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 Starting Basket
Level of 100 and assumes an Upside Leverage Factor of 2.00 and a Maximum Return of 17.80%. The actual Upside Leverage Factor and
Maximum Return will be provided in the pricing supplement and will not be less than 2.00 and 17.80%, respectively. 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
|
Stock
Return
|
Total Return
|
180.00
|
80.00%
|
17.80%
|
170.00
|
70.00%
|
17.80%
|
160.00
|
60.00%
|
17.80%
|
150.00
|
50.00%
|
17.80%
|
140.00
|
40.00%
|
17.80%
|
130.00
|
30.00%
|
17.80%
|
120.00
|
20.00%
|
17.80%
|
117.80
|
17.80%
|
17.80%
|
110.00
|
10.00%
|
17.80%
|
108.90
|
8.90%
|
17.80%
|
105.00
|
5.00%
|
10.00%
|
102.50
|
2.50%
|
5.00%
|
100.00
|
0.00%
|
0.00%
|
97.50
|
-2.50%
|
-2.50%
|
95.00
|
-5.00%
|
-5.00%
|
90.00
|
-10.00%
|
-10.00%
|
85.00
|
-15.00%
|
-15.00%
|
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 Return Enhanced Notes Linked to the J.P. Morgan Consumer Recovery Basket of 49 Reference Stocks
|
|
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 of 5.00% multiplied by 2.00 does not exceed the Maximum
Return of 17.80%, the investor receives a payment at maturity of $1,100.00 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 ×
5.00% × 2.00) = $1,100.00
Example 2: 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% multiplied by 2.00 exceeds the Maximum Return
of 17.80%, the investor receives a payment at maturity of $1,178.00 per $1,000 principal amount note, the maximum payment at maturity.
Example 3: 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 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 Return Enhanced Notes Linked to the J.P. Morgan Consumer Recovery Basket of 49 Reference Stocks
|
|
Selected Purchase Considerations
|
·
|
CAPPED APPRECIATION POTENTIAL — The
notes provide the opportunity to enhance equity returns by multiplying a positive Basket Return by 2.00, up to the Maximum Return
of at least 17.80%. Accordingly, assuming a Maximum Return of 17.80%, the maximum payment at maturity is $1,178.00 per $1,000 principal
amount note. The Maximum Return will be provided in the pricing supplement and will not be less than 17.80%, and accordingly, the
maximum payment at maturity will not be less than $1,178.00 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.
|
|
·
|
YOU WILL LOSE SOME OR ALL OF YOUR PRINCIPAL AMOUNT
IF THE BASKET RETURN IS NEGATIVE — 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 some or all
of your principal amount at maturity.
|
|
·
|
RETURN LINKED TO AN UNEQUALLY WEIGHTED BASKET
OF 49 REFERENCE STOCKS — The return on the notes is linked to the performance of an unequally weighted Basket that consists
of 49 Reference Stocks as set forth under “The Basket” on page PS-1 of this pricing supplement.
|
|
·
|
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, we expect that Section 871(m) will 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. If necessary, further information regarding the potential application of Section 871(m) will be provided in
the pricing supplement for the notes. You should consult your tax adviser regarding the potential application of Section 871(m)
to the notes.
JPMorgan Structured Investments —
|
PS-5
|
Capped Return Enhanced Notes Linked to the J.P. Morgan Consumer Recovery Basket of 49 Reference Stocks
|
|
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, 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. Accordingly, you may lose some or all of your principal amount at maturity.
|
|
·
|
YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE
MAXIMUM RETURN — If the Ending 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 at least
17.80%, 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.
|
·
|
CORRELATION (OR LACK OF CORRELATION) OF THE REFERENCE STOCKS
— The notes are linked to an unequally weighted Basket consisting of 49 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.
|
·
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.
