Key Terms
Issuer:
|
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
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Guarantor:
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JPMorgan Chase & Co.
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Reference Stock:
|
The common stock of Advanced Micro Devices, Inc., par value $0.01 per share (Bloomberg ticker: AMD UW). We refer to Advanced Micro Devices, Inc. as “Advanced Micro Devices.”
|
Contingent Interest Payments:
|
If the notes have not been automatically called and, with respect
to any Review Date, the closing price of one share of the Reference Stock (in the case of any Review Date other than the final
Review Date) or the Final Stock Price of the Reference Stock (in the case of the final Review Date) is greater than or equal to
the Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal amount note a Contingent
Interest Payment equal to $42.50, plus any previously unpaid Contingent Interest Payments for any prior Review Dates.
If the Contingent Interest Payment is not paid on any Interest
Payment Date, that unpaid Contingent Interest Payment will be paid on a later Interest Payment Date if the closing price of one
share or Final Stock Price, as applicable, of the Reference Stock on the Review Date related to that later Interest Payment Date
is greater than or equal to the Interest Barrier.
You will not receive any unpaid Contingent Interest Payments if the closing price of one share or Final Stock Price, as applicable,
of the Reference Stock on each subsequent Review Date is less than the Interest Barrier.
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Interest Barrier / Trigger Price:
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$57.0675, which is an amount that represents 75.00% of the Stock Strike Price
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Downside Leverage Factor:
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1.33333
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Automatic Call:
|
If, with respect to any Review Date (other than the first and final Review Dates), the closing price of one share of the Reference Stock is greater than or equal to its Stock Strike Price, the notes will be automatically called for a cash payment, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to that Review Date plus (c) any previously unpaid Contingent Interest Payments for any prior Review Dates, payable on the applicable Call Settlement Date.
|
Payment at Maturity:
|
If, the notes have not been automatically called and a Trigger Event
has not occurred, you will receive a cash payment at maturity, for each $1,000 principal amount note, equal to (a)
$1,000 plus (b) the Contingent Interest Payment applicable to the final Review Date plus (c) any previously unpaid
Contingent Interest Payments for any prior Review Dates.
If the notes have not been automatically called and a Trigger Event
has occurred, at maturity you will lose 1.33333% of the principal amount of your notes for every 1% that the Final
Stock Price of the Reference Stock is less than its Stock Strike Price. Under these circumstances, your payment at maturity per
$1,000 principal amount note will be calculated as follows:
$1,000 + [$1,000 × (Reference Stock Return
+ 25.00%) × Downside Leverage Factor]
If the notes have not been automatically called and a Trigger Event
has occurred, you will lose more than 25.00% of your principal amount at maturity and could lose up to the entire principal amount
of your notes at maturity.
|
Trigger Event:
|
A Trigger Event occurs if the Final Stock Price (i.e., the arithmetic average of the closing prices of one share of the Reference Stock on the Ending Averaging Dates) of the Reference Stock is less than its Trigger Price.
|
Pricing Date:
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July 30, 2020
|
Original Issue Date:
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On or about August 4, 2020 (Settlement Date)
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Review Dates†:
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November 12, 2020, February 11, 2021, May 13, 2021 and August 13, 2021 (the “final Review Date”)
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Ending Averaging Dates†:
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August 9, 2021, August 10, 2021, August 11, 2021, August 12, 2021 and the final Review Date
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Interest Payment Dates†:
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November 17, 2020, February 17, 2021, May 18, 2021 and the Maturity Date
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Call Settlement Date†:
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If the notes are automatically called on any Review Date (other than the first and final Review Dates), the first Interest Payment Date immediately following that Review Date
|
Maturity Date†:
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August 18, 2021
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CUSIP:
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48132MYJ4
|
Reference Stock Return:
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(Final Stock Price – Stock Strike Price)
Stock Strike Price
|
Stock Strike Price:
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$76.09, the closing price of one share of the Reference Stock on July
29, 2020.
