The following examples illustrate payments on
the notes linked to two hypothetical Underlyings, assuming a range of performances for the hypothetical Lesser Performing Underlying
on the Review Dates. Each hypothetical payment set forth below assumes that the closing value of the Underlying that is not
the Lesser Performing Underlying on each Review Date is greater than or equal to its Initial Value (and therefore its Interest
Barrier and Trigger Value).
In addition, the hypothetical payments set forth
below assume the following:
The hypothetical Initial Value of the Lesser
Performing Underlying of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value
of either Underlying. The actual Initial Value of each Underlying is the closing value of that Underlying on the Pricing Date and
is specified under “Key Terms — Initial Value” in this pricing supplement. For historical data regarding the
actual closing values of each Underlying, please see the historical information set forth under “The Underlyings” in
this pricing supplement.
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 examples have been rounded for ease of analysis.
Because the closing value of each Underlying
on the sixth Review Date is greater than or equal to its Initial Value, the notes will be automatically called for a cash payment,
for each $1,000 principal amount note, of $1,011.50 (or $1,000 plus the Contingent Interest Payment applicable to the sixth
Review Date), payable on the applicable Call Settlement Date. The notes are not automatically callable before the sixth Review
Date, even though the closing value of each Underlying on each of the first through fifth Review Dates is greater than its Initial
Value. When added to the Contingent Interest Payments received with respect to the prior Review Dates, the total amount paid, for
each $1,000 principal amount note, is $1,069.00. No further payments will be made on the notes.
Because the notes have not been automatically
called and the Final Value of the Lesser Performing Underlying is greater than or equal to its Trigger Value and its Interest Barrier,
the payment at maturity, for each $1,000 principal amount note, will be $1,011.50 (or $1,000 plus the Contingent Interest
Payment applicable to the final Review Date). When added to the Contingent Interest Payments received with respect to the prior
Review Dates, the total amount paid, for each $1,000 principal amount note, is $1,034.50.
PS-4
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Lesser Performing of the S&P 500® Index and the ARK Innovation ETF
|
|
Example 3 — Notes have NOT been automatically
called and the Final Value of the Lesser Performing Underlying is less than its Interest Barrier but is greater than or equal to
its Trigger Value.
Date
|
Closing Value of Lesser
Performing Underlying
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
95.00
|
$11.50
|
Second Review Date
|
80.00
|
$11.50
|
Third through Seventeenth Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
65.00
|
$1,000.00
|
|
Total Payment
|
$1,023.00 (2.30% return)
|
Because the notes have not been automatically
called and the Final Value of the Lesser Performing Underlying is less than its Interest Barrier but is greater than or equal to
its Trigger Value, the payment at maturity, for each $1,000 principal amount note, will be $1,000.00. When added to the Contingent
Interest Payments received with respect to the prior Review Dates, the total amount paid, for each $1,000 principal amount note,
is $1,023.00.
Example
4 — Notes have NOT been automatically called and the Final Value of the Lesser Performing Underlying is less than its Trigger
Value.
Date
|
Closing Value of Lesser
Performing Underlying
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
40.00
|
$0
|
Second Review Date
|
45.00
|
$0
|
Third through Seventeenth Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
50.00
|
$500.00
|
|
Total Payment
|
$500.00 (-50.00% return)
|
Because the notes have not been automatically
called, the Final Value of the Lesser Performing Underlying is less than its Trigger Value and the Lesser Performing Underlying
Return is -50.00%, the payment at maturity will be $500.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)] = $500.00
The hypothetical returns and 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 the 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.
Selected
Risk Considerations
An investment in the notes involves significant
risks. These risks are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement,
product supplement and underlying 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. If the notes have not been automatically called and the Final Value of either Underlying is less than its Trigger
Value, you will lose 1% of the principal amount of your notes for every 1% that the Final Value of the Lesser Performing Underlying
is less than its Initial Value. Accordingly, under these circumstances, you will lose more than 40.00% of your principal amount
at maturity and could lose all of your principal amount at maturity.
|
·
|
THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL —
|
If the notes have not been automatically
called, we will make a Contingent Interest Payment with respect to a Review Date only if the closing value of each Underlying on
that Review Date is greater than or equal to its Interest Barrier. If the closing value of either Underlying on that Review Date
is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to
PS-5
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Lesser Performing of the S&P 500® Index and the ARK Innovation ETF
|
|
that Review Date. Accordingly, if the
closing value of either Underlying on each Review Date is less than its Interest Barrier, you will not receive any interest payments
over the term of the notes.
