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, 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. 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” section of the accompanying product 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 reflects the Maximum Return of 22.00%, the Contingent Buffer Amount
of 15.00% and the Starting Basket Level of 100. 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
Basket Level
|
Basket
Return
|
Total Return
|
180.00
|
80.00%
|
22.00%
|
170.00
|
70.00%
|
22.00%
|
160.00
|
60.00%
|
22.00%
|
150.00
|
50.00%
|
22.00%
|
140.00
|
40.00%
|
22.00%
|
130.00
|
30.00%
|
22.00%
|
122.00
|
22.00%
|
22.00%
|
120.00
|
20.00%
|
20.00%
|
110.00
|
10.00%
|
10.00%
|
105.00
|
5.00%
|
5.00%
|
102.50
|
2.50%
|
2.50%
|
100.00
|
0.00%
|
0.00%
|
97.50
|
-2.50%
|
0.00%
|
95.00
|
-5.00%
|
0.00%
|
90.00
|
-10.00%
|
0.00%
|
85.00
|
-15.00%
|
0.00%
|
84.00
|
-16.00%
|
-16.00%
|
80.00
|
-20.00%
|
-20.00%
|
70.00
|
-30.00%
|
-30.00%
|
60.00
|
-40.00%
|
-40.00%
|
50.00
|
-50.00%
|
-50.00%
|
40.00
|
-60.00%
|
-60.00%
|
30.00
|
-70.00%
|
-70.00%
|
20.00
|
-80.00%
|
-80.00%
|
10.00
|
-90.00%
|
-90.00%
|
0.00
|
-100.00%
|
-100.00%
|
JPMorgan Structured Investments —
|
PS-3
|
Capped Buffered Equity Notes Linked to a Basket of 30 Reference Stocks with Some Exposure to Infrastructure
|
|
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 Basket increases from
the Starting Basket Level of 100.00 to an Ending Basket Level of 105.00.
Because the Ending Basket Level of 105.00 is greater
than the Starting Basket Level of 100.00 and the Basket Return is 5.00%, which does not exceed the Maximum Return of 22.00%, the investor
receives a payment at maturity of $1,050.00 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × 5.00%)
= $1,050.00
Example 2: The level of the Basket decreases from
the Starting Basket Level of 100.00 to an Ending Basket Level 85.00.
Although the Basket Return is negative, because the
Ending Basket Level of 85.00 is less than the Starting Basket Level of 100.00 by up to the Contingent Buffer Amount of 15.00%, the investor
receives a payment at maturity of $1,000.00 per $1,000 principal amount note.
Example 3: The level of the Basket increases from
the Starting Basket Level of 100.00 to an Ending Basket Level of 140.00.
Because the Ending Basket Level of 140.00 is greater
than the Starting Basket Level of 100.00 and the Basket Return of 40.00% exceeds the Maximum Return of 22.00%, the investor receives a
payment at maturity of $1,220.00 per $1,000 principal amount note, the maximum payment at maturity.
Example 4: The level of the Basket decreases from
the Starting Basket Level of 100.00 to an Ending Basket Level 40.00.
Because the Ending Basket Level of 60.00 is less than
the Starting Basket Level of 100.00 by more than the Contingent Buffer Amount of 15.00% and the Basket Return is -40.00%, the investor
receives a payment at maturity of $600.00 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × -40.00%)
= $600.00
The hypothetical returns and hypothetical payments on
the notes shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect 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-4
|
Capped Buffered Equity Notes Linked to a Basket of 30 Reference Stocks with Some Exposure to Infrastructure
|
|
Selected Purchase Considerations
|
·
|
CAPPED APPRECIATION POTENTIAL — The notes provide
the opportunity to earn an unleveraged return equal to any positive Basket Return, up to the Maximum Return of 22.00%. Accordingly, the
maximum payment at maturity will not be less than $1,220.00 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 Basket Level is equal to or less than the Starting Basket Level by up to the
Contingent Buffer Amount of 15.00%. If the Ending Basket Level is less than the Starting Basket Level by more than the Contingent Buffer
Amount, for every 1% that the Ending Basket Level is less than the Starting Basket Level you will lose an amount equal to 1% of the principal
amount of your notes. Under these circumstances, you will lose more than 15.00% of your principal amount at maturity and may lose all
of your principal amount at maturity.
