| SEC

424B2 Form - Prospectus [Rule 424(b)(2)] - JPMORGAN CHASE & CO (0000019617) (Filer)

424B21s120772_424b2.htmPRICING SUPPLEMENT
October 9, 2019

RegistrationStatement Nos. 333-222672 and 333-222672-01; Rule 424(b)(2)

 

JPMorganChase Financial Company LLC
Structured Investments

$4,098,000

Capped Dual Directional Buffered Equity NotesLinked to the Lesser Performing of the Russell 2000® Index and the S&P 500® Index due October 14, 2021

Fullyand Unconditionally Guaranteed by JPMorgan Chase & Co.

The notes are designed for investors who seeka capped, unleveraged exposure to any appreciation (with a Maximum Upside Return of 15.00%), or a capped, unleveraged return equalto the absolute value of any depreciation (up to the Buffer Amount of 19.50%), of the lesser performing of the Russell 2000®Index and the S&P 500® Index, which we refer to as the Indices, atmaturity.
Investors should be willing to forgo interest and dividend payments and be willing to lose upto 80.50% of their principal amount at maturity.
The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorganFinancial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notesis subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., asguarantor of the notes.
Payments on the notes are not linked to a basket composed of the Indices. Payments on the notes are linked to the performanceof each of the Indices individually, as described below.
Minimum denominations of $1,000 and integral multiples thereof
The notes priced on October 9, 2019 and are expectedto settle on or about October 15, 2019.
CUSIP: 48132FVH6

 

Investing in the notes involves a number of risks.See “Risk Factors” beginning on page PS-10 of the accompanying product supplement, “Risk Factors” beginningon page US-1 of the accompanying underlying supplement and “Selected Risk Considerations” beginning on page PS-4 ofthis 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 orthe adequacy of this pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement andprospectus. Any representation to the contrary is a criminal offense.

  Price to Public (1) Fees and Commissions (2) Proceeds to Issuer
Per note $1,000 $5 $995
Total $4,098,000 $20,490 $4,077,510

(1) See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price to public of the notes.

(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions of $5.00 per $1,000 principal amount note it receives from us to other affiliated or unaffiliated dealers. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.


The estimated value of the notes,when the terms of the notes were set, was $980.90 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, arenot insured by the Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteedby, a bank.

Pricing supplement to product supplement no. 4-Idated April 5, 2018, underlying supplement no. 1-I dated April 5, 2018 and the prospectus and prospectus supplement, each datedApril 5, 2018

 

 

 

KeyTerms

Issuer: JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.

Guarantor: JPMorgan Chase & Co.

Indices: The Russell 2000® Index (Bloomberg ticker: RTY) and the S&P 500® Index (Bloomberg ticker: SPX)

Maximum Upside Return: 15.00% (corresponding to a maximum payment at maturity of $1,150.00 per $1,000 principal amount note)

Buffer Amount: 19.50%

Pricing Date: October 9, 2019

Original Issue Date (Settlement Date): On or about October 15, 2019

Observation Date*: October 11, 2021

Maturity Date*: October 14, 2021

* 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

 

Payment at Maturity:

If the Final Value of each Index is greater than its Initial Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:

$1,000 + ($1,000 × Lesser Performing Index Return), subject to the Maximum Upside Return

If (i) the Final Value of one Index is greater than its Initial Value and the Final Value of the other Index is equal to its Initial Value or is less than its Initial Value by up to the Buffer Amount or (ii) the Final Value of each Index is equal to its Initial Value or is less than its Initial Value by up to the Buffer Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows:

$1,000 + ($1,000 × Absolute Index Return of the Lesser Performing Index)

If the Final Value of either Index is less than its Initial Value by more than the Buffer Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows:

$1,000 + [$1,000 × (Lesser Performing Index Return + Buffer Amount)]

If the Final Value of either Index is less than its Initial Value by more than the Buffer Amount, you will lose some or most of your principal amount at maturity.

Absolute Index Return: With respect to each Index, the absolute value of its Index Return. For example, if the Index Return of an Index is -5%, its Absolute Index Return will equal 5%.

