May 20, 2019
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Registration Statement Nos. 333-222672 and 333-222672-01; Rule 424(b)(2)
|
JPMorgan Chase Financial Company LLC
Structured Investments
$1,710,000
Review Notes Linked to the Least Performing of
the STOXX
®
Europe 600 Banks Index, the iShares
®
MSCI Emerging Markets ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF due May 25, 2023
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
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·
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The notes are designed for investors who seek early exit prior to maturity at a premium if, on any Review Date, the closing
value of each of the STOXX
®
Europe 600 Banks Index, the iShares
®
MSCI Emerging Markets ETF and the
SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF, which we refer to as the Underlyings,
is at or above the applicable Call Value.
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|
·
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The earliest date on which an automatic call may be initiated is May 26, 2020.
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Investors in the notes should be willing to forgo interest and dividend payments and be willing to accept the risk of losing
some or all of their principal amount at maturity.
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·
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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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|
·
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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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·
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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 28, 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)(3)
|
Proceeds to Issuer
|
Per note
|
$1,000
|
—
|
$1,000
|
Total
|
$1,710,000
|
—
|
$1,710,000
|
(1) See “Supplemental Use of Proceeds”
in this pricing supplement for information about the components of the price to public of the notes.
(2) All sales
of the notes will be made to certain fee-based advisory accounts for which an affiliated or unaffiliated broker-dealer is an investment
adviser. These broker-dealers will forgo any commissions related to these sales. See “Plan of Distribution (Conflicts of
Interest)” in the accompanying product supplement.
(3) J.P. Morgan Securities LLC, which we refer to
as JPMS, will pay a referral fee of $2.50 per $1,000 principal amount note to an affiliated or unaffiliated dealer and, with respect
to $1,655,000 aggregate principal amount of notes, a structuring fee of $4.00 per $1,000 principal amount note to other affiliated
or unaffiliated dealers. These dealers will forgo any structuring fee with respect to the remaining notes.
|
The estimated value of the notes, when the terms of the notes were
set, was $938.30 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 STOXX
®
Europe 600 Banks Index (Bloomberg ticker: SX7P) (the “Index”)
and the iShares
®
MSCI Emerging Markets ETF (Bloomberg ticker: EEM) and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF (Bloomberg ticker: XOP) (each of the iShares
®
MSCI Emerging Markets
ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF, a “Fund” and
collectively, the “Funds”) (each of the Index and the Funds, an “Underlying” and collectively, the “Underlyings”)
Call
Premium Amount:
The Call Premium Amount with respect to each Review Date is set forth below:
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·
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first Review Date:
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13.55% × $1,000
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second Review Date:
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27.10% × $1,000
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third Review Date:
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40.65% × $1,000
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final Review Date:
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54.20% × $1,000
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Call
Value:
The Call Value with respect to each Underlying with respect to each Review Date
is set forth below:
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·
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first through third Review Dates: 100.00% of its Initial Value, which is 136.89 for the Index, $40.12 for the iShares
®
MSCI Emerging Markets ETF and $29.24 for the SPDR
®
S&P
®
Oil & Gas Exploration & Production
ETF
|
|
·
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final Review Date: 60.00% of its Initial Value, which is 82.134 for the Index, $24.072 for the iShares
®
MSCI
Emerging Markets ETF and $17.544 for the SPDR
®
S&P
®
Oil & Gas Exploration & Production
ETF
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Pricing
Date:
May 20, 2019
Original
Issue Date (Settlement Date):
On or about May 28, 2019
Review
Dates*:
May 26, 2020, May 20, 2021, May 20, 2022, and May 22, 2023 (final Review Date)
Call
Settlement Dates*:
May 29, 2020, May 25, 2021, May 25, 2022 and the Maturity Date
Maturity
Date*:
May 25, 2023
* Subject to postponement in the event of a market
disruption event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes
Linked to Multiple Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying
product supplement
Automatic Call:
If the closing value of each Underlying on any Review Date is
greater than or equal to the applicable Call 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 Call Premium Amount 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, 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 automatically called, 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
, t
he closing
value of that Underlying on the Pricing Date, which was 136.89 for the Index, $40.12 for the iShares
®
MSCI Emerging
Markets ETF 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:
With respect to each Fund, the Share Adjustment Factor is referenced in determining the closing value
of that Fund and is set equal to 1.0 on the Pricing Date. The Share Adjustment Factor of each Fund is subject to adjustment upon
the occurrence of certain events affecting that Fund. See “The Underlyings — Funds — Anti-Dilution Adjustments”
in the accompanying product supplement for further information.