The Stock Strike Price is not determined by reference to the closing
price of one share of the Reference Stock on the Pricing Date.
|
Final Stock Price:
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The arithmetic average of the closing prices of one share of the Reference Stock on the Ending Averaging Dates
|
Stock Adjustment Factor:
|
The Stock Adjustment Factor is referenced in determining the closing price of one share of the Reference Stock and is set initially at 1.0 on the Pricing Date. The Stock Adjustment Factor is subject to adjustment upon the occurrence of certain corporate events affecting the Reference Stock. See “The Underlyings — Reference Stocks — Anti-Dilution Adjustments” and “The Underlyings — Reference Stocks — Reorganization Events” in the accompanying product supplement for further information.
|
† Subject
to postponement in the event of certain market disruption events and as described under “General Terms of Notes — Postponement
of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity
Index” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
Investing in the notes involves a number of risks. See “Risk
Factors” beginning on page PS-10 of the accompanying product supplement, and “Selected Risk Considerations” beginning
on page PS-5 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy 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.
|
Price to Public (1)
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Fees and Commissions (2)
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Proceeds to Issuer
|
Per note
|
$1,000.00
|
$10.00
|
$990.00
|
Total
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$2,200,000.00
|
$22,000.00
|
$2,178,000.00
|
|
(1)
|
See “Supplemental Use of Proceeds” in this pricing
supplement for information about the components of the price to public of the notes.
|
|
(2)
|
J.P. Morgan Securities LLC, which we refer to as JPMS, acting
as agent for JPMorgan Financial, will pay all of the selling commissions of $10.00 per $1,000 principal amount note it receives
from us to other affiliated or unaffiliated dealers. See “Plan of Distribution (Conflicts of Interest)” in the accompanying
product supplement.
|
The estimated value of the notes, when the terms of the notes were
set, was $969.60 per $1,000 principal amount note. See “The Estimated Value of the Notes” in this pricing supplement
for additional information.
The notes are not bank deposits, are not insured by the Federal
Deposit Insurance Corporation or any other governmental agency, and are not obligations of, or guaranteed by, a bank.
Additional Terms Specific to the Notes
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes,
of which these notes are a part, and the more detailed information contained in the accompanying product supplement. 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):
·
Product supplement no. 4-I dated April 8, 2020:
https://www.sec.gov/Archives/edgar/data/19617/000095010320007234/crt-dp125068_424b2.pdf
·
Prospectus supplement and prospectus, each dated
April 8, 2020:
https://www.sec.gov/Archives/edgar/data/19617/000095010320007214/crt_dp124361-424b2.pdf
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.
JPMorgan Structured Investments —
|
PS-2
|
Auto Callable Contingent Interest Notes Linked to the Common Stock of Advanced Micro Devices, Inc.
|
|
What Are the Payments on the Notes, Assuming
a Range of Performances for the Reference Stock?
If the notes have not been automatically called and, with
respect to any Review Date, the closing price of one share of the Reference Stock (in the case of any Review Date other than the
final Review Date) or the Final Stock Price (in the case of the final Review Date) is greater than or equal to the Interest Barrier,
you will receive on the applicable Interest Payment Date for each $1,000 principal amount note a Contingent Interest Payment equal
to $42.50 plus any previously unpaid Contingent Interest Payments for any prior Review Dates. If the notes have not been automatically
called and, with respect to any Review Date, the closing price of one share of the Reference Stock (in the case of any Review Date
other than the final Review Date) or the Final Stock Price (in the case of the final Review Date) is less than the Interest Barrier,
no Contingent Interest Payment will be made with respect to that Review Date. We refer to the Interest Payment Date immediately
following any Review Date on which the closing price of one share of the Reference Stock is less than the Interest Barrier, and
for which no Contingent Interest Payment subsequently becomes payable on any later Interest Payment Date, as a “No-Coupon
Date.” The following table reflects the Contingent Interest Payment of $42.50 per $1,000 principal amount note and illustrates
the hypothetical total Contingent Interest Payments per $1,000 principal amount note over the term of the notes depending on how
many No-Coupon Dates occur.
Number of
No-Coupon Dates
|
Total Contingent Coupon Payments
|
0 No-Coupon Dates
|
$170.00
|
1 No-Coupon Date
|
$127.50
|
2 No-Coupon Dates
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$85.00
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3 No-Coupon Dates
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$42.50
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4 No-Coupon Dates
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$0.00
|
The following table illustrates the hypothetical payments
on the notes in different hypothetical scenarios. Each hypothetical payment set forth below assumes a Stock Strike Price of $75.00,
an Interest Barrier and a Trigger Price of $56.25 (equal to 75.00% of the hypothetical Stock Strike Price), the Downside Leverage
Factor of 1.33333 and reflects the Contingent Interest Payment of $42.50. Each hypothetical payment set forth below is for illustrative
purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing in the following
table and examples have been rounded for ease of analysis.
