This pricing supplement relates to three (3) separate Note offerings.
Each issue of the offered Notes is linked to one, and only one, Underlying. The purchaser of a Note will acquire a Note linked
to a single Underlying (not to a basket or index that includes the other Underlyings). You may participate in any of the three
(3) Note offerings or, at your election, in two or more of the offerings. We reserve the right to withdraw, cancel or modify any
of the offerings and to reject orders in whole or in part. While each Note offering relates only to a single Underlying identified
on the cover page, you should not construe that fact as a recommendation of the merits of acquiring an investment linked to that
Underlying (or any other Underlying) or as to the suitability of an investment in the Notes.
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes
of which these Notes are a part, and the more detailed information contained in the accompanying product supplement. This pricing
supplement, together with the documents listed below, contains the terms of the Notes and supersedes all other prior or contemporaneous
oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade
ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You
should carefully consider, among other things, the matters set forth in the “Risk Factors” sections of the accompanying
prospectus supplement and the accompanying product supplement, as the Notes involve risks not associated with conventional debt
securities.
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.
For purposes of the accompanying product supplement, each
of the common stock of Amazon.com, Inc., the common stock of The Home Depot, Inc. and the Class P common stock of Kinder Morgan,
Inc. is an “Underlying Stock.”
Observation
Dates and Coupon Payment Dates
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Observation Dates†
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Coupon Payment Dates
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November 9, 2020
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November 12, 2020
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February 8, 2021
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February 10, 2021
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May 7, 2021
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May 11, 2021
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August 9, 2021
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August 11, 2021
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November 8, 2021
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November 10, 2021
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February 7, 2022
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February 9, 2022
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May 9, 2022
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May 11, 2022
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August 8, 2022
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August 10, 2022
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November 7, 2022
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November 9, 2022
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February 7, 2023
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February 9, 2023
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May 8, 2023
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May 10, 2023
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August 7, 2023 (the Final Valuation Date)
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August 10, 2023 (the Maturity Date)
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†The Notes are not callable until the second
Observation Date, February 8, 2021.
Each of the Observation Dates, and therefore the Coupon Payment
Dates, is 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.
What
Are the Tax Consequences of the Notes?
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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. 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 Coupons 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.
Sale, Exchange or Redemption of a Note. Assuming the
treatment described above is respected, upon a sale or exchange of the Notes (including redemption upon an automatic call or at
maturity), you should recognize capital gain or loss equal to the difference between the amount realized on the sale or exchange
and your tax basis in the Notes, which should equal the amount you paid to acquire the Notes (assuming Contingent Coupons are properly
treated as ordinary income, consistent with the position referred to above). This gain or loss should be short-term capital gain
or loss unless you hold the Notes for more than one year, in which case the gain or loss should be long-term capital gain or loss,
whether or not you are an initial purchaser of the Notes at the issue price. The deductibility of capital losses is subject to
limitations. If you sell your Notes between the time your right to a Contingent Coupon is fixed and the time it is paid, it is
likely that you will be treated as receiving ordinary income equal to the Contingent Coupon. Although uncertain, it is possible
that proceeds received from the sale or exchange of your Notes prior to an Observation Date but that can be attributed to an expected
Contingent Coupon payment could be treated as ordinary income. You should consult your tax adviser regarding this issue.
As described above, there are other reasonable treatments that
the IRS or a court may adopt, in which case the timing and character of any income or loss on the Notes could be materially affected.
In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid
forward contracts” and similar instruments. The notice focuses in particular on whether to require investors in these instruments
to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character
of income or loss with respect to these instruments and the relevance of factors such as the nature of the underlying property
to which the instruments are linked. While the notice requests comments on appropriate transition rules and effective dates, any
Treasury regulations or other guidance promulgated after consideration of these issues could materially affect the tax consequences
of an investment in the Notes, possibly with retroactive effect. The discussions above and in the accompanying product supplement
do not address the consequences to taxpayers subject to special tax accounting rules under Section 451(b) of the Code. You should
consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the Notes, including possible alternative
treatments and the issues presented by the notice described above.
Non-U.S. Holders — Tax Considerations. The U.S.
federal income tax treatment of Contingent Coupons is uncertain, and although we believe it is reasonable to take a position that
Contingent Coupons are not subject to U.S. withholding tax (at least if an applicable Form W-8 is provided), a withholding agent
may nonetheless withhold on these payments (generally at a rate of 30%, subject to the possible reduction of that rate under an
applicable income tax treaty), unless income from your Notes is effectively connected with your conduct of a trade or business
in the United States (and, if an applicable treaty so requires, attributable to a permanent establishment in the United States).
If you are not a United States person, you are urged to consult your tax adviser regarding the U.S. federal income tax consequences
of an investment in the Notes in light of your particular circumstances.
Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on dividend
equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices
that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked
to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations. Additionally, a recent
IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2023 that do not have a delta of one
with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying
Security”). Based on certain determinations made by us, our special tax counsel is of the opinion that Section 871(m) should
not apply to the Notes with regard to Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree with
this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including whether
you enter into other transactions with respect to an Underlying Security. You should consult your tax adviser regarding the potential
application of Section 871(m) to the Notes.
In the event of any withholding on the Notes, we will not be
required to pay any additional amounts with respect to amounts so withheld.
An investment in the Notes involves significant risks. Investing
in the Notes is not equivalent to investing directly in the applicable Underlying. These risks are explained in more detail in
the “Risk Factors” sections of the accompanying prospectus supplement and the accompanying product supplement. We also
urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the Notes.