|
|
·
|
RETURN LINKED TO AN UNEQUALLY WEIGHTED BASKET OF 30 REFERENCE
STOCKS — The return on the notes is linked to the performance of an unequally weighted Basket that consists of 30 Reference
Stocks as set forth under “The Basket” on page PS-1 of this pricing supplement. Notwithstanding the name of the Basket,
there is no guarantee that the Basket will provide exposure to companies positively impacted by infrastructure spending. If the infrastructure
characteristics of the Basket are a factor in your decision to invest in the notes, you should consult with your legal or other advisers
before making an investment in the notes.
|
|
·
|
TAX TREATMENT — You should review carefully
the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-II. 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, subject to the possible application of the “constructive
ownership” rules, the gain or loss on your notes should be treated as long-term capital gain or loss if you hold your notes for
more than a year, whether or not you are an initial purchaser of notes at the issue price. Because the basket contains equity in one or
more “pass-thru entities,” the notes could be treated as “constructive ownership transactions” within the meaning
of Section 1260 of the Code, in which case any gain recognized in respect of the notes that would otherwise be long-term capital gain
and that was in excess of the “net underlying long-term capital gain” (as defined in Section 1260) would be treated as ordinary
income, and a notional interest charge would apply as if that income had accrued for tax purposes at a constant yield over your holding
period for the notes. Our special tax counsel has not expressed an opinion with respect to whether the constructive ownership rules apply
to the notes. Accordingly, U.S. Holders should consult their tax advisers regarding the potential application of the constructive ownership
rules.
The
IRS or a court may not respect the treatment of the notes described above, in which case the timing and character of any income or loss
on your notes could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments
on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular
on whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on
a number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors such
as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated
accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject
to the constructive ownership regime described above. While the notice requests comments on appropriate transition rules and effective
dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect
the tax consequences of an investment in the notes, possibly with retroactive effect. You should consult your tax adviser regarding the
U.S. federal income tax consequences of an investment in the notes, including the potential application of the constructive ownership
rules, possible alternative treatments and the issues presented by this notice.
Section
871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax
(unless an income tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial
instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding
regime, including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations
(such an index, a “Qualified Index”). Additionally, a recent IRS notice excludes from the scope of Section 871(m) instruments
issued prior to January 1, 2023 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.
JPMorgan Structured Investments —
|
PS-5
|
Capped Buffered Equity Notes Linked to a Basket of 30 Reference Stocks with Some Exposure to Infrastructure
|
|
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.
Selected Risk Considerations
An investment in the notes involves significant risks.
Investing in the notes is not equivalent to investing directly in the Basket or the Reference Stocks. These risks are explained in more
detail in the “Risk Factors” section of the accompanying product supplement.
Risks Relating to the Notes Generally
|
·
|
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 Basket
and will depend on whether, and the extent to which, the Basket Return is positive or negative. If the Ending Basket Level is less than
the Starting Basket Level by more than the Contingent Buffer Amount, you will lose 1% of the principal amount of the notes for every 1%
that the Ending Basket Level is less than the Starting Basket Level. Under these circumstances, you will lose more than 15.00% of your
principal amount at maturity and may lose all of your principal amount at maturity.
|
|
·
|
YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE MAXIMUM
RETURN — If the Ending Basket Level is greater than the Starting Basket 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 22.00%, regardless of the appreciation
in the Basket, 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.
|
|
·
|
THE BENEFIT PROVIDED BY THE CONTINGENT BUFFER AMOUNT
MAY TERMINATE ON THE FINAL ENDING AVERAGING DATE — If the Ending Basket Level is less than the Starting Basket Level by more
than the Contingent Buffer Amount, the benefit provided by the Contingent Buffer Amount will terminate and you will be fully exposed to
any depreciation of the Basket from the Starting Basket Level to the Ending Basket Level.
