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.
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.
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.
The following table and examples illustrate
the hypothetical total return and the hypothetical payment at maturity on the notes. The “total return” as used in
this pricing supplement is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000
principal amount note to $1,000. Each hypothetical total return or payment at maturity set forth below assumes an Initial Index
Level of 1,600 and reflects the Buffer Amount of 10.00%, the Downside Leverage Factor of 1.11111 and the Maximum Return of 14.70%.
Each hypothetical total return or payment at maturity set forth below is for illustrative purposes only and may not be the actual
total return or payment at maturity applicable to a purchaser of the notes. The numbers appearing in the following table and in
the examples below have been rounded for ease of analysis.
Ending Index
Level
|
Index Return
|
Total Return
|
2,880.00
|
80.00%
|
14.7000%
|
2,640.00
|
65.00%
|
14.7000%
|
2,400.00
|
50.00%
|
14.7000%
|
2,240.00
|
40.00%
|
14.7000%
|
2,080.00
|
30.00%
|
14.7000%
|
1,920.00
|
20.00%
|
14.7000%
|
1,840.00
|
15.00%
|
14.7000%
|
1,835.20
|
14.70%
|
14.7000%
|
1,760.00
|
10.00%
|
10.0000%
|
1,680.00
|
5.00%
|
5.0000%
|
1,640.00
|
2.50%
|
2.5000%
|
1,600.00
|
0.00%
|
0.0000%
|
1,560.00
|
-2.50%
|
0.0000%
|
1,520.00
|
-5.00%
|
0.0000%
|
1,440.00
|
-10.00%
|
0.0000%
|
1,360.00
|
-15.00%
|
-5.5556%
|
1,280.00
|
-20.00%
|
-11.1111%
|
1,120.00
|
-30.00%
|
-22.2222%
|
960.00
|
-40.00%
|
-33.3333%
|
800.00
|
-50.00%
|
-44.4444%
|
640.00
|
-60.00%
|
-55.5555%
|
480.00
|
-70.00%
|
-66.6666%
|
320.00
|
-80.00%
|
-77.7777%
|
160.00
|
-90.00%
|
-88.8888%
|
0.00
|
-100.00%
|
-100.0000%
|
JPMorgan Structured Investments —
|
PS-2
|
Capped Buffered Equity Notes Linked to the Russell 2000® Index
|
|
Hypothetical Examples of
Amount Payable at Maturity
The following examples illustrate how the total
payment at maturity in different hypothetical scenarios is calculated.
Example 1: The level of the Index increases
from the Initial Index Level of 1,600 to an Ending Index Level of 1,680.
Because the Ending Index Level of 1,680 is greater
than the Initial Index Level of 1,600 and the Index Return is 5%, which does not exceed the Maximum Return of 14.70%, the investor
receives a payment at maturity of $1,050 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 ×
5%) = $1,050
Example 2: The level of the Index decreases
from the Initial Index Level of 1,600 to an Ending Index Level of 1,440.
Although the Index Return is negative, because
the Ending Index Level of 1,440 is less than the Initial Index Level of 1,600 by up to the Buffer Amount of 10.00%, the investor
receives a payment at maturity of $1,000 per $1,000 principal amount note.
Example 3: The level of the Index increases
from the Initial Index Level of 1,600 to an Ending Index Level of 2,240.
Because the Ending Index Level of 2,240 is greater
than the Initial Index Level of 1,600 and the Index Return of 40% exceeds the Maximum Return of 14.70%, the investor receives a
payment at maturity of $1,147 per $1,000 principal amount note, the maximum payment at maturity.
Example 4: The level of the Index decreases
from the Initial Index Level of 1,600 to an Ending Index Level of 960.
Because the Ending Index Level of 960 is less
than the Initial Index Level of 1,600 by more than the Buffer Amount of 10.00% and the Index Return is -40%, the investor receives
a payment at maturity of $750 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 ×
(-40% + 10%) × 1.11111] = $666.67
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect 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.