Risks Relating to the Notes Generally
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Your Investment in the Notes May Result in a Loss — The
Notes differ from ordinary debt securities in that JPMorgan Financial will not necessarily repay the full principal amount of the
Notes. If the Notes are not called and the closing price of one share of the applicable Underlying has declined below the applicable
Downside Threshold on the Final Valuation Date, you will be fully exposed to any depreciation in the closing price of one share
of the applicable Underlying from the applicable Initial Value to the applicable Final Value. In this case, JPMorgan Financial
will repay less than the full principal amount at maturity, resulting in a loss of principal that is proportionate to the negative
Underlying Return. Under these circumstances, you will lose 1% of your principal for every 1% that the applicable Final Value is
less than the applicable Initial Value and could lose your entire principal amount. As a result, your investment in the Notes may
not perform as well as an investment in a security that does not have the potential for full downside exposure to the applicable
Underlying at maturity.
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Credit Risks of JPMorgan Financial and JPMorgan Chase & Co.
— The Notes 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 Notes 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 Notes and related guarantees are
not, either directly or indirectly, an obligation of any third party. Any payment to be made on the Notes, 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 Notes 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 Notes and you could lose your entire investment.
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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 Notes. If these affiliates do
not make payments to us and we fail to make payments on the Notes, you may have to seek payment under the related guarantee by
JPMorgan Chase & Co., and that guarantee will rank pari passu with all other unsecured and unsubordinated obligations
of JPMorgan Chase & Co.
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You Are Not Guaranteed Any Contingent Coupons — We will
not necessarily make periodic coupon payments on the Notes. If the closing price of one share of the applicable Underlying on an
Observation Date is less than the applicable Coupon Barrier, we will not pay you the applicable Contingent Coupon for that Observation
Date and the applicable Contingent Coupon that would otherwise be payable will not be accrued and will be lost. If the closing
price of one share of the applicable Underlying is less than the applicable Coupon Barrier on each of the Observation Dates, we
will not pay you any Contingent Coupon during the term of, and you will not receive a positive return on, your Notes. Generally,
this non-payment of the Contingent Coupon coincides with a period of greater risk of principal loss on your Notes.
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Return on the Notes Limited to the Sum of Any Contingent Coupons
and You Will Not Participate in Any Appreciation of the Applicable Underlying — The return potential of the Notes is
limited to the specified Contingent Coupon Rate, regardless of the appreciation in the closing price of one share of the applicable
Underlying, which may be significant. In addition, the total return on the Notes will vary based on the number of Observation Dates
on which the requirements for a Contingent Coupon have been met prior to maturity or an automatic call. Further, if the Notes are
called, you will not receive any Contingent Coupons or any other payments in respect of any Observation Dates after the applicable
Call Settlement Date. Because the Notes could be called as early as the second Coupon Observation Date, the total return on the
Notes could be minimal. If the Notes are not called, you may be subject to the applicable Underlying’s risk of decline even
though you are not able to participate in any potential appreciation in the price of the applicable Underlying. Generally,
the longer the Notes remain outstanding, the less likely it is that they will be automatically called, due to the decline in the
price of the applicable Underlying and the shorter time remaining for the price of the applicable Underlying to recover to or above
the applicable Initial Value on a subsequent Observation Date. As a result, the return on an investment in the Notes could be less
than the return on a direct investment in the applicable Underlying. In addition, if the Notes are not called and the applicable
Final Value is below the applicable Downside Threshold, you will have a loss on your principal amount and the overall return on
the Notes may be less than the amount that would be paid on a conventional debt security of JPMorgan Financial of comparable maturity.
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Contingent Repayment of Principal Applies Only If You Hold the Notes
to Maturity — If you are able to sell your Notes 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 applicable stock price is above the applicable Downside Threshold.
If by maturity the Notes have not been called, either JPMorgan Financial will repay you the full principal amount per Note plus
the applicable Contingent Coupon, or if the price of one share of the applicable Underlying closes below the applicable Downside
Threshold on the Final Valuation Date, JPMorgan Financial will repay less than the principal amount, if anything, at maturity,
resulting in a loss on your principal amount that is proportionate to the decline in the closing price of one share of the applicable
Underlying from the applicable Initial Value to the applicable Final Value. This contingent
repayment of principal applies only if you hold your Notes to maturity.
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A Higher Applicable Contingent Coupon Rate and/or a Lower Applicable
Coupon Barrier and/or Applicable Downside Threshold May Reflect Greater Expected Volatility of the Applicable Underlying, Which
Is Generally Associated With a Greater Risk of Loss — Volatility is a measure of the degree of variation in the price
of the applicable Underlying over a period of time. The greater the expected volatility of the applicable Underlying at the time
the terms of the Notes are set, the greater the expectation is at that time that the price of the applicable Underlying could close
below the applicable Coupon Barrier on any Observation Date, resulting in the loss of one or more, or all, Contingent Coupon payments,
or below the applicable Downside Threshold on the Final Valuation Date, resulting in the loss of a significant portion or all of
your principal at maturity. In addition, the economic terms of the Notes, including the applicable Contingent Coupon Rate, the
applicable Coupon Barrier and the applicable Downside Threshold, are based, in part, on the expected volatility of the applicable
Underlying at the time the terms of the Notes are set, where a higher expected volatility will generally be reflected in a higher
applicable Contingent Coupon Rate than the fixed rate we would pay on conventional debt securities of the same maturity and/or
on otherwise comparable securities and/or a lower applicable Coupon Barrier and/or a lower applicable Downside Threshold as compared
to otherwise comparable securities. Accordingly, a higher applicable Contingent Coupon Rate will generally be indicative of a greater
risk of loss while a lower applicable Coupon Barrier or applicable Downside Threshold does not necessarily indicate that the Notes
have a greater likelihood of paying Contingent Coupon payments or returning your principal at maturity. You should be willing to
accept the downside market risk of the applicable Underlying and the potential loss of some or all of your principal at maturity.
