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 $5.00 (equivalent to a Contingent Interest Rate of 6.00% per annum, payable at a rate of 0.50% 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: 6.00%
per annum, payable at a rate of 0.50% per month
Interest Barrier/Trigger Value: With
respect to each Index, 70.00% of its Initial Value, which is 20,024.417 for the Dow Jones Industrial Average™, 8,296.519
for the NASDAQ-100 Index® and
1,143.6656 for the Russell 2000® Index
Pricing Date: October
16, 2020
Original Issue Date (Settlement Date):
On or about October 21, 2020
Review Dates*: November
16, 2020, December 16, 2020, January 19, 2021, February 16, 2021, March 16, 2021, April 16, 2021, May 17, 2021, June 16, 2021,
July 16, 2021, August 16, 2021, September 16, 2021, October 18, 2021, November 16, 2021, December 16, 2021, January 18, 2022, February
16, 2022, March 16, 2022, April 18, 2022, May 16, 2022, June 16, 2022, July 18, 2022, August 16, 2022, September 16, 2022, October
17, 2022, November 16, 2022, December 16, 2022, January 17, 2023, February 16, 2023, March 16, 2023, April 17, 2023, May 16, 2023,
June 16, 2023 and July 17, 2023 (final Review Date)
Interest Payment Dates*: November
19, 2020, December 21, 2020, January 22, 2021, February 19, 2021, March 19, 2021, April 21, 2021, May 20, 2021, June 21, 2021,
July 21, 2021, August 19, 2021, September 21, 2021, October 21, 2021, November 19, 2021, December 21, 2021, January 21, 2022, February
22, 2022, March 21, 2022, April 21, 2022, May 19, 2022, June 21, 2022, July 21, 2022, August 19, 2022, September 21, 2022, October
20, 2022, November 21, 2022, December 21, 2022, January 20, 2023, February 22, 2023, March 21, 2023, April 20, 2023, May 19, 2023,
June 21, 2023 and the Maturity Date
Maturity Date*: July
20, 2023
Call Settlement Date*: If
the notes are automatically called on any Review Date (other than the first, second, third, fourth, fifth 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
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Automatic Call:
If the closing level of each
Index on any Review Date (other than the first, second, third, fourth, fifth 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 28,606.31 for the Dow Jones Industrial Average™,
11,852.17 for the NASDAQ-100 Index® and
1,633.808 for the Russell 2000® Index
Final Value: With
respect to each Index, the closing level of that Index on the final Review Date
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