PS-
1
| Structured Investments
Review Notes Linked to the Least Performing of the STOXX
®
Europe 600 Banks Index, the iShares
®
MSCI Emerging Markets ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
How
the Notes Work
Payment upon an Automatic Call
Payment at Maturity If
the Notes Have Not Been Automatically Called
Call Premium Amount
The table below illustrates the Call Premium Amount
per $1,000 principal amount note for each Review Date based on the Call Premium Amounts set forth under “Key Terms —
Call Premium Amount” above.
Review Date
|
Call Premium Amount
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First
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$135.50
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Second
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$271.00
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Third
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$406.50
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Final
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$542.00
|
PS-
2
| Structured Investments
Review Notes Linked to the Least Performing of the STOXX
®
Europe 600 Banks Index, the iShares
®
MSCI Emerging Markets ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
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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.
Each hypothetical payment set forth below assumes that the closing value of each Underlying that is not
the Least Performing Underlying on each Review Date is greater than or equal to its Call Value (and therefore its Trigger Value).
In addition, the hypothetical payments set forth
below assume the following:
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·
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an Initial Value for the Least Performing Underlying of 100.00;
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·
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the Call Values set forth under “Key Terms — Call Value” above; and
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the Call Premium Amounts set forth under “Key Terms — Call Premium Amount” above.
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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.
Example 1 — Notes are automatically
called on the first Review Date.
Date
|
Closing Value of Least Performing Underlying
|
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First Review Date
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110.00
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Notes are automatically called
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Total Payment
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$1,135.50 (13.55% return)
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Because the closing value of each Underlying
on the first Review Date is greater than or equal to the applicable Call Value, the notes will be automatically called for a cash
payment, for each $1,000 principal amount note, of $1,135.50 (or $1,000
plus
the Call Premium Amount 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 are automatically
called on the final Review Date.
Date
|
Closing Value of Least Performing Underlying
|
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First Review Date
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90.00
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Notes NOT automatically called
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Second Review Date
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85.00
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Notes NOT automatically called
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Third Review Date
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70.00
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Notes NOT automatically called
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Final Review Date
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60.00
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Notes are automatically called
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Total Payment
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$1,542.00 (54.20% return)
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Because
the
closing value of each Underlying
on each
of the first through third Review Dates is less than the applicable Call Value, the notes are not automatically called in connection
with these Review Dates. However, because the closing value of each Underlying on the final Review Date is greater than or equal
to the applicable Call Value, even though the closing value of at least one Underlying is less than its Initial Value, the notes
will be automatically called for a cash payment, for each $1,000 principal amount note, of $1,542.00 (or $1,000
plus
the
Call Premium Amount applicable to the final Review Date), payable on the applicable Call Settlement Date, which is the Maturity
Date.
PS-
3
| Structured Investments
Review Notes Linked to the Least Performing of the STOXX
®
Europe 600 Banks Index, the iShares
®
MSCI Emerging Markets ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
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Example 3 — Notes have NOT been automatically
called.
Date
|
Closing Value of Least Performing Underlying
|
|
First Review Date
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80.00
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Notes NOT automatically called
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Second Review Date
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70.00
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Notes NOT automatically called
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Third Review Date
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60.00
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Notes NOT automatically called
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Final Review Date
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50.00
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Notes NOT automatically called; Final Value of Least Performing Underlying is less than Trigger Value
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Total Payment
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$500.00 (-50.00% return)
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Because the notes have not been automatically
called and the Least Performing Underlying Return is -50.00%, the payment at maturity will be $500.00 per $1,000 principal amount
note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)] = $500.00
The hypothetical returns and hypothetical payments
on the notes shown above apply
only if you hold the notes for their entire term or until automatically called.
These hypotheticals
do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses
were included, the hypothetical returns and hypothetical payments shown above would likely be lower.
