Key Terms
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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Index:
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The S&P 500® Index (Bloomberg ticker: SPX)
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Payment at Maturity:
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If the Ending Index Level is greater than or equal to the Index Strike Level or is less than the Index Strike Level by up to the Contingent Buffer Amount, at maturity you will receive a cash payment that provides you with a return per $1,000 principal amount note equal to the Contingent Digital Return. Accordingly, under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows:
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$1,000 + ($1,000 × Contingent Digital Return)
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If the Ending Index Level is less than the Index Strike Level by more than the Contingent Buffer Amount, at maturity you will lose 1% of the principal amount of your notes for every 1% that the Ending Index Level is less than the Index Strike Level. Under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows:
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$1,000 + ($1,000 × Index Return)
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If the Ending Index Level is less than the Index Strike Level by more than the Contingent Buffer Amount of 20.00%, you will lose more than 20.00% of your principal amount at maturity and may lose all of your principal amount at maturity.
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Contingent Digital Return:
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At least 13.20%*, which reflects the maximum return on the notes.
Accordingly, the maximum payment at maturity per $1,000 principal amount note is $1,132.00.
*The actual maximum payment at maturity will be provided
in the pricing supplement and will not be less than $1,132.00 per $1,000 principal amount note.
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Contingent Buffer Amount:
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20.00%
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Index Return:
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(Ending Index Level –
Index Strike Level)
Index Strike Level
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Index Strike Level:
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2,526.90, the closing level of the Index on April 2, 2020. The Index Strike Level is not determined by reference to the closing level of the Index on the Pricing Date.
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Ending Index Level:
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The arithmetic average of the closing levels of the Index on the Ending Averaging Dates
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Pricing Date:
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On or about April 3, 2020
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Original Issue Date:
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On or about April 8, 2020 (Settlement Date)
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Ending Averaging Dates*:
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April 9, 2021, April 12, 2021, April 13, 2021, April 14, 2021 and April 15, 2021
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Maturity Date*:
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April 20, 2021
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CUSIP:
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48132KQX6
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*
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Subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes
— Postponement of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single Underlying
(Other Than a Commodity Index)” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying
product supplement
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Investing in the notes involves a number of risks. See
“Risk Factors” beginning on page PS-10 of the accompanying product supplement, “Risk Factors” beginning
on page US-1 of the accompanying underlying supplement and “Selected Risk Considerations” beginning on page PS-5 of
this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this
pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
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Price to Public (1)
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Fees and Commissions (2)
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Proceeds to Issuer
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Per note
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$1,000
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$
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$
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Total
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$
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$
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$
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(1)
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See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price
to public of the notes.
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(2)
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J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling
commissions it receives from us to other affiliated or unaffiliated dealers. In no event will these selling commissions exceed
$10.00 per $1,000 principal amount note. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product
supplement.
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If the notes priced today, the estimated value of the notes
would be approximately $963.00 per $1,000 principal amount note. The estimated value of the notes, when the terms of the notes
are set, will be provided in the pricing supplement and will not be less than $950.00 per $1,000 principal amount note. See
“The Estimated Value of the Notes” in this pricing supplement for additional information.
The notes are not bank deposits, are not insured by
the Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Additional Terms Specific to the
Notes
You may revoke your offer to purchase the notes
at any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the
terms of, or reject any offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes,
we will notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject
such changes, in which case we may reject your offer to purchase.
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes,
of which these notes are a part, and the more detailed information contained in the accompanying product supplement and the accompanying
underlying supplement. This pricing supplement, together with the documents listed below, contains the terms of the notes and
supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative
pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational
materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk Factors”
sections of the accompanying product supplement and the accompanying underlying supplement, as the notes involve risks not associated
with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you
invest in the notes.
You may access these documents on the SEC website
at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website
is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us”
and “our” refer to JPMorgan Financial.
JPMorgan Structured Investments —
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PS-1
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Digital Contingent Buffered Notes Linked to the S&P 500® Index
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What Is the Total Return
on the Notes at Maturity, Assuming a Range of Performances for the Index?
The following table and examples illustrate
the hypothetical total return and the hypothetical payment at maturity on the notes. The “total return” as used in
this pricing supplement is the number, expressed as a percentage that results from comparing the payment at maturity per $1,000
principal amount note to $1,000. Each hypothetical total return or payment at maturity set forth below assumes an Index Strike
Level of 2,500 and a Contingent Digital Return of at least 13.20%, and reflects the Contingent Buffer Amount of 20.00%. The actual
maximum payment at maturity will be provided in the pricing supplement and will not be less than $1,132.00 per $1,000 principal
amount note. Each hypothetical total return or payment at maturity set forth below is for illustrative purposes only and may not
be the actual total return or payment at maturity applicable to a purchaser of the notes. The numbers appearing in the following
table and in the examples below have been rounded for ease of analysis.
