Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this
pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
Pricing supplement to product supplement no.
4-I dated April 5, 2018, underlying supplement no. 1-I dated April 5, 2018
and the prospectus and prospectus supplement, each dated April 5, 2018
Key Terms
Issuer:
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan
Chase & Co.
Guarantor:
JPMorgan Chase & Co.
Indices:
The Dow Jones Industrial AverageTM (Bloomberg ticker: INDU), the Russell 2000®
Index (Bloomberg ticker: RTY) and the NASDAQ-100 Index® (Bloomberg ticker: NDX)
Contingent
Interest Payments: If the notes have not been automatically called and the closing level of each Index on any Review
Date is greater than or equal to its Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000
principal amount note a Contingent Interest Payment equal to $15.50 (equivalent to a Contingent Interest Rate of 6.20% per annum,
payable at a rate of 1.55% per quarter).
If the closing level of any Index on any Review Date is less
than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date.
Contingent
Interest Rate: 6.20% per annum, payable at a rate of 1.55% per quarter
Interest Barrier / Buffer Threshold:
With respect to each Index, 80.00% of its Initial Value, which is 21,619.84 for the Dow Jones Industrial AverageTM,
1,218.6416 for the Russell 2000® Index and 6,354.2808 for the NASDAQ-100 Index®
Buffer Amount: 20.00%
Pricing
Date: October 15, 2019
Original
Issue Date (Settlement Date): On or about October 18, 2019
Review
Dates*: January 15, 2020, April 15, 2020, July 15, 2020, October 15, 2020, January 15, 2021, April 15, 2021, July 15,
2021, October 15, 2021, January 18, 2022, April 18, 2022, July 15, 2022, and October 17, 2022 (final Review Date)
Interest
Payment Dates*: January 21, 2020, April 20, 2020, July 20, 2020, October 20, 2020, January 21, 2021, April 20, 2021,
July 20, 2021, October 20, 2021, January 21, 2022, April 21, 2022, July 20, 2022 and the Maturity Date
Maturity
Date*: October 20, 2022
Call Settlement Date*:
If the notes are automatically called on any Review Date (other than the first, second, third and final Review Dates), the
first Interest Payment Date immediately following that Review Date
* Subject to postponement in the event of a market disruption
event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to
Multiple Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying
product supplement
|
Automatic Call:
If the closing level of each Index on any Review Date (other
than the first, second, third and final Review Dates) is greater than or equal to its Initial Value, the notes will be automatically
called for a cash payment, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment
applicable to that Review Date, payable on the applicable Call Settlement Date. No further payments will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final Value
of each Index is greater than or equal to its Buffer Threshold, you will receive a cash payment at maturity, for each $1,000 principal
amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to the final Review Date.
If the notes have not been automatically called and the Final Value
of any Index is less than its Buffer Threshold, your payment at maturity per $1,000 principal amount note will be calculated as
follows:
$1,000 + [$1,000 × (Least Performing Index
Return + Buffer Amount)]
If the notes have not been automatically called and the Final Value
of any Index is less than its Buffer Threshold, you will lose some or most of your principal amount at maturity.
Least Performing Index: The
Index with the Least Performing Index Return
Least Performing Index Return: The
lowest of the Index Returns of the Indices
Index Return:
With respect to each Index,
(Final Value – Initial Value)
Initial Value
Initial
Value: With respect to each Index, the closing
level of that Index on the Pricing Date, which was 27,024.80 for the Dow Jones Industrial AverageTM, 1,523.302 for the
Russell 2000® Index and 7,942.851 for the NASDAQ-100 Index®
Final
Value: With respect to each Index, the closing level of that Index on the final Review
Date
|
PS-1 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Least Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the NASDAQ-100 Index®
|
|
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)
PS-2 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Least Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the NASDAQ-100 Index®
|
|
Payment at Maturity If
the Notes Have Not Been Automatically Called
Total Contingent Interest Payments
The table below illustrates the hypothetical total
Contingent Interest Payments per $1,000 principal amount note over the term of the notes based on the Contingent Interest Rate
of 6.20% per annum, depending on how many Contingent Interest Payments are made prior to automatic call or maturity.
