Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this
pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
Pricing supplement to product supplement no. 4-I dated April
8, 2020, underlying supplement no. 1-I dated April 8, 2020 and the prospectus and prospectus supplement, each dated April 8, 2020
Key Terms
Issuer: JPMorgan
Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan
Chase & Co.
Indices: The
Dow Jones Industrial Average™ (Bloomberg ticker: INDU), the NASDAQ-100 Index® (Bloomberg
ticker: NDX) and the Russell 2000® Index
(Bloomberg ticker: RTY) (each an “Index” and collectively, the “Indices”)
Contingent Interest Payments:
If the notes have
not been automatically called and the closing level of each Index on any Review Date is greater than or equal to its Interest Barrier,
you will receive on the applicable Interest Payment Date for each $1,000 principal amount note a Contingent Interest Payment of
$12.0833 (equivalent to a Contingent Interest Rate of 14.50% per annum, payable at a rate of 1.20833% per month).
If the closing level of any Index on
any Review Date is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date.
Contingent Interest Rate: 14.50%
per annum, payable at a rate of 1.20833% per month
Interest Barrier/Trigger Value: With
respect to each Index, 70.00% of its Initial Value, which is 18,069.016 for the Dow Jones Industrial Average™, 7,109.795
for the NASDAQ-100 Index® and
1,008.9555 for the Russell 2000® Index
Pricing Date: June
30, 2020
Original Issue Date (Settlement Date): On
or about July 6, 2020
Review Dates*: July
30, 2020, August 31, 2020, September 30, 2020, October 30, 2020, November 30, 2020, December 30, 2020, February 1, 2021, March
1, 2021 and March 30, 2021 (final Review Date)
Interest Payment Dates*: August
4, 2020, September 3, 2020, October 5, 2020, November 4, 2020, December 3, 2020, January 5, 2021, February 4, 2021, March 4, 2021
and the Maturity Date
Maturity Date*: April
5, 2021
Call Settlement Date*: If
the notes are automatically called on any Review Date (other than the first, second and final Review Dates), the first Interest
Payment Date immediately following that Review Date
* Subject to postponement in the event of a market disruption event and
as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple
Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product
supplement
|
|
Automatic Call:
If the closing level of each Index on
any Review Date (other than the first, second and final Review Dates) is greater than or equal to its Initial Value, the notes
will be automatically called for a cash payment, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the
Contingent Interest Payment applicable to that Review Date, payable on the applicable Call Settlement Date. No further payments
will be made on the notes.
Payment at Maturity:
If the notes have
not been automatically called and the Final Value of each Index is greater than or equal to its Trigger Value, you will receive
a cash payment at maturity, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment
applicable to the final Review Date.
If the notes have
not been automatically called and the Final Value of any Index is less than its Trigger Value, your payment at maturity per $1,000
principal amount note will be calculated as follows:
$1,000
+ ($1,000 × Least Performing Index Return)
If the notes have not been automatically
called and the Final Value of any Index is less than its Trigger Value, you will lose more than 30.00% of your principal amount
at maturity and could lose all of your principal amount at maturity.
Least Performing Index: The
Index with the Least Performing Index Return
Least Performing Index Return: The
lowest of the Index Returns of the Indices
Index Return: With
respect to each Index,
(Final
Value – Initial Value)
Initial Value
Initial Value: With
respect to each Index, the closing level of that Index on the Pricing Date, which was 25,812.88 for the Dow Jones Industrial Average™,
10,156.850 for the NASDAQ-100 Index® and
1,441.365 for the Russell 2000® Index
Final Value: With
respect to each Index, the closing level of that Index on the final Review Date
|
PS-1
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Dow Jones Industrial Average™, the NASDAQ-100 Index® and the Russell 2000®
Index
|
|
How the Notes
Work
Payment in Connection with the First and Second Review
Dates
Payments in Connection with Review Dates (Other than
the First, Second and Final Review Dates)
Payment at Maturity If the Notes Have Not Been Automatically
Called
PS-2
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Dow Jones Industrial Average™, the NASDAQ-100 Index® and the Russell 2000®
Index
|
|
Total Contingent Interest Payments
The table below illustrates the total Contingent Interest
Payments per $1,000 principal amount note over the term of the notes based on the Contingent Interest Rate of 14.50% per annum,
depending on how many Contingent Interest Payments are made prior to automatic call or maturity.
