Trigger Value, you will lose 1% of the principal amount of your notes for every 1% that the Final Value of the
Least Performing Underlying is less than its Initial Value. Accordingly, under these circumstances, you will lose more than 40.00%
of your principal amount at maturity and could lose all of your principal amount at maturity.
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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 redeemed early, we will make a Contingent Interest Payment with respect to a Review Date only if the
closing value of each Underlying on that Review Date is greater than or equal to its Interest Barrier. If the closing value of
any Underlying 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 value of any Underlying 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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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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PS-
4
| Structured Investments
Callable Contingent Interest Notes Linked to the
Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
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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 Underlying, which may be significant. You will not participate in any appreciation of any
Underlying.
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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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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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RISKS ASSOCIATED WITH THE OIL AND GAS EXPLORATION AND PRODUCTION INDUSTRY WITH RESPECT TO THE SPDR
®
S&P
®
OIL & GAS EXPLORATION & PRODUCTION ETF —
All or substantially all of the equity securities held by the SPDR
®
S&P
®
Oil & Gas
Exploration & Production ETF are issued by companies whose primary line of business is directly associated with the oil and
gas exploration and production industry. As a result, the value of the notes may be subject to greater volatility and be more adversely
affected by a single economic, political or regulatory occurrence affecting this industry than a different investment linked to
securities of a more broadly diversified group of issuers. Issuers in energy-related industries can be significantly affected by
fluctuations in energy prices and supply and demand of energy fuels. Markets for various energy-related commodities can have
significant volatility, and are subject to control or manipulation by large producers or purchasers. Companies in the energy sector
may need to make substantial expenditures, and to incur significant amounts of debt, in order to maintain or expand their reserves.
Oil and gas companies develop and produce crude oil and natural gas and provide drilling and other energy resources production
and distribution related services. Stock prices for these types of companies are affected by supply and demand both for their specific
product or service and for energy products in general. The price of oil and gas, exploration and production spending, government
regulation, world events and economic conditions will likewise affect the performance of these companies. Correspondingly, securities
of companies in the energy field are subject to swift price and supply fluctuations caused by events relating to international
politics, energy conservation, the success of exploration projects, and tax and other governmental regulatory policies. Weak
demand for the companies’ products or services or for energy products and services in general, as well as negative developments
in these other areas, would adversely impact the SPDR
®
S&P
®
Oil & Gas Exploration
& Production ETF's performance. Oil and gas exploration and production can be significantly affected by natural disasters as
well as changes in exchange rates, interest rates, government regulation, world events and economic conditions. These companies
may be at risk for environmental damage claims. These factors could affect the oil and gas exploration and production industry
and could affect the value of the equity securities held by the SPDR
®
S&P
®
Oil & Gas
Exploration & Production ETF and the price of the SPDR
®
S&P
®
Oil & Gas Exploration
& Production ETF during the term of the notes, which may adversely affect the value of your notes.
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YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE VALUE OF EACH UNDERLYING —
Payments on the notes are not linked to a basket composed of the Underlyings and are contingent upon the performance of each individual
Underlying. Poor performance by any of the Underlyings over the term of the notes 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 Underlying.
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YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING UNDERLYING.
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THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE —
If the Final Value of any Underlying is less than its Trigger Value and the notes have not been redeemed early, the benefit provided
by the Trigger Value will terminate and you will be fully exposed to any depreciation of the
Least
Performing Underlying.
|
PS-
5
| Structured Investments
Callable Contingent Interest Notes Linked to the
Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
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●
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THE OPTIONAL EARLY REDEMPTION FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
If we elect to redeem your notes early, the term of the notes may be reduced to as short as approximately one year and you will
not receive any Contingent Interest Payments after the applicable Interest Payment 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 we elect to redeem your notes 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 FUND OR THE SECURITIES INCLUDED IN OR HELD BY ANY UNDERLYING OR HAVE ANY RIGHTS WITH
RESPECT TO THE FUND OR THOSE SECURITIES.
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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.
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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 Underlyings” 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.
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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.
