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-II dated November 4, 2020, underlying supplement no. 1-II dated November 4, 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 PHLX Semiconductor Sector IndexTM (Bloomberg ticker: SOX), the NASDAQ-100 Index®
(Bloomberg ticker: NDX) and the NASDAQ-100® Technology Sector IndexSM (Bloomberg ticker: NDXT)
Contingent
Digital Return: 25.00%
Upside
Leverage Threshold: With respect to each Index, 125.00% of its Initial Value (equal
to 100.00% plus the Contingent Digital Return), which is 3,856.29375 for the PHLX Semiconductor Sector IndexTM,
16,620.5625 for the NASDAQ-100 Index® and 9,968.725 for the NASDAQ-100® Technology Sector IndexSM
Upside
Leverage Factor: 1.495
Pricing
Date: January 20, 2021
Original
Issue Date (Settlement Date): On or about January 25, 2021
Observation
Date*: January 20, 2026
Maturity
Date*: January 23, 2026
* 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
|
Payment at Maturity:
If the Final Value of each Index is greater than its Upside Leverage
Threshold, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Contingent Digital
Return) + [$1,000 × (Least Performing Index Return – Contingent Digital Return) × Upside Leverage Factor]
If the Final Value of any Index is less than or equal to its Upside
Leverage Threshold but the Final Value of each Index is greater than or equal to its Initial Value, your payment at maturity per
$1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Contingent Digital
Return)
If the Final Value of any Index is less than its Initial 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 Final Value of any Index is less than its Initial Value,
you will lose some or 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 3,085.035 for the PHLX Semiconductor Sector IndexTM, 13,296.45 for
the NASDAQ-100 Index® and 7,974.98 for the NASDAQ-100® Technology Sector IndexSM
Final
Value: With respect to each Index, the closing level of that Index on the Observation
Date
|
PS-1
| Structured Investments
Uncapped Return Enhanced Notes Linked to the Least Performing
of the PHLX Semiconductor Sector IndexTM, the NASDAQ-100 Index® and the NASDAQ-100® Technology
Sector IndexSM
|
|
Hypothetical
Payout Profile
The following table illustrates the hypothetical
total return and payment at maturity on the notes linked to three hypothetical Indices. 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. The hypothetical total returns and payments set forth below assume the following:
|
·
|
an Initial Value for the Least Performing Index of 100.00;
|
|
·
|
a Contingent Digital Return of 25.00%;
|
|
·
|
an Upside Leverage Threshold for the Least Performing Index of 125.00 (equal to 125.00% of its hypothetical Initial Value);
and
|
|
·
|
an Upside Leverage Factor of 1.495.
|
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 total return or hypothetical
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 have been rounded for ease of analysis.
Final Value of the
Least Performing
Index
|
Least Performing Index
Return
|
Total Return on the Notes
|
Payment at Maturity
|
165.00
|
65.00%
|
84.800%
|
$1,848.00
|
150.00
|
50.00%
|
62.375%
|
$1,623.75
|
140.00
|
40.00%
|
47.425%
|
$1,474.25
|
130.00
|
30.00%
|
32.475%
|
$1,324.75
|
126.00
|
26.00%
|
26.495%
|
$1,264.95
|
125.00
|
25.00%
|
25.000%
|
$1,250.00
|
120.00
|
20.00%
|
25.000%
|
$1,250.00
|
110.00
|
10.00%
|
25.000%
|
$1,250.00
|
105.00
|
5.00%
|
25.000%
|
$1,250.00
|
101.00
|
1.00%
|
25.000%
|
$1,250.00
|
100.00
|
0.00%
|
25.000%
|
$1,250.00
|
95.00
|
-5.00%
|
-5.000%
|
$950.00
|
90.00
|
-10.00%
|
-10.000%
|
$900.00
|
80.00
|
-20.00%
|
-20.000%
|
$800.00
|
70.00
|
-30.00%
|
-30.000%
|
$700.00
|
60.00
|
-40.00%
|
-40.000%
|
$600.00
|
50.00
|
-50.00%
|
-50.000%
|
$500.00
|
40.00
|
-60.00%
|
-60.000%
|
$400.00
|
30.00
|
-70.00%
|
-70.000%
|
$300.00
|
20.00
|
-80.00%
|
-80.000%
|
$200.00
|
10.00
|
-90.00%
|
-90.000%
|
$100.00
|
0.00
|
-100.00%
|
-100.000%
|
$0.00
|
PS-2
| Structured Investments
Uncapped Return Enhanced Notes Linked to the Least Performing
of the PHLX Semiconductor Sector IndexTM, the NASDAQ-100 Index® and the NASDAQ-100® Technology
Sector IndexSM
|
|
How
the Notes Work
Upside Leverage Scenario:
If the Final Value of each Index is greater than
its Upside Leverage Threshold of 125.00% of its Initial Value, investors will receive at maturity the $1,000 principal amount plus
a fixed return equal to the Contingent Digital Return of 25.00% plus an additional return equal to the product of
(i) the Least Performing Index Return minus the Contingent Digital Return and (ii) the Upside Leverage Factor of 1.495.