|
|
·
|
CORRELATION (OR LACK OF CORRELATION) OF THE REFERENCE
STOCKS — The notes are linked to an unequally weighted Basket consisting of 30 Reference Stocks. Price movements of the Reference
Stocks may or may not be correlated with each other. At a time when the value of one or more of the Reference Stocks increases, the value
of the other Reference Stocks may not increase as much or may even decline. Therefore, in calculating the Ending Basket Level, increases
in the value of one or more of the Reference Stocks may be moderated, or more than offset, by the lesser increases or declines in the
values of the other Reference Stocks. In addition, high correlation of movements in the values of the Reference Stocks during periods
of negative returns among the Reference Stocks could have an adverse effect on the payment at maturity on the notes. There can be no assurance
that the Ending Basket Level will be higher than the Starting Basket Level.
|
|
·
|
NO OWNERSHIP OR DIVIDEND RIGHTS IN THE REFERENCE STOCKS
— As a holder of the notes, you will not have any ownership interest or rights in any of the Reference Stocks, such as voting rights
or dividend payments. In addition, the issuers of the Reference Stocks will not have any obligation to consider your interests as a holder
of the notes in taking any corporate action that might affect the value of the relevant Reference Stocks and the notes.
|
|
·
|
NO AFFILIATION WITH THE REFERENCE STOCK ISSUERS —
We are not affiliated with the issuers of the Reference Stocks. We assume no responsibility for the adequacy of the information about
the Reference Stock issuers contained in this pricing supplement. You should undertake your own investigation into the Reference Stocks
and their issuers. We are not responsible for the Reference Stock issuers’ public disclosure of information, whether contained in
SEC filings or otherwise.
|
|
·
|
NO INTEREST PAYMENTS — As a holder of the notes,
you will not receive any interest payments.
|
JPMorgan Structured Investments —
|
PS-6
|
Capped Buffered Equity Notes Linked to a Basket of 30 Reference Stocks with Some Exposure to Infrastructure
|
|
|
·
|
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.
|
Risks Relating to Conflicts of Interest
|
·
|
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.
|
We and/or our affiliates may also currently
or from time to time engage in business with the Reference Stock issuers, including extending loans to, or making equity investments in,
the Reference Stock issuers or providing advisory services to the Reference Stock issuers. In addition, one or more of our affiliates
may publish research reports or otherwise express opinions with respect to the Reference Stock issuers, and these reports may or may not
recommend that investors buy or hold the Reference Stocks. As a prospective purchaser of the notes, you should undertake an independent
investigation of the Reference Stock issuers that in your judgment is appropriate to make an informed decision with respect to an investment
in the notes.
Risks Relating to the Estimated Value
and Secondary Market Prices of the Notes
|
·
|
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 — 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 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 may differ
from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or
its affiliates. Any difference may be based on, among other things, our and our affiliates’ view of the funding value of the notes
as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison to those costs for the conventional
fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which
may prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The use of an
internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any secondary market
prices of the notes. See “The Estimated Value of the Notes” in this pricing supplement.
|
|
·
|
THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH
MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD
— We generally expect that some of the costs included in the original issue price of the notes will be partially paid back to
you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period.
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. See “Secondary Market Prices of the Notes” in this
pricing supplement
|
JPMorgan Structured Investments —
|
PS-7
|
Capped Buffered Equity Notes Linked to a Basket of 30 Reference Stocks with Some Exposure to Infrastructure
|
|
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 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 the selling commissions, projected hedging profits,
if any, estimated hedging costs and the price of one share of each Reference Stock.
|
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.
