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, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
Pricing supplement to product supplement no.
4-I dated April 8, 2020, underlying supplement no. 1-I dated April 8, 2020
and the prospectus and prospectus supplement, each dated April 8, 2020
Key Terms
Issuer:
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan
Chase & Co.
Guarantor:
JPMorgan Chase & Co.
Index:
The S&P 500® Index (Bloomberg ticker: SPX)
Contingent
Interest Payments: If a Trigger Event has not occurred on or prior to a Review Date, you will receive on the applicable
Interest Payment Date for each $1,000 principal amount note a Contingent Interest Payment equal to $3.7333 (equivalent to a Contingent
Interest Rate of 4.48% per annum, payable at a rate of 0.37333% per month). Contingent Interest Payments, if any, will be payable
only during the first year of the term of the notes.
If a Trigger Event has occurred on or prior to a Review
Date, no Contingent Interest Payment will be made with respect to that Review Date or any subsequent Review Date. Following the
occurrence of a Trigger Event, no further Contingent Interest Payments will be payable over the remaining portion of the first
year of the term of the notes.
Contingent
Interest Rate: 4.48% per annum, payable at a rate of 0.37333% per month
Trigger Value:
85.00% of the Initial Value, which is 2,635.2465
Buffer Amount: 15.00%
Leverage Factor:
1.17647
Pricing
Date: June 30, 2020
Original
Issue Date (Settlement Date): On or about July 6, 2020
Review
Dates*: July 30, 2020, August 31, 2020, September 30, 2020, October 30, 2020, November 30, 2020, December 30, 2020,
February 1, 2021, March 1, 2021, March 30, 2021, April 30, 2021, June 1, 2021 and June 30, 2021 (final Review Date)
Interest Payment Dates*: August 4, 2020, September 3, 2020, October 5, 2020, November 4, 2020, December 3, 2020, January 5, 2021, February 4, 2021, March
4, 2021, April 5, 2021, May 5, 2021, June 4, 2021 and July 6, 2021
Observation Date*: July
1, 2024
Maturity
Date*: July 5, 2024
Call Settlement Date*: If
the notes are automatically called on the final Review Date, the first Interest Payment Date immediately following that Review
Date
* Subject to postponement in the event of a market disruption event and as described under “General Terms of Notes —
Postponement of a Determination Date — Notes Linked to 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
|
Automatic
Call: If a Trigger Event has not occurred on or prior to the final Review Date, 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, payable on the Call Settlement Date. No further payments will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called (and, therefore,
a Trigger Event has occurred), your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + [$1,000 × (Index Return
+ Buffer Amount) × Leverage Factor]
Under these circumstances, if the Final Value is less than
the Trigger Value, you will lose some or all of your principal amount at maturity.
Trigger Event:
A Trigger Event occurs if, on any day during the Monitoring Period, the closing level of the Index is less than the Trigger Value.
Monitoring Period:
The period from but excluding the Pricing Date to and including the final Review Date
Index Return:
(Final Value – Initial Value)
Initial Value
Initial
Value: The closing level of the Index on the Pricing Date, which was 3,100.29
Final
Value: The closing level of the Index on the Observation Date
|
PS-1 | Structured Investments
Auto Callable Contingent Interest and Contingent Leveraged
Notes Linked to the S&P 500® Index
|
|
How
the Notes Work
Payments in Connection with Review Dates (Other
than the Final Review Date)
Payments in Connection
with the Final Review Date
Payment at Maturity,
If the Notes Have Not Been Automatically Called
PS-2 | Structured Investments
Auto Callable Contingent Interest and Contingent Leveraged
Notes Linked to the S&P 500® Index
|
|
Total Contingent Interest Payments
The table below illustrates the hypothetical total
Contingent Interest Payments per $1,000 principal amount note over the first year of the term of the notes based on the Contingent
Interest Rate of 4.48% per annum, depending on how many Contingent Interest Payments are made prior to automatic call or maturity.
Contingent Interest Payments, if any, will be payable only during the first year of the term of the notes. If the closing level
of the Index is less than the Trigger Value on any day on or prior to a Review Date, no Contingent Interest Payment will be payable
with respect to that Review Date or any subsequent Review Date.
Number of Contingent Interest Payments
|
Total Contingent Interest Payments
|
12
|
$44.8000
|
11
|
$41.0667
|
10
|
$37.3333
|
9
|
$33.6000
|
8
|
$29.8667
|
7
|
$26.1333
|
6
|
$22.4000
|
5
|
$18.6667
|
4
|
$14.9333
|
3
|
$11.2000
|
2
|
$7.4667
|
1
|
$3.7333
|
0
|
$0.0000
|
Hypothetical
Payout Examples
The following examples illustrate payments on
the notes linked to a hypothetical Index, assuming a range of performances for the hypothetical Index during the Monitoring Period
and on the Observation Date. The hypothetical payments set forth below assume the following:
|
·
|
an Initial Value of 100.00;
|
|
·
|
a Trigger Value of 85.00 (equal to 85.00% of the hypothetical Initial Value);
|
|
·
|
a Buffer Amount of 15.00%;
|
|
·
|
a Leverage Factor of 1.17647; and
|
|
·
|
a Contingent Interest Rate of 4.48% per annum (payable at a rate of 0.37333% per month).
|
The hypothetical Initial Value of 100.00 has
been chosen for illustrative purposes only and does not represent the actual Initial Value. The actual Initial Value is the closing
level of the Index on the Pricing Date and is specified under “Key Terms — Initial Value” in this pricing supplement.