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Reinvestment Risk — If your Notes are called early, the
holding period over which you would have the opportunity to receive any Contingent Coupons could be as short as approximately six
months. There is no guarantee that you would be able to reinvest the proceeds from an investment in the Notes at a comparable return
and/or with a comparable interest rate for a similar level of risk in the event the Notes are called prior to the Maturity Date.
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Potential Conflicts — We and our affiliates play a variety
of roles in connection with the issuance of the Notes, including acting as calculation agent and hedging our obligations under
the Notes and making the assumptions used to determine the pricing of the Notes and the estimated value of the Notes when the terms
of the Notes are set, which we refer to as the estimated value of the Notes. In performing these duties, our and JPMorgan Chase
& Co.’s economic interests and the economic interests of the calculation agent and other affiliates of ours are potentially
adverse to your interests as an investor in the Notes. In addition, our and JPMorgan Chase & Co.’s business activities,
including hedging and trading activities, could cause our and JPMorgan Chase & Co.’s economic interests to be adverse
to yours and could adversely affect any payment on the Notes and the value of the Notes. It is possible that hedging or trading
activities of ours or our affiliates in connection with the Notes could result in substantial returns for us or our affiliates
while the value of the Notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest”
in the accompanying product supplement for additional information about these risks. We and/or our affiliates may also currently
or from time to time engage in business with the issuer of the applicable Underlying, including extending loans to, or making equity
investments in, the issuer of the applicable Underlying or providing advisory services to the issuer of the applicable Underlying.
As a prospective purchaser of the Notes, you should undertake an independent investigation of the issuer of the applicable Underlying
as in your judgment is appropriate to make an informed decision with respect to an investment in the Notes.
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Each Contingent Coupon Is Based Solely on the Closing Price of One
Share of the Applicable Underlying on the Applicable Observation Date — Whether a Contingent Coupon will be payable with
respect to an Observation Date will be based solely on the closing price of one share of the applicable Underlying on that Observation
Date. As a result, you will not know whether you will receive a Contingent Coupon until the related Observation Date. Moreover,
because each Contingent Coupon is based solely on the closing price of one share of the applicable Underlying on the applicable
Observation Date, if that closing price is less than the applicable Coupon Barrier, you will not receive any Contingent Coupon
with respect to that Observation Date, even if the closing price of one share of the applicable Underlying was higher on other
days during the period before that Observation Date.
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Single Stock Risk — The price of the applicable Underlying
can rise or fall sharply due to factors specific to that Underlying and its issuer, such as stock price volatility, earnings, financial
conditions, corporate, industry and regulatory developments, management changes and decisions and other events, as well as general
market factors, such as general stock market volatility and levels, interest rates and economic and political conditions. For additional
information regarding each Underlying and its issuer, please see “The Underlyings” and the section applicable to that
Underlying issuer in this pricing supplement and that issuer’s SEC filings referred to in those sections. We urge you to
review financial and other information filed periodically with the SEC by the applicable Underlying issuer.
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The Estimated Value of the Notes Is Lower Than the Original Issue
Price (Price to Public) of the Notes — The estimated value of the Notes is only an estimate determined by reference to
several factors. The original issue price of the Notes exceeds the estimated value of the Notes because costs associated with selling,
structuring and hedging the Notes are included in the original issue price of the Notes. These costs include the selling commissions,
the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under
the Notes and the estimated cost of hedging our obligations under the Notes. See “The Estimated Value of the Notes”
in this pricing supplement.
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The
Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ from Others’ Estimates —
The estimated value of the Notes is determined by reference to internal pricing models of our affiliates when the terms of the
Notes are set. This estimated value of the Notes is based on market conditions and other relevant factors existing at that time
and assumptions about market parameters, which can include volatility, dividend rates, interest rates and other factors. Different
pricing models and assumptions could provide valuations for the Notes that are greater than or less than the estimated value of
the Notes. In addition, market conditions and other relevant factors in the future may change, and any assumptions may prove to
be incorrect. On future dates, the value of the Notes could change significantly based on, among other things, changes in market
conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements and other relevant factors, which
may impact the price, if any, at which JPMS would be willing to buy Notes from you in secondary market transactions. See “The
Estimated Value of the Notes” in this pricing supplement.
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The Estimated Value of the Notes Is Derived by Reference to an Internal
Funding Rate — The internal funding rate used in the determination of the estimated value of the Notes may differ from
the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or
its affiliates. Any difference may be based on, among other things, our and our affiliates’ view of the funding value
of the Notes as well as the higher issuance, operational and ongoing liability management costs of the Notes in comparison to those
costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based on certain
market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement
funding rate for the Notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect
on the terms of the Notes and any secondary market prices of the Notes. See “The Estimated Value of the Notes” in this
pricing supplement.
