$5,133,160 Linked to an Unequally Weighted Basket of 6 Equity Indices
due July 31, 2025
Trigger GEARS (Growth Enhanced Asset Return Securities), which we
refer to as the “Securities,” are unsecured and unsubordinated debt securities issued by JPMorgan Chase Financial Company
LLC (“JPMorgan Financial”), the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co.,
with a return linked to the performance of an unequally weighted basket (the “Basket”) of the EURO STOXX 50®
Index, the Nikkei 225 Index, the FTSE® 100 Index, the S&P/ASX 200 Index, the Swiss Market Index and the Hang
Seng® Index (each, an “Underlying” and together, the “Underlyings”). If the Basket Return
is positive, JPMorgan Financial will repay your principal amount at maturity plus pay a return equal to the Basket Return
times the Upside Gearing of 1.4725. If the Basket Return is zero or negative but the Final Basket Value is greater than or equal
to the Downside Threshold (75.00% of the Initial Basket Value), JPMorgan Financial will repay your principal amount at maturity.
However, if the Basket Return is negative and the Final Basket Value is less than the Downside Threshold, JPMorgan Financial will
repay less than your principal amount at maturity, if anything, resulting in a loss of principal that is proportionate to the negative
Basket Return. In this case, you will have full downside exposure to the Basket from the Initial Basket Value to the Final Basket
Value and could lose all of your principal amount. Investing in the Securities involves significant risks. You may lose some
or all of your principal amount. You will not receive dividends or other distributions paid on any stocks included in any Underlying,
and the Securities will not pay interest. The contingent repayment of principal applies only if you hold the Securities to maturity.
Any payment on the Securities, including any repayment of principal, is subject to the creditworthiness of JPMorgan Financial as
issuer of the Securities, and the creditworthiness of JPMorgan Chase & Co., as guarantor of the Securities. If JPMorgan Financial
and JPMorgan Chase & Co. were to default on their payment obligations, you may not receive any amounts owed to you under the
Securities and you could lose your entire investment.
Additional
Information about JPMorgan Financial, JPMorgan Chase & Co. and the Securities
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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
Securities 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 Securities
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 Securities involve risks not associated with conventional debt securities.
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, the “Issuer,” “JPMorgan
Financial,” “we,” “us” and “our” refer to JPMorgan Chase Financial Company LLC.
Supplemental
Terms of the Securities
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For purposes of the accompanying product supplement, each of
the EURO STOXX 50® Index, the Nikkei 225 Index, the FTSE® 100 Index, the S&P/ASX 200 Index, the
Swiss Market Index and the Hang Seng® Index is an “Index.”
Investor
Suitability
The Securities may be suitable for you if, among other considerations:
t You
fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire principal amount.
t You
can tolerate a loss of all or a substantial portion of your investment and are willing to make an investment that may have the
same downside market risk as a hypothetical investment in the Basket.
t You
believe the level of the Basket will increase over the term of the Securities.
t You
are willing to invest in the Securities based on the Upside Gearing indicated on the cover hereof.
t You
can tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside fluctuations
in the level of the Basket.
t You
do not seek current income from your investment and are willing to forgo dividends paid on the stocks included in the Underlyings.
t You
are willing and able to hold the Securities to maturity.
t You
accept that there may be little or no secondary market for the Securities and that any secondary market will depend in large part
on the price, if any, at which J.P. Morgan Securities LLC, which we refer to as JPMS, is willing to trade the Securities.
t You
understand and accept the risks associated with the Underlyings.
t You
are willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Securities,
and understand that if JPMorgan Financial and JPMorgan Chase & Co. default on their obligations, you may not receive any amounts
due to you including any repayment of principal.
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The Securities may not be suitable for you if, among other
considerations:
t You
do not fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire principal
amount.
t You
require an investment designed to provide a full return of principal at maturity.
t You
cannot tolerate a loss of all or a substantial portion of your investment, or you are not willing to make an investment that may
have the same downside market risk as a hypothetical investment in the Basket.
t You
believe the level of the Basket will decline over the term of the Securities and is likely to close below the Downside Threshold
on the Final Valuation Date.
t You
are unwilling to invest in the Securities based on the Upside Gearing indicated on the cover hereof.
t You
cannot tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside fluctuations
in the level of the Basket.
t You
seek current income from your investment or prefer not to forgo dividends paid on the stocks included in the Underlyings.
t You
are unwilling or unable to hold the Securities to maturity or seek an investment for which there will be an active secondary market.
t You
do not understand or accept the risks associated with the Underlyings.
t You
are not willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Securities,
including any repayment of principal.
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The suitability considerations identified above are not
exhaustive. Whether or not the Securities are a suitable investment for you will depend on your individual circumstances, and you
should reach an investment decision only after you and your investment, legal, tax, accounting and other advisers have carefully
considered the suitability of an investment in the Securities in light of your particular circumstances. You should also review
carefully the “Key Risks” section of this pricing supplement and the “Risk Factors” sections of the accompanying
prospectus supplement, the accompanying product supplement and the accompanying underlying supplement for risks related to an investment
in the Securities. For more information on the Underlyings, please see the section titled “The EURO STOXX 50®
Index,” “The Nikkei 225 Index,” “The FTSE® 100 Index,”, “The S&P/ASX 200
Index,” “The Swiss Market Index” and “The Hang Seng® Index” below.
Issuer:
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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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Issue Price:
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$10.00 per Security (subject to a minimum purchase of 100 Securities or $1,000)
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Principal Amount:
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$10.00 per Security. The payment at maturity will be based on the principal amount.
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Basket:
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The Securities are linked to an unequally weighted basket (the “Basket”) of the EURO STOXX 50® Index, the Nikkei 225 Index, the FTSE® 100 Index, the S&P/ASX 200 Index, the Swiss Market Index and the Hang Seng® Index (each, an “Underlying” and together, the “Underlyings”). The Underlyings, along with their respective weightings (each a “Basket Weight”), are set forth below.
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Underlying
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Basket Weight
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EURO STOXX 50® Index
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40.00%
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Nikkei 225 Index
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20.00%
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FTSE® 100 Index
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20.00%
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S&P/ASX 200 Index
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7.50%
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Swiss Market Index
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7.50%
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Hang Seng® Index
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5.00%
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Due to the unequal weightings of the Underlyings, the performance of the EURO STOXX 50® Index will have a significantly larger impact on the return on the Securities than the performance of any other Underlying in the Basket.
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Term:
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5 years
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Payment at Maturity (per $10 principal amount Security):
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If
the Basket Return is positive, JPMorgan Financial will pay you a cash payment at maturity per $10 principal amount Security
equal to:
$10 + ($10 × Basket Return ×
Upside Gearing)
If
the Basket Return is zero or negative but the Final Basket Value is greater than or equal to the Downside Threshold,
JPMorgan Financial will pay you a cash payment at maturity of $10 per $10 principal amount Security.