·
THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT
—
JPMorgan Structured Investments —
|
PS-6
|
Capped Return Enhanced Notes Linked to the J.P. Morgan Consumer Recovery Basket of 49 Reference Stocks
|
|
The final terms of the notes will be based on relevant
market conditions when the terms of the notes are set and will be provided in the pricing supplement. In particular, the estimated
value of the notes and the Maximum Return will be provided in the pricing supplement and may be as low as the minimum for the estimated
value of the notes set forth on the cover of this pricing supplement. Accordingly, you should consider your potential investment
in the notes based on the minimum for the estimated value of the notes and the Maximum Return.
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 WILL BE 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 will exceed 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
|
JPMorgan Structured Investments —
|
PS-7
|
Capped Return Enhanced Notes Linked to the J.P. Morgan Consumer Recovery Basket of 49 Reference Stocks
|
|
supplement for additional information relating to
this initial period. Accordingly, the estimated value of your notes during this initial period may be lower than the value of the
notes as published by JPMS (and which may be shown on your customer account statements).
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN
THE ORIGINAL ISSUE PRICE OF THE NOTES — Any secondary market prices of the notes will likely be lower than the original
issue price of the notes because, among other things, secondary market prices take into account our internal secondary market funding
rates for structured debt issuances and, also, because secondary market prices may exclude selling commissions, projected hedging
profits, if any, and estimated hedging costs that are included in the original issue price of the notes. As a result, the price,
if any, at which JPMS will be willing to buy 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 — Certain of the Reference
Stocks have limited trading history. On March 20, 2019, The Walt Disney Company acquired all of the outstanding shares of
Twenty-First Century Fox, Inc. and TWDC Enterprises 18 Corp. (formerly known as The Walt Disney Company) (“Legacy Disney”),
and The Walt Disney Company became the successor SEC registrant to Legacy Disney. The class A shares of MGM Growth Properties LLC
commenced trading on the New York Stock Exchange on April 20, 2016, the common stock of Ulta Beauty, Inc. commenced trading on
the New York Stock exchange on January 30, 2017, the common stock of Uber Technologies, Inc. commenced trading on the New York
Stock Exchange on May 10, 2019, and the common stock of Reynolds Consumer Products Inc. commenced trading on the Nasdaq Global
Select Market on January 31, 2020 and therefore each has limited historical performance. Accordingly, historical information for
each of these Reference Stocks is available only since the applicable 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 49 U.S.-listed companies that may benefit from positive
performance of the consumer discretionary 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 consumer
discretionary 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 positive performance
of the consumer discretionary sector.
|
|
·
|
THE REFERENCE STOCKS ARE CONCENTRATED IN THE CONSUMER DISCRETIONARY
AND FINANCIALS SECTORS — A substantial portion of the Reference Stocks has been issued by companies whose business is
associated with the consumer discretionary or financials 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 these sectors. 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 these sectors than a different investment linked to securities of a more broadly diversified
group of issuers.
|
|
·
|
RISKS ASSOCIATED WITH NON-U.S. SECURITIES WITH RESPECT TO THE
COMMON SHARES OF RESTAURANT BRANDS INTERNATIONAL INC., THE COMMON STOCK OF ROYAL CARIBBEAN CRUISES
|
JPMorgan Structured Investments —
|
PS-8
|
Capped Return Enhanced Notes Linked to the J.P. Morgan Consumer Recovery Basket of 49 Reference Stocks
|
|
|
|
LTD. AND THE ORDINARY SHARES OF NORWEGIAN CRUISE LINE HOLDINGS LTD. — Each of the common shares of Restaurant Brands International Inc., the
common stock of Royal Caribbean Cruises Ltd. and the ordinary shares of Norwegian Cruise Line Holdings Ltd. have been issued by
a non-U.S. company. 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 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 Return Enhanced Notes Linked to the J.P. Morgan Consumer Recovery Basket of 49 Reference Stocks
|
|
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.
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.