|
|
First Review Date
|
Review Dates Other than the First and Final Review Dates
|
Final Review Date
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Closing price of one share of the Reference Stock
|
Reference Stock Appreciation/Depreciation at Review Date
|
Payment on Interest Payment Date
|
Payment on Interest Payment Date or Call Settlement Date (1)(2)
|
Final Stock Price of the Reference Stock (3)
|
Stock Return
|
Payment at Maturity If a Trigger Event Has Not Occurred (2)(4)
|
Payment at Maturity If a Trigger Event Has Occurred (4)
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$135.00
|
80.00%
|
$42.50
|
$1,042.50
|
$135.00
|
80.00%
|
$1,042.50
|
N/A
|
$127.50
|
70.00%
|
$42.50
|
$1,042.50
|
$127.50
|
70.00%
|
$1,042.50
|
N/A
|
$120.00
|
60.00%
|
$42.50
|
$1,042.50
|
$120.00
|
60.00%
|
$1,042.50
|
N/A
|
$112.50
|
50.00%
|
$42.50
|
$1,042.50
|
$112.50
|
50.00%
|
$1,042.50
|
N/A
|
$105.00
|
40.00%
|
$42.50
|
$1,042.50
|
$105.00
|
40.00%
|
$1,042.50
|
N/A
|
$97.50
|
30.00%
|
$42.50
|
$1,042.50
|
$97.50
|
30.00%
|
$1,042.50
|
N/A
|
$90.00
|
20.00%
|
$42.50
|
$1,042.50
|
$90.00
|
20.00%
|
$1,042.50
|
N/A
|
$82.50
|
10.00%
|
$42.50
|
$1,042.50
|
$82.50
|
10.00%
|
$1,042.50
|
N/A
|
$78.75
|
5.00%
|
$42.50
|
$1,042.50
|
$78.75
|
5.00%
|
$1,042.50
|
N/A
|
$75.00
|
0.00%
|
$42.50
|
$1,042.50
|
$75.00
|
0.00%
|
$1,042.50
|
N/A
|
$71.25
|
-5.00%
|
$42.50
|
$42.50
|
$71.25
|
-5.00%
|
$1,042.50
|
N/A
|
$67.50
|
-10.00%
|
$42.50
|
$42.50
|
$67.50
|
-10.00%
|
$1,042.50
|
N/A
|
$60.00
|
-20.00%
|
$42.50
|
$42.50
|
$60.00
|
-20.00%
|
$1,042.50
|
N/A
|
$56.25
|
-25.00%
|
$42.50
|
$42.50
|
$56.25
|
-25.00%
|
$1,042.50
|
N/A
|
$56.24
|
-25.01%
|
N/A
|
N/A
|
$56.24
|
-25.01%
|
N/A
|
$999.87
|
$52.50
|
-30.00%
|
N/A
|
N/A
|
$52.50
|
-30.00%
|
N/A
|
$933.33
|
$45.00
|
-40.00%
|
N/A
|
N/A
|
$45.00
|
-40.00%
|
N/A
|
$800.00
|
$37.50
|
-50.00%
|
N/A
|
N/A
|
$37.50
|
-50.00%
|
N/A
|
$666.67
|
$30.00
|
-60.00%
|
N/A
|
N/A
|
$30.00
|
-60.00%
|
N/A
|
$533.33
|
$22.50
|
-70.00%
|
N/A
|
N/A
|
$22.50
|
-70.00%
|
N/A
|
$400.00
|
$15.00
|
-80.00%
|
N/A
|
N/A
|
$15.00
|
-80.00%
|
N/A
|
$266.67
|
$7.50
|
-90.00%
|
N/A
|
N/A
|
$7.50
|
-90.00%
|
N/A
|
$133.34
|
$0.00
|
-100.00%
|
N/A
|
N/A
|
$0.00
|
-100.00%
|
N/A
|
$0.00
|
JPMorgan Structured Investments —
|
PS-3
|
Auto Callable Contingent Interest Notes Linked to the Common Stock of Advanced Micro Devices, Inc.
|
|
(1) The notes will be automatically called if the closing
price of one share of the Reference Stock on any Review Date (other than the first and final Review Dates) is greater than or equal
to its Stock Strike Price. If the closing price of one share of the Reference Stock on the first Review Date is greater than or
equal to the Interest Barrier, you will receive a Contingent Interest Payment on the first Interest Payment Date but the notes
will not be automatically called.