If
the Basket Return is negative, and the Final Basket Value is less than the Downside Threshold, JPMorgan Financial will
pay you a cash payment at maturity per $10 principal amount Security equal to:
$10 + ($10 × Basket Return)
In this scenario, you will be exposed to the decline of
the Basket and you will lose some or all of your principal amount in an amount proportionate to the negative Underlying Return.
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Basket Return:
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(Final Basket Value – Initial Basket
Value)
Initial Basket Value
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Upside Gearing:
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1.4725
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Initial Basket Value:
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Set equal to 100 on the Trade Date
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Final Basket Value:
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The closing level of the Basket on the Final Valuation Date
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Closing Level of the Basket:
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The closing level of the Basket on any day will be calculated as follows:
100 × [1 + sum of (Underlying Return of each Underlying × Basket Weight of that Underlying)]
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Initial Value:
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With respect to each Underlying, the closing level of that Underlying on the Trade Date, as specified on the cover of this pricing supplement
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Final Value:
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With respect to each Underlying, the closing level of that Underlying on the Final Valuation Date
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Underlying Return:
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With respect to each Underlying,
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(Final Value – Initial Value)
Initial Value
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Downside Threshold:
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75.00% of the Initial Basket Value, as specified on the cover of this pricing supplement
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Trade Date
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The closing level of each Underlying is observed, the Initial Basket Value is set equal to 100, the Downside Threshold is determined and the Upside Gearing is finalized.
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Maturity Date
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The Final Value of each Underlying, the Final Basket Value and
the Basket Return are determined.
If
the Basket Return is positive, JPMorgan Financial will pay you a cash payment at maturity per $10 principal amount Security
equal to:
$10 + ($10 × Basket Return ×
Upside Gearing)
If
the Basket Return is zero or negative but the Final Basket Value is greater than or equal to the Downside Threshold,
JPMorgan Financial will pay you a cash payment at maturity of $10 per $10 principal amount Security.
If
the Basket Return is negative and the Final Basket Value is less than the Downside Threshold, JPMorgan Financial will
pay you a cash payment at maturity per $10 principal amount Security equal to:
$10 + ($10 × Basket Return)
Under these circumstances, you will be exposed to the
decline of the Basket and you will lose some or all of your principal amount.
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INVESTING IN THE SECURITIES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE SOME OR ALL OF YOUR PRINCIPAL AMOUNT. ANY PAYMENT ON THE SECURITIES, INCLUDING ANY REPAYMENT OF PRINCIPAL, IS SUBJECT TO THE CREDITWORTHINESS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. IF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. WERE TO DEFAULT ON THEIR PAYMENT OBLIGATIONS, YOU MAY NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE SECURITIES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.
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What
Are the Tax Consequences of the Securities?
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You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. UBS-1-I. The following discussion, when
read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP,
regarding the material U.S. federal income tax consequences of owning and disposing of Securities.
Based on current market conditions, in the opinion of our special
tax counsel it is reasonable to treat the Securities as “open transactions” that are not debt instruments for U.S.
federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences
to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement.
Assuming this treatment is respected, the gain or loss on your Securities should be treated as long-term capital gain or loss if
you hold your Securities for more than a year, whether or not you are an initial purchaser of Securities at the issue price.
However, the IRS or a court may not respect this treatment, in which case the timing and character of any income or loss on the
Securities could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments
on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses
in particular on whether to require investors in these instruments to accrue income over the term of their investment. It also
asks for comments on a number of related topics, including the character of income or loss with respect to these instruments; the
relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to
which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether
these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate
to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. While the notice requests
comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration
of these issues could materially and adversely affect the tax consequences of an investment in the Securities, possibly with retroactive
effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the Securities,
including possible alternative treatments and the issues presented by this notice.
Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on dividend
equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices
that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked
to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations. 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 Securities 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 Securities.
An investment in the Securities involves significant risks.
Investing in the Securities is not equivalent to investing directly in the Basket or any or all of the Underlyings. These risks
are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement, the accompanying
product supplement and the accompanying underlying supplement. We also urge you to consult your investment, legal, tax, accounting
and other advisers before you invest in the Securities.
Risks Relating to the Securities Generally
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t
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Your Investment in the Securities May Result in a Loss —
The Securities differ from ordinary debt securities in that we will not necessarily repay the full principal amount of the Securities.
If the Basket Return is negative, we will pay you the principal amount of your Securities in cash only if the Final Basket Value
has not declined below the Downside Threshold. If the Basket Return is negative and the Final Basket Value is less than the Downside
Threshold, you will be exposed to the full decline of the Basket and will lose some or all of your principal amount in an amount
proportionate to the negative Basket Return. Accordingly, you could lose up to your entire principal amount.
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t
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Credit Risks of JPMorgan Financial and JPMorgan Chase & Co.
— The Securities are unsecured and unsubordinated debt obligations of the Issuer, JPMorgan Chase Financial Company LLC, the
payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. The Securities will rank pari passu
with all of our other unsecured and unsubordinated obligations, and the related guarantee JPMorgan Chase & Co. will rank pari
passu with all of JPMorgan Chase & Co.’s other unsecured and unsubordinated obligations. The Securities and related
guarantees are not, either directly or indirectly, an obligation of any third party. Any payment to be made on the Securities,
including any repayment of principal, depends on the ability of JPMorgan Financial and JPMorgan Chase & Co. to satisfy their
obligations as they come due. As a result, the actual and perceived creditworthiness of JPMorgan Financial and JPMorgan Chase &
Co. may affect the market value of the Securities and, in the event JPMorgan Financial and JPMorgan Chase & Co. were to default
on their obligations, you may not receive any amounts owed to you under the terms of the Securities and you could lose your entire
investment.
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t
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As a Finance Subsidiary, JPMorgan Financial Has No Independent Operations
and 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 Securities. If these affiliates
do not make payments to us and we fail to make payments on the Securities, 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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t
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The Upside Gearing Applies Only If You Hold the Securities to Maturity
— You should be willing to hold your Securities to maturity. If you are able to
sell your Securities prior to maturity in the secondary market, if any, the price you receive likely will not reflect the full
economic value of the Upside Gearing or the Securities themselves, and the return you realize may be less than the product of the
performance of the Basket and the Upside Gearing and may be less than the Basket’s return, even if that return is positive.
You can receive the full benefit of the Upside Gearing only if you hold your Securities to maturity.
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t
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The Contingent Repayment of Principal Applies Only If You Hold the
Securities to Maturity — You should be willing to hold your Securities to maturity.
If you are able to sell your Securities in the secondary market, if any, prior to maturity, you may have to sell them at a loss
relative to your initial investment even if the closing level of the Basket is above the Downside Threshold. If you hold the Securities
to maturity, JPMorgan Financial will repay your principal amount as long as the Final Basket Value is not below the Downside Threshold.
However, if the Basket Return is negative and the Final Basket Value is less than the Downside Threshold, JPMorgan Financial will
repay less than your principal amount, if anything, resulting in a loss that is proportionate to the decline in the level of the
Basket from the Initial Basket Value to the Final Basket Value. The contingent repayment of principal based on whether the Final
Basket Value is below the Downside Threshold applies only if you hold your Securities to maturity.