Reference Stock Issuer/Reference Stock
|
Bloomberg Ticker Symbol
|
Relevant Exchange
|
SEC File Number
|
Closing Price on March 18, 2021
|
The Gap, Inc.
|
Common stock, par value $0.05 per share
|
GPS UN
|
The New York Stock Exchange
|
001-7562
|
$30.88
|
Caesars Entertainment, Inc.
|
Common stock, par value $0.00001 per share
|
CZR UW
|
NASDAQ Stock Market
|
001-36629
|
$90.60
|
Dave & Buster's Entertainment, Inc.
|
Common stock, par value $0.01 per share
|
PLAY UW
|
NASDAQ Global Select Market
|
001-35664
|
$45.62
|
United Airlines Holdings, Inc.
|
Common stock, par value $0.01 per share
|
UAL UW
|
The Nasdaq Stock Market LLC
|
001-06033
|
$60.82
|
L Brands, Inc.
|
Common stock, par value $0.50 per share
|
LB UN
|
The New York Stock Exchange
|
001-8344
|
$60.16
|
Norwegian Cruise Line Holdings LTD.
|
Ordinary shares, par value $0.001 per share
|
NCLH UN
|
The New York Stock Exchange
|
001-35784
|
$28.95
|
Royal Caribbean Cruises LTD
|
Common stock, par value $0.01 per share
|
RCL UN
|
New York Stock Exchange
|
001-11884
|
$88.41
|
Burlington Stores, Inc.
|
Common stock, par value $0.0001 per share
|
BURL UN
|
New York Stock Exchange
|
001-36107
|
$306.96
|
Southwest Airlines Co.
|
Common stock, par value $1.00 per share
|
LUV UN
|
New York Stock Exchange
|
001-7259
|
$60.94
|
Tapestry, Inc.
|
Common stock, par value $0.01 per share
|
TPR UN
|
New York Stock Exchange
|
001-16153
|
$45.36
|
Ford Motor Company
|
Common stock, par value $0.01 per share
|
F UN
|
New York Stock Exchange
|
001-3950
|
$12.49
|
American Express Company
|
Common shares, par value $0.20 per share
|
AXP UN
|
New York Stock Exchange
|
001-7657
|
$142.58
|
Nordstrom, Inc.
|
Common stock, no par value
|
JWN UN
|
New York Stock Exchange
|
001-15059
|
$42.59
|
Wynn Resorts, Limited
|
Common stock, par value $0.01 per share
|
WYNN UW
|
Nasdaq Global Select Market
|
000-50028
|
$135.65
|
General Motors Company
|
Common stock, par value $0.01 per share
|
GM UN
|
New York Stock Exchange
|
001-34960
|
$59.27
|
Alaska Air Group, Inc.
|
Common stock, par value $0.01 per share
|
ALK UN
|
New York Stock Exchange
|
001-8957
|
$70.59
|
MasterCard Incorporated
|
Class A common stock, par value $0.0001 per share
|
MA UN
|
New York Stock Exchange
|
001-32877
|
$367.00
|
Delta Air Lines, Inc.
|
Common stock, par value $0.0001 per share
|
DAL UN
|
New York Stock Exchange
|
001-5424
|
$49.18
|
Expedia Group, Inc.
|
Common stock, par value $0.0001 per share
|
EXPE UW
|
The Nasdaq Global Select Market
|
001-37429
|
$180.80
|
MGM Resorts International
|
Common stock, par value $0.01 per share
|
MGM UN
|
New York Stock Exchange
|
001-10362
|
$39.51
|
Whirlpool Corporation
|
Common stock, par value $1.00 per share
|
WHR UN
|
Chicago Stock Exchange and New York Stock Exchange
|
001-3932
|
$215.23
|
The Walt Disney Company
|
Common stock, par value $0.01 per share
|
DIS UN
|
New York Stock Exchange
|
001-38842
|
$192.28
|
Newell Brands Inc.
|
Common stock, par value $1.00 per share
|
NWL UW
|
Nasdaq Stock Market LLC
|
001-9608
|
$26.29
|
Las Vegas Sands Corp.
|
Common stock, par value $0.001 per share
|
LVS UN
|
New York Stock Exchange
|
001-32373
|
$64.77
|
Advance Auto Parts, Inc.