Lesser Performing Index: The Index with the Lesser Performing Index Return

Lesser Performing Index Return: The lower of the Index Returns of the Indices

Index Return: With respect to each Index,

(Final Value – Initial Value)
Initial Value

Initial Value: With respect to each Index, the closing level of that Index on the Pricing Date, which was 1,479.461 for the Russell 2000® Index and 2,919.40 for the S&P 500® Index

Final Value: Withrespect to each Index, the closing level of that Index on the Observation Date

PS-1| Structured Investments

Capped Dual Directional Buffered Equity Notes Linked to the Lesser Performing of the Russell 2000® Index and the S&P 500® Index

 

HypotheticalPayout Profile

The following table illustrates the hypotheticaltotal return and payment at maturity on the notes linked to two hypothetical Indices. The “total return” as used inthis pricing supplement is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000principal amount note to $1,000. The hypothetical total returns and payments set forth below assume the following:

an Initial Value for the Lesser Performing Index of 100.00;
a Maximum Upside Return of 15.00%; and
a Buffer Amount of 19.50%.

The hypothetical Initial Value of the Lesser PerformingIndex of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value of either Index.The actual Initial Value of each Index is the closing level of that Index on the Pricing Date and is specified under “KeyTerms – Initial Value” in this pricing supplement. For historical data regarding the actual closing levels of eachIndex, please see the historical information set forth under “The Indices” in this pricing supplement.

Each hypothetical total return or hypotheticalpayment at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturityapplicable to a purchaser of the notes. The numbers appearing in the following table have been rounded for ease of analysis.

 

Final Value of
the Lesser
Performing
Index
Lesser Performing Index Return Absolute Index Return
of the Lesser
Performing Index
Total Return on the
Notes
Payment at Maturity
180.00 80.00% N/A 15.00% $1,150.00
165.00 65.00% N/A 15.00% $1,150.00
150.00 50.00% N/A 15.00% $1,150.00
140.00 40.00% N/A 15.00% $1,150.00
130.00 30.00% N/A 15.00% $1,150.00
120.00 20.00% N/A 15.00% $1,150.00
115.00 15.00% N/A 15.00% $1,150.00
110.00 10.00% N/A 10.00% $1,100.00
105.00 5.00% N/A 5.00% $1,050.00
101.00 1.00% N/A 1.00% $1,010.00
100.00 0.00% 0.00% 0.00% $1,000.00
95.00 -5.00% 5.00% 5.00% $1,050.00
90.00 -10.00% 10.00% 10.00% $1,100.00
85.00 -15.00% 15.00% 15.00% $1,150.00
80.50 -19.50% 19.50% 19.50% $1,195.00
80.00 -20.00% N/A -0.50% $995.00
70.00 -30.00% N/A -10.50% $895.00
60.00 -40.00% N/A -20.50% $795.00
50.00 -50.00% N/A -30.50% $695.00
40.00 -60.00% N/A -40.50% $595.00
30.00 -70.00% N/A -50.50% $495.00
20.00 -80.00% N/A -60.50% $395.00
10.00 -90.00% N/A -70.50% $295.00
0.00 -100.00% N/A -80.50% $195.00

PS-2| Structured Investments

Capped Dual Directional Buffered Equity Notes Linked to the Lesser Performing of the Russell 2000® Index and the S&P 500® Index

 

The following graph demonstrates the hypotheticalpayments at maturity on the notes for a sub-set of Lesser Performing Index Returns detailed in the table above (-50% to 50%). Wecannot give you assurance that the performance of the Lesser Performing Index will result in the return of any of your principalamount in excess of $195.00 per $1,000.00 principal amount note, subject to the credit risks of JPMorgan Financial and JPMorganChase & Co.

 

Howthe Notes Work

Index Appreciation Upside Scenario:

If the Final Value of each Index is greater thanits Initial Value, investors will receive at maturity the $1,000 principal amount plus a return equal to the Lesser PerformingIndex Return subject to the Maximum Upside Return of 15.00%, at maturity. An investor will realize the maximum upside payment atmaturity at a Final Value of the Lesser Performing Index of 115.00% or more of its Initial Value.

If the closing level of the Lesser Performing Index increases 5.00%, investors will receive at maturity a return of 5.00%,or $1,050.00 per $1,000 principal amount note.
If the closing level of the Lesser Performing Index increases 25.00%, investors will receive at maturity a return equal tothe Maximum Upside Return of 15.00%, or $1,150.00 per $1,000 principal amount note, which is the maximum upside payment at maturity.