Risks Relating to the Basket
|
·
|
LIMITED TRADING HISTORY — Evoqua Water Technologies
Corp. has limited trading history. The common stock of Evoqua Water Technologies Corp. commenced trading on the New York Stock
Exchange on November 2, 2017 and therefore has limited historical performance. Accordingly, historical information for Evoqua Water Technologies
Corp. is available only since the date listed above. Past performance should not be considered indicative of future performance.
|
·
THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCKS
IS LIMITED AND MAY BE DISCRETIONARY — The calculation agent will make adjustments to the Stock Adjustment Factor for each Reference
Stock for certain corporate events affecting that Reference Stock. However, the calculation agent will not make an adjustment in response
to all events that could affect each Reference Stock. If an event occurs that does not require the calculation agent to make an adjustment,
the value of the notes may be materially and adversely affected. You should also be aware that the calculation agent may make adjustments
in response to events that are not described in the accompanying product supplement to account for any diluting or concentrative effect,
but the calculation agent is under no obligation to do so or to consider your interests as a holder of the notes in making these determinations.
|
·
|
THE INVESTMENT STRATEGY REPRESENTED BY THE BASKET MAY
NOT BE SUCCESSFUL — The Basket is comprised of the Reference Stocks of 30 U.S.-listed companies that may benefit from positive
performance of the infrastructure sector during the term of the note. You should undertake your own investigation into each Reference
Stock and its issuer, and you should make your own determination as to the potential performance of the infrastructure sector as represented
by the Basket of Reference Stock during the term of the note. There can be no assurance that the Basket Return will be positive during
the term of the notes. It is possible that the investment strategy represented by the Basket will not be successful and that the level
of the Basket and the Basket Return will be adversely affected. Moreover, there can be no assurance that the Reference Stocks will outperform
other U.S.-listed companies that may benefit from infrastructure spending.
|
|
·
|
THE REFERENCE STOCKS ARE CONCENTRATED IN THE INFRASTRUCTURE
SECTOR — A substantial portion of the Reference Stocks has been issued by companies whose business is associated with the infrastructure
sector. Because the value of the notes is determined by the performance of the Basket consisting of the Reference Stocks, an investment
in these notes will be concentrated in this sector. As a result, the value of the notes may be subject to greater volatility and be more
adversely affected by a single positive or negative economic, political or regulatory occurrence affecting this sector than a different
investment linked to securities of a more broadly diversified group of issuers.
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|
·
|
RISKS ASSOCIATED WITH NON-U.S. SECURITIES WITH RESPECT
TO THE COMMON SHARES OF CNH INDUSTRIAL N.V. — The common shares of CNH Industrial N.V., have been issued by a non-U.S. company
(The Netherlands). 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.
|
|
·
|
IN SOME CIRCUMSTANCES, THE PAYMENT YOU RECEIVE ON THE
NOTES MAY BE BASED ON THE VALUE OF CASH, SECURITIES (INCLUDING SECURITIES OF OTHER ISSUERS) OR OTHER PROPERTY DISTRIBUTED TO HOLDERS OF
A REFERENCE STOCK UPON THE OCCURRENCE OF A REORGANIZATION
|
JPMorgan Structured Investments —
|
PS-8
|
Capped Buffered Equity Notes Linked to a Basket of 30 Reference Stocks with Some Exposure to Infrastructure
|
|
|
|
EVENT — Following certain corporate events relating to a Reference Stock where its issuer is not the surviving entity, a liquidation of a Reference
Stock issuer or other reorganization events affect a Reference Stock issuer as described in the accompanying product supplement, a portion
of any payment on the notes may be based on the common stock (or other security) of a successor to that Reference Stock issuer or any
cash or any other assets distributed to holders of that Reference Stock in the relevant corporate event. The occurrence of these corporate
events and the consequent adjustments may materially and adversely affect the value of the notes. The specific corporate events that can
lead to these adjustments and the procedures for selecting the Exchange Property (as defined in the accompanying product supplement) are
described in the accompanying product supplement.
|
JPMorgan Structured Investments —
|
PS-9
|
Capped Buffered Equity Notes Linked to a Basket of 30 Reference Stocks with Some Exposure to Infrastructure
|
|
The Basket and the Reference
Stocks
Public Information
All information contained in this pricing supplement on the Reference
Stocks and on the Reference Stock issuers is derived from publicly available sources, without independent verification. The table below
sets forth the Reference Stocks included in the Basket in alphabetical order by ticker symbol. Each Reference Stock is registered under
the Securities Exchange Act of 1934, as amended, which we refer to as the “Exchange Act”, and is listed on the exchange provided
in the table below, which we refer to as the relevant exchange for purposes of that Reference Stock in the accompanying product supplement.
