The table below illustrates the total Interest Payments per $1,000
principal amount note over the term of the notes based on the Interest Rate of 5.00% per annum, depending on how many Interest
Payments are made prior to automatic call or maturity. If the notes have not been automatically called, the total Interest Payments
per $1,000 principal amount note over the term of the notes will be equal to the maximum amount shown in the table below.
The following examples illustrate payments on the notes
linked to a hypothetical Reference Stock, assuming a range of performances for the hypothetical Reference Stock on the Review Dates.
The hypothetical Initial Value of $100.00 has been chosen
for illustrative purposes only and does not represent the actual Initial Value. The actual Initial Value is the closing price of
one share of the Reference Stock on the Pricing Date and is specified under “Key Terms — Initial Value” in this
pricing supplement. For historical data regarding the actual closing prices of one share of the Reference Stock, please see the
historical information set forth under “The Reference Stock” in this pricing supplement.
Each hypothetical payment set forth below is for illustrative
purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing in the following
examples have been rounded for ease of analysis.
Because the closing price of one share of the Reference
Stock on the first Review Date is greater than or equal to the Initial Value, the notes will be automatically called for a cash
payment, for each $1,000 principal amount note, of $1,004.1667 (or $1,000 plus the Interest Payment applicable to the corresponding
Interest Payment Date), payable on the applicable Call Settlement Date. When added to the Interest Payments received with respect
to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $1,025.00. No further payments
will be made on the notes.
Because the notes have not been automatically called and
the Final Value is greater than or equal to the Trigger Value, the payment at maturity, for each $1,000 principal amount note,
will be $1,004.1667 (or $1,000 plus the Interest Payment applicable to the Maturity Date). When added to the Interest Payments
received with respect to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $1,062.50.
PS-3
| Structured Investments
Auto Callable Yield Notes Linked to the Common Stock of Apple Inc.
|
|
Example
3 — Notes have NOT been automatically called and the Final Value is less than the Initial Value and the Trigger Value.
Date
|
Closing Price
|
|
First Review Date
|
$40.00
|
Notes NOT automatically called
|
Second Review Date
|
$45.00
|
Notes NOT automatically called
|
Third Review Date
|
$55.00
|
Notes NOT automatically called
|
Final Review Date
|
$50.00
|
Notes NOT automatically called
|
|
Total Payment
|
$562.50 (-43.75% return)
|
Because the notes have not been automatically called, the
Final Value is less than the Trigger Value and the Stock Return is -50.00%, the payment at maturity will be $504.1667 per $1,000
principal amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)] + $4.1667 = $504.1667
When added to the Interest Payments received with respect
to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $562.50.
The hypothetical returns and hypothetical payments on the
notes shown above apply only if you hold the notes for their entire term or until automatically called. These hypotheticals
do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses
were included, the hypothetical returns and hypothetical payments shown above would likely be lower.
Selected Risk
Considerations
An investment in the notes involves significant risks. These
risks are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement and product
supplement.
|
·
|
YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
|
The notes do not guarantee any return of principal.
If the notes have not been automatically called and the Final Value is less than the Trigger Value, you will lose 1% of the principal
amount of your notes for every 1% that the Final Value is less than the Initial Value. Accordingly, under these circumstances,
you will lose more than 32.50% of your principal amount at maturity and could lose all of your principal amount at maturity.
|
·
|
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
|
Investors are dependent on our and JPMorgan Chase
& Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.’s
creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely affect the
value of the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts
owed to you under the notes and you could lose your entire investment.
|
·
|
AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS —
|
As a finance subsidiary of JPMorgan Chase & Co.,
we have no independent operations beyond the issuance and administration of our securities. Aside from the initial capital contribution
from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates to make payments under loans
made by us or other intercompany agreements. As a result, we are dependent upon payments from our affiliates to meet our obligations
under the notes. If these affiliates do not make payments to us and we fail to make payments on the notes, you may have to seek
payment under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu with all other
unsecured and unsubordinated obligations of JPMorgan Chase & Co.
|
·
|
THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF THE INTEREST PAYMENTS PAID OVER THE TERM OF THE NOTES,
|
regardless of any appreciation of the Reference Stock,
which may be significant. You will not participate in any appreciation of the Reference Stock.