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The Value of the Notes as Published by JPMS (and Which May Be Reflected
on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period
— We generally expect that some of the costs included in the original issue price of the Notes will be partially paid back
to you in connection with any repurchases of your Notes by JPMS in an amount that will decline to zero over an initial predetermined
period. These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated hedging
costs and our internal secondary market funding rates for structured debt issuances. See “Secondary Market Prices of the
Notes” in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated
value of your Notes during this initial period may be lower than the value of the Notes as published by JPMS (and which may be
shown on your customer account statements).
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Secondary Market Prices of the Notes Will
Likely Be Lower Than the Original Issue Price of the Notes — Any secondary market prices of the Notes will likely be
lower than the original issue price of the Notes because, among other things, secondary market prices take into account our internal
secondary market funding rates for structured debt issuances and, also, because secondary market prices may exclude selling commissions,
projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the Notes. As a
result, the price, if any, at which JPMS will be willing to buy Notes from you in secondary market transactions, if at all, is
likely to be lower than the original issue price. Any sale by you prior to the Maturity Date could result in a substantial loss
to you. See the immediately following risk factor for information about additional factors that will impact any secondary market
prices of the Notes.
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The Notes are not
designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity. See
“— Lack of Liquidity” below.
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Many Economic and Market Factors Will Impact
the Value of the Notes— As described under “The Estimated Value of the Notes” in this pricing supplement,
the Notes 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 Notes
at issuance and their value in the secondary market. Accordingly, the secondary market price of the Notes during their term
will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the selling
commissions, projected hedging profits, if any, estimated hedging costs and the price of the applicable Underlying, including:
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any
actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
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customary
bid-ask spreads for similarly sized trades;
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our
internal secondary market funding rates for structured debt issuances;
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the
actual and expected volatility in the closing price of one share of the applicable Underlying;
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the
time to maturity of the Notes;
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the
likelihood of an automatic call being triggered;
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whether the closing price of one share of the applicable Underlying
has been, or is expected to be, less than the applicable Coupon Barrier on any Observation Date and whether the applicable Final
Value is expected to be less than the Downside Threshold;
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the
dividend rate on the applicable Underlying;
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the occurrence of certain events affecting the issuer of the applicable
Underlying that may or may not require an adjustment to the closing price and the Stock Adjustment Factor of the applicable Underlying,
including a merger or acquisition;
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interest
and yield rates in the market generally; and
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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 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.
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No Dividend Payments or Voting Rights or Other Ownership Rights
in the Applicable Underlying — As a holder of the Notes, you will not have any ownership interest or rights in the applicable
Underlying, such as voting rights or rights to receive cash dividends or other distributions. In addition, the issuer of the applicable
Underlying will not have any obligation to consider your interests as a holder of the Notes in taking any corporate action that
might affect the value of the applicable Underlying and the Notes.
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No Affiliation with the Applicable Underlying Issuer —
We are not affiliated with the issuer of the applicable Underlying. We have not independently verified any of the information about
the applicable Underlying issuer contained in this pricing supplement. You should make your own investigation into the applicable
Underlying and its issuer. We are not responsible for the applicable Underlying issuer’s public disclosure of information,
whether contained in SEC filings or otherwise.
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No Assurances That the Investment View Implicit in the Notes Will
Be Successful — While the Notes are structured to provide for Contingent Coupons if the applicable Underlying does not
close below the applicable Coupon Barrier on the Observation Dates, we cannot assure you of the economic environment during the
term or at maturity of your Notes.
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Lack of Liquidity — The Notes will not be listed on any
securities exchange. JPMS intends to offer to purchase the Notes in the secondary market, but is not required to do so. Even if
there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes easily. Because other
dealers are not likely to make a secondary market for the Notes, the price at which you may be able to trade your Notes is likely
to depend on the price, if any, at which JPMS is willing to buy the Notes.
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Anti-Dilution Protection Is Limited and May Be Discretionary
— Although the calculation agent will adjust the closing price and the Stock Adjustment Factor of the applicable Underlying
for certain corporate events (such as stock splits and stock dividends) affecting the applicable Underlying, the calculation agent
is not required to make an adjustment for every corporate event that can affect the applicable Underlying. If an event occurs that
does not require the calculation agent to make these adjustments, the market value of your Notes, whether the Notes will be automatically
called and any payment on the Notes may be materially and adversely affected. You should also be aware that the calculation agent
may make any such adjustment, determination or calculation in a manner that differs from what is described in the accompanying
product supplement as it deems necessary to ensure an equitable result. Subject to the foregoing, the calculation agent is under
no obligation to consider your interests as a holder of the Notes in making these determinations.
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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
(for example, with respect to the issuer of the applicable Underlying) that are inconsistent with investing in or holding the Notes,
and that may be revised at any time. Any such research, opinions or recommendations may or may not recommend that investors buy
or hold the applicable Underlying and could affect the value of the applicable Underlying, and therefore the market value of the
Notes.
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Tax Treatment — Significant aspects of the tax treatment
of the Notes are uncertain. You should consult your tax adviser about your tax situation.
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Potential JPMorgan Financial Impact on the Market Price of the Applicable
Underlying — Trading or transactions by JPMorgan Financial or its affiliates in the applicable Underlying and/or over-the-counter
options, futures or other instruments with returns linked to the performance of the applicable Underlying may adversely affect
the market price of the applicable Underlying and, therefore, the market value of the Notes.
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Hypothetical terms only. Actual terms
may vary. See the cover page for actual offering terms.