Selected
Risk Considerations
An investment in the notes involves significant
risks. These risks are explained in more detail in the “Risk Factors” sections of the accompanying product supplement
and underlying supplement.
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YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
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The notes do not guarantee any return
of principal. If the notes have not been automatically called, 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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CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
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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 —
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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 ANY CALL PREMIUM AMOUNT PAID ON THE NOTES,
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regardless of any appreciation of any
Underlying, which may be significant. You will not participate in any appreciation of any Underlying.
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.
PS-
4
| Structured Investments
Review Notes Linked to the Least Performing of the STOXX
®
Europe 600 Banks Index, the iShares
®
MSCI Emerging Markets ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
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·
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YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE VALUE OF EACH UNDERLYING —
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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 result in the notes not being automatically called on a Review Date, may
negatively affect 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 LOWER CALL VALUE ON THE FINAL REVIEW DATE MAY TERMINATE ON THE FINAL REVIEW DATE —
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If the notes have not been automatically
called, the benefit provided by the lower Call Value on the final Review Date will terminate and you will be fully exposed to any
depreciation of the Least Performing Underlying.
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·
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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 one year. There is no guarantee that you would be able to reinvest
the proceeds from an investment in the notes at a comparable return 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.
PS-
5
| Structured Investments
Review Notes Linked to the Least Performing of the STOXX
®
Europe 600 Banks Index, the iShares
®
MSCI Emerging Markets ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
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|
·
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THE NOTES DO NOT PAY INTEREST.
|
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·
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YOU WILL NOT RECEIVE DIVIDENDS ON EITHER FUND OR THE SECURITIES INCLUDED IN OR HELD BY ANY UNDERLYING OR HAVE ANY RIGHTS
WITH RESPECT TO THE FUNDS OR THOSE SECURITIES.
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N
ON-U.S. SECURITIES RISK WITH RESPECT TO THE INDEX AND THE iSHARES
®
MSCI EMERGING MARKETS ETF —
|
T
he
equity securities included in the STOXX
®
Europe 600 Banks Index or held by the iShares
®
MSCI Emerging
Markets ETF 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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NO DIRECT EXPOSURE TO FLUCTUATIONS IN FOREIGN EXCHANGE RATES WITH RESPECT TO THE 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 Index are based, although any currency fluctuations
could affect the performance of the Index.
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RISKS ASSOCIATED WITH THE BANKING INDUSTRY WITH RESPECT TO THE INDEX
— All or substantially all of the equity
securities included in the Index are issued by companies whose primary line of business is directly associated with the banking
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. The performance of bank stocks may be affected by extensive governmental regulation, which may limit both the
amounts and types of loans and other financial commitments they can make, the interest rates and fees they can charge and the amount
of capital they must maintain. Profitability is largely dependent on the availability and cost of capital funds and can fluctuate
significantly when interest rates change. Credit losses resulting from financial difficulties of borrowers can negatively impact
the sector. Banks may also be subject to severe price competition. Competition among banking companies is high and failure to maintain
or increase market share may result in lost market share. These factors could affect the banking industry and could affect the
value of the equity securities included in the Index and the level of the Index during the term of the notes, which may adversely
affect the value of your notes.
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THERE ARE RISKS ASSOCIATED WITH THE FUNDS —
|
The Funds are subject to management risk,
which is the risk that the investment strategies of the applicable Fund’s investment adviser, the implementation of which
is subject to a number of constraints, may not produce the intended results. These constraints could adversely affect the market
prices of the shares of the Funds and, consequently, the value of the notes.
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·
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THE PERFORMANCE AND MARKET VALUE OF EACH FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH
THE PERFORMANCE OF THAT FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE —
|
Each Fund does not fully replicate its
Underlying Index (as defined under “The Underlyings” below) and may hold securities different from those included in
its Underlying Index. In addition, the performance of each Fund will reflect additional transaction costs and fees that are not
included in the calculation of its Underlying Index. All of these factors may lead to a lack of correlation between the performance
of each Fund and its Underlying Index. In addition, corporate actions with respect to the equity securities underlying a Fund (such
as mergers and spin-offs) may impact the variance between the performances of that Fund and its Underlying Index. Finally, because
the shares of each Fund are traded on a securities exchange and are subject to market supply and investor demand, the market value
of one share of each Fund may differ from the net asset value per share of that Fund.