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t
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No Interest Payments — JPMorgan Financial will not make
any interest payments to you with respect to the Securities.
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t
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Potential Conflicts — We and our affiliates play a variety
of roles in connection with the issuance of the Securities, including acting as calculation agent and hedging our obligations under
the Securities and making the assumptions used to determine the pricing of the Securities and the estimated value of the Securities
when the terms of the Securities are set, which we refer to as the estimated value of the Securities. 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 Securities. 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 Securities and the value of the Securities. It is possible
that hedging or trading activities of ours or our affiliates in connection with the Securities could result in substantial returns
for us or our affiliates while the value of the Securities 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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t
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The Probability That the Final Basket Value Will Fall Below the
Downside Threshold on the Final Valuation Date Will Depend on the Volatility of the Underlyings — “Volatility"
refers to the frequency and magnitude of changes in the level of the Basket. Greater expected volatility with respect to the Basket
reflects a higher expectation as of the Trade Date that the Basket could close below the Downside Threshold on the Final Valuation
Date, resulting in the loss of some or all of your investment. However, the Basket’s volatility can change significantly
over the term of the Securities. The level of the Basket could fall sharply, which could result in a significant loss of principal.
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t
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The Estimated Value of the Securities Is Lower Than the Original
Issue Price (Price to Public) of the Securities — The estimated value of the Securities is only an estimate determined
by reference to several factors. The original issue price of the Securities exceeds the estimated value of the Securities because
costs associated with selling, structuring and hedging the Securities are included in the original issue price of the Securities.
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 Securities and the estimated cost of hedging our obligations under the Securities.
See “The Estimated Value of the Securities” in this pricing supplement.
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t
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The Estimated Value of the Securities Does Not Represent Future
Values of the Securities and May Differ from Others’ Estimates — The estimated value of the Securities is determined
by reference to internal pricing models of our affiliates when the terms of the Securities are set. This estimated value of the
Securities 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 Securities that are greater than or less than the estimated value of the Securities. 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 Securities 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 Securities from you in secondary market transactions. See “The Estimated Value of the
Securities” in this pricing supplement.
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t
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The Estimated Value of the Securities Is Derived by Reference to
an Internal Funding Rate — The internal funding rate used in the determination of the estimated value of the Securities
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 Securities as well as the higher issuance, operational and ongoing liability management costs of the Securities 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 Securities. The use of an internal funding rate and any potential changes to that rate
may have an adverse effect on the terms of the Securities and any secondary market prices of the Securities. See “The Estimated
Value of the Securities” in this pricing supplement.
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t
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The Value of the Securities as Published by JPMS (and Which May
Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Securities for a Limited
Time Period — We generally expect that some of the costs included in the original issue price of the Securities will
be partially paid back to you in connection with any repurchases of your Securities 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 Securities” in this pricing supplement for additional information relating to this initial period. Accordingly,
the estimated value of your Securities during this initial period may be lower than the value of the Securities as published by
JPMS (and which may be shown on your customer account statements).
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t
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Secondary Market Prices of the Securities Will Likely Be Lower Than
the Original Issue Price of the Securities — Any secondary market prices of the Securities will likely be lower than
the original issue price of the Securities 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 Securities.
As a result, the price, if any, at which JPMS will be willing to buy Securities 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 factor for information about additional factors that will impact any secondary
market prices of the Securities.
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The Securities are not designed to
be short-term trading instruments. Accordingly, you should be able and willing to hold your Securities to maturity. See “—
Lack of Liquidity” below.
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t
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Many Economic and Market Factors Will Impact the Value of the Securities
— As described under “The Estimated Value of the Securities” in this pricing supplement, the Securities can
be thought of as securities that combine a fixed-income debt component with one or more derivatives. As a result, the factors that
influence the values of fixed-income debt and derivative instruments will also influence the terms of the Securities at issuance
and their value in the secondary market. Accordingly, the secondary market price of the Securities 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 levels of the Underlyings, including:
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t
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any actual or potential change in our or JPMorgan Chase & Co.’s
creditworthiness or credit spreads;
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t
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customary bid-ask spreads for similarly sized trades;
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t
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our internal secondary market funding rates for structured debt issuances;
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t
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the actual and expected volatility in the levels of the Underlyings;
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t
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the time to maturity of the Securities;
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t
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the dividend rates on the equity securities underlying the Underlyings;
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t
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the actual or expected positive or negative correlation among the Underlyings,
or the actual or expected absence of any such correlation;
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t
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interest and yield rates in the market generally;
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t
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the exchange rates and the volatility of the exchange rates between
the U.S. dollar and each of the currencies in which the equity securities included in the Underlyings trade and the correlation
among those rates and the levels of the Underlyings; and
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t
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a variety of other economic, financial, political, regulatory and judicial
events.
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Additionally, independent pricing vendors
and/or third party broker-dealers may publish a price for the Securities, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the Securities, if any, at which JPMS may be willing to purchase
your Securities in the secondary market.
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t
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Correlation (or Lack of Correlation) of the Underlyings —
Changes in the levels of the Underlyings may not correlate with each other. At a time when the level of one or more Underlyings
increases, the price of one or more other Underlyings may not increase as much or may even decline. Therefore, in calculating the
closing level of the Basket, an increase in the level of one or more of the Underlyings may be moderated, or more than offset,
by a lesser increase or decline in the level of one or more other Underlyings. In addition, high correlation of movements in the
levels of the Underlyings during periods of negative returns among the Underlyings could have an adverse effect on any payment
on the Securities. Due to the unequal weightings of the Underlyings, the performance of the EURO STOXX 50® Index
will have a significantly larger impact on the return on the Securities than the performance of any other Underlying in the Basket.
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t
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Investing in the Securities Is Not Equivalent to Investing in the
Stocks Composing the Underlyings — Investing in the Securities is not equivalent to investing in the stocks included
in the Underlyings. As an investor in the Securities, you will not have any ownership interest or rights in the stocks included
in the Underlyings, such as voting rights, dividend payments or other distributions.
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t
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We Cannot Control Actions by the Sponsor
of Any Underlying and That Sponsor Has No Obligation to Consider Your Interests — We and our affiliates are not affiliated
with the sponsor of any Underlying and have no ability to control or predict its actions, including any errors in or discontinuation
of public disclosure regarding methods or policies relating to the calculation of that Underlying. The sponsor of each Underlying
is not involved in this Security offering in any way and has no obligation to consider your interest as an owner of the Securities
in taking any actions that might affect the market value of your Securities.
|
|
t
|
Your Return on the Securities Will Not Reflect Dividends on the
Stocks Composing the Underlyings — Your return on the Securities will not reflect the return you would realize if you
actually owned the stocks included in the Underlyings and received the dividends on the stocks included in the Underlyings. This
is because the calculation agent will calculate the amount payable to you at maturity of the Securities by reference to the Final
Basket Value, which is based on the closing level of each Underlying on the Final Valuation Date, without taking into consideration
the value of dividends on the stocks included in that Underlying.
|
|
t
|
Historical Performance of the Basket Should Not Be Taken as an Indication
of the Future Performance of the Basket During the Term of the Securities — The actual performance of the Basket over
the term of the Securities may bear little relation to the historical performance of the Basket. The future performance of the
Basket may differ significantly from its historical performance. It is impossible to predict whether the level of the Basket will
rise or fall. We cannot give you assurance that the performance of the Basket will not adversely affect any payment on the Securities.
|
|
t
|
Lack of Liquidity — The Securities will not be listed
on any securities exchange. JPMS intends to offer to purchase the Securities 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 Securities easily.