|
·
|
If the closing level of the Least Performing Index increases 30.00%, investors will receive at maturity a 32.475% return, or
$1,324.75 per $1,000 principal amount note.
|
Upside Contingent Digital Return Scenario:
If the Final Value of any Index is less than or
equal to its Upside Leverage Threshold of 125.00% of its Initial Value but the Final Value of each Index is greater than or equal
to its Initial Value, investors will receive at maturity the $1,000 principal amount plus a fixed return equal to the Contingent
Digital Return of 25.00%.
|
·
|
If the closing level of the Least Performing Index increases 10.00%, investors will receive at maturity a 25.00% return, or
$1,250.00 per $1,000 principal amount note.
|
Downside Scenario:
If the Final Value of any Index is less than its
Initial Value, investors will lose 1% of the principal amount of their notes for every 1% that the Final Value of the Least Performing
Index is less than its Initial Value.
|
·
|
For example, if the closing level of the Least Performing Index declines 60.00%, investors will lose 60.00% of their principal
amount and receive only $400.00 per $1,000 principal amount note at maturity.
|
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 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.
Risks Relating to the Notes Generally
|
·
|
YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
|
The notes do not guarantee any return
of principal. If the Final Value of any Index is less than its Initial 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 some or all of your principal amount at maturity.
|
·
|
YOUR ABILITY TO RECEIVE THE CONTINGENT DIGITAL RETURN MAY TERMINATE ON THE OBSERVATION DATE —
|
If the Final Value of any Index is less
than its Initial Value, you will not be entitled to receive the Contingent Digital Return at maturity.
|
·
|
YOUR ABILITY TO BENEFIT FROM THE UPSIDE LEVERAGE FACTOR IS LIMITED BY THE UPSIDE LEVERAGE THRESHOLD AND THE CONTINGENT DIGITAL
RETURN —
|
The Upside Leverage Factor applies only
if the Final Value of each Index is greater than its Upside Leverage Threshold. In addition, the Upside Leverage Factor applies
only to any appreciation of the Least Performing Index above the Contingent Digital Return.
|
·
|
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-3
| Structured Investments
Uncapped Return Enhanced Notes Linked to the Least Performing
of the PHLX Semiconductor Sector IndexTM, the NASDAQ-100 Index® and the NASDAQ-100® Technology
Sector IndexSM
|
|
|
·
|
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.
|
·
|
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 negatively affect 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 NOTES DO NOT PAY INTEREST.
|
|
·
|
YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN ANY INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES.
|
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.
Risks Relating to Conflicts of Interest
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.
Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes
|
·
|
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-4
| Structured Investments
Uncapped Return Enhanced Notes Linked to the Least Performing
of the PHLX Semiconductor Sector IndexTM, the NASDAQ-100 Index® and the NASDAQ-100® Technology
Sector IndexSM
|
|
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.