During periods of market volatility,
securities underlying each Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately
the net asset value per share of that Fund and the liquidity of that Fund may be adversely affected. This kind of market volatility
may also disrupt the ability of market participants to create and redeem shares of a Fund. Further, market volatility may adversely
affect, sometimes materially, the prices at which market participants are willing to buy and sell shares of a Fund. As a result,
under these circumstances, the market value of shares of a Fund may vary substantially from the net asset value per share of that
Fund. For all of the foregoing reasons, the performance of each Fund may not correlate with the performance of its Underlying Index
as well as the net asset value per share of that Fund, which could materially and adversely affect the value of the notes in the
secondary market and/or reduce any payment on the notes.
|
·
|
EMERGING MARKETS RISK WITH RESPECT TO THE iSHARES
®
MSCI EMERGING MARKETS ETF —
|
The equity securities held by the iShares
®
MSCI Emerging Markets ETF have been issued by non-U.S. companies located in emerging markets countries. Countries with emerging
markets may have relatively unstable governments, may present the risks of nationalization of businesses, restrictions on foreign
ownership and prohibitions on the repatriation of assets, and may have less
PS-
6
| Structured Investments
Review Notes Linked to the Least Performing of the STOXX
®
Europe 600 Banks Index, the iShares
®
MSCI Emerging Markets ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
protection of property rights than more
developed countries. The economies of countries with emerging markets may be based on only a few industries, may be highly
vulnerable to changes in local or global trade conditions, and may suffer from extreme and volatile debt burdens or inflation rates.
Local securities markets may trade a small number of securities and may be unable to respond effectively to increases in trading
volume, potentially making prompt liquidation of holdings difficult or impossible at times.
|
·
|
THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK WITH RESPECT TO THE iSHARES
®
MSCI EMERGING MARKETS ETF —
|
Because the prices of the equity securities
held by the iShares
®
MSCI Emerging Markets ETF are converted into U.S. dollars for purposes of calculating the net
asset value of the iShares
®
MSCI Emerging Markets ETF, holders of the notes will be exposed to currency exchange
rate risk with respect to each of the currencies in which the equity securities held by the Fund trade. Your net exposure will
depend on the extent to which those currencies strengthen or weaken against the U.S. dollar and the relative weight of equity securities
held by the iShares
®
MSCI Emerging Markets ETF denominated in each of those currencies. If, taking into account
the relevant weighting, the U.S. dollar strengthens against those currencies, the price of the iShares
®
MSCI Emerging
Markets ETF will be adversely affected and any payment on the notes may be reduced.
|
·
|
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.
|
·
|
THE ANTI-DILUTION PROTECTION FOR THE FUNDS IS LIMITED —
|
The calculation agent will make adjustments
to the Share Adjustment Factor for each Fund for certain events affecting the shares of that Fund. However, the calculation agent
will not make an adjustment in response to all events that could affect the shares of the Funds. If an event occurs that does not
require the calculation agent to make an adjustment, the value of the notes may be materially and adversely affected
|
·
|
THE RISK OF THE CLOSING VALUE OF AN UNDERLYING FALLING BELOW THE APPLICABLE CALL VALUE ON THE FINAL REVIEW DATE IS GREATER
IF THE VALUE OF THAT UNDERLYING IS VOLATILE.
|
The notes will not be listed on any securities
exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which
JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your notes to maturity.
PS-
7
| Structured Investments
Review Notes Linked to the Least Performing of the STOXX
®
Europe 600 Banks Index, the iShares
®
MSCI Emerging Markets ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
|
·
|
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 structuring and hedging the notes are included in the original issue price of the notes. These
costs include the referral fee, the structuring fee, 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.
|
·
|
THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN
THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
|
We generally expect that some of the
costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of
your notes by JPMS in an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices
of the Notes” in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated
value of your notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be
shown on your customer account statements).