Index Par or Index Depreciation Upside Scenario:

If (i) the Final Value of one Index is greaterthan its Initial Value and the Final Value of the other Index is equal to its Initial Value or is less than its Initial Value byup to the Buffer Amount of 19.50% or (ii) theFinal Value of each Index is equal to its Initial Value or is less than its Initial Value by up to the Buffer Amount of 19.50%,investors will receive at maturity the $1,000 principal amount plus a return equal to the Absolute Index Return of the LesserPerforming Index.

For example, if the closing level ofthe Lesser Performing Index declines10.00%, investors will receive at maturity a return of 10.00%, or $1,100.00 per $1,000 principal amount note.

PS-3| Structured Investments

Capped Dual Directional Buffered Equity Notes Linked to the Lesser Performing of the Russell 2000® Index and the S&P 500® Index

 

Downside Scenario:

If the Final Value of either Index is less thanits Initial Value by more than the Buffer Amount of 19.50%,investors will lose 1% of the principal amount of their notes for every 1% that the Final Value of the Lesser Performing Indexis less than its Initial Value by more than the Buffer Amount.

For example, if the closing level of the Lesser Performing Index declines 60.00%,investors will lose 40.50% of their principalamount and receive only $595.00 per $1,000principal amount note at maturity.

The hypothetical returns and hypothetical paymentson the notes shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect thefees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, thehypothetical returns and hypothetical payments shown above would likely be lower.

SelectedRisk Considerations

An investment in the notes involves significant risks. These risksare 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 Final Value of either Index is less than its Initial Value by more than19.50%, you will lose 1% of the principal amountof your notes for every 1% that the Final Value of the Lesser Performing Index is less than its Initial Value bymore than 19.50%. Accordingly, under these circumstances, you will lose upto 80.50% of your principal amount at maturity.
YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE MAXIMUM UPSIDE RETURN IF THE LESSER PERFORMING INDEX RETURN IS POSITIVE—
regardless of any appreciation of either Index, which may be significant.
YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE BUFFER AMOUNT IF THE LESSER PERFORMING INDEX RETURN IS NEGATIVE —
Because the payment at maturity will not reflect the Absolute Index Return of the Lesser Performing Index if its Final Value isless than its Initial Value by more than the Buffer Amount, the Buffer Amount is effectively a cap on your return at maturity ifthe Lesser Performing Index Return is negative. The maximum payment at maturity if the Lesser Performing Index Return is negativeis $1,195.00 per $1,000 principal amount note.
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 orpotential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads, as determined by the market fortaking that credit risk, is likely to adversely affect the value of the notes. If we and JPMorgan Chase & Co. were to defaulton 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 ofour securities. Aside from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relateto obligations of our affiliates to make payments under loans made by us or other intercompany agreements. As a result, we aredependent upon payments from our affiliates to meet our obligations under the notes. If these affiliates do not make payments tous 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 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 thathedging or trading activities of ours or our affiliates in connection with the notes could result in substantial returns for usor our affiliates while the value of the notes declines. Please refer to “Risk Factors — Risks Relating to Conflictsof Interest” in the accompanying product supplement.
JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500® INDEX,     
but JPMorgan Chase & Co. will not have any obligation to consider your interests in taking any corporate action that mightaffect the level of the S&P 500® Index.
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 relativeto larger companies. Small capitalization companies are less likely to pay dividends on their stocks, and the presence of a dividendpayment could be a factor that limits downward stock price pressure under adverse market conditions.
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 individualIndex. Poor performance by either of the Indices over the term of the notes may negatively affect your payment at maturity andwill not be offset or mitigated by positive performance by the other Index.
YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LESSER PERFORMING INDEX.
THE NOTES DO NOT PAY INTEREST.