Number of Contingent Interest Payments
|
Total Contingent Interest Payments
|
12
|
$186.00
|
11
|
$170.50
|
10
|
$155.00
|
9
|
$139.50
|
8
|
$124.00
|
7
|
$108.50
|
6
|
$93.00
|
5
|
$77.50
|
4
|
$62.00
|
3
|
$46.50
|
2
|
$31.00
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1
|
$15.50
|
0
|
$0.00
|
Hypothetical
Payout Examples
The following examples illustrate payments on
the notes linked to three hypothetical Indices, assuming a range of performances for the hypothetical Least Performing Index on
the Review Dates. Each hypothetical payment set forth below assumes that the closing level of the Index that is not the Least
Performing Index on each Review Date is greater than or equal to its Initial Value (and therefore its Interest Barrier and Buffer
Threshold).
In addition, the hypothetical payments set forth
below assume the following:
|
·
|
an Initial Value for the Least Performing Index of 100.00;
|
|
·
|
an Interest Barrier and a Buffer Threshold for the Least Performing Index of 80.00 (equal to 80.00% of its hypothetical Initial
Value);
|
PS-3 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Least Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the NASDAQ-100 Index®
|
|
|
·
|
a Buffer Amount of 20.00%; and
|
|
·
|
a Contingent Interest Rate of 6.20% per annum (payable at a rate of 1.55% per quarter).
|
The hypothetical Initial Value of the Least
Performing Index of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value of any
Index. The actual Initial Value of each Index is the closing level of that Index on the Pricing Date and is specified under “Key
Terms — Initial Value” in this pricing supplement. For historical data regarding the actual closing levels of each
Index, please see the historical information set forth under “The Indices” in this pricing supplement.
Each hypothetical payment set forth below is
for illustrative purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing
in the following examples have been rounded for ease of analysis.
Example 1 — Notes are automatically
called on the Fourth Review Date.
Date
|
Closing Level of Least Performing Index
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
105.00
|
$15.50
|
Second Review Date
|
115.00
|
$15.50
|
Third Review Date
|
110.00
|
$15.50
|
Fourth Review Date
|
120.00
|
$1,015.50
|
|
Total Payment
|
$1,062.00 (6.20% return)
|
Because the closing level of each Index on the
fourth Review Date is greater than or equal to its Initial Value, the notes will be automatically called for a cash payment, for
each $1,000 principal amount note, of $1,015.50 (or $1,000 plus the Contingent Interest Payment applicable to the fourth
Review Date), payable on the applicable Call Settlement Date. The notes are not automatically callable before the fourth Review
Date, even though the closing level of each Index on each of the first, second and third Review Dates is greater than its Initial
Value. 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 $1,062.00. No further payments will be made on the notes.
Example 2 — Notes have NOT been automatically
called and the Final Value of the Least Performing Index is greater than or equal to its Buffer Threshold.
Date
|
Closing Level of Least Performing Index
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
95.00
|
$15.50
|
Second Review Date
|
85.00
|
$15.50
|
Third through Eleventh Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
90.00
|
$1,015.50
|
|
Total Payment
|
$1,046.50 (4.65% return)
|
Because the notes have not been automatically
called and the Final Value of the Least Performing Index is greater than or equal to its Buffer Threshold, the payment at maturity,
for each $1,000 principal amount note, will be $1,015.50 (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 $1,046.50.
Example
3 — Notes have NOT been automatically called and the Final Value of the Least Performing Index is less than its Buffer Threshold.