Ending Index
Level
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Index
Return
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Total
Return
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4,500.00
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80.00%
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13.20%
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4,250.00
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70.00%
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13.20%
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4,000.00
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60.00%
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13.20%
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3,750.00
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50.00%
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13.20%
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3,500.00
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40.00%
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13.20%
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3,250.00
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30.00%
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13.20%
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3,000.00
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20.00%
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13.20%
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2,830.00
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13.20%
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13.20%
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2,750.00
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10.00%
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13.20%
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2,625.00
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5.00%
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13.20%
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2,562.50
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2.50%
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13.20%
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2,500.00
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0.00%
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13.20%
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2,437.50
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-2.50%
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13.20%
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2,375.00
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-5.00%
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13.20%
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2,250.00
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-10.00%
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13.20%
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2,000.00
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-20.00%
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13.20%
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1,999.75
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-20.01%
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-20.01%
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1,750.00
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-30.00%
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-30.00%
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1,500.00
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-40.00%
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-40.00%
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1,250.00
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-50.00%
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-50.00%
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1,000.00
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-60.00%
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-60.00%
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750.00
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-70.00%
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-70.00%
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500.00
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-80.00%
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-80.00%
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250.00
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-90.00%
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-90.00%
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0.00
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-100.00%
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-100.00%
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JPMorgan Structured Investments —
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PS-2
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Digital Contingent Buffered Notes Linked to the S&P 500® Index
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Hypothetical Examples of
Amount Payable at Maturity
The following examples illustrate how the total
payment at maturity in different hypothetical scenarios is calculated.
Example 1: The level of the Index increases
from the Index Strike Level of 2,500.00 to an Ending Index Level of 2,562.50.
Because the Ending Index Level of 2,562.50 is
greater than the Index Strike Level of 2,500.00, regardless of the Index Return, the investor receives a payment at maturity of
$1,132.00 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 ×
13.20%) = $1,132.00
Example 2: The level of the Index decreases
from the Index Strike Level of 2,500.00 to an Ending Index Level of 2,000.00.
Although the Index Return is negative, because
the Ending Index Level of 2,000.00 is less than the Index Strike Level of 2,500.00 by up to the Contingent Buffer Amount of 20.00%,
the investor receives a payment at maturity of $1,132.00 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 ×
13.20%) = $1,132.00
Example 3: The level of the Index increases
from the Index Strike Level of 2,500.00 to an Ending Index Level of 3,500.00.
Because the Ending Index Level of 3,500.00 is
greater than the Index Strike Level of 2,500.00 and although the Index Return of 40.00% exceeds the Contingent Digital Return of
13.20%, the investor is entitled to only the Contingent Digital Return and receives a payment at maturity of $1,132.00 per $1,000
principal amount note, calculated as follows:
$1,000 + ($1,000 ×
13.20%) = $1,132.00
Example 4: The level of the Index decreases
from the Index Strike Level of 2,500.00 to an Ending Index Level of 1,250.00.
Because the Ending Index Level of 1,250.00 is
less than the Index Strike Level of 2,500.00 by more than the Contingent Buffer Amount of 20.00% and the Index Return is -50.00%,
the investor receives a payment at maturity of $500.00 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 ×
-50.00%) = $500.00
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term. 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.
JPMorgan Structured Investments —
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PS-3
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Digital Contingent Buffered Notes Linked to the S&P 500® Index
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Selected Purchase Considerations
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·
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FIXED APPRECIATION POTENTIAL — If the
Ending Index Level is greater than or equal to the Index Strike Level or is less than the Index Strike Level by up to the Contingent
Buffer Amount, you will receive a fixed return equal to the Contingent Digital Return of at least 13.20% at maturity, which also
reflects the maximum return on the notes at maturity. The actual maximum payment at maturity will be provided in the pricing supplement
and will not be less than $1,132.00 per $1,000 principal amount note. Because the notes are our unsecured and unsubordinated
obligations, the payment of which is fully and unconditionally guaranteed by JPMorgan Chase & Co., payment of any amount on
the notes is subject to our ability to pay our obligations as they become due and JPMorgan Chase & Co.’s ability to pay
its obligations as they become due.