Number of Contingent
Interest Payments
|
Total Contingent Interest
Payments
|
9
|
$108.7500
|
8
|
$96.6667
|
7
|
$84.5833
|
6
|
$72.5000
|
5
|
$60.4167
|
4
|
$48.3333
|
3
|
$36.2500
|
2
|
$24.1667
|
1
|
$12.0833
|
0
|
$0.0000
|
Hypothetical
Payout Examples
The following examples illustrate payments on the notes linked
to three hypothetical Indices, assuming a range of performances for the hypothetical Least Performing Index on the Review Dates.
Each hypothetical payment set forth below assumes that the closing level of each Index that is not the Least Performing Index
on each Review Date is greater than or equal to its Initial Value (and therefore its Interest Barrier and Trigger Value).
In addition, the hypothetical payments set forth below assume
the following:
|
●
|
an Initial Value for the Least Performing Index of 100.00;
|
|
●
|
an Interest Barrier and a Trigger Value for the Least Performing Index of 70.00 (equal to 70.00% of its hypothetical Initial
Value); and
|
|
●
|
a Contingent Interest Rate of 14.50% per annum (payable at a rate of 1.20833% per month).
|
The hypothetical Initial Value of the Least
Performing Index of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value
of any Index.
The actual Initial Value of each Index
is the closing level of that Index on the Pricing Date
and is specified under “Key Terms - Initial Value” in this pricing supplement. For historical data regarding the actual
closing levels of each Index, please see the historical
information set forth under “The Indices” 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.
Example 1 — Notes are automatically called on
the third Review Date.
Date
|
Closing Level of Least
Performing Index
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
105.00
|
$12.0833
|
Second Review Date
|
110.00
|
$12.0833
|
Third Review Date
|
110.00
|
$1,012.0833
|
|
Total Payment
|
$1,036.25 (3.625% return)
|
Because the closing level of each Index on the third Review
Date is greater than or equal to its Initial Value, the notes will be automatically called for a cash payment, for each $1,000
principal amount note, of $1,012.0833 (or $1,000 plus the Contingent Interest Payment applicable to the third Review Date),
payable on the applicable Call Settlement Date. The notes are not automatically callable before the third Review Date, even though
the closing level of each Index on each of the first and second Review Dates is greater than its Initial Value. When added to the
Contingent Interest Payments received with respect to the prior Review Dates, the total amount paid, for each $1,000 principal
amount note, is $1,036.25. No further payments will be made on the notes.
PS-3
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Dow Jones Industrial Average™, the NASDAQ-100 Index® and the Russell 2000®
Index
|
|
Example 2 — Notes have NOT been automatically
called and the Final Value of the Least Performing Index is greater than or equal to its Trigger Value.
Date
|
Closing Level of Least
Performing Index
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
95.00
|
$12.0833
|
Second Review Date
|
85.00
|
$12.0833
|
Third through Eighth Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
90.00
|
$1,012.0833
|
|
Total Payment
|
$1,036.25 (3.625% return)
|
Because the notes have not been automatically called and the
Final Value of the Least Performing Index is greater than or equal to its Trigger Value, the payment at maturity, for each $1,000
principal amount note, will be $1,012.0833 (or $1,000 plus the Contingent Interest Payment applicable to the final Review
Date). When added to the Contingent Interest Payments received with respect to the prior Review Dates, the total amount paid, for
each $1,000 principal amount note, is $1,036.25.
Example 3 — Notes have NOT been automatically
called and the Final Value of the Least Performing Index is less than its Trigger Value.