Information provided to or filed with the SEC by a Reference Stock issuer pursuant to the Exchange Act can be located by reference to
the SEC file number provided in the table below, and can be accessed through www.sec.gov.
We do not make any representation that these publicly available documents
are accurate or complete. We obtained the closing prices below from Bloomberg, without independent verification. The closing prices below
may have been adjusted by Bloomberg for corporate actions, such as stock splits, public offerings, mergers and acquisitions, spin-offs,
delistings and bankruptcy.
Bloomberg Ticker Symbol
|
Reference Stock Issuer/Reference Stock
|
Relevant Exchange
|
SEC File Number
|
Closing Price on April 16, 2021
|
ACM UN
|
AECOM
|
Common stock, par value $0.01 per share
|
New York Stock Exchange
|
000-52423
|
$67.05
|
ADSK UW
|
Autodesk, Inc.
|
Common stock, par value $0.01 per share
|
The Nasdaq Global Select Market
|
000-14338
|
$300.16
|
ANSS UW
|
ANSYS, Inc.
|
Common stock, par value $0.01 per share
|
The Nasdaq Global Select Market
|
000-20853
|
$373.93
|
AOS UN
|
A. O. Smith Corporation
|
Common stock, par value $1.00 per share
|
New York Stock Exchange
|
001-475
|
$68.23
|
AQUA UN
|
Evoqua Water Technologies Corp.
|
Common stock, par value $0.01 per share
|
New York Stock Exchange
|
001-38272
|
$28.68
|
CAT UN
|
Caterpillar Inc.
|
Common stock, par value $1.00 per share
|
New York Stock Exchange
|
001-768
|
$233.36
|
CMC UN
|
Commercial Metals Company
|
Common stock, par value $0.01 per share
|
New York Stock Exchange
|
001-4304
|
$29.34
|
CNHI UN
|
CNH Industrial N.V.
|
Common shares, par value €0.01 per share
|
New York Stock Exchange
|
001-36085
|
$15.97
|
DE UN
|
Deere & Company
|
Common stock, par value $1.00 per share
|
New York Stock Exchange
|
001-4121
|
$383.07
|
DY UN
|
Dycom Industries, Inc.
|
Common stock, par value $0.33 1/3 per share
|
New York Stock Exchange
|
001-10613
|
$95.80
|
EME UN
|
EMCOR Group, Inc.
|
Common stock, no par value
|
New York Stock Exchange
|
001-8267
|
$119.93
|
EXP UN
|
Eagle Materials Inc.
|
Common stock, par value $0.01 per share
|
New York Stock Exchange
|
001-12984
|
$143.70
|
ITT UN
|
ITT Inc.
|
Common stock, par value $1.00 per share
|
New York Stock Exchange
|
001-05672
|
$92.74
|
J UN
|
Jacobs Engineering Group Inc.
|
Common stock, par value $1.00 per share
|
New York Stock Exchange
|
001-7463
|
$133.78
|
KBR UN
|
KBR, Inc.
|
Common stock, par value $0.001 per share
|
New York Stock Exchange
|
001-33146
|
$39.87
|
MDU UN
|
MDU Resources Group Inc
|
Common stock, par value $1.00 per share
|
New York Stock Exchange
|
001-03480
|
$32.85
|
MLM UN
|
Martin Marietta Materials, Inc.
|
Common stock, par value $0.01 per share
|
New York Stock Exchange
|
001-12744
|
$351.57
|
MTZ UN
|
MasTec, Inc.
|
Common stock, par value $0.10 per share
|
New York Stock Exchange
|
001-08106
|
$101.65
|
NUE UN
|
Nucor Corporation
|
Common stock, par value $0.40 per share
|
New York Stock Exchange
|
001-4119
|
$79.50
|
OSK UN
|
Oshkosh Corporation
|
Common stock, par value $0.01 per share
|
New York Stock Exchange
|
001-31371
|
$121.02
|
PLD UN
|
Prologis, Inc.