PS-4| Structured Investments

Capped Dual Directional Buffered Equity Notes Linked to the Lesser Performing of the Russell 2000® Index and the S&P 500® Index

 

YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN EITHER INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES.
LACK OF LIQUIDITY—
The notes will not be listed on any securities exchange. Accordingly, the price at which you may be able to trade your notes islikely 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 notesare 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 thenotes exceeds the estimated value of the notes because costs associated with selling, structuring and hedging the notes are includedin the original issue price of the notes. These costs include the selling commissions, the projected profits, if any, that ouraffiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedgingour 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 fundingrate for vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any differencemay be based on, among other things, our and our affiliates’ view of the funding value of the notes as well as the higherissuance, operational and ongoing liability management costs of the notes in comparison to those costs for the conventional fixedincome instruments of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, whichmay prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The useof an internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and anysecondary 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 THANTHE 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 youin 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 pricingsupplement for additional information relating to this initial period. Accordingly, the estimated value of your notes duringthis initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer accountstatements).
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 coststhat are included in the original issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buythe notes from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale byyou 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 mayeither offset or magnify each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging costsand the levels of the Indices. Additionally, independent pricing vendors and/or third party broker-dealers may publish a pricefor the notes, which may also be reflected on customer account statements. This price may be different (higher or lower) than theprice 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 noteswill be impacted by many economic and market factors” in the accompanying product supplement.

TheIndices

The Russell 2000® Index consistsof 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® Indexis designed to track the performance of the small capitalization segment of the U.S. equity market. For additional informationabout the Russell 2000® Index, see “Equity Index Descriptions — The Russell Indices” in the accompanyingunderlying supplement.

The S&P 500® Index consistsof stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For additional informationabout the S&P 500® Index, see “Equity Index Descriptions — The S&P U.S. Indices” in theaccompanying underlying supplement.

PS-5| Structured Investments

Capped Dual Directional Buffered Equity Notes Linked to the Lesser Performing of the Russell 2000® Index and the S&P 500® Index

 

Historical Information

The following graphs set forth the historicalperformance of each Index based on the weekly historical closing levels from January 3, 2014 through October 4, 2019. The closinglevel of the Russell 2000® Index on October 9, 2019 was 1,479.461. The closing level of the S&P 500®Index on October 9, 2019 was 2,919.40. We obtained the closing levels above and below from the Bloomberg Professional®service (“Bloomberg”), without independent verification.

The historical closing levels of each Index shouldnot be taken as an indication of future performance, and no assurance can be given as to the closing level of either Index on theObservation Date. There can be no assurance that the performance of the Indices will result in the return of any of your principalamount in excess of $195.00 per $1,000.00 principal amount note, subject to the credit risks of JPMorgan Financial and JPMorganChase & Co.

 

Historical Performance of the Russell 2000® Index

 

(None Specified)

Source: Bloomberg

 

Historical Performance of the S&P 500® Index

 

(None Specified)

Source: Bloomberg

 

PS-6| Structured Investments

Capped Dual Directional Buffered Equity Notes Linked to the Lesser Performing of the Russell 2000® Index and the S&P 500® Index

 

TaxTreatment

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 & WardwellLLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes.

Based on current market conditions, in the opinionof our special tax counsel it is reasonable to treat the notes as “open transactions” that are not debt instrumentsfor U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — TaxConsequences to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanyingproduct supplement. Assuming this treatment is respected, the gain or loss on your notes should be treated as long-term capitalgain 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.However, the IRS or a court may not respect this treatment, in which case the timing and character of any income or loss on thenotes could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting commentson the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focusesin particular on whether to require investors in these instruments to accrue income over the term of their investment. It alsoasks for comments on a number of related topics, including the character of income or loss with respect to these instruments; therelevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, towhich income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whetherthese instruments are or should be subject to the “constructive ownership” regime, which very generally can operateto recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. While the notice requestscomments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after considerationof these issues could materially and adversely affect the tax consequences of an investment in the notes, possibly with retroactiveeffect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, includingpossible alternative treatments and the issues presented by this notice.

Section 871(m) of the Code and Treasury regulationspromulgated 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. equitiesor indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instrumentslinked 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 issuedprior to January 1, 2021 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividendsfor U.S. federal income tax purposes (each an “Underlying Security”). Based on certain determinations made by us, ourspecial tax counsel is of the opinion that Section 871(m) should not apply to the notes with regard to Non-U.S. Holders. Our determinationis not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application maydepend 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 referredto as “FATCA” may (if the notes are recharacterized as debt instruments) apply to amounts treated as interest paidwith 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 onthem 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.