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
|
Any secondary market prices of the notes
will likely be lower than the original issue price of the notes because, among other things, secondary market prices take into
account our internal secondary market funding rates for structured debt issuances and, also, because secondary market prices (a)
exclude the referral fee and the structuring fee and (b) may exclude projected hedging profits, if any, and estimated hedging costs
that are included in the original issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy
the notes from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by
you prior to the Maturity Date could result in a substantial loss to you.
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
|
The secondary market price of the notes
during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside
from the referral fee, structuring fee, 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-
8
| Structured Investments
Review Notes Linked to the Least Performing of the STOXX
®
Europe 600 Banks Index, the iShares
®
MSCI Emerging Markets ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
The
Underlyings
The Index is a free-float market capitalization
index that currently includes 47 stocks from the banks supersector of the Index, which contains the 600 largest stocks by free
float market capitalization traded on the major exchanges of 17 European countries. Not all 17 countries are represented in the
Index at any given time. For additional information about the Index, see Annex
A
in this pricing supplement.
The iShares
®
MSCI Emerging Markets
ETF is an exchange-traded fund of iShares
®
, Inc., a registered investment company, that seeks to track the investment
results, before fees and expenses, of an index composed of large- and mid-capitalization emerging market equities, which we refer
to as the Underlying Index with respect to the iShares
®
MSCI Emerging Markets ETF. The Underlying Index for the
iShares
®
MSCI Emerging Markets ETF is currently the MSCI Emerging Markets Index. The MSCI Emerging Markets Index
is a free float-adjusted market capitalization index that is designed to measure the equity market performance of global emerging
markets. For additional information about the iShares
®
MSCI Emerging Markets ETF, see “Fund Descriptions —
The iShares
®
ETFs” 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 composition
index, which we refer to as the Underlying Index with respect to the SPDR
®
S&P
®
Oil & Gas
Exploration & Production ETF. The Underlying Index with respect to the SPDR
®
S&P
®
Oil &
Gas Exploration & Production ETF is currently the S&P
®
Oil & Gas Exploration & Production Select
Industry
TM
Index. The S&P
®
Oil & Gas Exploration & Production Select Industry
TM
Index is a modified equal-weighted index that is designed to measure the performance of the following GICS
®
sub-industries
of the S&P Total Market Index: integrated oil & gas; oil & gas exploration & mining; and oil & gas refining
& marketing. For additional information about the SPDR
®
S&P
®
Oil & Gas Exploration &
Production ETF, see “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 Index based on the weekly historical closing values from January 3, 2014 through May 17, 2019. The closing
value of the Index on May 20, 2019 was 136.89. The closing value of the iShares
®
MSCI Emerging Markets ETF on May
20, 2019 was $40.12. The closing value of the SPDR
®
S&P
®
Oil & Gas Exploration & Production
ETF on May 20, 2019 $29.24. We obtained the closing values above and below from the Bloomberg Professional
®
service
(“Bloomberg”), without independent verification. The closing values of the Funds above and below may have been adjusted
by Bloomberg for actions taken by the Funds, 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.
PS-
9
| Structured Investments
Review Notes Linked to the Least Performing of the STOXX
®
Europe 600 Banks Index, the iShares
®
MSCI Emerging Markets ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
Tax
Treatment
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. The following discussion,
when read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell
LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes.
Based on current market conditions, in the
opinion of our special tax counsel it is reasonable to treat the notes as “open transactions” that are not debt instruments
for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences—Tax
Consequences to U.S. Holders—Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying
product supplement. Assuming this treatment is respected, subject to the possible application of the “constructive ownership”
rules, the gain or loss on your notes should be treated as long-term capital gain or loss if you hold your notes for more than
a year, whether or not you are an initial purchaser of notes at the issue price. The notes could be treated as “constructive
ownership transactions” within the meaning of Section 1260 of the Code, in which case any gain recognized in respect of the
notes that would otherwise be long-term capital gain and that was in excess of the “net underlying long-term capital gain”
(as defined in Section 1260) would be treated as ordinary income, and a notional interest charge would apply as if that income
had accrued for tax purposes at a constant yield over your holding period for the notes. Our special tax counsel has not expressed
an opinion with respect to whether the constructive ownership rules apply to the notes. Accordingly, U.S. Holders should consult
their tax advisers regarding the potential application of the constructive ownership rules.