Risks Relating to the Indices
|
·
|
NON-U.S. SECURITIES RISK —
|
Some of the equity securities included in the Indices
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 home countries of the issuers of those non-U.S. equity securities.
|
·
|
RISKS ASSOCIATED WITH THE SEMICONDUCTOR INDUSTRY WITH RESPECT TO THE PHLX SEMICONDUCTOR INDEXTM —
|
All or substantially all of the equity
securities included in the PHLX Semiconductor Sector IndexTM are issued by companies whose primary line of business
is directly associated with the semiconductor industry. As a result, the value of the notes may be subject to greater volatility
and be more adversely affected by a single economic, political or regulatory occurrence affecting this industry than a different
investment linked to securities of a more broadly diversified group of issuers. Semiconductor companies face intense competition,
both domestically and internationally, and this competition may have an adverse effect on profit margins. Semiconductor companies
may have limited product lines, markets, financial resources or personnel. The products of semiconductor companies may face
obsolescence due to rapid technological developments and frequent new product introduction, unpredictable changes in growth rates
and competition for the services of qualified personnel. Capital equipment expenditures could be substantial, and equipment
generally suffers from rapid obsolescence. Companies in the semiconductor industry are heavily dependent on patent and intellectual
property rights. The loss or impairment of these rights would adversely affect the profitability of these companies.
These factors could affect the semiconductor industry and could affect the value of the equity securities included in the PHLX
Semiconductor Sector IndexTM and the level of the PHLX Semiconductor Sector IndexTM during the term of the
notes, which may adversely affect the value of your notes.
|
·
|
RISKS ASSOCIATED WITH THE TECHNOLOGY SECTOR WITH RESPECT TO THE NASDAQ-100® TECHNOLOGY SECTOR INDEXSM
—
|
All or substantially all of the equity
securities included in the NASDAQ-100® Technology Sector IndexSM are issued by companies whose primary
line of business is directly associated with the technology sector. As a result, the value of the notes may be subject
PS-5
| Structured Investments
Uncapped Return Enhanced Notes Linked to the Least Performing
of the PHLX Semiconductor Sector IndexTM, the NASDAQ-100 Index® and the NASDAQ-100® Technology
Sector IndexSM
|
|
to greater volatility and be more adversely affected
by a single economic, political or regulatory occurrence affecting this sector than a different investment linked to securities
of a more broadly diversified group of issuers. The value of stocks of technology companies and companies that rely heavily on
technology is particularly vulnerable to rapid changes in technology product cycles, rapid product obsolescence, government regulation
and competition, both domestically and internationally, including competition from foreign competitors with lower production costs.
Stocks of technology companies and companies that rely heavily on technology, especially those of smaller, less-seasoned
companies, tend to be more volatile than the overall market. Technology companies are heavily dependent on patent and intellectual
property rights, the loss or impairment of which may adversely affect profitability. Additionally, companies in the technology
sector may face dramatic and often unpredictable changes in growth rates and competition for the services of qualified personnel.
These factors could affect the technology sector and could affect the value of the equity securities included in the NASDAQ-100®
Technology Sector IndexSM and the level of the NASDAQ-100® Technology Sector IndexSM during
the term of the notes, which may adversely affect the value of your notes.
PS-6
| Structured Investments
Uncapped Return Enhanced Notes Linked to the Least Performing
of the PHLX Semiconductor Sector IndexTM, the NASDAQ-100 Index® and the NASDAQ-100® Technology
Sector IndexSM
|
|
The
Indices
The PHLX Semiconductor Sector IndexTM
is a modified market capitalization-weighted index designed to measure the performance of the 30 largest U.S.-listed semiconductor
companies. For additional information about the PHLX Semiconductor Sector IndexTM, see Annex A in this pricing 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 NASDAQ-100® Technology Sector
IndexSM is an equal weighted, price-return index based on technology companies included in the NASDAQ-100 Index®.