|
·
|
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
|
Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase &
Co.’s creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely
affect the value of the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive
any amounts owed to you under the notes and you could lose your entire investment.
|
·
|
AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS —
|
As a finance subsidiary of JPMorgan Chase
& Co., we have no independent operations beyond the issuance and administration of our securities. Aside from the initial capital
contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates to make payments
under loans made by us or other intercompany agreements. As a result, we are dependent upon payments from our affiliates to meet
our obligations under the notes. If these affiliates do not make payments to us and we fail to make payments on the notes, you
may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu
with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
|
·
|
THE 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 either
Underlying, which may be significant. You will not participate in any appreciation of either Underlying.
|
·
|
YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE VALUE OF EACH UNDERLYING —
|
Payments on the notes are not linked
to a basket composed of the Underlyings and are contingent upon the performance of each individual Underlying. Poor performance
by either of the Underlyings over the term of the notes may result in the notes not being automatically called on a Review Date,
may negatively affect whether you will receive a Contingent Interest Payment on any Interest Payment Date and your payment at maturity
and will not be offset or mitigated by positive performance by the other Underlying.
|
·
|
YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LESSER PERFORMING UNDERLYING.
|
|
·
|
THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE —
|
If the Final Value of either Underlying
is less than its Trigger Value and the notes have not been automatically called, the benefit provided by the Trigger Value will
terminate and you will be fully exposed to any depreciation of the Lesser Performing Underlying.
|
·
|
THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
|
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. Even in cases where the
notes are called before maturity, you are not entitled to any fees and commissions described on the front cover of this pricing
supplement.
|
·
|
YOU WILL NOT RECEIVE DIVIDENDS ON THE FUND OR THE SECURITIES INCLUDED IN OR HELD BY EITHER UNDERLYING OR HAVE ANY RIGHTS
WITH RESPECT TO THE FUND OR THOSE SECURITIES.
|
|
·
|
THE RISK OF THE CLOSING VALUE OF AN UNDERLYING FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS GREATER IF THE VALUE
OF THAT UNDERLYING IS VOLATILE.
|
The notes will not be listed on any securities
exchange. Accordingly, 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. You may not be able to sell your 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.
PS-6
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Lesser Performing of the S&P 500® Index and the ARK Innovation ETF
|
|
Risks Relating to Conflicts of Interest
We and our affiliates play a variety
of roles in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests
are potentially adverse to your interests as an investor in the notes. It is possible 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.
Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes
|
·
|
THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES —
|
The estimated value of the notes is only
an estimate determined by reference to several factors. The original issue price of the notes exceeds the estimated value of the
notes because costs associated with selling, structuring and hedging the notes are included in the original issue price of the
notes. These costs include the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming
risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. See
“The Estimated Value of the Notes” in this pricing supplement.
|
·
|
THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES
—
|
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. See “Secondary Market Prices
of the Notes” in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated
value of your notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be
shown on your customer account statements).
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
|
Any secondary market prices of the notes
will likely be lower than the original issue price of the notes because, among other things, secondary market prices take into
account our internal secondary market funding rates for structured debt issuances and, also, because secondary market prices may
exclude 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 the 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.
|
·
|
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 values of the Underlyings. 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
PS-7
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Lesser Performing of the S&P 500® Index and the ARK Innovation ETF
|
|
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 Underlyings
|
·
|
JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE INDEX,
|
but JPMorgan Chase & Co. will not
have any obligation to consider your interests in taking any corporate action that might affect the level of the Index.
|
·
|
AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH ACTIVELY MANAGED FUNDS WITH RESPECT TO THE FUND —
|
The Fund is actively managed. Unlike
a passively managed fund, an actively managed fund does not attempt to track an index or other benchmark, and the investment decisions
for an actively managed fund are instead made by its investment adviser. The investment adviser of an actively managed fund may
adopt a strategy or strategies that are significantly higher risk than the indexing strategy that would have been employed by a
passively managed fund. As an actively managed fund, the Fund is subject to management risk. In managing an actively managed fund,
the investment adviser of a fund applies investment strategies, techniques and analyses in making investment decisions for that
fund, but there can be no guarantee that these actions will produce the intended results. The ability of the Fund’s investment
adviser to successfully implement the Fund’s investment strategy will significantly influence the market price of the shares
of the Fund and, consequently, the value of the notes.