TheEstimated Value of the Notes

The estimated value of the notes set forth onthe cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-incomedebt component with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivativeor derivatives underlying the economic terms of the notes. The estimated value of the notes does not represent a minimum priceat which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time. The internal funding rateused in the determination of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixedincome 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, operationaland ongoing liability management costs of the notes in comparison to those costs for the conventional fixed income instrumentsof JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove to beincorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The use of an internalfunding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any secondary marketprices of the notes. For additional information, see “Selected Risk Considerations — The Estimated Value of the NotesIs Derived by Reference to an Internal Funding Rate” in this pricing supplement.

PS-7| Structured Investments

Capped Dual Directional Buffered Equity Notes Linked to the Lesser Performing of the Russell 2000® Index and the S&P 500® Index

 

The value of the derivative or derivatives underlyingthe economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputssuch 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 marketevents and/or environments. Accordingly, the estimated value of the notes is determined when the terms of the notes are set basedon market conditions and other relevant factors and assumptions existing at that time.

The estimated value of the notes does not representfuture values of the notes and may differ from others’ estimates. Different pricing models and assumptions could providevaluations for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions andother relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of thenotes could change significantly based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’screditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at which JPMS would bewilling to buy notes from you in secondary market transactions.

The estimated value of the notes is lower thanthe original issue price of the notes because costs associated with selling, structuring and hedging the notes are included inthe original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliateddealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligationsunder the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails riskand 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 allowedto 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 (Priceto Public) of the Notes” in this pricing supplement.

SecondaryMarket Prices of the Notes

For information about factors that will impactany secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary MarketPrices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” inthe accompanying product supplement. In addition, we generally expect that some of the costs included in the original issue priceof the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that willdecline to zero over an initial predetermined period. These costs can include selling commissions, projected hedging profits, ifany, 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 connectionwith 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 CustomerAccount Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this pricingsupplement.

SupplementalUse of Proceeds

The notes are offered to meet investor demandfor products that reflect the risk-return profile and market exposure provided by the notes. See “Hypothetical Payout Profile”and “How the Notes Work” 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 equalto 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 obligationsunder the notes, plus the estimated cost of hedging our obligations under the notes.

SupplementalPlan of Distribution

We expect that delivery of the notes will be madeagainst payment for the notes on or about the Original Issue Date set forth on the front cover of this pricing supplement, whichwill 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 tosettle in two business days, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to tradenotes on any date prior to two business days before delivery will be required to specify an alternate settlement cycle at the timeof any such trade to prevent a failed settlement and should consult their own advisors.

PS-8| Structured Investments

Capped Dual Directional Buffered Equity Notes Linked to the Lesser Performing of the Russell 2000® Index and the S&P 500® Index

 

Validityof 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 supplementhave been executed and issued by JPMorgan Financial and authenticated by the trustee pursuant to the indenture, and delivered againstpayment as contemplated herein, such notes will be valid and binding obligations of JPMorgan Financial and the related guaranteewill constitute a valid and binding obligation of JPMorgan Chase & Co., enforceable in accordance with their terms, subjectto applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness andequitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lackof bad faith), provided that such counsel expresses no opinion as to (i) the effect of fraudulent conveyance, fraudulenttransfer or similar provision of applicable law on the conclusions expressed above or (ii) any provision of the indenture thatpurports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law by limiting theamount of JPMorgan Chase & Co.’s obligation under the related guarantee. This opinion is given as of the date hereofand is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware LimitedLiability Company Act. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, executionand delivery of the indenture and its authentication of the notes and the validity, binding nature and enforceability of the indenturewith respect to the trustee, all as stated in the letter of such counsel dated March 8, 2018, which was filed as an exhibit tothe Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on March 8, 2018.

AdditionalTerms Specific to the Notes

You should read this pricing supplement togetherwith the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-termnotes of which these notes are a part, and the more detailed information contained in the accompanying product supplement and theaccompanying underlying supplement. This pricing supplement, together with the documents listed below, contains the terms of thenotes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminaryor indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochuresor other educational materials of ours. You should carefully consider, among other things, the matters set forth in the “RiskFactors” sections of the accompanying product supplement and the accompanying underlying supplement, as the notes involverisks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and otheradvisers before you invest in the notes.