|
Common stock, par value $0.0001 per share
|
AAP UN
|
New York Stock Exchange
|
001-16797
|
$183.73
|
Visa Inc.
|
Class A common stock, par value $0.0001 per share
|
V UN
|
New York Stock Exchange
|
001-33977
|
$220.66
|
JPMorgan Structured Investments —
|
PS-10
|
Capped Return Enhanced Notes Linked to the J.P. Morgan Consumer Recovery Basket of 49 Reference Stocks
|
|
Reference Stock Issuer/Reference Stock
|
Bloomberg Ticker Symbol
|
Relevant Exchange
|
SEC File Number
|
Closing Price on March 18, 2021
|
Lithia Motors, Inc.
|
Class A common stock, no par value
|
LAD UN
|
The New York Stock Exchange
|
001-14733
|
$400.26
|
Booking Holdings Inc.
|
Common stock, par value $0.008 per share
|
BKNG UW
|
The NASDAQ Global Select Market
|
001-36691
|
$2,346.95
|
PulteGroup, Inc.
|
Common shares, par value $0.01 per share
|
PHM UN
|
New York Stock Exchange
|
001-9804
|
$48.25
|
Restaurant Brands International Inc.
|
Common shares, no par value
|
QSR UN
|
New York Stock Exchange
|
001-36786
|
$63.82
|
Fortune Brands Home & Security, Inc.
|
Common stock, par value $0.01 per share
|
FBHS UN
|
New York Stock Exchange
|
001-35166
|
$91.64
|
Starbucks Corporation
|
Common stock, par value $0.001 per share
|
SBUX UW
|
Nasdaq Global Select Market
|
000-20322
|
$107.62
|
Uber Technologies, Inc.
|
Common stock, par value $0.00001 per share
|
UBER UN
|
New York Stock Exchange
|
001-38902
|
$55.69
|
Ross Stores, Inc.
|
Common stock, par value $0.01 per share
|
ROST UW
|
Nasdaq Global Select Market
|
000-14678
|
$123.17
|
Constellation Brands, Inc.
|
Class A common stock, par value $0.01 per share
|
STZ UN
|
New York Stock Exchange
|
001-08495
|
$231.07
|
Ulta Beauty, Inc.
|
Common stock, par value $0.01 per share
|
ULTA UW
|
The NASDAQ Global Select Market
|
001-33764
|
$319.23
|
The Coca-Cola Company
|
Common stock, par value $0.25 per share
|
KO UN
|
New York Stock Exchange
|
001-02217
|
$50.57
|
Five Below, Inc.
|
Common stock, par value $0.01 per share
|
FIVE UW
|
The NASDAQ Stock Market LLC
|
001-35600
|
$187.27
|
McDonald's Corporation
|
Common stock, par value $0.01 per share
|
MCD UN
|
New York Stock Exchange
|
001-5231
|
$222.90
|
The TJX Companies, Inc.
|
Common stock, par value $1.00 per share
|
TJX UN
|
New York Stock Exchange
|
001-4908
|
$66.52
|
Best Buy Co., Inc.
|
Common stock, par value $0.10 per share
|
BBY UN
|
New York Stock Exchange
|
001-9595
|
$113.38
|
Dollar General Corporation
|
Common stock, par value $0.875 per share
|
DG UN
|
New York Stock Exchange
|
001-11421
|
$178.80
|
Target Corporation
|
Common stock, par value $0.0833 per share
|
TGT UN
|
New York Stock Exchange
|
001-6049
|
$179.61
|
lululemon athletica inc.
|
Common stock, par value $0.005 per share
|
LULU UW
|
Nasdaq Global Select Market
|
001-33608
|
$306.35
|
American Axle & Manufacturing Holdings
|
Common stock, par value $0.01 per share
|
AXL UN
|
New York Stock Exchange
|
001-14303
|
$11.43
|
MGM Growth Properties LLC
|
Class A shares, no par value
|
MGP UN
|
New York Stock Exchange
|
001-37733
|
$32.99
|
Cedar Fair, L.P.