|
·
|
THE PERFORMANCE AND MARKET VALUE OF THE FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH THE
PERFORMANCE OF THE FUND’S NET ASSET VALUE PER SHARE —
|
Because the shares of the Fund are traded
on a securities exchange and are subject to market supply and investor demand, the market value of one share of the Fund may differ
from the net asset value per share of the Fund. During periods of market volatility, securities underlying the Fund may be
unavailable in the secondary market, market participants may be unable to calculate accurately the net asset value per share of
the Fund and the liquidity of the Fund may be adversely affected. This kind of market volatility may also disrupt the ability
of market participants to create and redeem shares of the Fund. Further, market volatility may adversely affect, sometimes materially,
the prices at which market participants are willing to buy and sell shares of the Fund. As a result, under these circumstances,
the market value of shares of the Fund may vary substantially from the net asset value per share of the Fund. For all of
the foregoing reasons, the performance of the Fund may not correlate with the net asset value per share of the Fund, which could
materially and adversely affect the value of the notes in the secondary market and/or reduce any payment on the notes.
|
·
|
RISKS ASSOCIATED WITH DISRUPTIVE INNOVATION COMPANIES WITH RESPECT TO THE FUND —
|
The Fund’s investment strategy
involves exposure to companies that the investment adviser believes are capitalizing on disruptive innovation and developing technologies
to displace older technologies or create new markets (“disruptive innovation companies”). However, the companies selected
by the investment adviser may not in fact do so. Companies that initially develop a novel technology may not be able to capitalize
on the technology. Companies that develop disruptive technologies may face political or legal attacks from competitors, industry
groups or local and national governments. These companies may also be exposed to risks applicable to sectors other than the disruptive
innovation theme for which they are chosen, and the securities issued by these companies may underperform the securities of other
companies that are primarily focused on a particular theme. The Fund may invest in companies that do not currently derive any revenue
from disruptive innovations or technologies, and there is no assurance that any company will derive any revenue from disruptive
innovations or technologies in the future. A disruptive innovation or technology may constitute a small portion of any company’s
overall business. As a result, the success of a disruptive innovation or technology may not affect the value of the equity securities
issued by that company.
|
·
|
AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH MID-SIZE, SMALL AND MICRO-CAPITALIZATION STOCKS WITH RESPECT
TO THE FUND —
|
Some of the equity securities held
by the Fund have been issued by mid-size, small or micro-capitalization companies. Mid-size, small and micro-capitalization companies
may be less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Mid-size,
small and micro-capitalization companies are less likely to pay dividends on their stocks, and the presence of a dividend payment
could be a factor that limits downward stock price pressure under adverse market conditions.
|
·
|
NON-U.S. SECURITIES RISK WITH RESPECT TO THE FUND —
|
Some of the equity securities held by
the Fund have been issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity securities
involve risks associated with the securities markets in the home countries of the issuers of those non-U.S. equity securities.
Also, there is generally less publicly available information about companies in some of these jurisdictions than there is about
U.S. companies that are subject to the reporting requirements of the SEC.
PS-8
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Lesser Performing of the S&P 500® Index and the ARK Innovation ETF
|
|
|
·
|
EMERGING MARKETS RISK WITH RESPECT TO THE FUND —
|
Some of the equity securities held by the
Fund have been issued by non-U.S. companies located in emerging markets countries. Countries with emerging markets may have
relatively unstable governments, may present the risks of nationalization of businesses, restrictions on foreign ownership and
prohibitions on the repatriation of assets, and may have less protection of property rights than more developed countries.
The economies of countries with emerging markets may be based on only a few industries, may be highly vulnerable to changes in
local or global trade conditions, and may suffer from extreme and volatile debt burdens or inflation rates. Local securities
markets may trade a small number of securities and may be unable to respond effectively to increases in trading volume, potentially
making prompt liquidation of holdings difficult or impossible at times.
|
·
|
THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED —
|
The calculation agent will make adjustments
to the Share Adjustment Factor for certain events affecting the shares of the Fund. However, the calculation agent will not make
an adjustment in response to all events that could affect the shares of the Fund. 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.
PS-9
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Lesser Performing of the S&P 500® Index and the ARK Innovation ETF
|
|
The Index consists of stocks of 500 companies selected
to provide a performance benchmark for the U.S. equity markets. For additional information about the Index, see “Equity Index
Descriptions — The S&P U.S. Indices” in the accompanying underlying supplement.