Because other dealers are not likely to make a secondary market for the Securities, the price at which you may be able to trade
your Securities is likely to depend on the price, if any, at which JPMS is willing to buy the Securities.
|
|
t
|
Potentially Inconsistent Research, Opinions or Recommendations by
JPMS, UBS or Their Affiliates — JPMS, UBS or their affiliates may publish research, express opinions or provide recommendations
that are inconsistent with investing in or holding the Securities, and that may be revised at any time. Any such research, opinions
or recommendations may or may not recommend that investors buy or hold investments linked to the Underlyings and could affect the
values of the Underlyings, and therefore the Basket and the market value of the Securities.
|
|
t
|
Tax Treatment — Significant aspects of the tax treatment
of the Securities are uncertain. You should consult your tax adviser about your tax situation.
|
|
t
|
Potential JPMorgan Financial Impact on the Level of an Underlying
— Trading or transactions by JPMorgan Financial or its affiliates in an Underlying or in futures, options or other derivatives
products on an Underlying may adversely affect the level of that Underlying and, therefore, the market value of the Securities.
|
Risks Relating to the Underlyings
|
t
|
Non-U.S. Securities Risk — The equity securities included in each Underlying
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, including
risks of volatility in those markets, governmental intervention in those markets and cross shareholdings in companies in certain
countries. 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.
|
|
t
|
No Direct Exposure to Fluctuations in Foreign Exchange Rates — The value
of your Securities will not be adjusted for exchange rate fluctuations between the U.S. dollar and the currencies upon which the
equity securities included in the Underlyings are based, although any currency fluctuations could affect the performance of the
Underlyings and, therefore, the Basket. Therefore, if the
|
applicable
currencies appreciate or depreciate relative to the U.S. dollar over the term of the Securities, you will not receive any additional
payment or incur any reduction in any payment on the Securities.
Hypothetical
Examples and Return Table
|
Hypothetical terms only. Actual terms
may vary. See the cover page for actual offering terms.
The following table and hypothetical examples below illustrate
the payment at maturity per $10 principal amount Security for a hypothetical range of Basket Returns from -100.00% to +100.00%
on an offering of the Securities linked to a hypothetical Basket, reflect the Initial Basket Value of 100 and assume a Downside
Threshold of 90 and a hypothetical Upside Gearing of 1.20. For historical data regarding the actual closing levels of the Underlyings,
please see the historical information set forth under “The Underlyings” in this pricing supplement. The actual Downside
Threshold and Upside Gearing are specified on the cover of this pricing supplement. The hypothetical payment at maturity examples
set forth below are for illustrative purposes only and may not be the actual returns applicable to a purchaser of the Securities.
The actual payment at maturity may be more or less than the amounts displayed below and will be determined based on the actual
terms of the Securities, including the Initial Basket Value, the Downside Threshold and the Upside Gearing and the Final Basket
Value on the Final Valuation Date. You should consider carefully whether the Securities are suitable to your investment goals.
The numbers appearing in the table below have been rounded for ease of analysis.
Final Basket Value
|
Basket Return (%)
|
Payment at Maturity ($)
|
Return at Maturity per
$10 issue price (%)
|
150.00
|
50.00%
|
$16.00
|
60.00%
|
140.00
|
40.00%
|
$14.80
|
48.00%
|
130.00
|
30.00%
|
$13.60
|
36.00%
|
120.00
|
20.00%
|
$12.40
|
24.00%
|
110.00
|
10.00%
|
$11.20
|
12.00%
|
105.00
|
5.00%
|
$10.60
|
6.00%
|
102.00
|
2.00%
|
$10.24
|
2.40%
|
100.00
|
0.00%
|
$10.00
|
0.00%
|
95.00
|
-5.00%
|
$10.00
|
0.00%
|
90.00
|
-10.00%
|
$10.00
|
0.00%
|
89.99
|
-10.01%
|
$8.999
|
-10.01%
|
80.00
|
-20.00%
|
$8.000
|
-20.00%
|
70.00
|
-30.00%
|
$7.000
|
-30.00%
|
60.00
|
-40.00%
|
$6.000
|
-40.00%
|
50.00
|
-50.00%
|
$5.000
|
-50.00%
|
40.00
|
-60.00%
|
$4.000
|
-60.00%
|
30.00
|
-70.00%
|
$3.000
|
-70.00%
|
20.00
|
-80.00%
|
$2.000
|
-80.00%
|
10.00
|
-90.00%
|
$1.000
|
-90.00%
|
0.00
|
-100.00%
|
$0.000
|
-100.00%
|
Example 1 — The level of the Basket increases by 10%
from the Initial Basket Value of 100 to the Final Basket Value of 110.
Because the Basket Return is 10%, at maturity, JPMorgan Financial
will pay you your principal amount plus a return equal to 12.00%, resulting in a payment at maturity of $11.20 per $10 principal
amount Security, calculated as follows:
$10.00 + ($10.00 × Basket Return ×
Upside Gearing)
$10.00 + ($10.00 × 10.00% ×
1.20) = $11.20
Example 2— The level of the Basket decreases by 5%
from the Initial Basket Value of 100 to the Final Basket Value of 95.
Because the Basket Return is negative and the Final Basket Value
is greater than the Downside Threshold, at maturity, JPMorgan Financial will pay you your principal amount of $10 per $10 principal
amount Security.
Example 3 — The level of the Basket decreases by 40%
from the Initial Basket Value of 100 to the Final Basket Value of 60.
Because the Basket Return is -40% and the Final Basket Value
is less than the Downside Threshold of 90, at maturity, JPMorgan Financial will pay you a payment at maturity of $6.00 per $10
principal amount Security, calculated as follows:
$10 + ($10 × Basket Return)
$10 + ($10 × -40.00%) = $6.00
If the Basket Return is negative and the Final Basket
Value is less than the Downside Threshold, investors will be exposed to the negative Basket Return at maturity, resulting in a
loss of principal that is proportionate to the Basket’s decline from the Initial Basket Value to the Final Basket Value.
Investors could lose some or all of their principal amount.
The hypothetical returns and hypothetical payments on the Securities
shown above apply only if you hold the Securities for their entire term. These hypotheticals do not reflect fees or expenses
that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns
and hypothetical payments shown above would likely be lower.