Date
|
Closing Level of Least Performing Index
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
40.00
|
$0
|
Second Review Date
|
45.00
|
$0
|
Third through Eleventh Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
50.00
|
$700.00
|
PS-4 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Least Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the NASDAQ-100 Index®
|
|
|
Total Payment
|
$700.00 (-30.00% return)
|
Because the notes have not been automatically
called, the Final Value of the Least Performing Index is less than its Buffer Threshold and the Least Performing Index Return is
-50.00%, the payment at maturity will be $700.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00% + 20.00%)]
= $700.00
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.
|
·
|
YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
|
The notes do not guarantee any return
of principal. If the notes have not been automatically called and the Final Value of any Index is less than its Buffer Threshold,
you will lose 1% of the principal amount of your notes for every 1% that the Final Value of the Least Performing Index is less
than its Initial Value by more than 20.00%. Accordingly, under these circumstances, you will lose up to 80.00% of your principal
amount at maturity.
|
·
|
THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL —
|
If the notes have not been automatically
called, we will make a Contingent Interest Payment with respect to a Review Date only if the closing level of each Index on that
Review Date is greater than or equal to its Interest Barrier. If the closing level of any Index on that Review Date is less than
its Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date. Accordingly, if the closing
level of any Index on each Review Date is less than its Interest Barrier, you will not receive any interest payments over the term
of the notes.
|
·
|
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
|
Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase &
Co.’s creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely
affect the value of the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive
any amounts owed to you under the notes and you could lose your entire investment.
|
·
|
AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS —
|
As a finance subsidiary of JPMorgan Chase
& Co., we have no independent operations beyond the issuance and administration of our securities. Aside from the initial capital
contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates to make payments
under loans made by us or other intercompany agreements. As a result, we are dependent upon payments from our affiliates to meet
our obligations under the notes. If these affiliates do not make payments to us and we fail to make payments on the notes, you
may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu
with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
|
·
|
THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS THAT MAY BE PAID OVER
THE TERM OF THE NOTES,
|
regardless of any appreciation of any
Index, which may be significant. You will not participate in any appreciation of any Index.
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.
|
·
|
JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE DOW JONES INDUSTRIAL AVERAGETM,
|
PS-5 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Least Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the NASDAQ-100 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 Dow Jones Industrial
AverageTM.
|
·
|
YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX —
|
Payments on the notes are not linked
to a basket composed of the Indices and are contingent upon the performance of each individual Index. Poor performance by any of
the Indices over the term of the notes may result in the notes not being automatically called on a Review Date, may negatively
affect whether you will receive a Contingent Interest Payment on any Interest Payment Date and your payment at maturity and will
not be offset or mitigated by positive performance by any other Index.
|
·
|
YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING INDEX.
|
|
·
|
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 and you will not receive any Contingent Interest Payments
after the applicable Call Settlement Date. There is no guarantee that you would be able to reinvest the proceeds from an investment
in the notes at a comparable return and/or with a comparable interest rate for a similar level of risk. Even in cases where the
notes are called before maturity, you are not entitled to any fees and commissions described on the front cover of this pricing
supplement.
|
·
|
YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN ANY INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES.
|
|
·
|
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.
|
·
|
NON-U.S. SECURITIES RISK WITH RESPECT TO THE NASDAQ-100 INDEX® —
|
Some of the equity securities included
in the NASDAQ-100 Index® have been issued by non-U.S. companies. Investments in securities linked to the value
of such non-U.S. equity securities involve risks associated with the home countries of the issuers of those non-U.S. equity securities.
|
·
|
THE RISK OF THE CLOSING LEVEL OF AN INDEX FALLING BELOW ITS INTEREST BARRIER OR BUFFER THRESHOLD IS GREATER IF THE LEVEL
OF THAT INDEX IS VOLATILE.
|
The notes will not be listed on any securities
exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which
JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your notes to maturity.
|
·
|
THE 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,
PS-6 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Least Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the NASDAQ-100 Index®
|
|
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 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 levels of the Indices. Additionally,
independent pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on
customer account statements. This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may
be willing to purchase your notes in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value
and Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market
factors” in the accompanying product supplement.