You may access these documentson the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date onthe SEC website):

Product supplement no. 4-I dated April 5, 2018:
http://www.sec.gov/Archives/edgar/data/19617/000095010318004519/dp87528_424b2-ps4i.pdf
Underlying supplement no. 1-I dated April 5, 2018:
http://www.sec.gov/Archives/edgar/data/19617/000095010318004514/crt_dp87766-424b2.pdf
Prospectus supplement and prospectus, each dated April 5, 2018:
http://www.sec.gov/Archives/edgar/data/19617/000095010318004508/dp87767_424b2-ps.pdf

Our Central Index Key, orCIK, 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-9| Structured Investments

Capped Dual Directional Buffered Equity Notes Linked to the Lesser Performing of the Russell 2000® Index and the S&P 500® Index

 

Comments

FlashAlert_me-profile-image
Flash Alert @FlashAlert_me - 3 hours ago
$JPM filed form 424B2 on October 11, 20:53:41 https://t.co/bzKybFoxNg
RevShark-profile-image
James DePorre @RevShark - 3 hours ago
Earnings season starts. Reports this morning from $BLK $SCHW $C $GS $JNJ $JPM $UNH $WFC Earnings should help to sh… https://t.co/hYBkqRSx92
aoviedo69-profile-image
alberto oviedo @aoviedo69 - 3 hours ago
RT @HyenukChu: Esta semana: Lun: Columbus Day Mar: $JPM $GS $C $WFC $UNH y $UAL Mié: $NFLX $BAC Beige Book 2 pm Jue: Jobless claims, $MS $T…
karishustad-profile-image
Karis Hustad @karishustad - 3 hours ago
RT @dscigliuzzo: The debt package that JPMorgan is arranging for WeWork may include around $2 billion of risky payment-in-kind notes with a…
FlashAlert_me-profile-image
Flash Alert @FlashAlert_me - 3 hours ago
$JPM filed form 424B2 on October 11, 20:11:48 https://t.co/jBb0e0BHiL
patrickcomack-profile-image
Patrick Comack @patrickcomack - 3 hours ago
$WE would rather pay 15% to $JPM than deal w/ Masa $SFTBY $S $TMUS $DTEGY $UBER $DISH -- UPDATE 1-WeWork prefers JP… https://t.co/R9Bb2sIJ15
paul6545-profile-image
Paul Smith @paul6545 - 3 hours ago
RT @JesseCohenInv: Happy Tuesday! Here are my #Top5ThingsToKnowToday before markets open: - #Earnings Season Kicks Off - $JPM $GS $C On De…
JesseCohenInv-profile-image
Jesse Cohen @JesseCohenInv - 3 hours ago
The #earnings agenda for this morning: $UNH: 5:55AM ET $BLK: 5:55AM ET $JNJ: 6:40AM ET $JPM: 7:00AM ET $GS: 7… https://t.co/C2pks0VM5y
BellRingersPod-profile-image
The Bell Ringers Podcast @BellRingersPod - 3 hours ago
RT @JesseCohenInv: Today's Most Anticipated #Earnings Releases (via @eWhispers): Before the bell: $JPM $GS $C $WFC $JNJ $UNH $BLK $SCHW A…
BellRingersPod-profile-image
The Bell Ringers Podcast @BellRingersPod - 3 hours ago
RT @JesseCohenInv: Happy Tuesday! Here are my #Top5ThingsToKnowToday before markets open: - #Earnings Season Kicks Off - $JPM $GS $C On De…
JesseCohenInv-profile-image
Jesse Cohen @JesseCohenInv - 3 hours ago
Today's Most Anticipated #Earnings Releases (via @eWhispers): Before the bell: $JPM $GS $C $WFC $JNJ $UNH $BLK… https://t.co/r1C3izldmf
JesseCohenInv-profile-image
Jesse Cohen @JesseCohenInv - 3 hours ago
Happy Tuesday! Here are my #Top5ThingsToKnowToday before markets open: - #Earnings Season Kicks Off - $JPM $GS $C… https://t.co/GZwnwu0D1a
CryptoTraderPro-profile-image
Crypto Trader Pro @CryptoTraderPro - 4 hours ago
RT @RANsquawk: IT'S BACK! US earnings season gets underway in earnest today $UNH $JNJ $GS $JPM account for ~17% of the DJIA Other notabl…
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ActivTrades Bulgaria @ActivTradesBG - 4 hours ago
Решаваща седмица за #Brexit, възможно повишаване на волатилността при #GBP, #FTSE . #Earningsseason $JPM $C $WFC… https://t.co/5bfuCcLnjx