Hypothetical
Examples of Calculations of the Closing Levels of the Basket
|
The examples below illustrate the hypothetical closing levels
of the Basket on the Final Valuation Date under different hypothetical scenarios with the following assumptions (amounts have been
rounded for ease of reference):
Underlyings
|
Index Weight
|
Initial Value
|
|
EURO STOXX 50® Index
|
40.00%
|
100.00*
|
|
Nikkei 225 Index
|
20.00%
|
100.00*
|
|
FTSE® 100 Index
|
20.00%
|
100.00*
|
|
S&P/ASX 200 Index
|
7.50%
|
100.00*
|
|
Swiss Market Index
|
7.50%
|
100.00*
|
|
Hang Seng® Index
|
5.00%
|
100.00*
|
|
*The actual Initial Value for each Underlying is specified on the cover of this pricing supplement. The hypothetical Initial Value for each Underlying of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value for any Underlying. For historical data regarding the actual closing levels of each Underlying, please see the historical information set forth under “The EURO STOXX 50® Index,” “The Nikkei 225 Index,” “The FTSE® 100 Index,” “The S&P/ASX 200 Index,” “The Swiss Market Index”and “The Hang Seng® Index” in this pricing supplement.
|
Example 1 — On the Final Valuation Date, each
Underlying closes above its Initial Value.
Underlyings
|
Index Weight
|
Initial Value
|
Final Value
|
Underlying
Return
|
EURO STOXX 50® Index
|
40.00%
|
100.00
|
106.00
|
6.00%
|
Nikkei 225 Index
|
20.00%
|
100.00
|
105.00
|
5.00%
|
FTSE® 100 Index
|
20.00%
|
100.00
|
103.25
|
3.25%
|
S&P/ASX 200 Index
|
7.50%
|
100.00
|
104.00
|
4.00%
|
Swiss Market Index
|
7.50%
|
100.00
|
104.00
|
4.00%
|
Hang Seng® Index
|
5.00%
|
100.00
|
107.00
|
7.00%
|
Closing Level of the Basket:
|
100 × [1 + (6.00% × 40.00%) + (5.00% × 20.00%) + (3.25% × 20.00%)
+ (4.00% × 7.50%) + (4.00% × 7.50%) + (7.00% × 5.00%)] = 105
|
A closing level of the Basket of 105 represents
a 5% increase in the level of the Basket from the Initial Basket Value.
Example 2 — On the Final Valuation Date, each
Underlying closes below its Initial Value.
Underlyings
|
Index Weight
|
Initial Value
|
Final Value
|
Underlying
Return
|
EURO STOXX 50® Index
|
40.00%
|
100.00
|
88.00
|
-12.00%
|
Nikkei 225 Index
|
20.00%
|
100.00
|
80.00
|
-20.00%
|
FTSE® 100 Index
|
20.00%
|
100.00
|
83.00
|
-17.00%
|
S&P/ASX 200 Index
|
7.50%
|
100.00
|
88.00
|
-12.00%
|
Swiss Market Index
|
7.50%
|
100.00
|
84.00
|
-16.00%
|
Hang Seng® Index
|
5.00%
|
100.00
|
86.00
|
-14.00%
|
Closing Level of the Basket:
|
100 × [1 + (-12.00% × 40.00%) + (-20.00% × 20.00%) + (-17.00% × 20.00%) + (-12.00% × 7.50%) + (-16.00% × 7.50%) + (-14.00% × 5.00%)] = 85
|
A closing level of the Basket of 85 represents a
15% decline in the level of the Basket from the Initial Basket Value.
Example 3 — On the Final Valuation Date, the most heavily
weighted Underlying closes below its Initial Value, offsetting the increase of the other Underlyings.
Underlyings
|
Index Weight
|
Initial Value
|
Final Value
|
Underlying
Return
|
EURO STOXX 50® Index
|
40.00%
|
100.00
|
40.00
|
-60.00%
|
Nikkei 225 Index
|
20.00%
|
100.00
|
105.00
|
5.00%
|
FTSE® 100 Index
|
20.00%
|
100.00
|
110.00
|
10.00%
|
S&P/ASX 200 Index
|
7.50%
|
100.00
|
130.00
|
30.00%
|
Swiss Market Index
|
7.50%
|
100.00
|
130.00
|
30.00%
|
Hang Seng® Index
|
5.00%
|
100.00
|
110.00
|
10.00%
|
Closing Level of the Basket:
|
100 × [1 + (-60.00% × 40.00%) + (5.00% × 20.00%) + (10.00% × 20.00%)
+ (30.00% × 7.50%) + (30.00% × 7.50%) + (10.00% × 5.00%)] = 84
|
A closing level of the Basket of 84.00 represents a 16.00%
decline in the level of the Basket from the Initial Basket Value.
Because the Basket is unequally weighted, increases in the levels
of the lower weighted Underlyings are offset by the decrease in the level of the most heavily weighted Underlying. In this example,
even though the Underlying Return of each of the Nikkei 225 Index, the FTSE® 100 Index, the S&P/ASX 200 Index,
the Swiss Market Index and the Hang Seng® Index are positive, the significant negative Underlying Return of the
EURO STOXX 50® Index results in a Final Basket Value that is less the Initial Basket Value.
Example 4 — On the Final Valuation Date, the most heavily
weighted Underlying closes above its Initial Value, but this increase is offset by the decline of the other Underlyings.
Underlyings
|
Index Weight
|
Initial Value
|
Final Value
|
Underlying
Return
|
EURO STOXX 50® Index
|
40.00%
|
100.00
|
150.00
|
50.00%
|
Nikkei 225 Index
|
20.00%
|
100.00
|
25.00
|
-75.00%
|
FTSE® 100 Index
|
20.00%
|
100.00
|
25.00
|
-75.00%
|
S&P/ASX 200 Index
|
7.50%
|
100.00
|
75.00
|
-25.00%
|
Swiss Market Index
|
7.50%
|
100.00
|
25.00
|
-75.00%
|
Hang Seng® Index
|
5.00%
|
100.00
|
50.00
|
-50.00%
|
Closing Level of the Basket:
|
100 × [1 + (50.00% × 40.00%) + (-75.00% × 20.00%) + (-75.00% × 20.00%)
+ (-25.00% × 7.50%) + (-75.00% × 7.50%) + (-50.00% × 5.00%)] = 80
|
A closing level of the Basket of 80.00 represents a 20.00%
decline in the level of the Basket from the Initial Basket Value.
Although the Basket is unequally weighted, significant decreases
in the levels of the lower weighted Underlyings more than offset the significant increase in the level of the most heavily weighted
Underlying. In this example, even though the Underlying Return of the EURO STOXX 50® Index was positive, the significant
negative Underlying Return of each of the Nikkei 225 Index, the FTSE® 100 Index, the S&P/ASX 200 Index, the
Swiss Market Index and the Hang Seng® Index together results in a Final Basket Value that is less the Initial Basket
Value.
The following graph shows the daily hypothetical performance
of the Basket from January 4, 2010 through July 29, 2020, assuming that the closing level of the Basket on January 4, 2010 was
100 and that the Underlyings on those dates were weighted as specified in the “Final Terms” in this pricing supplement.