|
Common stock, par value $0.01 per share
|
New York Stock Exchange
|
001-13545
|
$112.56
|
PTC UW
|
PTC Inc.
|
Common stock, par value $0.01 per share
|
The Nasdaq Global Select Market
|
000-18059
|
$146.16
|
PWR UN
|
Quanta Services, Inc.
|
Common stock, par value $0.00001 per share
|
New York Stock Exchange
|
001-13831
|
$95.70
|
STLD UW
|
Steel Dynamics, Inc.
|
Common stock voting, par value $0.0025 per share
|
The Nasdaq Global Select Market
|
000-21719
|
$51.50
|
SUM UN
|
Summit Materials, Inc.
|
Class A Common stock, par value $0.01 per share
|
New York Stock Exchange
|
001-36873
|
$29.44
|
JPMorgan Structured Investments —
|
PS-10
|
Capped Buffered Equity Notes Linked to a Basket of 30 Reference Stocks with Some Exposure to Infrastructure
|
|
Bloomberg Ticker Symbol
|
Reference Stock Issuer/Reference Stock
|
Relevant Exchange
|
SEC File Number
|
Closing Price on April 16, 2021
|
TTEK UW
|
Tetra Tech, Inc.
|
Common stock, par value $0.01 per share
|
The NASDAQ Stock Market LLC
|
000-19655
|
$135.51
|
URI UN
|
United Rentals, Inc.
|
Common stock, par value $0.01 per share
|
New York Stock Exchange
|
001-5231
|
$328.14
|
VMC UN
|
Vulcan Materials Company
|
Common stock, par value $1.00 per share
|
New York Stock Exchange
|
001-10362
|
$175.67
|
VMI UN
|
Valmont Industries, Inc.
|
Common stock, par value $1.00 per share
|
New York Stock Exchange
|
001-37733
|
$237.68
|
XYL UN
|
Xylem Inc.
|
Common stock, par value $0.01 per share
|
New York Stock Exchange
|
001-35784
|
$108.61
|
According to publicly available filings of the
relevant Reference Stock issuer with the SEC:
|
·
|
AECOM is a provider of professional technical and management
support services for government and commercial clients around the world.
|
|
·
|
Autodesk, Inc. is involved in 3D design, engineering, and
entertainment software and services, offering customers productive business solutions through powerful technology products and services.
Autodesk, Inc. serves customers in architecture, engineering, and construction; product design and manufacturing; and digital media and
entertainment industries.
|
|
·
|
ANSYS, Inc. develops and globally markets engineering simulation
software and services used by engineers, designers, researchers and students across a broad spectrum of industries and academia, including
aerospace and defense, automotive, electronics, semiconductors, energy, materials and chemical processing, turbomachinery, consumer products,
healthcare, and sports.
|
|
·
|
A. O. Smith Corporation is comprised of two reporting segments:
North America and Rest of World. The Rest of World segment is primarily comprised of China, Europe and India. Both segments manufacture
and market comprehensive lines of residential and commercial gas and electric water heaters, boilers, tanks and water treatment products.
Both segments primarily manufacture and market in their respective regions of the world.
|
|
·
|
Evoqua Water Technologies Corp. is a provider of mission-critical
water treatment solutions, offering services, systems and technologies to support their customers’ full water lifecycle needs.
|
|
·
|
Caterpillar is a manufacturer of construction and mining equipment,
diesel and natural gas engines, industrial gas turbines and diesel-electric locomotives. The company principally operates through
its three primary segments - Construction Industries, Resource Industries and Energy & Transportation - and also provides financing
and related services through its Financial Products segment.
|
|
·
|
Commercial Metals Company manufactures, recycles and fabricates
steel and metal products, related materials and services through a network of facilities that includes seven electric arc furnace ("EAF")
mini mills, two EAF micro mills, two rerolling mills, steel fabrication and processing plants, construction-related product warehouses
and metal recycling facilities in the United States and Poland.