(2) You will receive a Contingent Interest Payment
in connection with a Review Date if the closing price of one share of the Reference Stock on that Review Date (in the case of any
Review Date other than the final Review Date) or the Final Stock Price of the Reference Stock (in the case of the final Review
Date) is greater than or equal to the Interest Barrier plus any previously unpaid Contingent Interest Payments for any prior
Review Dates. The applicable amount shown in the table above does not include any previously unpaid Contingent Interest Payments
that may be payable on the applicable Interest Payment Date.
(3) With respect to the Reference Stock, the Final
Stock Price is equal to the arithmetic average of the closing price of one share of the Reference Stock on the Ending Averaging
Dates.
(4) A Trigger Event occurs if the Final Stock Price
(i.e., the arithmetic average of the closing prices of one share of the Reference Stock on the Ending Averaging Dates) of
the Reference Stock is less than its Trigger Price.
Hypothetical Examples of Amounts Payable
on the Notes
The following examples illustrate how payments on the notes
in different hypothetical scenarios are calculated.
Example 1: The price
of one share of the Reference Stock increases from its Stock Strike Price of $75.00 to a closing price of $82.50 on the first Review
Date. Because the closing price of the Reference Stock on the first Review Date is greater than the Interest Barrier, the investor
is entitled to receive a Contingent Interest Payment in connection with that Review Date. Accordingly, the investor receives a
payment of $42.50 per $1,000 principal amount note on the first Interest Payment Date. The notes are not automatically called.
Example 2: A Contingent Interest Payment is not paid in connection
with the first Review Date but is paid in connection with the second Review Date, the closing price of one share of the Reference
Stock is less than its Stock Strike Price of $75.00 on each of the Review Dates preceding the third Review Date and the price of
one share of the Reference Stock increases from its Stock Strike Price of $75.00 to a closing price of $82.50 on the third
Review Date. The investor receives a payment of $85.00 per $1,000 principal amount note in connection with the second Review
Date (reflecting the Contingent Interest Payment for the second Review Date and the unpaid Contingent Interest Payment for the
first Review Date), but the notes are not automatically called on any of the Review Dates preceding the third Review Date because
the closing price of one share of the Reference Stock is less than its Stock Strike Price on each of the Review Dates preceding
the third Review Date. Because the closing price of one share of the Reference Stock on the third Review Date is greater than the
Interest Barrier, the investor is entitled to receive a Contingent Interest Payment in connection with the third Review Date. In
addition, because the closing price of one share of the Reference Stock on the third Review Date is greater than its Stock Strike
Price, the notes are automatically called. Accordingly, the investor receives a payment of $1,042.50 per $1,000 principal amount
note on the relevant Call Settlement Date, consisting of a Contingent Interest Payment of $42.50 per $1,000 principal amount note
and repayment of principal equal to $1,000 per $1,000 principal amount note. As a result, the total amount paid on the notes over
the term of the notes is $1,127.50 per $1,000 principal amount note. No further payments will be made on the notes.
Example 3: The notes have not been automatically called prior
to maturity, Contingent Interest Payments are paid in connection with each of the Review Dates preceding the final Review Date
and the price of one share of the Reference Stock increases from the Stock Strike
Price of $75.00 to a Final Stock Price of $82.50 — A Trigger Event has not occurred. The investor receives a payment
of $42.50 per $1,000 principal amount note in connection with each of the Review Dates preceding the final Review Date. Because
the notes have not been automatically called prior to maturity and a Trigger Event has not occurred, the investor receives at maturity
a payment of $1,042.50 per $1,000 principal amount note. This payment consists of a Contingent Interest Payment of $42.50 per $1,000
principal amount note and repayment of principal equal to $1,000 per $1,000 principal amount note. The total amount paid on the
notes over the term of the notes is $1,170.00 per $1,000 principal amount note. This represents the maximum total payment
an investor may receive over the term of the notes.
Example 4: The notes have not been automatically called prior
to maturity, a Contingent Interest Payment is paid in connection with the second Review Date but not paid in connection with the
first or third Review Dates and the price of one share of the Reference Stock decreases
from the Stock Strike Price of $75.00 to a Final Stock Price of $56.25 — A Trigger Event has not occurred. The investor
receives a payment of $85.00 per $1,000 principal amount note in connection with the second Review Date (reflecting the Contingent
Interest Payment for the second Review Date and the unpaid Contingent Interest Payment for the first Review Date). Because the
notes have not been automatically called prior to maturity and a Trigger Event has not occurred, even though the Final Stock Price
of the Reference Stock is less than its Stock Strike Price, the investor receives at maturity a payment of $1,085.00 per $1,000
principal amount note. This payment consists of Contingent Interest Payments of $85.00 per $1,000 principal amount note (reflecting
the Contingent Interest Payment for the final Review Date and the unpaid Contingent Interest Payment for the third Review Date)
and repayment of principal equal to $1,000 per $1,000 principal amount note. The total amount paid on the notes over the term of
the notes is $1,170.00 per $1,000 principal amount note. This represents the maximum total payment an investor may receive
over the term of the notes.