PS-7 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Least Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the NASDAQ-100 Index®
|
|
The
Indices
The Dow Jones Industrial AverageTM consists
of 30 common stocks chosen as representative of the broad market of U.S. industry. For additional information about the Dow Jones
Industrial AverageTM, see “Equity Index Descriptions — The Dow Jones Industrial AverageTM”
in the accompanying underlying supplement.
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 NASDAQ-100 Index® is a modified
market capitalization-weighted index of 100 of the largest non-financial securities listed on The NASDAQ Stock Market based on
market capitalization. For additional information about the NASDAQ-100 Index®, see “Equity Index Descriptions
— The NASDAQ-100 Index®” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical
performance of each Index based on the weekly historical closing levels from January 3, 2014 through October 11, 2019. The closing
level of the Dow Jones Industrial AverageTM on October 15, 2019 was 27,024.80. The closing level of the Russell 2000®
Index on October 15, 2019 was 1,523.302. The closing level of the NASDAQ-100 Index® on October 15, 2019 was 7,942.851.
We obtained the closing levels above and below from the Bloomberg Professional® service (“Bloomberg”),
without independent verification.
The historical closing levels of each Index
should not be taken as an indication of future performance, and no assurance can be given as to the closing level of any Index
on any Review Date. There can be no assurance that the performance of the Indices will result in the return of any of your principal
amount in excess of $200.00 per $1,000 principal amount note, subject to the credit risks of JPMorgan Financial and JPMorgan Chase
& Co., or the payment of any interest.
PS-8 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Least Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the NASDAQ-100 Index®
|
|
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
PS-9 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Least Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the NASDAQ-100 Index®
|
|
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, 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 FDAP Income). You should consult your tax adviser regarding the potential application of FATCA to the
notes.
In the event
of any withholding on the notes, we will not be required to pay any additional amounts with respect to amounts so withheld.
The Estimated Value of the Notes
The estimated value of the notes set forth
on the cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income
debt component with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative
or derivatives underlying the economic terms of the notes. The estimated value of the notes does not represent a minimum price
at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time. The internal funding rate
used in the determination of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed
income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on,
among other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance, operational
and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed income instruments
of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove to be
incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The use of an internal
funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any secondary market
prices of the notes. For additional information, see “Selected Risk Considerations — The Estimated Value of the Notes
Is Derived by Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives
underlying the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent
on inputs such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are
market-observable, and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about
future market events and/or environments. Accordingly, the estimated value of the notes is determined when the terms of the notes
are set based on market conditions and other relevant factors and assumptions existing at that time.
The estimated value of the notes does not
represent future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could
provide valuations for the notes that are greater than or less than the estimated value of the notes. In
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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 Indices” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal
to the estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus
(minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes, plus the estimated cost of hedging our obligations under the notes.
Supplemental
Plan of Distribution
We expect that delivery of the notes will be
made against payment for the notes on or about the Original Issue Date set forth on the front cover of this pricing supplement,
which will be the third business day following the Pricing Date of the notes (this settlement cycle being referred to as “T+3”).
Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to
settle in two business days, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade
notes on any date prior to two business days before delivery will be required to specify an alternate settlement cycle at the time
of any such trade to prevent a failed settlement and should consult their own advisors.
Validity
of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell
LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by this pricing supplement
have been executed and issued by JPMorgan Financial and authenticated by the trustee pursuant to the indenture, and delivered against
payment as contemplated herein, such notes will be valid and binding obligations of JPMorgan Financial and the related guarantee
will constitute a valid and binding obligation of JPMorgan Chase & Co., enforceable in accordance with their terms, subject
to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and
equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack
of bad faith), provided that such counsel expresses no opinion as to (i) the effect of fraudulent conveyance, fraudulent
transfer or similar provision of applicable law on the conclusions expressed above or (ii) any provision of the indenture that
purports to avoid the
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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.
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