The Fund is an actively-managed exchange-traded
fund of ARK ETF Trust, a registered investment company, with an investment objective of long-term growth of capital, that primarily
invests in equity securities of U.S. and non-U.S. companies relevant to the Fund’s investment theme of disruptive innovation.
For additional information about the Fund, see Annex A in this pricing supplement.
Historical Information
The following graphs set forth the historical
performance of each Underlying based on the weekly historical closing values from January 8, 2016 through January 15, 2021. The
closing value of the Index on January 21, 2021 was 3,853.07. The closing value of the Fund on January 21, 2021 was $144.81. We
obtained the closing values above and below from the Bloomberg Professional® service (“Bloomberg”),
without independent verification. The closing values of the Fund above and below may have been adjusted by Bloomberg for actions
taken by the Fund, such as stock splits.
The historical closing values of each Underlying
should not be taken as an indication of future performance, and no assurance can be given as to the closing value of either Underlying
on any Review Date. There can be no assurance that the performance of the Underlyings will result in the return of any of your
principal amount or the payment of any interest.
PS-10
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Lesser Performing of the S&P 500® Index and the ARK Innovation ETF
|
|
Tax
Treatment
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-II. 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 Davis
Polk & Wardwell 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 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. 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.
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.
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 — Risks Relating to the Estimated
Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Derived by Reference to an Internal
Funding Rate” in this pricing supplement.
PS-11
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Lesser Performing of the S&P 500® Index and the ARK Innovation ETF
|
|
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.
The estimated value of the notes does not
represent future values of the notes and may differ from others’ estimates. 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.
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. A portion of the profits, if any, realized in hedging our obligations under the notes may be allowed
to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits.
See “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
— The Estimated Value of the Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes” 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 — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
— 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 “How the Notes Work”
and “Hypothetical Payout Examples” in this pricing supplement for an illustration of the risk-return profile of the
notes and “The Underlyings” 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.
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Validity
of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell
LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by this pricing 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 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.
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 and the
accompanying underlying supplement. This pricing supplement, together with the documents listed below, contains the terms of the
notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary
or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures
or other educational materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk
Factors” sections of the accompanying prospectus supplement, the accompanying product supplement and the accompanying underlying
supplement, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment,
legal, tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC website
at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website
is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us”
and “our” refer to JPMorgan Financial.
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Annex A
The ARK Innovation ETF
All information contained in this pricing supplement
regarding the ARK Innovation ETF (the “ARKK Fund”), has been derived from publicly available information, without independent
verification. This information reflects the policies of, and is subject to change by, ARK ETF Trust (“ARK Trust”).
The ARKK Fund is an actively-managed exchange-traded fund managed by ARK Investment Management LLC (“ARK LLC”), the
investment adviser to the ARKK Fund. The ARKK Fund trades on NYSE Arca, Inc. under the ticker symbol “ARKK.”
The investment objective of the ARKK Fund is
long-term growth of capital.
As an actively-managed fund, the ARKK Fund is
subject to management risk. In managing the ARKK Fund, ARK LLC applies investment strategies, techniques and analyses in making
investment decisions for the ARKK Fund, but there can be no guarantee that these actions will produce the intended results. The
ability of ARK LLC to successfully implement the ARKK Fund’s investment strategy will significantly influence that ARKK Fund’s
performance.
The ARKK Fund will invest under normal circumstances
primarily (at least 65% of its assets) in equity securities of U.S. and non-U.S. companies that are relevant to the ARKK Fund’s
investment theme of disruptive innovation. ARK LLC defines “disruptive innovation” as the introduction of a technologically
enabled new product or service that potentially changes the way the world works. ARK LLC believes that companies relevant to this
theme are those that rely on or benefit from the development of new products or services, technological improvements and advancements
in scientific research relating to the areas of genomics; innovation in automation and manufacturing, transportation, energy, artificial
intelligence and materials; the increased use of shared technology, infrastructure and services; and technologies that make financial
services more efficient. ARK LLC defines “genomics” as the study of genes and their functions, and related techniques
(e.g., genomic sequencing).
ARK Trust is a registered investment company
that consists of numerous separate investment portfolios, including the ARKK Fund. Information provided to or filed with the SEC
by ARK Trust pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located
by reference to SEC file numbers 333-191019 and 811-22883, respectively, through the SEC’s website at http://www.sec.gov.
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