JPMorgan Structured Investments —
|
PS-4
|
Auto Callable Contingent Interest Notes Linked to the Common Stock of Advanced Micro Devices, Inc.
|
|
Example 5: The notes have not been automatically called prior
to maturity, Contingent Interest Payments are paid in connection with each of the Review Dates preceding the final Review Date
and the price of one share of the Reference Stock decreases from the Stock Strike Price of $75.00 to a Final Stock Price of $30.00
— A Trigger Event has occurred. The investor receives a payment of $42.50 per $1,000 principal amount note in connection
with each of the Review Dates preceding the final Review Date. Because the notes have not been automatically called prior to maturity,
a Trigger Event has occurred and the Reference Stock Return is -60.00%, the investor receives at maturity a payment of $533.3345
per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-60.00% + 25.00%)
* 1.33333] = $533.3345
The total amount paid on the notes over the term of the notes
is $660.8345 per $1,000 principal amount note.
Example 6: The notes have not been automatically called prior
to maturity, no Contingent Interest Payments are paid in connection with the Review Dates preceding the final Review Date and the
price of one share of the Reference Stock decreases from the Stock Strike Price of $75.00 to a Final Stock Price of $22.50 —
A Trigger Event has occurred. Because the notes have not been automatically called prior to maturity, no Contingent Interest
Payments are paid in connection with the Review Dates preceding the final Review Date, a Trigger Event has occurred and the Reference
Stock Return is -70.00%, the investor receives no payments over the term of the notes, other than a payment at maturity of $400.00
per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-70.00% + 25.00%)
* 1.33333] = $400.00
The hypothetical payments on the notes shown above apply only
if you hold the notes for their entire term or until automatically called. These hypotheticals do not reflect fees or expenses
that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical payments
shown above would likely be lower.
Selected Purchase Considerations
|
·
|
CONTINGENT INTEREST PAYMENTS — The notes
offer the potential to earn a Contingent Interest Payment in connection with each Review Date of $42.50 per $1,000 principal amount
note. If the notes have not been automatically called and, with respect to any Review Date, the closing price of one share of the
Reference Stock (in the case of any Review Date other than the final Review Date) or the Final Stock Price of the Reference Stock
(in the case of the final Review Date) is greater than or equal to the Interest Barrier, you will receive a Contingent Interest
Payment on the applicable Interest Payment Date plus any previously unpaid Contingent Interest Payments for any prior Review
Dates. If the notes have not been automatically called and, with respect to any Review Date, the closing price of one share of
the Reference Stock (in the case of any Review Date other than the final Review Date) or the Final Stock Price of the Reference
Stock (in the case of the final Review Date) is less than the Interest Barrier, no Contingent Interest Payment will be made with
respect to that Review Date. You will not receive any unpaid Contingent Interest Payments if the closing price of one share or
Final Stock Price, as applicable, of the Reference Stock on each subsequent Review Date is less than the Interest Barrier. If the
closing price of the Reference Stock on each Review Date is less than the Interest Barrier, you will not receive any Contingent
Interest Payments over the term of the notes. If payable, a Contingent Interest Payment will be made to the holders of record at
the close of business on the business day immediately preceding the applicable Interest Payment Date. 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.
|
|
·
|
POTENTIAL EARLY EXIT AS A RESULT OF THE AUTOMATIC
CALL FEATURE — If the closing price of one share of the Reference Stock on any Review Date (other than the first and
final Review Dates) is greater than or equal to its Stock Strike Price, your notes will be automatically called prior to the Maturity
Date. Under these circumstances, you will receive a cash payment, for each $1,000 principal amount note, equal to (a) $1,000 plus
(b) the Contingent Interest Payment applicable to that Review Date plus (c) any previously unpaid Contingent Interest Payments
for any prior Review Dates, payable on the applicable Call Settlement Date. Even in cases where the notes are called prior to maturity,
you are not entitled to any fees and commissions described on the front cover of this pricing supplement.
|
|
·
|
THE NOTES DO NOT GUARANTEE THE RETURN OF YOUR
PRINCIPAL IF THE NOTES HAVE NOT BEEN AUTOMATICALLY CALLED — If the notes have not been automatically called, we will
pay you your principal back at maturity only if a Trigger Event has not occurred. However, if the notes have not been automatically
called and a Trigger Event has occurred, you will lose more than 25.00% of your principal amount at maturity and could lose up
to the entire principal amount of your notes at maturity.
|
|
·
|
RETURN LINKED TO A SINGLE REFERENCE STOCK —
The return on the notes is linked to the performance of a single Reference Stock, which is the common stock of Advanced Micro Devices.