We and our affiliates play a variety of roles in
connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests are potentially
adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours or our affiliates
in connection with the notes could result in substantial returns for us or our affiliates while the
PS-4
| Structured Investments
Auto Callable Yield Notes Linked to the Common Stock of Apple Inc.
|
|
value of the notes declines. Please refer to “Risk
Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement.
|
·
|
THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE —
|
If the Final Value is less than the Trigger Value
and the notes have not been automatically called, the benefit provided by the Trigger Value will terminate and you will be fully
exposed to any depreciation of the Reference Stock.
|
·
|
THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
|
If your notes are automatically called, the term
of the notes may be reduced to as short as approximately six months and you will not receive any Interest Payments after the applicable
Call Settlement Date. There is no guarantee that you would be able to reinvest the proceeds from an investment in the notes at
a comparable return and/or with a comparable interest rate for a similar level of risk. Even in cases where the notes are called
before maturity, you are not entitled to any fees and commissions described on the front cover of this pricing supplement.
|
·
|
YOU WILL NOT RECEIVE DIVIDENDS ON THE REFERENCE STOCK OR HAVE ANY RIGHTS WITH RESPECT TO THE REFERENCE STOCK.
|
|
·
|
NO AFFILIATION WITH THE REFERENCE STOCK ISSUER —
|
We have not independently verified any of the information
about the Reference Stock issuer contained in this pricing supplement. You should undertake your own investigation into the Reference
Stock and its issuer. We are not responsible for the Reference Stock issuer’s public disclosure of information, whether contained
in SEC filings or otherwise.
|
·
|
THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY —
|
The calculation agent will not make an adjustment
in response to all events that could affect the Reference Stock. The calculation agent may make adjustments in response to events
that are not described in the accompanying product supplement to account for any diluting or concentrative effect, but the calculation
agent is under no obligation to do so or to consider your interests as a holder of the notes in making these determinations.
|
·
|
THE RISK OF THE CLOSING PRICE OF ONE SHARE OF THE REFERENCE STOCK FALLING BELOW THE TRIGGER VALUE IS GREATER IF THE PRICE
OF ONE SHARE OF THE REFERENCE STOCK IS VOLATILE.
|
The notes will not be listed on any securities exchange.
Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS is
willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your notes to maturity.
|
·
|
THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES —
|
The estimated value of the notes is only an estimate
determined by reference to several factors. The original issue price of the notes exceeds the estimated value of the notes because
costs associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs
include the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent
in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. See “The Estimated
Value of the Notes” in this pricing supplement.
|
·
|
THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES
—
|
See “The Estimated Value of the Notes”
in this pricing supplement.
|
·
|
THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
|
The internal funding rate used in the determination
of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar
maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our
affiliates’ view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management
costs of the notes in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This
internal funding rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate
the prevailing market replacement funding rate for the notes. The use of an
PS-5
| Structured Investments
Auto Callable Yield Notes Linked to the Common Stock of Apple Inc.
|
|
internal funding rate and any potential changes to that rate may
have an adverse effect on the terms of the notes and any secondary market prices of the notes. See “The Estimated Value of
the Notes” in this pricing supplement.
|
·
|
THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN
THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
|
We generally expect that some of the costs included
in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by
JPMS in an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices of the Notes”
in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your
notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your
customer account statements).