The IRS or a court may not respect the treatment
of the notes described above, in which case the timing and character of any income or loss on your notes could be materially and
adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting
PS-
10
| Structured Investments
Review Notes Linked to the Least Performing of the STOXX
®
Europe 600 Banks Index, the iShares
®
MSCI Emerging Markets ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
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; the relevance of factors such as the nature of the
underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals)
realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject to
the constructive ownership regime described above. 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 and adversely
affect the tax consequences of an investment in the notes, possibly with retroactive effect. You should consult your tax adviser
regarding the U.S. federal income tax consequences of an investment in the notes, including the potential application of the constructive
ownership rules, possible alternative treatments and the issues presented by this notice.
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.
Withholding under legislation commonly referred
to as “FATCA” may (if the notes are recharacterized as debt instruments) apply to amounts treated as interest paid
with respect to the notes, as well as to payments of gross proceeds of a taxable disposition, including an automatic call or redemption
at maturity, of a note, 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
interest). You should consult your tax adviser regarding the potential application of FATCA to the notes.
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.
PS-
11
| Structured Investments
Review Notes Linked to the Least Performing of the STOXX
®
Europe 600 Banks Index, the iShares
®
MSCI Emerging Markets ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
The estimated value of the notes is lower
than the original issue price of the notes because costs associated with structuring and hedging the notes are included in the
original issue price of the notes. These costs include the referral fee paid to an affiliated or unaffiliated dealer, the structuring
fee paid to 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 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 referral fee paid to an affiliated or unaffiliated dealer, plus the structuring fee
paid to 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 fifth business day following the Pricing Date of the notes (this settlement cycle being referred to as “T+5”).
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
PS-
12
| Structured Investments
Review Notes Linked to the Least Performing of the STOXX
®
Europe 600 Banks Index, the iShares
®
MSCI Emerging Markets ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
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-
13
| Structured Investments
Review Notes Linked to the Least Performing of the STOXX
®
Europe 600 Banks Index, the iShares
®
MSCI Emerging Markets ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
Annex A
The STOXX
®
Europe 600 Banks
Index
All information contained in this pricing supplement
regarding the STOXX
®
Europe 600 Banks Index, including, without limitation, its make-up, method of calculation and
changes in its components, has been derived from publicly available information, without independent verification. This information
reflects the policies of, and is subject to change by, STOXX Limited. The STOXX
®
Europe 600 Banks Index is calculated,
maintained and published by STOXX Limited. STOXX Limited has no obligation to continue to publish, and may discontinue publication
of, the STOXX
®
Europe 600 Banks Index.
The STOXX
®
Europe 600 Banks Index
is calculated in euros and is reported by Bloomberg L.P. under the ticker symbol “SX7P.”
The STOXX
®
Europe 600 Banks
Index was created by STOXX Limited, a wholly owned subsidiary of Deutsche Börse AG. Publication of the STOXX
®
Europe 600 Banks Index began on June 15, 1998, based on an initial STOXX
®
Europe 600 Banks Index value of 100 at
December 31, 1991.
Index Composition
The STOXX
®
Europe 600 Banks Index
is one of 19 STOXX
®
Europe 600 Supersector indices that compose the STOXX
®
Europe 600 Index. The
STOXX
®
Europe 600 Index contains the 600 largest stocks by free float market capitalization traded on the major
exchanges of the following 17 European countries: Austria, Belgium, Denmark, Finland, France, Germany, Ireland, Italy, Luxembourg,
the Netherlands, Norway, Poland, Portugal, Spain, Sweden, Switzerland and the United Kingdom. Not all 17 countries are represented
in the STOXX
®
Europe 600 Banks Index at any given time. Each of the 19 STOXX
®
Europe 600 Supersector
indices contain the companies of the STOXX
®
Europe 600 Index that fall within the relevant supersector, determined
by reference to the Industry Classification Benchmark (“ICB”), an international system for categorizing companies that
is maintained by FTSE International Limited. The STOXX
®
Europe 600 Banks Index includes companies in the banks
supersector, which tracks companies providing a broad range of financial services, including retail banking, loans and money transmissions.