The dotted line represents the Downside Threshold of 75, equal to 75% of the Initial Basket Value. The hypothetical historical
daily Basket performance data in this graph was determined using the closing levels of each Underlying reported by the Bloomberg
Professional® service (“Bloomberg”) for those dates, without independent verification. The hypothetical
historical performance of the Basket displayed below is a reflection of the aggregated historical performance of the Underlyings
as described above.
Past performance of the Basket is not indicative
of the future performance of the Basket. See “Key Risks — Risks Relating to the Securities Generally —
Historical Performance of the Basket Should Not Be Taken as an Indication of the Future Performance of the Basket During the Term
of the Securities.”
Included on the following pages is a brief description
of the Underlyings. This information has been obtained from publicly available sources, without independent verification. Set forth
below is a table that provides the quarterly high and low closing levels of each Underlying. This information given below is for
the four calendar quarters in each of 2015, 2016, 2017, 2018 and 2019 and the first and second calendar quarters of 2020. Partial
data is provided for the third calendar quarter of 2020. We obtained the closing levels information set forth below from the Bloomberg
Professional® service (“Bloomberg”), without independent verification. You should not take the historical
performance of any Underlying as an indication of future performance.
The EURO STOXX 50® Index consists of 50
component stocks of market sector leaders from within the Eurozone. The EURO STOXX 50® Index and STOXX®
are the intellectual property (including registered trademarks) of STOXX Limited, Zurich, Switzerland and/or its licensors (the
“Licensors”), which are used under license. The Securities based on the EURO STOXX 50® Index are in
no way sponsored, endorsed, sold or promoted by STOXX Limited and its Licensors and neither Stoxx Limited nor any of its Licensors
shall have any liability with respect thereto. For additional information about the EURO STOXX 50® Index, see the
information set forth under “Equity Index Descriptions — The STOXX Benchmark Indices” in the accompanying underlying
supplement.
Historical Information Regarding the EURO STOXX
50® Index
The following table sets forth the quarterly high and
low closing levels of the EURO STOXX 50® Index, based on daily closing levels of the EURO STOXX 50®
Index as reported by Bloomberg, without independent verification. The closing level of the EURO STOXX 50® Index
on July 29, 2020 was 3,300.16. We obtained the closing levels of the EURO STOXX 50® Index above and below from Bloomberg,
without independent verification. You should not take the historical levels of the EURO STOXX 50® Index as an indication
of future performance.
Quarter Begin
|
Quarter End
|
Quarterly Closing High
|
Quarterly Closing Low
|
Close
|
1/1/2015
|
3/31/2015
|
3,731.35
|
3,007.91
|
3,697.38
|
4/1/2015
|
6/30/2015
|
3,828.78
|
3,424.30
|
3,424.30
|
7/1/2015
|
9/30/2015
|
3,686.58
|
3,019.34
|
3,100.67
|
10/1/2015
|
12/31/2015
|
3,506.45
|
3,069.05
|
3,267.52
|
1/1/2016
|
3/31/2016
|
3,178.01
|
2,680.35
|
3,004.93
|
4/1/2016
|
6/30/2016
|
3,151.69
|
2,697.44
|
2,864.74
|
7/1/2016
|
9/30/2016
|
3,091.66
|
2,761.37
|
3,002.24
|
10/1/2016
|
12/31/2016
|
3,290.52
|
2,954.53
|
3,290.52
|
1/1/2017
|
3/31/2017
|
3,500.93
|
3,230.68
|
3,500.93
|
4/1/2017
|
6/30/2017
|
3,658.79
|
3,409.78
|
3,441.88
|
7/1/2017
|
9/30/2017
|
3,594.85
|
3,388.22
|
3,594.85
|
10/1/2017
|
12/31/2017
|
3,697.40
|
3,503.96
|
3,503.96
|
1/1/2018
|
3/31/2018
|
3,672.29
|
3,278.72
|
3,361.50
|
4/1/2018
|
6/30/2018
|
3,592.18
|
3,340.35
|
3,395.60
|
7/1/2018
|
9/30/2018
|
3,527.18
|
3,293.36
|
3,399.20
|
10/1/2018
|
12/31/2018
|
3,414.16
|
2,937.36
|
3,001.42
|
1/1/2019
|
3/31/2019
|
3,409.00
|
2,954.66
|
3,351.71
|
4/1/2019
|
6/30/2019
|
3,514.62
|
3,280.43
|
3,473.69
|
7/1/2019
|
9/30/2019
|
3,571.39
|
3,282.78
|
3,569.45
|
10/1/2019
|
12/31/2019
|
3,782.27
|
3,413.31
|
3,745.15
|
1/1/2020
|
3/31/2020
|
3,865.18
|
2,385.82
|
2,786.90
|
4/1/2020
|
6/30/2020
|
3,384.29
|
2,662.99
|
3,234.07
|
7/1/2020
|
7/29/2020*
|
3,405.35
|
3,228.45
|
3,300.16
|
|
*
|
As of the date of this pricing supplement, available information for the third calendar quarter of 2020 includes data for the
period from July 1, 2020 through July 29, 2020. Accordingly, the “Quarterly Closing High,” “Quarterly Closing
Low” and “Close” data indicated are for this shortened period only and do not reflect complete data for the third
calendar quarter of 2020.
|
The graph below illustrates the daily performance of
the EURO STOXX 50® Index from January 4, 2010 through July 29, 2020, based on information from Bloomberg, without
independent verification.
Past performance of the EURO STOXX 50®
Index is not indicative of the future performance of the EURO STOXX 50® Index.
The Nikkei 225 Index is a stock index that measures
the composite price performance of selected Japanese stocks. The Nikkei 225 Index is based on 225 underlying stocks (the “Nikkei
underlying stocks”) trading on the Tokyo Stock Exchange (“TSE”), representing a broad cross-section of Japanese
industries. All Nikkei underlying stocks are stocks listed in the First Section of the TSE. Stocks listed in the First Section
of the TSE are among the most actively traded stocks on the TSE. For additional information about the Nikkei 225 Index, see “Equity
Index Descriptions ― The Nikkei 225 Index” in the accompanying underlying supplement.
Historical Information Regarding the Nikkei 225
Index
The following table sets forth the quarterly high and
low closing levels of the Nikkei 225 Index, based on daily closing levels of the Nikkei 225 Index as reported by Bloomberg, without
independent verification. The closing level of the Nikkei 225 Index on July 29, 2020 was 22,397.11. We obtained the closing levels
of the Nikkei 225 Index above and below from Bloomberg, without independent verification. You should not take the historical levels
of the Nikkei 225 Index as an indication of future performance.