For additional information see “The Reference Stock” in 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-I.
In determining our reporting responsibilities we intend to treat (i) the notes for U.S. federal income tax purposes as prepaid
forward contracts with associated contingent coupons and (ii) any Contingent Interest Payments as ordinary income, as described
in the section entitled “Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders — Notes
Treated as Prepaid Forward Contracts with Associated Contingent Coupons” in the accompanying product supplement. Based on
the advice of Latham & Watkins LLP, our special tax counsel, we believe that this is a reasonable treatment, but that there
are other reasonable treatments that the IRS or a court may adopt, in which case the timing and character of any income or loss
on the notes could be materially affected. In addition, in 2007 Treasury and the
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JPMorgan Structured Investments —
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PS-5
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Auto Callable Contingent Interest Notes Linked to the Common Stock of Advanced Micro Devices, Inc.
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IRS released a notice requesting comments
on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses
in particular on whether to require investors in these instruments to accrue income over the term of their investment. It also
asks for comments on a number of related topics, including the character of income or loss with respect to these instruments and
the relevance of factors such as the nature of the underlying property to which the instruments are linked. While the notice requests
comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration
of these issues could materially affect the tax consequences of an investment in the notes, possibly with retroactive effect. The
discussions above and in the accompanying product supplement do not address the consequences to taxpayers subject to special tax
accounting rules under Section 451(b) of the Code. You should consult your tax adviser regarding the U.S. federal income tax consequences
of an investment in the notes, including possible alternative treatments and the issues presented by the notice described above.
Non-U.S. Holders —
Tax Considerations. The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and although we believe
it is reasonable to take a position that Contingent Interest Payments are not subject to U.S. withholding tax (at least if an applicable
Form W-8 is provided), a withholding agent may nonetheless withhold on these payments (generally at a rate of 30%, subject to the
possible reduction of that rate under an applicable income tax treaty), unless income from your notes is effectively connected
with your conduct of a trade or business in the United States (and, if an applicable treaty so requires, attributable to a permanent
establishment in the United States). If you are not a United States person, you are urged to consult your tax adviser regarding
the U.S. federal income tax consequences of an investment in the notes in light of your particular circumstances.
Section
871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding
tax (unless an income tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain
financial instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions
to this withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in
the applicable Treasury regulations (such an index, a “Qualified Index”). Additionally, a recent IRS notice excludes
from the scope of Section 871(m) instruments issued prior to January 1, 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.
FATCA. Withholding under legislation commonly
referred to as “FATCA” could apply to payments with respect to the notes that are treated as U.S.-source “fixed
or determinable annual or periodical” income (“FDAP Income”) for U.S. federal income tax purposes (such as interest,
if the notes are recharacterized, in whole or in part, as debt instruments, or Contingent Interest Payments if they are otherwise
treated as FDAP Income). If the notes are recharacterized, in whole or in part, as debt instruments, withholding could also apply
to payments of gross proceeds of a taxable disposition, including an early redemption or redemption at maturity, although under
recently proposed regulations (the preamble to which specifies that taxpayers are permitted to rely on them pending finalization),
no withholding will apply to payments of gross proceeds (other than any amount treated as FDAP Income). You should consult your
tax adviser regarding the potential application of FATCA to the notes.
In the event of any withholding on the notes, we
will not be required to pay any additional amounts with respect to amounts so withheld.
Selected
Risk Considerations
An investment in the notes involves significant risks. Investing
in the notes is not equivalent to investing directly in the Reference Stock. These risks are explained in more detail in the “Risk
Factors” section of the accompanying product supplement.
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·
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YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS
— The notes do not guarantee any return of principal. If the notes have not been automatically called and a Trigger Event
has occurred, you will lose 1.33333% of your principal amount at maturity for every 1% that the Final Stock Price is less than
the Stock Strike Price by more than 25.00%. Accordingly, under these circumstances, you will lose some or all of your principal
amount at maturity.