For additional information about the NASDAQ-100® Technology Sector IndexSM, see “Equity Index Descriptions
— The NASDAQ-100® Technology Sector IndexSM” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical
performance of each Index based on the weekly historical closing levels from January 8, 2016 through January 15, 2021. The closing
level of the PHLX Semiconductor Sector IndexTM on January 20, 2021 was 3,085.035. The closing level of the NASDAQ-100
Index® on January 20, 2021 was 13,296.45. The closing level of the NASDAQ-100® Technology Sector
IndexSM on January 20, 2021 was 7,974.98. 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 the Observation Date. There can be no assurance that the performance of the Indices will result in the return of any of your
principal amount.
PS-7
| Structured Investments
Uncapped Return Enhanced Notes Linked to the Least Performing
of the PHLX Semiconductor Sector IndexTM, the NASDAQ-100 Index® and the NASDAQ-100® Technology
Sector IndexSM
|
|
Tax
Treatment
You
should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product
supplement no. 4-II. The following discussion, when read in combination with that section, constitutes the full opinion of our
special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing
of notes.
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
PS-8
| Structured Investments
Uncapped Return Enhanced Notes Linked to the Least Performing
of the PHLX Semiconductor Sector IndexTM, the NASDAQ-100 Index® and the NASDAQ-100® Technology
Sector IndexSM
|
|
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. 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
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 — Risks Relating to the Estimated
Value and Secondary Market Prices of the Notes — 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
PS-9
| Structured Investments
Uncapped Return Enhanced Notes Linked to the Least Performing
of the PHLX Semiconductor Sector IndexTM, the NASDAQ-100 Index® and the NASDAQ-100® Technology
Sector IndexSM
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“Selected Risk Considerations — Risks Relating
to the Estimated Value and Secondary Market Prices of the Notes — 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 — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
— 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 “Hypothetical Payout Profile”
and “How the Notes Work” 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.
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
PS-10
| Structured Investments
Uncapped Return Enhanced Notes Linked to the Least Performing
of the PHLX Semiconductor Sector IndexTM, the NASDAQ-100 Index® and the NASDAQ-100® Technology
Sector IndexSM
|
|
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
Uncapped Return Enhanced Notes Linked to the Least Performing
of the PHLX Semiconductor Sector IndexTM, the NASDAQ-100 Index® and the NASDAQ-100® Technology
Sector IndexSM
|
|
Annex A
The PHLX Semiconductor Sector Index™
All information contained in this pricing supplement
regarding the PHLX Semiconductor Sector Index™, including, without limitation, its make-up, method of calculation and changes
in its components, has been derived from publicly available information, without independent verification. This information reflects
the policies of, and is subject to change by, Nasdaq, Inc. (“Nasdaq”). The PHLX Semiconductor Sector Index™ was
developed by, and is calculated, maintained and published by Nasdaq. Nasdaq does not have any obligation to continue to publish,
and may discontinue publication of, the PHLX Semiconductor Sector Index™. The PHLX Semiconductor Sector Index™ is reported
by Bloomberg L.P. under the ticker symbol “SOX.”
The PHLX Semiconductor Sector Index™ is
a modified market capitalization-weighted index of the 30 largest U.S.-listed semiconductor companies. The PHLX Semiconductor Sector
Index™ began on December 1, 1993 at a base value of 200.00.
PHLX Semiconductor Sector Index™
Calculation
At any moment in time, the value
of the PHLX Semiconductor Sector Index™ equals the aggregate value of the then-current PHLX Semiconductor Sector Index™
share weights of each of the PHLX Semiconductor Sector Index™ component securities, which are based on the total shares outstanding
of each such PHLX Semiconductor Sector Index™ component security, multiplied by each such security’s respective last
sale price on The NASDAQ Stock Market (which may be the official closing price published by The NASDAQ Stock Market), and divided
by a scaling factor (the “Divisor”), which becomes the basis for the reported PHLX Semiconductor Sector Index™
value. The Divisor serves the purpose of scaling such aggregate value to a lower order of magnitude which is recommended for PHLX
Semiconductor Sector Index™ reporting purposes.