Quarter Begin
|
Quarter End
|
Quarterly Closing High
|
Quarterly Closing Low
|
Close
|
1/1/2015
|
3/31/2015
|
19,754.36
|
16,795.96
|
19,206.99
|
4/1/2015
|
6/30/2015
|
20,868.03
|
19,034.84
|
20,235.73
|
7/1/2015
|
9/30/2015
|
20,841.97
|
16,930.84
|
17,388.15
|
10/1/2015
|
12/31/2015
|
20,012.40
|
17,722.42
|
19,033.71
|
1/1/2016
|
3/31/2016
|
18,450.98
|
14,952.61
|
16,758.67
|
4/1/2016
|
6/30/2016
|
17,572.49
|
14,952.02
|
15,575.92
|
7/1/2016
|
9/30/2016
|
17,081.98
|
15,106.98
|
16,449.84
|
10/1/2016
|
12/31/2016
|
19,494.53
|
16,251.54
|
19,114.37
|
1/1/2017
|
3/31/2017
|
19,633.75
|
18,787.99
|
18,909.26
|
4/1/2017
|
6/30/2017
|
20,230.41
|
18,335.63
|
20,033.43
|
7/1/2017
|
9/30/2017
|
20,397.58
|
19,274.82
|
20,356.28
|
10/1/2017
|
12/31/2017
|
22,939.18
|
20,400.78
|
22,764.94
|
1/1/2018
|
3/31/2018
|
24,124.15
|
20,617.86
|
21,454.30
|
4/1/2018
|
6/30/2018
|
23,002.37
|
21,292.29
|
22,304.51
|
7/1/2018
|
9/30/2018
|
24,120.04
|
21,546.99
|
24,120.04
|
10/1/2018
|
12/31/2018
|
24,270.62
|
19,155.74
|
20,014.77
|
1/1/2019
|
3/31/2019
|
21,822.04
|
19,561.96
|
21,205.81
|
4/1/2019
|
6/30/2019
|
22,307.58
|
20,408.54
|
21,275.92
|
7/1/2019
|
9/30/2019
|
22,098.84
|
20,261.04
|
21,755.84
|
10/1/2019
|
12/31/2019
|
24,066.12
|
21,341.74
|
23,656.62
|
1/1/2020
|
3/31/2020
|
24,083.51
|
16,552.83
|
18,917.01
|
4/1/2020
|
6/30/2020
|
23,178.10
|
17,818.72
|
22,288.14
|
7/1/2020
|
7/29/2020*
|
22,945.50
|
22,121.73
|
22,397.11
|
|
*
|
As of the date of this pricing supplement, available information for the third calendar quarter of 2020 includes data for the
period from July 1, 2020 through July 29, 2020. Accordingly, the “Quarterly Closing High,” “Quarterly Closing
Low” and “Close” data indicated are for this shortened period only and do not reflect complete data for the third
calendar quarter of 2020.
|
The graph below illustrates the daily performance of
the Nikkei 225 Index from January 4, 2010 through July 29, 2020, based on information from Bloomberg, without independent verification.
Past performance of the Nikkei 225 Index is not
indicative of the future performance of the Nikkei 225 Index.
The FTSE® 100 Index measures the composite
price performance of stocks of the largest 100 companies (determined on the basis of market capitalization) traded on the London
Stock Exchange. For additional information about the FTSE® 100 Index, see “Equity Index Descriptions —
The FTSE® 100 Index” in the accompanying underlying supplement.
Historical Information Regarding the FTSE®
100 Index
The following table sets forth the quarterly high and
low closing levels of the FTSE® 100 Index, based on daily closing levels of the FTSE® 100 Index as
reported by Bloomberg, without independent verification. The closing level of the FTSE® 100 Index on July 29, 2020
was 6,131.46. We obtained the closing levels of the FTSE® 100 Index above and below from Bloomberg, without independent
verification. You should not take the historical levels of the FTSE® 100 Index as an indication of future performance.
Quarter Begin
|
Quarter End
|
Quarterly Closing High
|
Quarterly Closing Low
|
Close
|
1/1/2015
|
3/31/2015
|
7,037.67
|
6,366.51
|
6,773.04
|
4/1/2015
|
6/30/2015
|
7,103.98
|
6,520.98
|
6,520.98
|
7/1/2015
|
9/30/2015
|
6,796.45
|
5,898.87
|
6,061.61
|
10/1/2015
|
12/31/2015
|
6,444.08
|
5,874.06
|
6,242.32
|
1/1/2016
|
3/31/2016
|
6,203.17
|
5,536.97
|
6,174.90
|
4/1/2016
|
6/30/2016
|
6,504.33
|
5,923.53
|
6,504.33
|
7/1/2016
|
9/30/2016
|
6,941.19
|
6,463.59
|
6,899.33
|
10/1/2016
|
12/31/2016
|
7,142.83
|
6,693.26
|
7,142.83
|
1/1/2017
|
3/31/2017
|
7,429.81
|
7,099.15
|
7,322.92
|
4/1/2017
|
6/30/2017
|
7,547.63
|
7,114.36
|
7,312.72
|
7/1/2017
|
9/30/2017
|
7,542.73
|
7,215.47
|
7,372.76
|
10/1/2017
|
12/31/2017
|
7,687.77
|
7,300.49
|
7,687.77
|
1/1/2018
|
3/31/2018
|
7,778.64
|
6,888.69
|
7,056.61
|
4/1/2018
|
6/30/2018
|
7,877.45
|
7,030.46
|
7,636.93
|
7/1/2018
|
9/30/2018
|
7,776.65
|
7,273.54
|
7,510.20
|
10/1/2018
|
12/31/2018
|
7,510.28
|
6,584.68
|
6,728.13
|
1/1/2019
|
3/31/2019
|
7,355.31
|
6,692.66
|
7,279.19
|
4/1/2019
|
6/30/2019
|
7,523.07
|
7,161.71
|
7,425.63
|
7/1/2019
|
9/30/2019
|
7,686.61
|
7,067.01
|
7,408.21
|
10/1/2019
|
12/31/2019
|
7,644.90
|
7,077.64
|
7,542.44
|
1/1/2020
|
3/31/2020
|
7,674.56
|
4,993.89
|
5,671.96
|
4/1/2020
|
6/30/2020
|
6,484.30
|
5,415.50
|
6,169.74
|
7/1/2020
|
7/29/2020*
|
6,292.65
|
6,049.62
|
6,131.46
|
|
*
|
As of the date of this pricing supplement, available information for the third calendar quarter of 2020 includes data for the
period from July 1, 2020 through July 29, 2020. Accordingly, the “Quarterly Closing High,” “Quarterly Closing
Low” and “Close” data indicated are for this shortened period only and do not reflect complete data for the third
calendar quarter of 2020.
|
The graph below illustrates the daily performance of
the FTSE® 100 Index from January 4, 2010 through July 29, 2020, based on information from Bloomberg, without independent
verification.
Past performance of the FTSE®
100 Index is not indicative of the future performance of the FTSE® 100 Index.
The S&P/ASX 200 Index measures the performance
of the 200 largest index-eligible stocks listed on the Australian Securities Exchange by float-adjusted market capitalization,
and is widely considered Australia’s benchmark index. For additional information see “Equity Index Descriptions —
The S&P/ASX 200 Index” in the accompanying underlying supplement.