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
|
Any secondary market prices of the notes will likely
be lower than the original issue price of the notes because, among other things, secondary market prices take into account our
internal secondary market funding rates for structured debt issuances and, also, because secondary market prices may exclude selling
commissions, projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the
notes. As a result, the price, if any, at which JPMS will be willing to buy the notes from you in secondary market transactions,
if at all, is likely to be lower than the original issue price. Any sale by you prior to the Maturity Date could result in a substantial
loss to you.
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
|
The secondary market price of the notes during their
term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the
selling commissions, projected hedging profits, if any, estimated hedging costs and the price of one share of the Reference Stock.
Additionally, independent pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be
reflected on customer account statements. This price may be different (higher or lower) than the price of the notes, if any, at
which JPMS may be willing to purchase your notes in the secondary market. See “Risk Factors — Risks Relating to the
Estimated Value and Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many
economic and market factors” in the accompanying product supplement.
PS-6
| Structured Investments
Auto Callable Yield Notes Linked to the Common Stock of Apple Inc.
|
|
The Reference Stock
All information contained herein on the Reference Stock
and on Apple is derived from publicly available sources, without independent verification. According to its publicly available
filings with the SEC, Apple designs, manufactures and markets smartphones, personal computers, tablets, wearables and accessories
and sells a variety of related services. The common stock of Apple, par value $0.00001 per share (Bloomberg ticker: AAPL), is registered
under the Securities Exchange Act of 1934, as amended, which we refer to as the Exchange Act, and is listed on The NASDAQ Stock
Market, which we refer to as the relevant exchange for purposes of Apple in the accompanying product supplement. Information provided
to or filed with the SEC by Apple pursuant to the Exchange Act can be located by reference to the SEC file number 001-36743, and
can be accessed through www.sec.gov. We do not make any representation that these publicly available documents are accurate or
complete.
Historical Information
The following graph sets forth the historical performance
of the Reference Stock based on the weekly historical closing prices of one share of the Reference Stock from January 2, 2015 through
June 26, 2020. The closing price of one share of the Reference Stock on June 30, 2020 was $364.80. We obtained the closing prices
above and below from the Bloomberg Professional® service (“Bloomberg”), without independent verification.
The closing prices below may have been adjusted by Bloomberg for corporate actions, such as stock splits, public offerings, mergers
and acquisitions, spin-offs, delistings and bankruptcy.
The historical closing prices of one share of the Reference
Stock should not be taken as an indication of future performance, and no assurance can be given as to the closing price of one
share of the Reference Stock on any Review Date. There can be no assurance that the performance of the Reference Stock will result
in the return of any of your principal amount.
PS-7
| Structured Investments
Auto Callable Yield Notes Linked to the Common Stock of Apple Inc.
|
|
Tax Treatment
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. Based on the advice of Davis
Polk & Wardwell LLP, our special tax counsel, and on current market conditions, in determining our reporting responsibilities
we intend to treat the notes for U.S. federal income tax purposes as units each comprising: (x) a cash-settled Put Option written
by you that is terminated if an automatic call occurs and that, if not terminated, in circumstances where the payment due at maturity
is less than the principal amount (excluding accrued but unpaid interest), requires you to pay us an amount equal to the principal
amount multiplied by the absolute value of the Stock Return and (y) a Deposit of $1,000 per $1,000 principal amount note to secure
your potential obligation under the Put Option, as more fully described in “Material U.S. Federal Income Tax Consequences
— Tax Consequences to U.S. Holders — Notes Treated as Units Each Comprising a Put Option and a Deposit” in the
accompanying product supplement, and in particular in the subsection thereof entitled “— Notes with a Term of More
than One Year.” By purchasing the notes, you agree (in the absence of an administrative determination or judicial ruling
to the contrary) to follow this treatment and the allocation described in the following paragraph. However, 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 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
on a number of issues, the most relevant of which for investors in the notes are the character of income or loss (including whether
the Put Premium might be currently included as ordinary income) and the degree, if any, to which income realized by non-U.S. investors
should be subject to withholding tax. While it is not clear whether the notes would be viewed as similar to the typical prepaid
forward contract described in the notice, it is possible that 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.