|
Depositary units, no par value
|
FUN UN
|
New York Stock Exchange
|
001-9444
|
$50.00
|
Hostess Brands, Inc.
|
Class A common stock, par value $0.0001 per share
|
TWNK UR
|
The Nasdaq Stock Market LLC
|
001-37540
|
$14.68
|
Reynolds Consumer Products Inc.
|
Common stock, par value $0.001 per share
|
REYN UW
|
Nasdaq Global Select Market
|
001-39205
|
$29.98
|
According to publicly available filings
of the relevant Reference Stock issuer with the SEC:
|
·
|
The Gap, Inc. is a global apparel retail company that
offers apparel, accessories and personal care products for men, women, children and babies under the Old Navy, Gap, Banana Republic,
Athleta, Intermix, Janie and Jack and Hill City brands.
|
|
·
|
Caesars Entertainment, Inc. (formerly known as Eldorado
Resorts, Inc.) is a gaming and hospitality company.
|
|
·
|
Dave & Busters’ Entertainment, Inc. owns
and operates entertainment and dining venues.
|
|
·
|
United Airlines Holdings, Inc. (formerly known as United
Continental Holdings, Inc.) transports people and cargo through its mainline and regional operations.
|
|
·
|
L Brands, Inc. operates in the specialty retail business
focused on women’s intimate and other apparel, personal care, beauty and home fragrance products.
|
|
·
|
Norwegian Cruise Line Holdings LTD., a Bermudan company,
is a global cruise company that operates the Norwegian Cruise Line, Oceania Cruises and Regent Seven Seas Cruises brands.
|
|
·
|
Royal Caribbean Cruises LTD., a Liberian company, is
a cruise company that controls and operates four global cruise brands: Royal Caribbean International, Celebrity Cruises, Azamara
and Silversea Cruises.
|
|
·
|
Burlington Stores, Inc. is a retailer offering customers
merchandise, including: women’s ready-to-wear apparel, accessories, footwear, menswear, youth apparel, baby, home, coats,
beauty, toys and gifts.
|
|
·
|
Southwest Airlines Co. is a passenger airline that
provides scheduled air transportation in the United States and near-international markets.
|
|
·
|
Tapestry, Inc. operates in the business of luxury accessories
and lifestyle brands.
|
JPMorgan Structured Investments —
|
PS-11
|
Capped Return Enhanced Notes Linked to the J.P. Morgan Consumer Recovery Basket of 49 Reference Stocks
|
|
|
·
|
Ford Motor Company designs, manufactures, markets and
services a line of Ford cars, trucks, sport utility vehicles, electrified vehicles and Lincoln luxury vehicles, provides financial
services through Ford Motor Credit Company LLC, and is pursuing positions in electrification; mobility solutions, including self-driving
services; and connected vehicle services.
|
|
·
|
American Express Company is a globally integrated payments
company whose principal products and services are credit and charge card products, along with travel and lifestyle related services,
offered to customers and businesses around the world.
|
|
·
|
Nordstrom, Inc. is a fashion retailer offering high-quality
brand-name and private label merchandise focused on apparel, shoes, cosmetics and accessories.
|
|
·
|
Wynn Resorts, Limited is a designer, developer and
operator of integrated resorts featuring hotel rooms, retail space, dining and entertainment options, meeting and convention facilities
and gaming.
|
|
·
|
General Motors Company designs, builds and sells trucks,
crossovers, cars and automobile parts and also provides automotive financing services.
|
|
·
|
Alaska Air Group, Inc. operates two airlines, Alaska
Airlines, Inc. and Horizon Air Industries, Inc.
|
|
·
|
MasterCard Incorporated is a technology company in
the global payments industry that connects consumers, financial institutions, merchants, governments, digital partners, businesses
and other organizations worldwide, enabling them to use electronic forms of payment instead of cash and checks.
|
|
·
|
Delta Air Lines, Inc. provides scheduled air transportation
for passengers and cargo throughout the United States and around the world.