Date
|
Closing Level of Least
Performing Index
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
60.00
|
$0
|
Second Review Date
|
65.00
|
$0
|
Third through Eighth Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
60.00
|
$600.00
|
|
Total Payment
|
$600.00 (-40.00% return)
|
Because the notes have not been automatically called, the
Final Value of the Least Performing Index is less than its Trigger Value and the Least Performing Index Return is
-40.00%, the payment at maturity will be $600.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-40.00%)] = $600.00
The hypothetical returns and hypothetical payments on the
notes shown above apply only if you hold the notes for their entire term or until automatically called. These hypotheticals
do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses
were included, the hypothetical returns and hypothetical payments shown above would likely be lower.
Selected Risk
Considerations
An investment in the notes involves significant risks. These risks are explained
in more detail in the “Risk Factors” sections of the accompanying prospectus supplement, product supplement and underlying
supplement.
|
●
|
YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
The notes do not guarantee any return of principal. If the notes have not been automatically called and the Final Value of any
Index is less than its Trigger Value, you will lose 1% of the principal amount of your notes for every 1% that the Final Value
of the Least Performing Index is less than its Initial Value. Accordingly, under these circumstances, you will lose more
than 30.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
|
|
●
|
THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL —
If the notes have not been automatically called, we will make a Contingent Interest Payment with respect to a Review Date only
if the closing level of each Index on that Review Date is greater than or equal to its Interest Barrier. If the closing level of
any Index on that Review Date is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that
Review Date. Accordingly, if the closing level of any Index on each Review Date is less than its Interest Barrier, you will not
receive any interest payments over the term of the notes.
|
|
●
|
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
Investors are dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts due on the notes. Any actual or
potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads, as determined by the market for
taking that credit risk, is likely to adversely affect the value of the notes. If we and JPMorgan Chase & Co. were to default
on our payment obligations, you may not receive any amounts owed to you under the notes and you could lose your entire investment.
|
PS-4
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Dow Jones Industrial Average™, the NASDAQ-100 Index® and the Russell 2000®
Index
|
|
|
●
|
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 ANY CONTINGENT INTEREST PAYMENTS THAT MAY BE PAID OVER
THE TERM OF THE NOTES,
regardless of any appreciation of any Index, which may be significant. You will not participate in any appreciation of any Index.
|
|
●
|
POTENTIAL CONFLICTS —
We and our affiliates play a variety of roles in connection with the notes. In performing these duties, our and JPMorgan Chase
& Co.’s economic interests are potentially adverse to your interests as an investor in the notes. It is possible that
hedging or trading activities of ours or our affiliates in connection with the notes could result in substantial returns for us
or our affiliates while the value of the notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts
of Interest” in the accompanying product supplement.
|
|
●
|
JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE DOW JONES INDUSTRIAL AVERAGE™,
but JPMorgan Chase & Co. will not have any obligation to consider your interests in taking any corporate action that might
affect the level of the Dow Jones Industrial Average™.
|
|
●
|
NON-U.S. SECURITIES RISK WITH RESPECT TO THE NASDAQ-100 INDEX® —
Some of the equity securities included in the NASDAQ-100 Index® have been issued by non-U.S. companies. Investments
in securities linked to the value of such non-U.S. equity securities involve risks associated with the securities markets in the
home countries of the issuers of those non-U.S. equity securities. Also, there is generally less publicly available information
about companies in some of these jurisdictions than there is about U.S. companies that are subject to the reporting requirements
of the SEC.
|
|
●
|
AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH RESPECT TO THE RUSSELL 2000®
INDEX —
Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative
to larger companies. Small capitalization companies are less likely to pay dividends on their stocks, and the presence of a dividend
payment could be a factor that limits downward stock price pressure under adverse market conditions.
|
|
●
|
YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX—
Payments on the notes are not linked to a basket composed of the Indices and are contingent upon the performance of each individual
Index. Poor performance by any of the Indices over the term of the notes may result in the notes not being automatically called
on a Review Date, may negatively affect whether you will receive a Contingent Interest Payment on any Interest Payment Date and
your payment at maturity and will not be offset or mitigated by positive performance by any other Index.
|
|
●
|
YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING INDEX.
|
|
●
|
THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE—
If the Final Value of any Index is less than its 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 Least Performing Index.