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·
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LOSS
OF PRINCIPAL BEYOND BUFFER AMOUNT — We will pay you the Contingent Digital Return of at least 13.20% at maturity if
the Ending Index Level is greater than or equal to the Index Strike Level or is less than the Index Strike Level by up to the
Contingent Buffer Amount of 20.00%. If the Ending Index Level is less than the Index Strike Level by more than the Contingent
Buffer Amount, for every 1% that the Ending Index Level is less than the Index Strike Level you will lose an amount equal to 1%
of the principal amount of your notes. Under these circumstances, you will lose more than 20.00% of your principal amount at maturity
and may lose all of your principal amount at maturity.
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·
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RETURN
DEPENDENT ON THE S&P 500® INDEX — The S&P 500® Index consists of stocks of 500
companies selected to provide a performance benchmark for the U.S. equity markets. For additional information about the S&P
500® Index, see “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying underlying
supplement.
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·
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TAX TREATMENT — You should review carefully
the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I.
The following discussion, when read in combination with that section, constitutes the full opinion of our special tax counsel,
Latham & Watkins LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes.
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Based on current market conditions, in the opinion of
our special tax counsel it is reasonable to treat the notes 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 notes should be treated as long-term capital gain or loss if you
hold your notes for more than a year, whether or not you are an initial purchaser of notes 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 notes 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 notes, possibly with retroactive effect. 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 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 (such an index, a
“Qualified Index”). Additionally, a recent IRS notice excludes from the scope of Section 871(m) instruments issued
prior to January 1, 2023 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends
for U.S. federal income tax purposes (each an “Underlying Security”). Based on certain determinations made by us, we
expect that Section 871(m) will 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. If necessary, further
information regarding the potential application of Section 871(m) will be provided in the pricing supplement for the notes. You
should consult your tax adviser regarding the potential application of Section 871(m) to the notes.
Withholding under legislation commonly referred to
as “FATCA” may (if the notes are recharacterized as debt instruments) apply to amounts treated as interest paid with
respect to the notes, as well as to payments of gross proceeds of a taxable disposition, including redemption at maturity, of a
note, although under recently proposed regulations (the preamble to which specifies that taxpayers are permitted to rely on them
pending finalization), no withholding will apply to payments of gross proceeds (other than any amount treated as interest). You
should consult your tax adviser regarding the potential application of FATCA to the notes.
JPMorgan Structured Investments —
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PS-4
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Digital Contingent Buffered Notes Linked to the S&P 500® Index
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Selected Risk Considerations
An investment in the notes involves significant risks. Investing
in the notes is not equivalent to investing directly in the Index or any of the component securities of the Index. These risks
are explained in more detail in the “Risk Factors” sections of the accompanying product supplement and the accompanying
underlying supplement.
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·
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YOUR
INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — The notes do not guarantee any return of principal. The return on the
notes at maturity is dependent on the performance of the Index and will depend on whether, and the extent to which, the Ending
Index Level is less than the Index Strike Level. Your investment will be exposed to a loss if the Ending Index Level is less than
the Index Strike Level by more than the Contingent Buffer Amount. In this case, for every 1% that the Ending Index Level is less
than the Index Strike Level, you will lose an amount equal to 1% of the principal amount of your notes. Under these circumstances,
you will lose more than 20.00% of your principal amount at maturity and may lose all of your principal amount at maturity.
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·
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YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE
CONTINGENT DIGITAL RETURN — If the Ending Index Level is greater than or equal to the Index Strike Level or is less than
the Index Strike Level by up to the Contingent Buffer Amount, for each $1,000 principal amount note, you will receive at maturity
$1,000 plus an additional return equal to the Contingent Digital Return of at least 13.20%, regardless of any appreciation
of the Index, which may be significant.
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·
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YOUR
ABILITY TO RECEIVE THE CONTINGENT DIGITAL RETURN MAY TERMINATE ON THE FINAL ENDING AVERAGING DATE — If the Ending Index
Level is less than the Index Strike Level by more than the Contingent Buffer Amount, you will not be entitled to receive the Contingent
Digital Return at maturity. Under these circumstances, you will lose more than 20.00% of your principal amount at maturity and
may lose all of your principal amount at maturity.
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·
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CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN
CHASE & CO. — The notes are subject to our and JPMorgan Chase & Co.’s credit risks, and our and JPMorgan
Chase & Co.’s credit ratings and credit spreads may adversely affect the market value of the notes. Investors are
dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change
in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads, as determined by the market for taking that credit
risk, is likely to adversely affect the value of the notes. If we and JPMorgan Chase & Co. were to default on our payment
obligations, you may not receive any amounts owed to you under the notes and you could lose your entire investment.