|
|
·
|
Expedia Group, Inc. is an online travel company that
provides travel products and services to leisure and corporate travelers in the United States and abroad as well as various media
and advertising offerings to travel and non-travel advertisers.
|
|
·
|
MGM Resorts International owns and operates integrated
casino, hotel and entertainment resorts.
|
|
·
|
Whirlpool Corporation is a kitchen and laundry appliance
company.
|
|
·
|
The Walt Disney Company is an entertainment company
with operations in media networks; parks, experiences and products; studio entertainment; and direct-to-consumer and international
products. On March 20, 2019, The Walt Disney Company acquired all of the outstanding shares of Twenty-First Century Fox, Inc. and
TWDC Enterprises 18 Corp. (formerly known as The Walt Disney Company) (“Legacy Disney”), and The Walt Disney Company
became the successor SEC registrant to Legacy Disney.
|
|
·
|
Newell Brands Inc. is a consumer goods company with
a portfolio of brands, including Rubbermaid®, Paper Mate®, Sharpie®, Dymo®,
EXPO®, Parker®, Elmer’s®, Coleman®, Marmot®, Oster®,
Sunbeam®, FoodSaver®, Mr. Coffee®, Rubbermaid Commercial Products®,
Graco®, Baby Jogger®, NUK®, Calphalon®, Contigo®, First
Alert®, Mapa®, Spontex® and Yankee Candle®.
|
|
·
|
Las Vegas Sands Corp. is a developer of destination
properties that feature accommodations, gaming, entertainment and retail malls, convention and exhibition facilities, restaurants
and other amenities.
|
|
·
|
Advance Auto Parts, Inc. is an automotive aftermarket
parts provider in North America, serving both professional installers (“Professional”) and “do-it-yourself”
(“DIY”) customers, as well as independently owned operators. They offer brand name, original equipment manufacturer
(“OEM”) and private label automotive replacement parts, accessories, batteries and maintenance items for domestic and
imported cars, vans, sport utility vehicles and light and heavy duty trucks.
|
|
·
|
Visa Inc. facilitates digital payments across more
than 200 countries and territories among a global set of consumers, merchants, financial institutions, businesses, strategic partners
and government entities through innovative technologies.
|
|
·
|
Lithia Motors, Inc. is a personal transportation provider
offering an array of products and services including new and used vehicles, finance and insurance products and automotive repair
and maintenance.
|
|
·
|
Booking Holdings Inc. connects consumers wishing to
make travel reservations with providers of travel services around the world through its online platforms.
|
|
·
|
PulteGroup, Inc. is primarily in the homebuilding business,
with mortgage banking operations conducted principally through its subsidiary, Pulte Mortgage LLC, and title and insurance brokerage
operations.
|
|
·
|
Restaurant Brands International Inc., a Canadian company,
is a quick service restaurant company that franchises or owns restaurants.
|
|
·
|
Fortune Brands Home & Security, Inc.is a home and
security products company. Fortune Brands Home & Security has three business segments: Plumbing, Outdoors & Security and
Cabinets.
|
|
·
|
Starbucks Corporation is a roaster, marketer and retailer
of specialty coffee.
|
|
·
|
Uber Technologies, Inc. is a technology platform that
uses a network, leading technology, operations and product expertise to power movement from point A to point B.
|
|
·
|
Ross Stores, Inc. operates two brands of off-price
retail apparel and home fashion stores.
|
|
·
|
Constellation Brands, Inc. international producer and
marketer of beer, wine, and spirits with operations in the U.S., Mexico, New Zealand, and Italy with consumer-connected brands
like Corona Extra, Modelo Especial, Robert Mondavi, Kim Crawford, Meiomi, and SVEDKA Vodka.
|
|
·
|
Ulta Beauty, Inc. is a beauty retailer in the United
States, offering cosmetics, fragrance, skin care products, hair care products and salon services. On January 29, 2017, Ulta Beauty,
Inc. implemented a holding company reorganization pursuant to which Ulta Beauty, Inc. became the successor to Ulta Salon, Cosmetics
& Fragrance, Inc. (“Ulta Salon”), the formerly publicly traded company and now a wholly owned subsidiary of Ulta
Beauty, Inc.