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THE RISK OF THE CLOSING VALUE OF AN UNDERLYING FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS GREATER IF THE VALUE
OF THAT UNDERLYING IS VOLATILE.
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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.
|
|
●
|
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 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.
|
PS-
6
| Structured Investments
Callable Contingent Interest Notes Linked to the
Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
|
●
|
THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN
THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
We generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you
in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period.
See “Secondary Market Prices of the Notes” in this pricing supplement for additional information relating to this initial
period. Accordingly, the estimated value of your notes during this initial period may be lower than the value of the notes as published
by JPMS (and which may be shown on your customer account statements).
|
|
●
|
SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
Any secondary market prices of the notes will likely be lower than the original issue price of the notes because, among other things,
secondary market prices take into account our internal secondary market funding rates for structured debt issuances and, also,
because secondary market prices 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.
|
|
●
|
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 values of the Underlyings. 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-
7
| Structured Investments
Callable Contingent Interest Notes Linked to the
Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
The
Underlyings
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 SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF is an exchange-traded fund of the SPDR
®
Series Trust, a registered
investment company, that seeks to provide investment results that, before fees and expenses, correspond generally to the total
return performance of an index derived from the oil and gas exploration and production segment of a U.S. total market composite
index, which we refer to as the Underlying Index with respect to the SPDR
®
S&P
®
Oil & Gas
Exploration & Production ETF. The Underlying Index with respect to the SPDR
®
S&P
®
Oil &
Gas Exploration & Production ETF is currently the S&P
®
Oil & Gas Exploration & Production Select
Industry™ 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 SPDR
®
S&P
®
Oil & Gas Exploration &
Production ETF, see “Fund Descriptions — The SPDR
®
S&P
®
Industry ETFs” in the
accompanying underlying supplement.
Historical Information
The following graphs set forth the historical
performance of each Underlying based on the weekly historical closing values from January 3, 2014 through May 17, 2019. The closing
value of the Russell 2000
®
Index on May 20, 2019 was 1,524.963. The closing value of the S&P 500
®
Index on May 20, 2019 was 2,840.23. The closing value of the SPDR
®
S&P
®
Oil & Gas Exploration
& Production ETF on May 20, 2019 was $29.24. We obtained the closing values above and below from the Bloomberg Professional
®
service (“Bloomberg”), without independent verification. The closing values of the Fund above and below may have been
adjusted by Bloomberg for actions taken by the Fund, such as stock splits.
The historical closing values of each Underlying
should not be taken as an indication of future performance, and no assurance can be given as to the closing value of any Underlying
on any Review Date. There can be no assurance that the performance of the Underlyings 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
|
PS-
8
| Structured Investments
Callable Contingent Interest Notes Linked to the
Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
Historical Performance
of the S&P 500
®
Index
Source: Bloomberg
|
Historical Performance
of the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
Source: Bloomberg
|
PS-
9
| Structured Investments
Callable Contingent Interest Notes Linked to the
Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
Tax
Treatment
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. In determining our
reporting responsibilities we intend to treat (i) the notes for U.S. federal income tax purposes as prepaid forward contracts with
associated contingent coupons and (ii) any Contingent Interest Payments as ordinary income, as described in the section entitled
“Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid
Forward Contracts with Associated Contingent Coupons” in the accompanying product supplement. Based on the advice of Davis
Polk & Wardwell LLP, our special tax counsel, we believe that this is a reasonable treatment, but that there are other reasonable
treatments that the IRS or a court may adopt, in which case the timing and character of any income or loss on the notes could be
materially affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income
tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to
require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number
of related topics, including the character of income or loss with respect to these instruments and the relevance of factors such
as the nature of the underlying property to which the instruments are linked. While the notice requests comments on appropriate
transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues
could materially affect the tax consequences of an investment in the notes, possibly with retroactive effect. 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.
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.
PS-
10
| Structured Investments
Callable Contingent Interest Notes Linked to the
Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
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.
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 Underlyings” 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.
PS-
11
| Structured Investments
Callable Contingent Interest Notes Linked to the
Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
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.
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-
12
| Structured Investments
Callable Contingent Interest Notes Linked to the
Least Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
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