|
|
●
|
THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
If your notes are automatically called, the term of the notes may be reduced to as short as approximately three months and you
will not receive any Contingent 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 SECURITIES INCLUDED IN ANY INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES.
|
|
●
|
THE RISK OF THE CLOSING LEVEL OF AN INDEX FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS GREATER IF THE LEVEL OF
THAT INDEX IS VOLATILE.
|
|
●
|
LACK OF LIQUIDITY—
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.
|
PS-5
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Dow Jones Industrial Average™, the NASDAQ-100 Index® and the Russell 2000®
Index
|
|
|
●
|
THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES
—
See “The Estimated Value of the Notes” in this pricing supplement.
|
|
●
|
THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
The internal funding rate used in the determination of the estimated value of the notes may differ from the market-implied funding
rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference
may be based on, among other things, our and our affiliates’ view of the funding value of the notes as well as the higher
issuance, operational and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed
income instruments of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which
may prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The use
of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any
secondary market prices of the notes. See “The Estimated Value of the Notes” in this pricing supplement.
|
|
●
|
THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN
THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
We generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you
in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period.
See “Secondary Market Prices of the Notes” in this pricing supplement for additional information relating to this initial
period. Accordingly, the estimated value of your notes during this initial period may be lower than the value of the notes as published
by JPMS (and which may be shown on your customer account statements).
|
|
●
|
SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
Any secondary market prices of the notes will likely be lower than the original issue price of the notes because, among other things,
secondary market prices take into account our internal secondary market funding rates for structured debt issuances and, also,
because secondary market prices may exclude 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 levels of the Indices. 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.
|
The Indices
The Dow Jones Industrial Average™ consists
of 30 common stocks chosen as representative of the broad market of U.S. industry. For additional information about the Dow Jones
Industrial Average™, see “Equity Index Descriptions — The Dow Jones Industrial Average™”
in the accompanying underlying supplement.
The NASDAQ-100 Index® is a modified market
capitalization-weighted index of 100 of the largest non-financial securities listed on The NASDAQ Stock Market based on market
capitalization. For additional information about the NASDAQ-100 Index®, see “Equity Index Descriptions —
The NASDAQ-100 Index®” in the accompanying underlying supplement.
The Russell 2000® Index consists of the middle
2,000 companies included in the Russell 3000E™ Index and, as a result of the index calculation methodology, consists
of the smallest 2,000 companies included in the Russell 3000® Index. The Russell 2000® Index is designed
to track the performance of the small capitalization segment of the U.S. equity market. For additional information about the Russell
2000® Index, see “Equity Index Descriptions — The Russell Indices” in the accompanying underlying
supplement.
PS-6
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Dow Jones Industrial Average™, the NASDAQ-100 Index® and the Russell 2000®
Index
|
|
Historical Information
The following graphs set forth the historical performance
of each Index based on the weekly historical closing levels from January 2, 2015 through June 26, 2020. The closing level of the
Dow Jones Industrial Average™ on June 30, 2020 was 25,812.88. The closing level of the NASDAQ-100 Index® on
June 30, 2020 was 10,156.850. The closing level of the Russell 2000® Index on June 30, 2020 was 1,441.365. We obtained
the closing levels above and below from the Bloomberg Professional® service (“Bloomberg”), without independent
verification.
The historical closing levels of each Index should not be
taken as an indication of future performance, and no assurance can be given as to the closing level of any Index on any Review
Date. There can be no assurance that the performance of the Indices will result in the return of any of your principal amount or
the payment of any interest.