|
|
·
|
The Coca-Cola Company is a nonalcoholic beverage company
that owns or licenses and markets nonalcoholic beverage brands.
|
|
·
|
Five Below, Inc. offers products, most priced at $5
and below with some items up to $10, including select brands and licensed merchandise.
|
|
·
|
McDonald’s Corporation franchises and operates
McDonald’s restaurants, which serve a locally-relevant menu of quality food and beverages in 119 countries.
|
|
·
|
The TJX Companies, Inc. is an off-price apparel and
home fashions retailer.
|
|
·
|
Best Buy Co., Inc. offers computing and mobile phones,
consumer electronics, appliances, entertainment and other services.
|
|
·
|
Dollar General Corporation is a discount retailer offering
a broad selection of merchandise, including consumable items, seasonal items, home products and apparel.
|
|
·
|
Target Corporation sells an assortment of general merchandise
and food.
|
|
·
|
luluemon athletica inc. is principally a designer,
distributor, and retailer of healthy lifestyle inspired athletic apparel and accessories.
|
JPMorgan Structured Investments —
|
PS-12
|
Capped Return Enhanced Notes Linked to the J.P. Morgan Consumer Recovery Basket of 49 Reference Stocks
|
|
|
·
|
American Axle & Manufacturing Holdings, Inc. is
a global supplier to the automotive industry that designs, engineers and manufactures driveline and metal forming products.
|
|
·
|
MGM Growth Properties LLC is a publicly traded REITs
engaged in the acquisition, ownership and leasing of large-scale destination entertainment and leisure resorts, whose tenants generally
offer diverse amenities including casino gaming, hotel, convention, dining, entertainment and retail offerings.
|
|
·
|
Cedar Fair, L.P. is a regional amusement park operator
with a portfolio consisting of amusement parks, water parks and complementary resort facilities.
|
|
·
|
Hostess Brands, Inc. is a packaged food company focused
on developing, manufacturing, selling and distributing snack products in North America.
|
|
·
|
Reynolds Consumer Products Inc. produces and sells
products across three broad categories: cooking products, waste & storage products and tableware.
|
Historical Information Regarding the Basket
and the Reference Stocks
The following graphs show the historical weekly performance
of the Basket as a whole from February 7, 2020 through March 12, 2021, as well as the Reference Stocks (other than the common stock
of The Walt Disney Company, the class A shares of MGM Growth Properties LLC, the common stock of Ulta Beauty, Inc., the common
stock of Uber Technologies, Inc. and the common stock of Reynolds Consumer Products Inc.) from January 4, 2016 through March 12,
2021, the common stock of The Walt Disney Company from March 20, 2019 through March 12, 2021, the class A shares of MGM Growth
Properties LLC from April 20, 2016 through March 12, 2021, the common stock of Ulta Beauty, Inc. from January 30, 2017 through
March 12, 2021, the common stock of Uber Technologies, Inc. from May 10, 2019 through March 12, 2021 and the common stock of Reynolds
Consumer Products Inc. from January 31, 2020 through March 12, 2021. The graph of the historical Basket performance assumes the
closing level of the Basket on March 12, 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-13
|
Capped Return Enhanced Notes Linked to the J.P. Morgan Consumer Recovery Basket of 49 Reference Stocks
|
|
JPMorgan Structured Investments —
|
PS-14
|
Capped Return Enhanced Notes Linked to the J.P. Morgan Consumer Recovery Basket of 49 Reference Stocks
|
|
JPMorgan Structured Investments —
|
PS-15
|
Capped Return Enhanced Notes Linked to the J.P. Morgan Consumer Recovery Basket of 49 Reference Stocks
|
|
JPMorgan Structured Investments —
|
PS-16
|
Capped Return Enhanced Notes Linked to the J.P. Morgan Consumer Recovery Basket of 49 Reference Stocks
|
|
JPMorgan Structured Investments —
|
PS-17
|
Capped Return Enhanced Notes Linked to the J.P. Morgan Consumer Recovery Basket of 49 Reference Stocks
|
|
JPMorgan Structured Investments —
|
PS-18
|
Capped Return Enhanced Notes Linked to the J.P. Morgan Consumer Recovery Basket of 49 Reference Stocks
|
|
JPMorgan Structured Investments —
|
PS-19
|
Capped Return Enhanced Notes Linked to the J.P. Morgan Consumer Recovery Basket of 49 Reference Stocks
|
|
†The vertical dotted line in the graph
indicates March 20, 2019. In the graph, the performance to the left of the vertical dotted line reflects the common stock of Legacy
Disney and the performance to the right of the vertical dotted line reflects the common stock of The Walt Disney Company.