For historical data regarding the actual closing levels of the Index, please see the historical information set forth under “The
Index” 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.
PS-3 | Structured Investments
Auto Callable Contingent Interest and Contingent Leveraged
Notes Linked to the S&P 500® Index
|
|
Example 1 — Notes are automatically
called on the final Review Date because a Trigger Event has NOT occurred on or prior to the final Review Date.
Date
|
Has Trigger Event Occurred on or Before Review Date?
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
No
|
$3.7333
|
Second Review Date
|
No
|
$3.7333
|
Third through Eleventh Review Dates
|
No
|
$3.7333
|
Final Review Date
|
No
|
$1,003.7333
|
|
Total Payment
|
$1,044.80 (4.48% return)
|
Because a Trigger Event has not occurred on
or before the final Review Date, the notes will be automatically called for a cash payment, for each $1,000 principal amount note,
of $1,003.7333 (or $1,000 plus the Contingent Interest Payment applicable to the final Review Date), payable on the Call
Settlement 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 $1,044.80. No further payments will be made on the notes.
Example 2 — Notes have NOT been automatically
called, a Trigger Event has occurred on or prior to the first Review Date and the Final Value is greater than the Initial Value.
Date
|
Has Trigger Event Occurred on or Before Review Date?
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
Yes
|
$0
|
Second Review Date
|
Yes
|
$0
|
Third through Final Review Dates
|
Yes
|
$0
|
Observation Date
(Final Value: 110.00)
|
N/A
|
$1,294.1175
|
|
Total Payment
|
$1,294.1175 (29.41175% return)
|
Because the notes have not been automatically
called (and, therefore, a Trigger Event has occurred) and the Index Return is 15.00%, the payment at maturity will be $1,294.1175
per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (10.00% + 15.00%) ×
1.17647] = $1,294.1175
In addition, because a Trigger Event occurred
on or prior to the first Review Date, you receive no Contingent Interest Payments during the first year of the term of the notes.
Therefore, the total amount paid, for each $1,000 principal amount note, is equal to $1,294.1175.
Example 3 — Notes have NOT been automatically
called, a Trigger Event has occurred on or prior to the first Review Date and the Final Value is less than the Trigger Value.
Date
|
Has Trigger Event Occurred on or Before Review Date?
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
Yes
|
$0
|
Second Review Date
|
Yes
|
$0
|
Third through Final Review Dates
|
Yes
|
$0
|
Observation Date
(Final Value: 50.00)
|
N/A
|
$588.2355
|
|
Total Payment
|
$588.2355 (-41.17645% return)
|
Because the notes have not been automatically
called (and, therefore, a Trigger Event has occurred) and the Index Return is -50.00%, the payment at maturity will be $588.2355
per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00% + 15.00%)
× 1.17647] = $588.2355
PS-4 | Structured Investments
Auto Callable Contingent Interest and Contingent Leveraged
Notes Linked to the S&P 500® Index
|
|
In addition, because a Trigger Event occurred
on or prior to the first Review Date, you receive no Contingent Interest Payments during the first year of the term of the notes.
Therefore, the total amount paid, for each $1,000 principal amount note, is equal to only $588.2355.
Example 4 — Notes have NOT been automatically
called, a Trigger Event has occurred for the first time after the third Review Date and on or prior to the fourth Review Date and
the Final Value is greater than or equal to the Trigger Value.
Date
|
Has Trigger Event Occurred on or Before Review Date?
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
No
|
$3.7333
|
Second Review Date
|
No
|
$3.7333
|
Third Review Date
|
No
|
$3.7333
|
Fourth Review Date
|
Yes
|
$0
|
Fifth through Final Review Dates
|
Yes
|
$0
|
Observation Date
(Final Value: 95.00)
|
N/A
|
$1,117.647
|
|
Total Payment
|
$1,128.847 (12.8847% return)
|
Because the notes have not been automatically
called (and, therefore, a Trigger Event has occurred) and the Index Return is -5.00%, the payment at maturity will be $1,117.647
per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-5.00% + 15.00%) ×
1.17647] = $1,117.647
However, because a Trigger Event occurred for
the first time after the third Review Date and on or prior to the fourth Review Date, you receive no Contingent Interest Payments
for the fourth Review Date and for the remaining portion of the first year of the term of the notes. 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 $1,128.847.