The composition of each of the STOXX
®
Europe 600 Supersector indices is reviewed quarterly, based on the closing stock data on the last trading day of the month following
the implementation of the last quarterly index review. The component stocks are announced on the fourth Tuesday of the month immediately
prior to the review implementation month. Changes to the component stocks are implemented after the close on the third Friday in
each of March, June, September and December and are effective the following trading day.
The STOXX
®
Europe 600 Index is
also reviewed on an ongoing basis, and any changes affecting the STOXX
®
Europe 600 Index are also applied to the
relevant STOXX
®
Europe 600 Supersector index. Corporate actions (including initial public offerings, mergers and
takeovers, spin-offs, delistings and bankruptcy) that affect the STOXX
®
Europe 600 Index composition are immediately
reviewed. Any changes are announced, implemented and effective in line with the type of corporate action and the magnitude of the
effect.
The free float factors and weighting cap
factors for each component stock used to calculate the STOXX
®
Europe 600 Supersector indices, as described below,
are reviewed, calculated and implemented on a quarterly basis and are fixed until the next quarterly review. All components of
the STOXX
®
Europe 600 Banks Index are subject to a 30% cap for the largest company and a 15% cap for the second-largest
company. The weighting cap factors are published on the second Friday of the quarter, one week prior to quarterly review, implementation
and calculated using Thursday’s closing prices. In addition, an intra-quarter capping will be triggered if the largest company
exceeds 35% or the second largest exceeds 20%.
Index Calculation
The STOXX
®
Europe 600 Banks Index
is calculated with the “Laspeyres formula,” which measures the aggregate price changes in the component stocks against
a fixed base quantity weight. The formula for calculating the STOXX
®
Europe 600 Banks Index value at any time can
be expressed as follows:
Index =
|
free float market capitalization of the STOXX
®
Europe 600 Banks Index
|
Divisor
|
The “free float market capitalization
of the STOXX
®
Europe 600 Banks Index” is equal to the sum of the products of the price, number of shares,
free float factor and weighting cap factor for each component stock as of the time the STOXX
®
Europe 600 Banks Index
is being calculated.
The divisor for the STOXX
®
Europe
600 Banks Index is adjusted to maintain the continuity of the STOXX
®
Europe 600 Banks Index values despite changes
due to corporate actions. The following is a summary of the adjustments to any component stock made for corporate actions and the
effect of such adjustment on the divisor, where shareholders of the component stock will receive “B” number of shares
for every “A” share held (where applicable).
(1)
Special cash dividend:
Cash distributions that are outside the scope
of the regular dividend policy or that the company defines as an extraordinary distribution
Adjusted price = closing price – dividend
announced by the company × (1 – withholding tax if applicable)
Divisor: decreases
|
PS-
14
| Structured Investments
Review Notes Linked to the Least Performing of the STOXX
®
Europe 600 Banks Index, the iShares
®
MSCI Emerging Markets ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
(2)
Split and reverse split:
Adjusted price = closing price × A / B
New number of shares = old number of shares
× B / A
Divisor: unchanged
|
(3)
Rights offering:
If the subscription price is not available or
if the subscription price is equal to or greater than the closing price on the day before the effective date, then no adjustment
is made.
In case the share increase is greater than or
equal to 100% (B / A ≥ 1), the adjustment of the shares and weight factors are delayed until the new shares are listed.
Adjusted price = (closing price × A +
subscription price × B) / (A + B)
New number of shares = old number of shares
× (A + B)/ A
Divisor: increases
|
(4)
Stock dividend:
Adjusted price = closing price × A / (A
+ B)
New number of shares = old number of shares
× (A + B) / A
Divisor: unchanged
|
(5) S
tock dividend (from treasury stock):
Adjusted only if treated as extraordinary dividend.
Adjusted close = close – close ×
B / (A + B)
Divisor: decreases
|
(6) S
tock dividend of another company:
Adjusted price = (closing price × A –
price of other company × B) / A
Divisor: decreases
|
(7)
Return of capital and share consolidation:
Adjusted price = (closing price – capital
return announced by company × (1-withholding tax)) × A / B
New number of shares = old number of shares
× B / A
Divisor: decreases
|
(8) R
epurchase of shares / self-tender:
Adjusted price = ((price before tender ×
old number of shares) – (tender price × number of tendered shares)) / (old number of shares – number of tendered
shares)
New number of shares = old number of shares
– number of tendered shares
Divisor: decreases
|
(9)
Spin-off:
Adjusted price = (closing price × A – price of spun-off shares × B) / A
Divisor: decreases
|
(10)
Combination stock distribution (dividend
or split) and rights offering:
For this corporate action, the following additional
assumptions apply:
Shareholders receive B new shares from the distribution
and C new shares from the rights offering for every A share held.