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·
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AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS
NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS — As a finance subsidiary of JPMorgan Chase & Co., we have no independent
operations beyond the issuance and administration of our securities. Aside from the initial capital contribution from JPMorgan
Chase & Co., substantially all of our assets relate to obligations of our affiliates to make payments under loans made by us
or other intercompany agreements. As a result, we are dependent upon payments from our affiliates to meet our obligations under
the notes. If these affiliates do not make payments to us and we fail to make payments on the notes, you may have to seek payment
under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu with all other unsecured
and unsubordinated obligations of JPMorgan Chase & Co.
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·
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POTENTIAL CONFLICTS — We and our affiliates
play a variety of roles in connection with the issuance of the notes, including acting as calculation agent and as an agent of
the offering of the notes, hedging our obligations under the notes and making the assumptions used to determine the pricing of
the notes and the estimated value of the notes when the terms of the notes are set, which we refer to as the estimated value of
the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests and the economic interests of
the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the notes. In addition,
our and JPMorgan Chase & Co.’s business activities, including hedging and trading activities, could cause our and JPMorgan
Chase & Co.’s economic interests to be adverse to yours and could adversely affect any payment on the notes and the value
of the notes. It is possible that hedging or trading activities of ours or our affiliates in connection with the notes could result
in substantial returns for us or our affiliates while the value of the notes declines. Please refer to “Risk Factors —
Risks Relating to Conflicts of Interest” in the accompanying product supplement for additional information about these risks.
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In addition, JPMorgan Chase & Co. is currently
one of the companies that make up the Index, but JPMorgan Chase & Co. will have no obligation to consider your interests as
a holder of the notes in taking any corporate action that might affect the value of the Index.
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·
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THE BENEFIT PROVIDED BY THE CONTINGENT BUFFER
AMOUNT MAY TERMINATE ON THE FINAL ENDING AVERAGING DATE — If the Ending Index Level is less than the Index Strike Level
by more than the Contingent Buffer Amount, the benefit provided by the Contingent Buffer Amount will terminate and you will be
fully exposed to any depreciation of the Index from the Index Strike Level to the Ending Index Level.
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·
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THE ESTIMATED VALUE OF THE NOTES WILL BE 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 will exceed 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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·
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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
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JPMorgan Structured Investments —
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PS-5
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Digital Contingent Buffered Notes Linked to the S&P 500® Index
|
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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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·
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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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·
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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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|
·
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SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY
BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES — Any secondary market prices of the notes will likely be lower than
the original issue price of the notes because, among other things, secondary market prices take into account our internal secondary
market funding rates for structured debt issuances and, also, because secondary market prices may exclude selling commissions,
projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the notes. As a
result, the price, if any, at which JPMS will be willing to buy notes from you in secondary market transactions, if at all, is
likely to be lower than the original issue price. Any sale by you prior to the Maturity Date could result in a substantial loss
to you. See the immediately following risk consideration for information about additional factors that will impact any secondary
market prices of the notes.
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The notes are not designed to be short-term trading
instruments. Accordingly, you should be able and willing to hold your notes to maturity. See “— Lack of Liquidity”
below.
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·
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SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED
BY MANY ECONOMIC AND MARKET FACTORS — The secondary market price of the notes during their term will be impacted by a
number of economic and market factors, which may either offset or magnify each other, aside from the selling commissions, projected
hedging profits, if any, estimated hedging costs and the level of the Index, including:
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·
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any actual or potential
change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
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·
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customary bid-ask
spreads for similarly sized trades;
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·
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our internal secondary
market funding rates for structured debt issuances;
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·
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the actual and expected
volatility of the Index;
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·
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the time to maturity
of the notes;
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·
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the dividend rates
on the equity securities included in the Index;
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·
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interest and yield
rates in the market generally; and
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·
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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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·
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NO INTEREST OR
DIVIDEND PAYMENTS OR VOTING RIGHTS — As a holder of the notes, you will not receive interest payments, and you will not
have voting rights or rights to receive cash dividends or other distributions or other rights that holders of the securities included
in the Index would have.
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|
·
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VOLATILITY RISK
— Greater expected volatility with respect to the Index indicates a greater likelihood as of the Pricing Date that the Ending
Index Level could be less than the Index Strike Level by more than the Contingent Buffer Amount. The Index’s volatility,
however, can change significantly over the term of the notes. The closing level of the Index could fall sharply during the
term of the notes, which could result in your losing some or all of your principal amount at maturity.