JPMorgan Structured Investments —
|
PS-3
|
Capped Buffered Equity Notes Linked to the Russell 2000® Index
|
|
Selected Purchase Considerations
|
·
|
CAPPED APPRECIATION
POTENTIAL — The notes provide the opportunity to earn an unleveraged return equal to any positive Index Return, up to
the Maximum Return of 14.70%. Accordingly, the maximum payment at maturity if the Index Return is positive is $1,147 per $1,000
principal amount note. Because the notes are our unsecured and unsubordinated obligations, the payment of which is fully and
unconditionally guaranteed by JPMorgan Chase & Co., payment of any amount on the notes is subject to our ability to pay our
obligations as they become due and JPMorgan Chase & Co.’s ability to pay its obligations as they become due.
|
|
·
|
LOSS OF PRINCIPAL
BEYOND BUFFER AMOUNT — We will pay you your principal back at maturity if the Ending Index Level is equal to the Initial
Index Level or is less than the Initial Index Level by up to 10.00%. If the Ending Index Level is less than the Initial Index Level
by more than 10.00%, for every 1% that the Ending Index Level is less than the Initial Index Level by more than 10.00%, you will
lose an amount equal to 1.11111% of the principal amount of your notes. Accordingly, you may lose some or all of your principal
amount at maturity.
|
|
·
|
RETURN LINKED TO
THE RUSSELL 2000® INDEX — The return on the notes is linked to the Russell 2000® Index.
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.
|
|
·
|
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,
Latham & Watkins 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, the gain or loss on your notes should be treated as
short-term capital gain or loss. However, the IRS or a court may not respect this treatment, in which case the timing and
character of any income or loss on the notes could be materially and adversely 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; the relevance of factors such as the nature of the underlying property to
which the instruments are linked; and the degree, if any, to which income (including any mandated accruals) realized by non-U.S.
investors should be subject to withholding tax. 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 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 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.
JPMorgan Structured Investments —
|
PS-4
|
Capped Buffered Equity Notes Linked to the Russell 2000® Index
|
|
Selected Risk Considerations
An investment in the notes involves significant
risks. Investing in the notes is not equivalent to investing directly in the Index or any of the component securities of the Index.
These risks are explained in more detail in the “Risk Factors” sections of the accompanying product supplement and
the accompanying underlying supplement.
|
·
|
YOUR INVESTMENT
IN THE NOTES MAY RESULT IN A LOSS — The notes do not guarantee any return of principal. The return on the notes at maturity
is linked to the performance of the Index and will depend on whether, and the extent to which, the Index Return is positive or
negative. Your investment will be exposed to a loss on a leveraged basis if the Ending Index Level is less than the Initial Index
Level by more than 10.00%. For every 1% that the Ending Index Level is less than the Initial Index Level by more than 10.00%, you
will lose an amount equal to 1.11111% of the principal amount of your notes. Accordingly, you may lose some or all of your principal
amount at maturity.
|
|
·
|
YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE
MAXIMUM RETURN — If the Ending Index Level is greater than the Initial Index Level, for each $1,000 principal amount
note, you will receive at maturity $1,000 plus an additional return that will not exceed the Maximum Return of 14.70%, regardless
of the appreciation of the Index, which may be significant.
|
|
·
|
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN
CHASE & CO. — The notes are subject to our and JPMorgan Chase & Co.’s credit risks, and our and JPMorgan
Chase & Co.’s credit ratings and credit spreads may adversely affect the market value of the notes. 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.
|
|
·
|
POTENTIAL CONFLICTS
— We and our affiliates play a variety of roles in connection with the issuance of the notes, including acting as calculation
agent and as an agent of the offering of the notes, hedging our obligations under the notes and making the assumptions used to
determine the pricing of the notes and the estimated value of the notes when the terms of the notes are set, which we refer to
as the estimated value of the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests and
the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor
in the notes. In addition, our and JPMorgan Chase & Co.’s business activities, including hedging and trading activities,
could cause our and JPMorgan Chase & Co.’s economic interests to be adverse to yours and could adversely affect any payment
on the notes and the value of 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 for additional
information about these risks.
|
|
·
|
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.
|
|
·
|
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 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 — The estimated
value of the notes is determined by reference to internal pricing models of our affiliates when the terms of the notes are set.