The examples below illustrate the hypothetical payments on a
Coupon Payment Date, upon an automatic call or at maturity under different hypothetical scenarios for a $10.00 Note on an offering
of the Notes linked to a hypothetical Underlying and assume an Initial Value of $100, a Downside Threshold and Coupon Barrier of
$80.00 (which is 80.00% of the hypothetical Initial Value) and a Contingent Coupon Rate of 7.00% per annum.* The hypothetical Initial
Value 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 prices of one share of each Underlying, please see the historical information
set forth under “The Underlyings” in this pricing supplement.
Principal Amount:
|
$10.00
|
Term:
|
Approximately 3 years (unless earlier called)
|
Hypothetical Initial Value:
|
$100.00
|
Hypothetical Contingent Coupon Rate:
|
7.00% per annum (or 1.75% per quarter)
|
Observation Dates:
|
Quarterly (callable after six months)
|
Hypothetical Downside Threshold:
|
$80.00 (which is 80.00% of the hypothetical Initial Value)
|
Hypothetical Coupon Barrier:
|
$80.00 (which is 80.00% of the hypothetical Initial Value)
|
*
|
The actual value of any Contingent Coupon payments you will receive over the term of the Notes, the actual value of the payment upon automatic call or at maturity and the actual Initial Value, Downside Threshold and Coupon Barrier for each Underlying applicable to your Notes may be more or less than the amounts displayed in these hypothetical scenarios. The actual Contingent Coupon Rate, Initial Value, Downside Threshold and Coupon Barrier for each Underlying are specified on the cover of this pricing supplement.
|
The examples below are purely hypothetical and are not based
on any specific offering of Notes linked to any specific Underlying. These examples are intended to illustrate how the value of
any payment on the Notes will depend on the closing price on the Observation Dates.
Example 1 — Notes Are Automatically Called on the Second
Observation Date
Date
|
Closing Price
|
Payment (per Note)
|
First Observation Date
|
$105.00 (at or above Initial Value; Notes NOT called because Observation Date is prior to the second Observation Date)
|
$0.175 (Contingent Coupon)
|
Second Observation Date
|
$110.00 (at or above Initial Value)
|
$10.175
|
|
|
|
|
|
Total Payment:
|
$10.35 (3.50% return)
|
|
|
|
|
Although the closing price is above the Initial Value on the
first Observation Date, the Notes are not called because the Notes cannot be called before the second Observation Date. Because
the Notes are automatically called on the second Observation Date, we will pay you on the applicable Call Settlement Date a total
of $10.175 per Note, reflecting your principal amount plus the applicable Contingent Coupon. When that amount is added to
the Contingent Coupon payment of $0.175 received in respect of prior Observation Dates, we will have paid you a total of $10.35
per Note for a 3.50% total return on the Notes. No further amounts will be owed on the Notes.
Example 2 — Notes Are Automatically Called on the Eleventh
Observation Date
Date
|
Closing Price
|
Payment (per Note)
|
First Observation Date
|
$90.00 (at or above Coupon Barrier; below Initial Value)
|
$0.175 (Contingent Coupon)
|
Second Observation Date
|
$85.00 (at or above Coupon Barrier; below Initial Value)
|
$0.175 (Contingent Coupon)
|
Third through Tenth Observation Dates
|
Various (all at or above Coupon Barrier, all below Initial Value)
|
$1.40 (Contingent Coupons)
|
Eleventh Observation Date
|
$105.00 (at or above Initial Value)
|
$10.175 (Payment upon Automatic Call)
|
|
|
|
|
|
Total Payment:
|
$11.925 (19.25% return)
|
|
|
|
|
Because the Notes are automatically called on the eleventh Observation
Date, we will pay you on the applicable Call Settlement Date a total of $10.175 per Note, reflecting your principal amount plus
the applicable Contingent Coupon. When that amount is added to the Contingent Coupon payments of $1.75 received in respect of prior
Observation Dates, we will have paid you a total of $11.925 per Note for a 19.25% total return on the Notes. No further amounts
will be owed on the Notes.
Example 3 — Notes Are NOT Automatically Called and
the Final Value Is at or above the Downside Threshold
Date
|
Closing Price
|
Payment (per Note)
|
First Observation Date
|
$90.00 (at or above Coupon Barrier; below Initial Value)
|
$0.175 (Contingent Coupon)
|
Second Observation Date
|
$85.00 (at or above Coupon Barrier; below Initial Value)
|
$0.175 (Contingent Coupon)
|
Third through Eleventh Observation Dates
|
Various (all below Coupon Barrier)
|
$0.00
|
Final Valuation Date
|
$85.00 (at or above Downside Threshold; below Initial Value)
|
$10.175 (Payment at Maturity)
|
|
|
|
|
|
Total Payment:
|
$10.525 (5.25% return)
|
|
|
|
|
At maturity, we will pay you a total of $10.175 per Note, reflecting
your principal amount plus the applicable Contingent Coupon. When that amount is added to the Contingent Coupon payments
of $0.35 received in respect of prior Observation Dates, we will have paid you a total of $10.525 per Note for a 5.25% total return
on the Notes.