|
|
·
|
CNH Industrial N.V. makes capital expenditures in the regions
in which they operate principally related to initiatives to introduce new products, enhance manufacturing efficiency and increase capacity,
and for maintenance and engineering.
|
|
·
|
Deere & Company manufactures and distributes a line of
agriculture and turf equipment and related service parts and a range of machines and service parts used in construction, earthmoving,
road building, material handling and timber harvesting. In addition, Deere & Company finances sales and leases by dealers of new and
used agriculture and turf equipment and construction and forestry equipment, provides wholesale financing to dealers of the foregoing
equipment, finances retail revolving charge accounts and offers extended equipment warranties.
|
|
·
|
Dycom Industries, Inc. is a provider of specialty contracting
services throughout the United States.
|
|
·
|
EMCOR Group, Inc. is an electrical and mechanical construction
and facilities services firm in the United States.
|
|
·
|
Eagle Materials Inc. is a supplier of heavy construction materials
and light building materials in the United States.
|
|
·
|
ITT Inc. is a diversified manufacturer of highly engineered
critical components and customized technology solutions for the transportation, industrial, and energy markets.
|
|
·
|
Jacobs Engineering Group Inc. is a professional services firm
focused exclusively on providing a broad range of technical, professional and construction services to industrial, commercial and governmental
clients around the world.
|
|
·
|
KBR, Inc. delivers scientific, technology and engineering
solutions to governments and companies around the world.
|
|
·
|
MDU Resources Group Inc is a regulated energy delivery and
construction materials and services business.
|
|
·
|
Martin Marietta Materials, Inc. is a natural resource-based
building materials company that supplies aggregates (crushed stone, sand and gravel) and provides cement and downstream products and services,
namely, ready mixed concrete, asphalt and paving services.
|
|
·
|
MasTec, Inc. is an infrastructure construction company operating
mainly throughout North America across a range of industries. Their primary activities include the engineering, building, installation,
maintenance and upgrade of communications, energy, utility and other infrastructure, such as: wireless, wireline/fiber and customer fulfillment
activities; power generation, including from clean energy and renewable sources; pipeline infrastructure; electrical utility transmission
and distribution; heavy civil; and industrial infrastructure.
|
|
·
|
Nucor Corporation and its subsidiaries manufacture and sell
steel and steel products. Nucor Corporation is also a United States recycler, using scrap steel as the primary material in producing its
products.
|
|
·
|
Oshkosh Corporation is a designer, manufacturer and marketer
of access equipment, specialty vehicles and truck bodies for the primary markets of access equipment, defense, fire & emergency, refuse
hauling, concrete placement as well as airport services.
|
|
·
|
Prologis, Inc. is a real estate investment trust that owns,
manages and develops logistics facilities.
|
|
·
|
PTC Inc. is a global software and services company that delivers
solutions to power our industrial customers' digital transformations, enabling them to better design, manufacture, operate, and service
their products.
|
|
·
|
Quanta Services, Inc. is a provider of specialty contracting
services, delivering comprehensive infrastructure solutions for the electric and gas utility, communications, pipeline and energy industries
in the United States, Canada, Australia and select other international markets.
|
|
·
|
Steel Dynamics, Inc. is a steel producer and metal recycler
in the United States.
|
|
·
|
Summit Materials, Inc. is a construction materials company
in the United States.
|
JPMorgan Structured Investments —
|
PS-11
|
Capped Buffered Equity Notes Linked to a Basket of 30 Reference Stocks with Some Exposure to Infrastructure
|
|
|
·
|
Tetra Tech, Inc. is a global provider of consulting and engineering
services that focuses on water, environment, sustainable infrastructure, resource management, energy, and international development.
|
|
·
|
United Rentals, Inc. rents equipment to construction and industrial
companies, manufacturers, utilities, municipalities, homeowners and others.
|
|
·
|
Vulcan Materials Company operates primarily in the U.S. and
is a large supplier of construction aggregates (primarily crushed stone, sand and gravel), a major producer of asphalt mix and ready-mixed
concrete, and a supplier of construction paving services.