In determining our reporting responsibilities, we intend
to treat approximately 42.80% of each Interest Payment as interest on the Deposit and the remainder as Put Premium. Assuming that
the treatment of the notes as units each comprising a Put Option and a Deposit is respected, amounts treated as interest on the
Deposit will be taxed as ordinary income, while the Put Premium will not be taken into account prior to sale or settlement, including
a settlement following an automatic call.
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.
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 all aspects of the U.S. federal income tax consequences of an investment in the notes,
including possible alternative treatments and the issues presented by the 2007 notice. Purchasers who are not initial purchasers
of notes at the issue price should also consult their tax advisers with respect to the tax consequences of an investment in the
notes, including possible alternative treatments, as well as the allocation of the purchase price of the notes between the Deposit
and the Put Option.
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
PS-8
| Structured Investments
Auto Callable Yield Notes Linked to the Common Stock of Apple Inc.
|
|
prices of the notes. For additional information, see “Selected Risk
Considerations — The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate” in this pricing
supplement.
The value of the derivative or derivatives underlying
the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs
such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable,
and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market
events and/or environments. Accordingly, the estimated value of the notes is determined when the terms of the notes are set based
on market conditions and other relevant factors and assumptions existing at that time.
The estimated value of the notes does not represent future
values of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide valuations
for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant
factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could
change significantly based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness,
interest rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes
from you in secondary market transactions.
The estimated value of the notes is lower than the original
issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original
issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers,
the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under
the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may
be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected, or it
may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes may be allowed to other
affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits. See “Selected
Risk Considerations — The Estimated Value of the Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes”
in this pricing supplement.
Secondary Market
Prices of the Notes
For information about factors that will impact any secondary
market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of
the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying
product supplement. In addition, we generally expect that some of the costs included in the original issue price of the notes will
be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over
an initial predetermined period. These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances,
estimated hedging costs and our internal secondary market funding rates for structured debt issuances. This initial predetermined
time period is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial
period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities,
the estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates. See “Selected
Risk Considerations — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements)
May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this pricing supplement.
PS-9
| Structured Investments
Auto Callable Yield Notes Linked to the Common Stock of Apple Inc.
|
|
Supplemental Use
of Proceeds
The notes are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the notes. See “How the Notes Work” and “Hypothetical
Payout Examples” in this pricing supplement for an illustration of the risk-return profile of the notes and “The Reference
Stock” 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.
Validity of the
Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as special
products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by this pricing supplement have been
executed and issued by JPMorgan Financial and authenticated by the trustee pursuant to the indenture, and delivered against payment
as contemplated herein, such notes will be valid and binding obligations of JPMorgan Financial and the related guarantee will constitute
a valid and binding obligation of JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicable bankruptcy,
insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of
general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided
that such counsel expresses no opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision
of applicable law on the conclusions expressed above or (ii) any provision of the indenture that purports to avoid the effect of
fraudulent conveyance, fraudulent transfer or similar provision of applicable law by limiting the amount of JPMorgan Chase &
Co.’s obligation under the related guarantee. This opinion is given as of the date hereof and is limited to the laws of the
State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited Liability Company Act. In addition,
this opinion is subject to customary assumptions about the trustee’s authorization, execution and delivery of the indenture
and its authentication of the notes and the validity, binding nature and enforceability of the indenture with respect to the trustee,
all as stated in the letter of such counsel dated February 26, 2020, which was filed as an exhibit to the Registration Statement
on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 26, 2020.
Additional Terms
Specific to the Notes
You should read this pricing supplement together with the
accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of
which these notes are a part, and the more detailed information contained in the accompanying product supplement. 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.
We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is 1665650,
and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us” and “our”
refer to JPMorgan Financial.
PS-10
| Structured Investments
Auto Callable Yield Notes Linked to the Common Stock of Apple Inc.
|
|
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