Example 4 — Notes Are NOT Automatically Called and
the Final Value Is below the Downside Threshold
Date
|
Closing Price
|
Payment (per Note)
|
First Observation Date
|
$90.00 (at or above Coupon Barrier; below Initial Value)
|
$0.175 (Contingent Coupon)
|
Second Observation Date
|
$85.00 (at or above Coupon Barrier; below Initial Value)
|
$0.175 (Contingent Coupon)
|
Third through Eleventh Observation Dates
|
Various (all at or above Coupon Barrier; all below Initial Value)
|
$1.575 (Contingent Coupons)
|
Final Valuation Date
|
$60.00 (below Downside Threshold)
|
$10.00 × (1 + Underlying Return) =
$10.00 × (1 + -40%) =
$10.00 × 60% =
$6.00 (Payment at Maturity)
|
|
|
|
|
|
Total Payment:
|
$7.925 (-20.75% return)
|
|
|
|
|
Because the Notes are not automatically called, the Final Value
of $60.00 is below the Downside Threshold and the Underlying Return is -40%, at maturity we will pay you $6.00 per Note. When that
amount is added to the Contingent Coupon payments of $1.925 received in respect of prior Observation Dates, we will have paid you
$7.925 per Note for a loss on the Notes of 20.75%.
Example 5 — Notes Are NOT Automatically Called and
the Final Value is below the Downside Threshold
Date
|
Closing Price
|
Payment (per Note)
|
First Observation Date
|
$65.00 (below Coupon Barrier)
|
$0.00
|
Second Observation Date
|
$60.00 (below Coupon Barrier)
|
$0.00
|
Third through Eleventh Observation Dates
|
Various (all below Coupon Barrier)
|
$0.00
|
Final Valuation Date
|
$50.00 (below Downside Threshold)
|
$10.00 × (1 + Underlying Return) =
$10.00 × (1 + -50%) =
$10.00 × 50% =
$5.00 (Payment at Maturity)
|
|
|
|
|
|
Total Payment:
|
$5.00 (-50.00% return)
|
|
|
|
|
Because the Notes are not automatically called, the Final Value
is below the Downside Threshold and the Underlying Return is -50%, at maturity we will pay you $5.00 per Note for a loss on the
Notes of 50.00%. Because there is no Contingent Coupon paid during the term of the Notes, that represents the total payment on
the Notes.
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 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.
Included on the following pages is a brief description of the
issuers 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 prices of one share of each Underlying. Except as set
forth below, the information given below is for the four calendar quarters in each of 2015, 2016, 2017, 2018, 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
price information set forth below from the Bloomberg Professional® service (“Bloomberg”), without independent
verification. You should not take the historical prices of any Underlying as an indication of future performance.
Each of the Underlyings is registered under the Securities Exchange
Act of 1934, as amended (the “Exchange Act”). Companies with securities registered under the Exchange Act are required
to file financial and other information specified by the SEC periodically. Information filed by the issuer of each Underlying with
the SEC can be reviewed electronically through a web site maintained by the SEC. The address of the SEC’s web site is http://www.sec.gov.
Information filed with the SEC by the issuer of each Underlying under the Exchange Act can be located by reference to its SEC file
number provided below. In addition, information filed with the SEC can be inspected and copied at the Public Reference Section
of the SEC, 100 F Street, N.E., Room 1580, Washington, D.C. 20549. Copies of this material can also be obtained from the Public
Reference Section, at prescribed rates. We do not make any representation that these publicly available documents are accurate
or complete.
According to its publicly available filings with the SEC, Amazon.com,
Inc., which we refer to as Amazon, serves consumers through its online and physical stores; manufactures and sells electronic devices;
develops and produces media content; offers programs that enable sellers to sell their products in its stores and to fulfill orders
through Amazon.com; offers developers and enterprises a set of global compute, storage, database and other service offerings; serves
authors and independent publishers with an online service that lets independent authors and publishers choose a royalty option
and make their books available in the Kindle Store, along with its own publishing arm; and offers programs that allow authors,
musicians, filmmakers, skill and app developers and others to publish and sell content. The common stock of Amazon, par value
$0.01 per share (Bloomberg ticker: AMZN), is listed on The NASDAQ Stock Market, which we refer to as the relevant exchange for
purposes of Amazon in the accompanying product supplement. Amazon’s SEC file number is 000-22513.
Historical Information Regarding the Common Stock of Amazon
The following table sets forth the quarterly high and low closing
prices of one share of the common stock of Amazon, based on daily closing prices on the primary exchange for Amazon, as reported
by Bloomberg. The closing price of one share of the common stock of Amazon on August 7, 2020 was $3,167.46. We obtained the closing
prices above and below from Bloomberg, without independent verification. The closing prices may have been adjusted by Bloomberg
for corporate actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
Since its inception, the price of one share of the common stock
of Amazon has experienced significant fluctuations. The historical performance of the common shares of Amazon should not be taken
as an indication of future performance, and no assurance can be given as to the closing prices of one share of the common stock
of Amazon during the term of the Notes. There can be no assurance that the performance of the common shares of Amazon will result
in the return of any of your principal amount.