JPMorgan Structured Investments —
|
PS-20
|
Capped Return Enhanced Notes Linked to the J.P. Morgan Consumer Recovery Basket of 49 Reference Stocks
|
|
JPMorgan Structured Investments —
|
PS-21
|
Capped Return Enhanced Notes Linked to the J.P. Morgan Consumer Recovery Basket of 49 Reference Stocks
|
|
JPMorgan Structured Investments —
|
PS-22
|
Capped Return Enhanced Notes Linked to the J.P. Morgan Consumer Recovery Basket of 49 Reference Stocks
|
|
JPMorgan Structured Investments —
|
PS-23
|
Capped Return Enhanced Notes Linked to the J.P. Morgan Consumer Recovery Basket of 49 Reference Stocks
|
|
JPMorgan Structured Investments —
|
PS-24
|
Capped Return Enhanced Notes Linked to the J.P. Morgan Consumer Recovery Basket of 49 Reference Stocks
|
|
†The
vertical dotted line in the graph indicates January 30, 2017, which was the first day of trading of Ulta Beauty Inc.. In the graph,
the performance to the left of the vertical dotted line reflects the common stock of Ulta Salon and the performance to the right
of the vertical dotted line reflects Ulta Beauty Inc.
JPMorgan Structured Investments —
|
PS-25
|
Capped Return Enhanced Notes Linked to the J.P. Morgan Consumer Recovery Basket of 49 Reference Stocks
|
|
JPMorgan Structured Investments —
|
PS-26
|
Capped Return Enhanced Notes Linked to the J.P. Morgan Consumer Recovery Basket of 49 Reference Stocks
|
|
JPMorgan Structured Investments —
|
PS-27
|
Capped Return Enhanced Notes Linked to the J.P. Morgan Consumer Recovery Basket of 49 Reference Stocks
|
|
JPMorgan Structured Investments —
|
PS-28
|
Capped Return Enhanced Notes Linked to the J.P. Morgan Consumer Recovery Basket of 49 Reference Stocks
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JPMorgan Structured Investments —
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PS-29
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Capped Return Enhanced Notes Linked to the J.P. Morgan Consumer Recovery Basket of 49 Reference Stocks
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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 will be 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 Will Be Lower Than the Original Issue
Price (Price to Public) of the Notes” in this pricing supplement.
Secondary Market Prices of the Notes
For information about factors that will impact
any secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in
the accompanying product supplement. In addition, we generally expect that some of the costs included in the original issue price
of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will
decline to zero over an initial predetermined period. These costs can include selling commissions, projected hedging profits, if
any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates for structured debt issuances.
This initial predetermined time period is intended to be the shorter of six months and one-half of the stated term of the notes.
The length of any such initial period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection
with our hedging activities, the estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates.
See “Selected Risk Considerations — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer
Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this pricing
supplement.
Supplemental Use of Proceeds
The notes are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the notes. See “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,
JPMorgan Structured Investments —
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PS-30
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Capped Return Enhanced Notes Linked to the J.P. Morgan Consumer Recovery Basket of 49 Reference Stocks
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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.
JPMorgan Structured Investments —
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PS-31
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Capped Return Enhanced Notes Linked to the J.P. Morgan Consumer Recovery Basket of 49 Reference Stocks
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