This estimated value of the notes is based on market conditions and other relevant factors existing at that time and assumptions
about market parameters, which can include volatility, dividend rates, interest rates and other factors. 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
|
JPMorgan Structured Investments —
|
PS-5
|
Capped Buffered Equity Notes Linked to the Russell 2000® Index
|
|
buy notes from you in secondary market
transactions. See “The Estimated Value of the Notes” in this pricing supplement.
|
·
|
THE ESTIMATED VALUE
OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE — The internal funding rate used in the determination
of the estimated value of the notes is based on, among other things, our and our affiliates’ view of the funding value of
the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison to those
costs for the conventional fixed-rate debt of JPMorgan Chase & Co. The use of an internal funding rate and any potential changes
to that rate may have an adverse effect on the terms of the notes and any secondary market prices of the notes. See “The
Estimated Value of the Notes” in this pricing supplement.
|
|
·
|
THE VALUE OF THE
NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE 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. 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. 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 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 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. See the immediately following risk consideration for information about
additional factors that will impact any secondary market prices of the 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. See “—
Lack of Liquidity” below.
|
·
|
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
projected hedging profits, if any, estimated hedging costs and the level of the Index, including:
|
|
·
|
any actual or potential
change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
|
|
·
|
customary bid-ask
spreads for similarly sized trades;
|
|
·
|
our internal secondary
market funding rates for structured debt issuances;
|
|
·
|
the actual and expected
volatility of the Index;
|
|
·
|
the time to maturity
of the notes;
|
|
·
|
the dividend rates
on the equity securities included in the Index;
|
|
·
|
interest and yield
rates in the market generally; and
|
|
·
|
a variety of other
economic, financial, political, regulatory and judicial events.
|
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.
|
·
|
NO INTEREST OR
DIVIDEND PAYMENTS OR VOTING RIGHTS — As a holder of the notes, you will not receive interest payments, and you will not
have voting rights or rights to receive cash dividends or other distributions or other rights that holders of the securities included
in the Index would have.
|
|
·
|
LACK
OF LIQUIDITY — The notes will not be listed on any securities exchange. JPMS
intends to offer to purchase the notes in the secondary market but is not required to
do so. Even if there is a secondary market, it may not provide enough liquidity to allow
you to trade or sell the notes easily. Because other dealers are not likely to make a
secondary market for the notes, 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.
|
JPMorgan Structured Investments —
|
PS-6
|
Capped Buffered Equity Notes Linked to the Russell 2000® Index
|
|
Historical Information
The following graph sets forth the historical performance
of the Index based on the weekly historical closing levels of the Index from January 3, 2014 through November 1, 2019. The closing
level of the Index on November 7, 2019 was 1,593.99.
We obtained the closing levels of the Index
above and below from the Bloomberg Professional® service (“Bloomberg”), without independent verification.
The historical levels of the Index should not be taken as an indication of future performance, and no assurance can be given as
to the closing level of the Index on the Pricing Date or the Valuation Date. There can be no assurance that the performance of
the Index will result in the return of any of your principal amount.
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. See “Selected Risk Considerations
— The Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ from Others’ Estimates”
in this pricing supplement.
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 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. We or one or more of our affiliates will retain any profits realized
in hedging our obligations under the notes. 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 “Selected Risk Considerations — Secondary Market Prices of the Notes Will
Be Impacted by Many Economic and Market Factors ” in this pricing 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
JPMorgan Structured Investments —
|
PS-7
|
Capped Buffered Equity Notes Linked to the Russell 2000® Index
|
|
predetermined period that 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.”
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 “What Is the Total Return
on the Notes at Maturity, Assuming a Range of Performances for the Index?” and “Hypothetical Examples of Amount Payable
at Maturity” in this pricing supplement for an illustration of the risk-return profile of the notes and “Selected Purchase
Considerations — Return Linked to the Russell 2000® Index” 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 (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 fourth business day following the Pricing Date of the notes (this settlement cycle being referred to as “T+4”).
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 Latham & Watkins LLP, as
special product 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 special product counsel expresses no opinion as to (i) the effect of fraudulent conveyance, fraudulent
transfer or similar provision of applicable law on the conclusions expressed above or (ii) any provision of the indenture that
purports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law by limiting the
amount of JPMorgan Chase & Co.’s obligation under the related guarantee. This opinion is given as of the date hereof
and is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited
Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution
and delivery of the indenture and its authentication of the notes and the validity, binding nature and enforceability of the indenture
with respect to the trustee, all as stated in the letter of such counsel dated March 7, 2019, which was filed as an exhibit to
a Current Report on Form 8-K by JPMorgan Chase & Co. on March 7, 2019.
JPMorgan Structured Investments —
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PS-8
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Capped Buffered Equity Notes Linked to the Russell 2000® Index
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