|
|
·
|
Valmont Industries, Inc. is a diversified producer of
products and services for infrastructure and agriculture markets.
|
|
·
|
Xylem Inc. is a global water technology company. They have
differentiated market positions in core application areas including transport, treatment, dewatering, test, smart metering, infrastructure
assessment services, digital solutions, commercial and residential building services and industrial processes.
|
Historical Information Regarding the Basket and
the Reference Stocks
The following graphs show the historical weekly performance of the
Basket as a whole from November 2, 2017 through April 16, 2021, as well as the Reference Stocks (other than the common stock of Evoqua
Water Technologies Corp.) from January 4, 2016 through April 16, 2021 and the common stock of Evoqua Water Technologies Corp. from November
2, 2017 through April 16, 2021. The graph of the historical Basket performance assumes the closing level of the Basket on April 16, 2021
was 100 and the Stock Weights were as specified under “The Basket” in this pricing supplement.
We obtained the various closing prices below from the Bloomberg Professional®
service (“Bloomberg”), without independent verification. The closing prices may have been adjusted by Bloomberg for corporate
actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
Since the commencement of trading of each Reference Stock, the price
of that Reference Stock has experienced significant fluctuations. The historical performance of each Reference Stock and the historical
performance of the Basket should not be taken as an indication of future performance, and no assurance can be given as to the closing
prices of each Reference Stock or the levels of the Basket on the Pricing Date or any Ending Averaging Date. There can be no assurance
that the performance of the Basket will result in the return of any of your principal amount.
JPMorgan Structured Investments —
|
PS-12
|
Capped Buffered Equity Notes Linked to a Basket of 30 Reference Stocks with Some Exposure to Infrastructure
|
|
JPMorgan Structured Investments —
|
PS-13
|
Capped Buffered Equity Notes Linked to a Basket of 30 Reference Stocks with Some Exposure to Infrastructure
|
|
JPMorgan Structured Investments —
|
PS-14
|
Capped Buffered Equity Notes Linked to a Basket of 30 Reference Stocks with Some Exposure to Infrastructure
|
|
JPMorgan Structured Investments —
|
PS-15
|
Capped Buffered Equity Notes Linked to a Basket of 30 Reference Stocks with Some Exposure to Infrastructure
|
|
JPMorgan Structured Investments —
|
PS-16
|
Capped Buffered Equity Notes Linked to a Basket of 30 Reference Stocks with Some Exposure to Infrastructure
|
|
JPMorgan Structured Investments —
|
PS-17
|
Capped Buffered Equity Notes Linked to a Basket of 30 Reference Stocks with Some Exposure to Infrastructure
|
|
JPMorgan Structured Investments —
|
PS-18
|
Capped Buffered Equity Notes Linked to a Basket of 30 Reference Stocks with Some Exposure to Infrastructure
|
|
JPMorgan Structured Investments —
|
PS-19
|
Capped Buffered Equity Notes Linked to a Basket of 30 Reference Stocks with Some Exposure to Infrastructure
|
|
JPMorgan Structured Investments —
|
PS-20
|
Capped Buffered Equity Notes Linked to a Basket of 30 Reference Stocks with Some Exposure to Infrastructure
|
|
JPMorgan Structured Investments —
|
PS-21
|
Capped Buffered Equity Notes Linked to a Basket of 30 Reference Stocks with Some Exposure to Infrastructure
|
|
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 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. 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.
JPMorgan Structured Investments —
|
PS-22
|
Capped Buffered Equity Notes Linked to a Basket of 30 Reference Stocks with Some Exposure to Infrastructure
|
|
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 “What Is the Total Return on the Notes at Maturity,
Assuming a Range of Performances for the Basket?” and “Hypothetical Examples of Amount Payable at Maturity” in this
pricing supplement for an illustration of the risk-return profile of the notes and “The Basket and the Reference Stocks” 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 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 February 26, 2020, which was filed as
an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 26, 2020.
JPMorgan Structured Investments —
|
PS-23
|
Capped Buffered Equity Notes Linked to a Basket of 30 Reference Stocks with Some Exposure to Infrastructure
|
|
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