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·
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THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST
AND MAY NOT PAY ANY INTEREST AT ALL — The terms of the notes differ from those of conventional debt securities in that,
among other things, whether we pay interest is linked to the performance of the Reference Stock. Contingent Interest Payments should
not be viewed as periodic interest payments. If the notes have not been automatically called, we will make a Contingent Interest
Payment with respect to a Review Date (and will pay you any previously unpaid Contingent Interest Payments for any prior Review
Dates) only if the closing price of one share of the Reference Stock (in the case of any Review Date other than the final Review
Date) or the Final Stock Price of the Reference Stock (in the case of the final Review Date) is greater than or equal to the Interest
Barrier. If the notes have not been automatically called and, with respect to any Review Date, the closing price of one share of
the Reference Stock (in the case of any Review Date other than the final Review Date) or the Final Stock Price of the Reference
Stock (in the case of the final Review Date) is less than the Interest Barrier, no Contingent Interest Payment will be made with
respect to that Review Date. You will not receive any unpaid Contingent Interest Payments if the closing price of one share or
Final Stock Price, as applicable, of the Reference Stock on each subsequent Review Date is less than the Interest Barrier. Accordingly,
if the closing price one share of the Reference Stock on each Review Date (other than the final Review
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JPMorgan Structured Investments —
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PS-6
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Auto Callable Contingent Interest Notes Linked to the Common Stock of Advanced Micro Devices, Inc.
|
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Date) and the Final Stock Price
of the Reference Stock are less than the Interest Barrier, you will not receive any Contingent Interest Payments over the term
of the notes.
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·
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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.
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·
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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.
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THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL
EARLY EXIT — If the notes are automatically called, the amount of Contingent Interest Payments made on the notes may
be less than the amount of Contingent Interest Payments that might have been payable if the notes were held to maturity, and, for
each $1,000 principal amount note, you will receive on the applicable Call Settlement Date $1,000 plus the Contingent Interest
Payment applicable to the relevant Review Date plus any previously unpaid Contingent Interest Payments for any prior Review
Dates.
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REINVESTMENT RISK — If your notes are
automatically called, the term of the notes may be reduced to as short as approximately six months and you will not receive any
Contingent Interest Payments after the applicable Call Settlement Date. There is no guarantee that you would be able to reinvest
the proceeds from an investment in the notes at a comparable return and/or with a comparable interest rate for a similar level
of risk in the event the notes are automatically called prior to the Maturity Date.
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THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED,
AND YOU WILL NOT PARTICIPATE IN ANY APPRECIATION IN THE PRICE OF THE REFERENCE STOCK — The appreciation potential of
the notes is limited to the sum of any Contingent Interest Payments that may be paid over the term of the notes, regardless of
any appreciation of the Reference Stock, which may be significant. You will not participate in any appreciation of the Reference
Stock. Accordingly, the return on the notes may be significantly less than the return on a direct investment in the Reference Stock
during the term of the notes.
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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.
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We and/or our affiliates may also
currently or from time to time engage in business with Advanced Micro Devices, including extending loans to, or making equity investments
in, Advanced Micro Devices or providing advisory services to Advanced Micro Devices. In addition, one or more of our affiliates
may publish research reports or otherwise express opinions with respect to Advanced Micro Devices, and these reports may or may
not recommend that investors buy or hold the Reference Stock. As a prospective purchaser of the notes, you should undertake an
independent investigation of the Reference Stock issuer that in your judgment is appropriate to make an informed decision with
respect to an investment in the notes.
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THE BENEFIT PROVIDED
BY THE TRIGGER PRICE MAY TERMINATE ON THE FINAL ENDING AVERAGING DATE — If the Final Stock Price of the Reference Stock
is less than its Trigger Price (i.e., a Trigger Event occurs) and the notes have not been automatically called, the benefit
provided by the Trigger Price will terminate and you will be fully exposed to any depreciation of the Reference Stock from its
Stock Strike Price to its Final Stock Price.
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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.
|
JPMorgan Structured Investments —
|
PS-7
|
Auto Callable Contingent Interest Notes Linked to the Common Stock of Advanced Micro Devices, Inc.
|
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·
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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.
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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.
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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 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).
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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.
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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.
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·
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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 the Reference Stock.
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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.
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NO OWNERSHIP OR DIVIDEND RIGHTS IN THE REFERENCE
STOCK — As a holder of the notes, you will not have any ownership interest or rights in the Reference Stock, such as
voting rights or dividend payments. In addition, the issuer of the Reference Stock 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 Reference Stock and the notes.