Historical Information Regarding the S&P/ASX
200 Index
The following table sets forth the quarterly high and
low closing levels of the S&P/ASX 200 Index, based on daily closing levels of the S&P/ASX 200 Index as reported by Bloomberg,
without independent verification. The closing level of the S&P/ASX 200 Index on July 29, 2020 was 6,006.385. We obtained the
closing levels of the S&P/ASX 200 Index above and below from Bloomberg, without independent verification. You should not take
the historical levels of the S&P/ASX 200 Index as an indication of future performance.
Quarter Begin
|
Quarter End
|
Quarterly Closing High
|
Quarterly Closing Low
|
Close
|
1/1/2015
|
3/31/2015
|
5,975.491
|
5,299.237
|
5,891.505
|
4/1/2015
|
6/30/2015
|
5,982.694
|
5,422.487
|
5,459.010
|
7/1/2015
|
9/30/2015
|
5,706.715
|
4,918.429
|
5,021.629
|
10/1/2015
|
12/31/2015
|
5,351.565
|
4,909.555
|
5,295.859
|
1/1/2016
|
3/31/2016
|
5,270.475
|
4,765.346
|
5,082.785
|
4/1/2016
|
6/30/2016
|
5,408.017
|
4,924.385
|
5,233.375
|
7/1/2016
|
9/30/2016
|
5,587.392
|
5,197.547
|
5,435.921
|
10/1/2016
|
12/31/2016
|
5,699.068
|
5,156.556
|
5,665.791
|
1/1/2017
|
3/31/2017
|
5,896.229
|
5,610.972
|
5,864.905
|
4/1/2017
|
6/30/2017
|
5,956.523
|
5,665.721
|
5,721.494
|
7/1/2017
|
9/30/2017
|
5,785.102
|
5,655.420
|
5,681.610
|
10/1/2017
|
12/31/2017
|
6,088.143
|
5,651.766
|
6,065.129
|
1/1/2018
|
3/31/2018
|
6,135.807
|
5,759.365
|
5,759.365
|
4/1/2018
|
6/30/2018
|
6,232.134
|
5,751.924
|
6,194.633
|
7/1/2018
|
9/30/2018
|
6,352.236
|
6,128.717
|
6,207.561
|
10/1/2018
|
12/31/2018
|
6,185.486
|
5,467.639
|
5,646.400
|
1/1/2019
|
3/31/2019
|
6,263.885
|
5,557.755
|
6,180.731
|
4/1/2019
|
6/30/2019
|
6,687.413
|
6,181.259
|
6,618.772
|
7/1/2019
|
9/30/2019
|
6,845.083
|
6,405.528
|
6,688.348
|
10/1/2019
|
12/31/2019
|
6,863.998
|
6,492.990
|
6,684.075
|
1/1/2020
|
3/31/2020
|
7,162.494
|
4,546.035
|
5,076.827
|
4/1/2020
|
6/30/2020
|
6,148.426
|
5,067.482
|
5,897.882
|
7/1/2020
|
7/29/2020*
|
6,156.297
|
5,919.217
|
6,006.385
|
|
*
|
As of the date of this pricing supplement, available information for the third calendar quarter of 2020 includes data for the
period from July 1, 2020 through July 29, 2020. Accordingly, the “Quarterly Closing High,” “Quarterly Closing
Low” and “Close” data indicated are for this shortened period only and do not reflect complete data for the third
calendar quarter of 2020.
|
The graph below illustrates the daily performance of
the S&P/ASX 200 Index from January 4, 2010 through July 29, 2020, based on information from Bloomberg, without independent
verification.
Past performance of the S&P/ASX 200 Index
is not indicative of the future performance of the S&P/ASX 200 Index.
The Swiss Market Index (“SMI®”)
is a free-float adjusted market capitalization-weighted price return index of the Swiss equity market. The SMI®
comprises the 20 most highly capitalized and liquid stocks of the Swiss Performance Index®. For additional information
about the Swiss Market Index, see “Equity Index Descriptions — The Swiss Market Index” in the accompanying underlying
supplement.
Supplemental
Plan of Distribution
|
We and JPMorgan Chase & Co. have agreed to indemnify UBS
and JPMS against liabilities under the Securities Act of 1933, as amended, or to contribute to payments that UBS may be required
to make relating to these liabilities as described in the prospectus supplement and the prospectus. We have agreed that UBS may
sell all or a part of the Securities that it purchases from us to the public or its affiliates at the price to public indicated
on the cover hereof.
Subject to regulatory constraints, JPMS intends to offer to
purchase the Securities in the secondary market, but it is not required to do so.
We or our affiliates may enter into swap agreements or related
hedge transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the Securities,
and JPMS and/or an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions.
See “Supplemental Use of Proceeds” in this pricing supplement and “Use of Proceeds and Hedging” in the
accompanying product supplement.
The
Estimated Value of the Securities
|
The estimated value of the Securities 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 Securities, valued using the internal funding rate described below, and (2) the derivative or derivatives
underlying the economic terms of the Securities. The estimated value of the Securities does not represent a minimum price at which
JPMS would be willing to buy your Securities in any secondary market (if any exists) at any time. The internal funding rate used
in the determination of the estimated value of the Securities 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 values of the Securities as well as the higher issuance,
operational and ongoing liability management costs of the Securities 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 Securities. The use
of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the Securities and
any secondary market prices of the Securities. For additional information, see “Key Risks — Risks Relating to the Securities
Generally — The Estimated Value of the Securities 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 Securities 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 Securities is determined when the terms of the Securities are set based on market conditions and other relevant factors
and assumptions existing at that time. See “Key Risks — Risks Relating to the Securities Generally — The Estimated
Value of the Securities Does Not Represent Future Values of the Securities and May Differ from Others’ Estimates” in
this pricing supplement.
The estimated value of the Securities is lower than the original
issue price of the Securities because costs associated with selling, structuring and hedging the Securities are included in the
original issue price of the Securities. These costs include the selling commissions paid to UBS, the projected profits, if any,
that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the Securities
and the estimated cost of hedging our obligations under the
Securities. 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 Securities. See “Key Risks — Risks Relating to the
Securities Generally — The Estimated Value of the Securities Is Lower Than the Original Issue Price (Price to Public) of
the Securities” in this pricing supplement.
Secondary
Market Prices of the Securities
|
For information about factors that will impact any secondary
market prices of the Securities, see “Key Risks — Risks Relating to the Securities Generally — Secondary Market
Prices of the Securities Will Be Impacted by Many Economic and Market Factors” in this pricing supplement. In addition, we
generally expect that some of the costs included in the original issue price of the Securities will be partially paid back to you
in connection with any repurchases of your Securities by JPMS in an amount that will decline to zero over an initial predetermined
period that is intended to be up to twelve months. The length of any such initial period reflects secondary market volumes for
the Securities, the structure of the Securities, whether our affiliates expect to earn a profit in connection with our hedging
activities, the estimated costs of hedging the Securities and when these costs are incurred, as determined by our affiliates. See
“Key Risks — Risks Relating to the Securities Generally — The Value of the Securities as Published by JPMS (and
Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Securities for
a Limited Time Period” in this pricing supplement.