Quarter Begin
|
Quarter End
|
Quarterly Closing High
|
Quarterly Closing Low
|
Close
|
1/1/2015
|
3/31/2015
|
$387.83
|
$286.95
|
$372.10
|
4/1/2015
|
6/30/2015
|
$445.99
|
$370.26
|
$434.09
|
7/1/2015
|
9/30/2015
|
$548.39
|
$429.70
|
$511.89
|
10/1/2015
|
12/31/2015
|
$693.97
|
$520.72
|
$675.89
|
1/1/2016
|
3/31/2016
|
$636.99
|
$482.07
|
$593.64
|
4/1/2016
|
6/30/2016
|
$728.24
|
$586.14
|
$715.62
|
7/1/2016
|
9/30/2016
|
$837.31
|
$725.68
|
$837.31
|
10/1/2016
|
12/31/2016
|
$844.36
|
$719.07
|
$749.87
|
1/1/2017
|
3/31/2017
|
$886.54
|
$753.67
|
$886.54
|
4/1/2017
|
6/30/2017
|
$1,011.34
|
$884.67
|
$968.00
|
7/1/2017
|
9/30/2017
|
$1,052.80
|
$938.60
|
$961.35
|
10/1/2017
|
12/31/2017
|
$1,195.83
|
$957.10
|
$1,169.47
|
1/1/2018
|
3/31/2018
|
$1,598.39
|
$1,189.01
|
$1,447.34
|
4/1/2018
|
6/30/2018
|
$1,750.08
|
$1,371.99
|
$1,699.80
|
7/1/2018
|
9/30/2018
|
$2,039.51
|
$1,693.96
|
$2,003.00
|
10/1/2018
|
12/31/2018
|
$2,004.36
|
$1,343.96
|
$1,501.97
|
1/1/2019
|
3/31/2019
|
$1,819.26
|
$1,500.28
|
$1,780.75
|
4/1/2019
|
6/30/2019
|
$1,962.46
|
$1,692.69
|
$1,893.63
|
7/1/2019
|
9/30/2019
|
$2,020.99
|
$1,725.45
|
$1,735.91
|
10/1/2019
|
12/31/2019
|
$1,869.80
|
$1,705.51
|
$1,847.84
|
1/1/2020
|
3/31/2020
|
$2,170.22
|
$1,676.61
|
$1,949.72
|
4/1/2020
|
6/30/2020
|
$2,764.41
|
$1,906.59
|
$2,758.82
|
7/1/2020
|
8/7/2020*
|
$3,225.00
|
$2,878.70
|
$3,167.46
|
*
|
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 August 7, 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 common shares
of Amazon from January 4, 2010 through August 7, 2020, based on information from Bloomberg, without independent verification. The
dotted line represents the Downside Threshold and Coupon Barrier of $1,900.48, equal to 60.00% of the closing price of one share
of the common stock of Amazon on August 7, 2020.
Past performance of the Underlying is not indicative of the
future performance of the Underlying.
According to its publicly available filings with the SEC, The
Home Depot, Inc., which we refer to as Home Depot, is a home improvement retailer that offers customers an assortment of building
materials, home improvement products, lawn and garden products and décor products and provides a number of services, including
home improvement installation services and tool and equipment rental. The common stock of Home Depot, par value $0.05 per share
(Bloomberg ticker: HD), is listed on the New York Stock Exchange, which we refer to as the relevant exchange for purposes of Home
Depot in the accompanying product supplement. Home Depot’s SEC file number is 001-08207.
Historical Information Regarding the Common Stock of Home
Depot
The following table sets forth the quarterly high and low closing
prices of one share of the common stock of Home Depot, based on daily closing prices on the primary exchange for Home Depot, as
reported by Bloomberg. The closing price of one share of the common stock of Home Depot on August 7, 2020 was $271.64. We obtained
the closing prices above and below from Bloomberg, without independent verification. The closing prices may have been adjusted
by Bloomberg for corporate actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and
bankruptcy.
Since its inception, the price of one share of the common stock
of Home Depot has experienced significant fluctuations. The historical performance of the common stock of Home Depot should not
be taken as an indication of future performance, and no assurance can be given as to the closing prices of one share of the common
stock of Home Depot during the term of the Notes. There can be no assurance that the performance of the common stock of Home Depot
will result in the return of any of your principal amount.
Quarter Begin
|
Quarter End
|
Quarterly Closing High
|
Quarterly Closing Low
|
Close
|
1/1/2015
|
3/31/2015
|
$117.49
|
$100.95
|
$113.61
|
4/1/2015
|
6/30/2015
|
$115.59
|
$106.98
|
$111.13
|
7/1/2015
|
9/30/2015
|
$122.80
|
$110.97
|
$115.49
|
10/1/2015
|
12/31/2015
|
$134.74
|
$117.03
|
$132.25
|
1/1/2016
|
3/31/2016
|
$133.43
|
$111.85
|
$133.43
|
4/1/2016
|
6/30/2016
|
$137.51
|
$124.67
|
$127.69
|
7/1/2016
|
9/30/2016
|
$138.77
|
$125.45
|
$128.68
|
10/1/2016
|
12/31/2016
|
$137.11
|
$119.89
|
$134.08
|
1/1/2017
|
3/31/2017
|
$149.60
|
$133.53
|
$146.83
|
4/1/2017
|
6/30/2017
|
$158.81
|
$145.91
|
$153.40
|
7/1/2017
|
9/30/2017
|
$163.56
|
$144.58
|
$163.56
|
10/1/2017
|
12/31/2017
|
$190.36
|
$162.71
|
$189.53
|
1/1/2018
|
3/31/2018
|
$207.23
|
$171.80
|
$178.24
|
4/1/2018
|
6/30/2018
|
$201.31
|
$172.51
|
$195.10
|
7/1/2018
|
9/30/2018
|
$213.85
|
$193.10
|
$207.15
|
10/1/2018
|
12/31/2018
|
$207.60
|
$158.14
|
$171.82
|
1/1/2019
|
3/31/2019
|
$192.39
|
$168.61
|
$191.89
|
4/1/2019
|
6/30/2019
|
$211.25
|
$188.91
|
$207.97
|
7/1/2019
|
9/30/2019
|
$233.98
|
$201.59
|
$232.02
|
10/1/2019
|
12/31/2019
|
$238.85
|
$212.00
|
$218.38
|
1/1/2020
|
3/31/2020
|
$247.02
|
$152.15
|
$186.71
|
4/1/2020
|
6/30/2020
|
$256.77
|
$178.63
|
$250.51
|
7/1/2020
|
8/7/2020*
|
$271.64
|
$247.35
|
$271.64
|
*
|
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 August 7, 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 common stock
of Home Depot from January 4, 2010 through August 7, 2020, based on information from Bloomberg, without independent verification.