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NO AFFILIATION WITH THE REFERENCE STOCK ISSUER
— We are not affiliated with the issuer of the Reference Stock. We assume no responsibility for the adequacy of the information
about the Reference Stock issuer contained in this pricing supplement. You should undertake your own investigation into the Reference
Stock and its issuer. We are not responsible for the Reference Stock issuer’s public disclosure of information, whether contained
in SEC filings or otherwise.
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SINGLE STOCK RISK — The price of the
Reference Stock can fall sharply due to factors specific to the Reference Stock and its issuer, such as stock price volatility,
earnings, financial conditions, corporate, industry and regulatory developments, management changes and decisions and other events,
as well as general market factors, such as general stock market volatility and levels, interest rates and economic and political
conditions.
|
JPMorgan Structured Investments —
|
PS-8
|
Auto Callable Contingent Interest Notes Linked to the Common Stock of Advanced Micro Devices, Inc.
|
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·
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VOLATILITY RISK — Greater expected volatility
with respect to a Reference Stock indicates a greater likelihood as of the Pricing Date that the closing price of one share of
the Reference Stock on a Review Date (other than the final Review Date) or the Final Stock Price of the Reference Stock could be
less than the Interest Barrier and/or that a Trigger Event could occur. A Reference Stock’s volatility, however, can change
significantly over the term of the notes. The closing price of one share of the Reference Stock could fall sharply on any day during
the term of the notes, which could result in your not receiving any Contingent Interest Payment or a significant loss of principal,
or both.
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·
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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.
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·
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THE ANTI-DILUTION PROTECTION FOR THE REFERENCE
STOCK IS LIMITED AND MAY BE DISCRETIONARY — The calculation agent will make adjustments to the Stock Adjustment Factor
for certain corporate events affecting the shares of the Reference Stock. However, the calculation agent will not make an adjustment
in response to all events that could affect the shares of the 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.
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JPMorgan Structured Investments —
|
PS-9
|
Auto Callable Contingent Interest Notes Linked to the Common Stock of Advanced Micro Devices, Inc.
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The Reference Stock
Public Information
All information contained herein on the Reference Stock
and on Advanced Micro Devices is derived from publicly available sources and is provided for informational purposes only. According
to its publicly available filings with the SEC, Advanced Micro Devices is global semiconductor company that primarily offers computing
solutions and graphics and visual solutions. The common stock of Advanced Micro Devices, par value $0.01 per share (Bloomberg ticker:
AMD UW), is registered under the Securities Exchange Act of 1934, as amended, which we refer to as the “Exchange Act”,
and is listed on the NASDAQ Global Select Market, which we refer to as the relevant exchange for purposes of Advanced Micro Devices
in the accompanying product supplement. Information provided to or filed with the SEC by Advanced Micro Devices pursuant to the
Exchange Act can be located by reference to SEC file number 001-07882, and can be accessed through www.sec.gov. We do not make
any representation that these publicly available documents are accurate or complete.
Historical Information
The following graph sets forth the historical performance of the
Reference Stock based on the weekly historical closing prices of one share of the Reference Stock from January 2, 2015 through
July 24, 2020. The closing price of one share of the Reference Stock on July 30, 2020 was $78.20.
We obtained the closing prices above and below from Bloomberg
Professional® service (“Bloomberg”), without independent verification. The closing prices above and
below may have been adjusted by Bloomberg for corporate actions such as stock splits, public offerings, mergers and acquisitions,
spin-offs, delistings and bankruptcy. The historical prices of one share of the Reference Stock should not be taken as an indication
of future performance, and no assurance can be given as to the closing price of one share of the Reference Stock on any Review
Date or Ending Averaging Date. There can be no assurance that the performance of the Reference Stock will result in the return
of any of your principal amount at maturity or the payment of any interest.
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.
JPMorgan Structured Investments —
|
PS-10
|
Auto Callable Contingent Interest Notes Linked to the Common Stock of Advanced Micro Devices, Inc.
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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.
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 Are the Payments on the Notes,
Assuming a Range of Performances for the Reference Stock?” and “Hypothetical Examples of Amounts Payable on the Notes”
in this pricing supplement for an illustration of the risk-return profile of the notes and “The Reference Stock” 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-11
|
Auto Callable Contingent Interest Notes Linked to the Common Stock of Advanced Micro Devices, Inc.
|
|
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