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.
|
·
|
YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
|
The notes do not guarantee any return
of principal. If (i) the notes have not been automatically called (and, therefore, a Trigger Event has occurred) and (ii) the Final
Value is less than the Trigger Value, you will lose 1.17647% of the principal amount of your notes for every 1% that the Final
Value is less than the Initial Value by more than 15.00%. Accordingly, under these circumstances, you will lose some or all of
your principal amount at maturity.
|
·
|
THE OPPORTUNITY TO RECEIVE CONTINGENT INTEREST PAYMENTS MAY TERMINATE AS EARLY AS THE FIRST DAY AFTER THE PRICING DATE —
|
As early as the first
day after the Pricing Date, you could lose your ability to receive any Contingent Interest Payments over the first year of the
4-year term of the notes. Under these circumstances, if the notes have not been automatically called, the payment at maturity will
reflect (a) the sum of the Index Return plus the Buffer Amount of 15.00% times (b) the Leverage Factor of 1.17647.
This payment at maturity will be less than the principal amount if the Final Value is less than the Trigger Value.
|
·
|
THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL —
|
Contingent Interest Payments, if any,
will be payable only during the first year of the term of the notes. We will make a Contingent Interest Payment with respect
to a Review Date only if a Trigger Event has not occurred on or prior to that Review Date. If a Trigger Event has occurred on or
prior to a Review Date, no Contingent Interest Payment will be made with respect to
PS-5 | Structured Investments
Auto Callable Contingent Interest and Contingent Leveraged
Notes Linked to the S&P 500® Index
|
|
that Review Date or any subsequent Review
Date. Under these circumstances, no further Contingent Interest payments will be payable over the remaining portion of 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.
|
·
|
IF NO TRIGGER EVENT OCCURS, THE NOTES WILL BE AUTOMATICALLY CALLED, AND THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED
TO THE SUM OF THE CONTINGENT INTEREST PAYMENTS PAID OVER THE FIRST YEAR OF THE TERM OF THE NOTES,
|
regardless of any appreciation of the
Index, which may be significant. Under these circumstances, you will not participate in any appreciation of the Index.
|
·
|
YOUR ABILITY TO BENEFIT FROM THE ENHANCED PAYMENT OFFERED BY THE BUFFER AMOUNT AND THE LEVERAGE FACTOR (IF THE FINAL VALUE
IS GREATER THAN THE TRIGGER VALUE) AT MATURITY WILL TERMINATE IF NO TRIGGER EVENT OCCURS AND THE NOTES ARE AUTOMATICALLY CALLED.
|
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.
|
·
|
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.
|
·
|
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 one year. 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 SECURITIES INCLUDED IN THE INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES.
|
|
·
|
THE RISK OF THE CLOSING LEVEL OF THE INDEX FALLING BELOW THE TRIGGER VALUE IS GREATER IF THE LEVEL OF THE INDEX 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
J.P. Morgan Securities LLC, which we refer to as 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 and Contingent Leveraged
Notes Linked to the S&P 500® Index
|
|
|
·
|
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 structuring and hedging the notes are included in the original issue price of the notes. These
costs include 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 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 projected hedging profits, if any, estimated hedging costs and the level of the Index. 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.
PS-7 | Structured Investments
Auto Callable Contingent Interest and Contingent Leveraged
Notes Linked to the S&P 500® Index
|
|
The
Index
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.
Historical Information
The following graph sets forth the historical
performance of the Index based on the weekly historical closing levels from January 2, 2015 through June 26, 2020. The closing
level of the Index on June 30, 2020 was 3,100.29. We obtained the closing levels above and below from the Bloomberg Professional®
service (“Bloomberg”), without independent verification.
The historical closing levels of the Index
should not be taken as an indication of future performance, and no assurance can be given as to the closing level of the Index
on any day during the Monitoring Period or the Observation Date. There can be no assurance that the performance of the Index will
result in the return of any of your principal amount or the payment of any interest.
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 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. For example, it is possible that a Trigger Event would result in a deemed exchange of the notes for U.S. federal
income tax purposes. In that case, a U.S. Holder might be required to recognize gain or loss (subject to the possible application
of the wash sale rules) with respect to the notes. 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%,
PS-8 | Structured Investments
Auto Callable Contingent Interest and Contingent Leveraged
Notes Linked to the S&P 500® Index
|
|
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 — 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.
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 structuring and hedging the notes are included in the
original issue price of the notes. These costs include 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 — The Estimated Value of the
Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
PS-9 | Structured Investments
Auto Callable Contingent Interest and Contingent Leveraged
Notes Linked to the S&P 500® Index
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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 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 “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 Index” 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 (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 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
PS-10 | Structured Investments
Auto Callable Contingent Interest and Contingent Leveraged
Notes Linked to the S&P 500® Index
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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.
PS-11 | Structured Investments
Auto Callable Contingent Interest and Contingent Leveraged
Notes Linked to the S&P 500® Index
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