The dotted line represents the Downside Threshold and Coupon Barrier of $181.18, equal to 66.70% of the closing price of one share
of the common stock of Home Depot on August 7, 2020.
Past performance of the Underlying is not indicative of the
future performance of the Underlying.
According to its publicly available filings with the SEC, Kinder
Morgan, Inc., which we refer to as Kinder Morgan, is an energy infrastructure company that owns an interest in or operates pipelines
and terminals. Kinder Morgan's pipelines transport natural gas, refined petroleum products, crude oil, condensate, carbon dioxide
and other products and its terminals store and handle various commodities including gasoline, diesel fuel, chemicals, ethanol,
metals and petroleum coke. The Class P common stock of Kinder Morgan, par value $0.01 per share (Bloomberg ticker: KMI), is listed
on the New York Stock Exchange, which we refer to as the relevant exchange for purposes of Kinder Morgan in the accompanying product
supplement. Kinder Morgan’s SEC file number is 001-35081.
Historical Information Regarding the Class P Common Stock
of Kinder Morgan
The following table sets forth the quarterly high and low closing
prices of one share of the Class P common stock of Kinder Morgan, based on daily closing prices on the primary exchange for Kinder
Morgan, as reported by Bloomberg. The closing price of one share of the Class P common stock of Kinder Morgan on August 7, 2020
was $14.32. We obtained the closing prices above and below from Bloomberg, without independent verification. The closing prices
may have been adjusted by Bloomberg for corporate actions such as stock splits, public offerings, mergers and acquisitions, spin-offs,
delistings and bankruptcy.
Since its inception, the price of one share of the Class P common
stock of Kinder Morgan has experienced significant fluctuations. The historical performance of the Class P common stock of Kinder
Morgan should not be taken as an indication of future performance, and no assurance can be given as to the closing prices of one
share of the Class P common stock of Kinder Morgan during the term of the Notes. There can be no assurance that the performance
of the Class P common stock of Kinder Morgan will result in the return of any of your principal amount.
Quarter Begin
|
Quarter End
|
Quarterly Closing High
|
Quarterly Closing Low
|
Close
|
1/1/2015
|
3/31/2015
|
$42.81
|
$39.77
|
$42.06
|
4/1/2015
|
6/30/2015
|
$44.57
|
$38.36
|
$38.39
|
7/1/2015
|
9/30/2015
|
$38.19
|
$26.16
|
$27.68
|
10/1/2015
|
12/31/2015
|
$32.68
|
$14.54
|
$14.92
|
1/1/2016
|
3/31/2016
|
$18.90
|
$12.01
|
$17.86
|
4/1/2016
|
6/30/2016
|
$19.16
|
$16.85
|
$18.72
|
7/1/2016
|
9/30/2016
|
$23.13
|
$18.29
|
$23.13
|
10/1/2016
|
12/31/2016
|
$23.01
|
$19.71
|
$20.71
|
1/1/2017
|
3/31/2017
|
$22.94
|
$20.94
|
$21.74
|
4/1/2017
|
6/30/2017
|
$21.75
|
$18.42
|
$19.16
|
7/1/2017
|
9/30/2017
|
$20.69
|
$18.40
|
$19.18
|
10/1/2017
|
12/31/2017
|
$19.10
|
$16.76
|
$18.07
|
1/1/2018
|
3/31/2018
|
$19.63
|
$14.81
|
$15.06
|
4/1/2018
|
6/30/2018
|
$17.67
|
$14.90
|
$17.67
|
7/1/2018
|
9/30/2018
|
$18.30
|
$17.43
|
$17.73
|
10/1/2018
|
12/31/2018
|
$18.57
|
$14.71
|
$15.38
|
1/1/2019
|
3/31/2019
|
$20.42
|
$15.71
|
$20.01
|
4/1/2019
|
6/30/2019
|
$21.38
|
$19.36
|
$20.88
|
7/1/2019
|
9/30/2019
|
$21.29
|
$19.57
|
$20.61
|
10/1/2019
|
12/31/2019
|
$21.20
|
$19.15
|
$21.17
|
1/1/2020
|
3/31/2020
|
$22.24
|
$9.98
|
$13.92
|
4/1/2020
|
6/30/2020
|
$17.97
|
$12.73
|
$15.17
|
7/1/2020
|
8/7/2020*
|
$15.19
|
$13.91
|
$14.32
|
*
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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 August 7, 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.
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The graph below illustrates the daily performance of the Class P common
stock of Kinder Morgan from February 16, 2011 through August 7, 2020, based on information from Bloomberg, without independent
verification. The Class P common stock of Kinder Morgan commenced trading on the New York Stock Exchange on February 16, 2011 and
therefore has limited performance history. The dotted line represents the Downside Threshold and Coupon Barrier of $7.40, equal
to 51.70% of the closing price of one share of the Class P common stock of Kinder Morgan on August 7, 2020.
Past performance of the Underlying is not indicative of the
future performance of the Underlying.