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·
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LACK OF LIQUIDITY
— The notes will not be listed on any securities exchange. JPMS intends to offer to purchase the notes in the secondary
market but is not required to do so. Even if there is a secondary market, it may not
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JPMorgan Structured Investments —
|
PS-6
|
Digital Contingent Buffered Notes Linked to the S&P 500® Index
|
|
provide enough liquidity to allow you to trade
or sell the notes easily. Because other dealers are not likely to make a secondary market for the notes, the price at which you
may be able to trade your notes is likely to depend on the price, if any, at which JPMS is willing to buy the notes.
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·
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THE FINAL TERMS AND VALUATION OF THE NOTES WILL
BE PROVIDED IN THE PRICING SUPPLEMENT — The final terms of the notes will be based on relevant market conditions when
the terms of the notes are set and will be provided in the pricing supplement. In particular, the estimated value of the notes
will be provided in the pricing supplement and may be as low as the minimum for the estimated value of the notes set forth on the
cover of this pricing supplement. Accordingly, you should consider your potential investment in the notes based on the minimum
for the estimated value of the notes.
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Historical Information
The following graph sets forth the historical performance
of the Index based on the weekly historical closing levels of the Index from January 2, 2015 through March 27, 2020. The closing
level of the Index on April 2, 2020 was 2,526.90.
We obtained the closing levels of the Index above
and below from the Bloomberg Professional® service (“Bloomberg”), without independent verification.
The historical levels of the Index should not be taken as an indication of future performance, and no assurance can be given as
to the closing level of the Index on the Pricing Date or any Ending Averaging Date. There can be no assurance that the performance
of the Index will result in the return of any of your principal amount.
The Estimated Value of the Notes
The estimated value of the notes set forth on the
cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income
debt component with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative
or derivatives underlying the economic terms of the notes. The estimated value of the notes does not represent a minimum price
at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time. The internal funding rate
used in the determination of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed
income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on,
among other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance, operational
and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed income instruments
of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove to be
incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The use of an internal
funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any secondary market
prices of the notes. For additional information, see “Selected Risk Considerations — The Estimated Value of the Notes
Is Derived by Reference to an Internal Funding Rate” in this pricing supplement. The value of the derivative or derivatives
underlying the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent
on inputs such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are
market-observable, and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about
future market events and/or environments. Accordingly, the estimated value of the notes is determined when the terms of the notes
are set based on market conditions and other relevant factors and assumptions existing at that time. See “Selected Risk Considerations
— The Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ from Others’ Estimates”
in this pricing supplement.
The estimated value of the notes will be lower than
the original issue price of the notes because costs associated with selling, structuring and hedging the notes are included in
the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated
dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk
and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected,
or it may result in a loss. We or one or more of our affiliates will retain any profits realized in hedging our obligations under
the notes. See “Selected Risk Considerations — The Estimated Value of the Notes Will Be Lower Than the Original Issue
Price (Price to Public) of the Notes” in this pricing supplement.
JPMorgan Structured Investments —
|
PS-7
|
Digital Contingent Buffered Notes Linked to the S&P 500® Index
|
|
Secondary Market Prices of the
Notes
For information about factors that will impact any
secondary market prices of the notes, see “Selected Risk Considerations — Secondary Market Prices of the Notes 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 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 that is intended to be the shorter
of six months and one-half of the stated term of the notes. The length of any such initial period reflects the structure of the
notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging
the notes and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations — The
Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current
Estimated Value of the Notes for a Limited Time Period.”
Supplemental Use of Proceeds
The notes are offered to meet investor demand for
products that reflect the risk-return profile and market exposure provided by the notes. See “What Is the Total Return on
the Notes at Maturity, Assuming a Range of Performances for the Index?” and “Hypothetical Examples of Amount Payable
at Maturity” in this pricing supplement for an illustration of the risk-return profile of the notes and “Selected Purchase
Considerations — Return Dependent on the S&P 500® Index” in this pricing supplement for a description
of the market exposure provided by the notes.
The original issue price of the notes is equal to
the estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus)
the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under
the notes, plus the estimated cost of hedging our obligations under the notes.
Supplemental Plan of Distribution
We expect that delivery of the notes will be made against payment
for the notes on or about the Original Issue Date set forth on the front cover of this pricing supplement, which will be the third
business day following the Pricing Date of the notes (this settlement cycle being referred to as “T+3”). Under Rule
15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in two
business days, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade notes on any
date prior to two business days before delivery will be required to specify an alternate settlement cycle at the time of any such
trade to prevent a failed settlement and should consult their own advisors.
JPMorgan Structured Investments —
|
PS-8
|
Digital Contingent Buffered Notes Linked to the S&P 500® Index
|
|
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