Historical Performance of the Dow Jones
Industrial Average™
Source: Bloomberg
|
Historical Performance of the NASDAQ-100
Index®
Source: Bloomberg
|
PS-7
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Dow Jones Industrial Average™, the NASDAQ-100 Index® and the Russell 2000®
Index
|
|
Historical Performance of the Russell
2000® Index
Source: Bloomberg
|
Tax Treatment
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. In determining our reporting responsibilities
we intend to treat (i) the notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent coupons
and (ii) any Contingent Interest Payments as ordinary income, as described in the section entitled “Material U.S. Federal
Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated
Contingent Coupons” in the accompanying product supplement. Based on the advice of Davis Polk & Wardwell LLP, our special
tax counsel, we believe that this is a reasonable treatment, but that there are other reasonable treatments that the IRS or a court
may adopt, in which case the timing and character of any income or loss on the notes could be materially affected. In addition,
in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward
contracts” and similar instruments. The notice focuses in particular on whether to require investors in these instruments
to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character
of income or loss with respect to these instruments and the relevance of factors such as the nature of the underlying property
to which the instruments are linked. While the notice requests comments on appropriate transition rules and effective dates, any
Treasury regulations or other guidance promulgated after consideration of these issues could materially affect the tax consequences
of an investment in the notes, possibly with retroactive effect. The discussions above and in the accompanying product supplement
do not address the consequences to taxpayers subject to special tax accounting rules under Section 451(b) of the Code. You should
consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, including possible alternative
treatments and the issues presented by the notice described above.
Non-U.S. Holders — Tax Considerations. The U.S.
federal income tax treatment of Contingent Interest Payments is uncertain, and although we believe it is reasonable to take a position
that Contingent Interest Payments are not subject to U.S. withholding tax (at least if an applicable Form W-8 is provided), a withholding
agent may nonetheless withhold on these payments (generally at a rate of 30%, 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.
PS-8
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Dow Jones Industrial Average™, the NASDAQ-100 Index® and the Russell 2000®
Index
|
|
Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on dividend
equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices
that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked
to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations. Additionally, a recent
IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2023 that do not have a delta of one
with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying
Security”). Based on certain determinations made by us, our special tax counsel is of the opinion that Section 871(m) should
not apply to the notes with regard to Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree with
this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including whether
you enter into other transactions with respect to an Underlying Security. You should consult your tax adviser regarding the potential
application of Section 871(m) to the notes.
In the event of any withholding on the notes, we will not
be required to pay any additional amounts with respect to amounts so withheld.
The Estimated
Value of the Notes
The estimated value of the notes set forth on the cover of
this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component
with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives
underlying the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would
be willing to buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination
of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar
maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our
affiliates’ view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management
costs of the notes in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This
internal funding rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate
the prevailing market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to
that rate may have an adverse effect on the terms of the notes and any secondary market prices of the notes. For additional information,
see “Selected Risk Considerations — The Estimated Value of the Notes Is Derived by Reference to an Internal Funding
Rate” in this pricing supplement.
The value of the derivative or derivatives underlying the
economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such
as the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable,
and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market
events and/or environments. Accordingly, the estimated value of the notes is determined when the terms of the notes are set based
on market conditions and other relevant factors and assumptions existing at that time.
The estimated value of the notes does not represent future
values of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide valuations
for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant
factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could
change significantly based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness,
interest rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes
from you in secondary market transactions.
The estimated value of the notes is lower than the original
issue price of the notes because costs associated with 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.
PS-9
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Dow Jones Industrial Average™, the NASDAQ-100 Index® and the Russell 2000®
Index
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|
Secondary Market
Prices of the Notes
For information about factors that will impact any secondary
market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of
the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying
product supplement. In addition, we generally expect that some of the costs included in the original issue price of the notes will
be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over
an initial predetermined period. These costs can include 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.
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 Indices”
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.
PS-10
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Dow Jones Industrial Average™, the NASDAQ-100 Index® and the Russell 2000®
Index
|
|
Additional Terms
Specific to the Notes
You should read this pricing supplement together with the
accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of
which these notes are a part, and the more detailed information contained in the accompanying product supplement and the accompanying
underlying supplement. This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes
all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing
terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational
materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk Factors” sections
of the accompanying prospectus supplement, the accompanying product supplement and the accompanying underlying supplement, as the
notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting
and other advisers before you invest in the notes.
You may access these documents on
the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the
SEC website):
Our Central Index Key, or CIK, on the
SEC website is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,”
“us” and “our” refer to JPMorgan Financial.
PS-11
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Dow Jones Industrial Average™, the NASDAQ-100 Index® and the Russell 2000®
Index
|
|
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