If A is not equal to one share, all the following
“new number of shares” formulae need to be divided by A:
|
- If rights are applicable after stock distribution
(one action applicable to other):
Adjusted price = (closing price × A +
subscription price × C × (1 + B / A)) / ((A + B) × ( 1 + C / A))
New number of shares = old number of shares
× ((A + B) × (1 + C / A)) / A
|
- If stock distribution is applicable after
rights (one action applicable to other):
Adjusted price = (closing price × A +
subscription price × C) /((A + C) × (1 + B / A))
New number of shares = old number of shares
× ((A + C) × (1 + B / A))
Divisor: increases
|
PS-
15
| Structured Investments
Review Notes Linked to the Least Performing of the STOXX
®
Europe 600 Banks Index, the iShares
®
MSCI Emerging Markets ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
Divisor: increases
|
|
- Stock distribution and rights (neither
action is applicable to the other):
Adjusted price = (closing price × A +
subscription price × C) / (A + B + C)
New number of shares = old number of shares
× (A + B + C) / A
Divisor: increases
|
(11)
Addition / deletion of a company:
No price adjustments are made. The net change
in market capitalization determines the divisor adjustment.
|
(12)
Free float and shares changes:
No price adjustments are made. The net change
in market capitalization determines the divisor adjustment.
|
License Agreement
An affiliate of JPMorgan Chase & Co. has
entered into an agreement with STOXX Limited (“STOXX”) providing it and certain of its affiliates or subsidiaries,
with a non-exclusive license and, for a fee, with the right to use the STOXX
®
Europe 600 Banks Index, which is owned
and published by STOXX Limited, in connection with certain securities, including the notes.
STOXX and its licensors (the “Licensors”)
have no relationship to the Issuer or the Guarantor (if applicable), other than the licensing of the STOXX
®
Europe
600 Banks Index and the related trademarks for use in connection with the notes.
STOXX and its Licensors do
not
:
|
·
|
sponsor, endorse, sell or promote the notes;
|
|
·
|
recommend that any person invest in the notes or any other securities;
|
|
·
|
have any responsibility or liability for or make any decisions about the timing, amount or pricing of the notes;
|
|
·
|
have any responsibility or liability for the administration, management or marketing of the notes; or
|
|
·
|
consider the needs of the notes or the holders of the notes in determining, composing or calculating the STOXX
®
Europe 600 Banks Index or have any obligation to do so.
|
STOXX and its Licensors will not have any
liability in connection with the notes. Specifically,
|
·
|
STOXX and its Licensors do not make any warranty, express or implied and disclaim any and all warranty about:
|
|
·
|
The results to be obtained by the notes, the holders of the notes or any other person in connection with the use of the
STOXX
®
Europe 600 Banks Index and the data included in the STOXX
®
Europe 600 Banks Index;
|
|
·
|
The accuracy or completeness of the STOXX
®
Europe 600 Banks Index and its data; or
|
|
·
|
The merchantability and the fitness for a particular purpose or use of the STOXX
®
Europe 600 Banks Index
and its data;
|
|
·
|
STOXX and its Licensors will have no liability for any errors, omissions or interruptions in the STOXX
®
Europe
600 Banks Index or its data; and
|
|
·
|
Under no circumstances will STOXX or its Licensors be liable for any lost profits or indirect, punitive, special or consequential
damages or losses, even if STOXX or its Licensors knows that they might occur.
|
The licensing agreement with STOXX is solely
for the benefit of the parties to that agreement and not for the benefit of the holders of the notes or any other third parties.
PS-
16
| Structured Investments
Review Notes Linked to the Least Performing of the STOXX
®
Europe 600 Banks Index, the iShares
®
MSCI Emerging Markets ETF and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
|
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