PHLX Semiconductor Sector Index™
Security Eligibility Criteria
To be eligible for initial inclusion in the
PHLX Semiconductor Sector Index™, a security must meet the following criteria:
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the eligible security types generally
include common stocks, ordinary shares, American Depositary Receipts, shares of beneficial interest, and limited partnership interests;
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one security per issuer is permitted,
but if an issuer has multiple securities, the security with the largest market capitalization will be considered for possible inclusion;
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a security must be listed on the NASDAQ
Stock Market, the New York Stock Exchange, NYSE American, or the CBOE Exchange;
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the security must be classified as
a company whose primary busines is involved in the design, distribution, manufacture, and sale of semiconductors;
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each security must have a minimum market
capitalization of $100 million;
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each security must have traded at least
1.5 million shares in each of the six calendar months up to and including the month containing the reference date;
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the security must have traded for at
least three full calendar months, not including the month of initial listing, on a recognized market;
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the security must have listed options
on a registered options market in the U.S. or be eligible for listed options trading on a registered options market in the U.S.;
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a security may not be issued by an
issuer currently in bankruptcy proceedings; and
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the issuer of the security may not
have entered into a definitive agreement or other arrangement where the transaction is determined to be highly probable and would
likely result in the security no longer being eligible.
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PHLX Semiconductor Sector Index™
Reconstitution
The PHLX Semiconductor Sector Index™
selects constituents once annually in September. The security eligibility criteria are applied using market data as of the end
of July. The PHLX Semiconductor Sector Index™ reconstitutions are announced in early September. PHLX Semiconductor Sector
Index™ reconstitutions are effective at market open of the following trading day after the close of trading on the third
Friday in September.
PHLX Semiconductor Sector Index™
Rebalance
The PHLX Semiconductor Sector Index™
is rebalanced on a quarterly basis in March, June, September and December. The PHLX Semiconductor Sector Index™ rebalancing
uses the total shares outstanding (the “TSO”) and last sale price (the “LSP”) of all PHLX
PS-12
| Structured Investments
Uncapped Return Enhanced Notes Linked to the Least Performing
of the PHLX Semiconductor Sector IndexTM, the NASDAQ-100 Index® and the NASDAQ-100® Technology
Sector IndexSM
|
|
Semiconductor Sector Index™ securities as of the prior
month-end (February, August and November respectively). PHLX Semiconductor Sector Index™ rebalancing changes are announced
in early March, June, September and December. PHLX Semiconductor Sector Index™ rebalancing changes are effective at market
open of the following trading day after the close of trading on the third Friday in March, June, September and December.
PHLX Semiconductor Sector Index™
Constituent Selection
The PHLX Semiconductor Sector Index™
selects the 30 largest eligible semiconductor companies listed in the U.S., ranked by market capitalization.
PHLX Semiconductor Sector Index™
Weight Adjustments
The PHLX Semiconductor Sector Index™ employs
a two-stage weight adjustment scheme. The initial weights of the PHLX Semiconductor Sector Index™ securities are determined
by dividing each security’s market capitalization by the aggregate market capitalization of all securities included in the
PHLX Semiconductor Sector Index™.
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Stage 1: Initial index weights are adjusted to meet
the following constraint, producing the Stage 1 weights:
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No index security weight may exceed 8%.
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Stage 2: Stage 1 weights are adjusted to meet the following
Stage 2 constraints, producing the final weights:
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For index securities with the five largest market capitalizations,
Stage 1 weights are maintained.
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For all other index securities, no weight may exceed
4%.
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The final weights meet the following contraints:
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No index security weight may exceed 8% of the PHLX
Semiconductor Sector Index™, five index securities may exceed 4%.
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PHLX Semiconductor Sector Index™
Maintenance
Deletion Policy
If, at any time other than PHLX Semiconductor
Sector Index™ reconstitution, Nasdaq determines that a PHLX Semiconductor Sector Index™ security has or will undergo
a fundamental alteration that would make it ineligible for PHLX Semiconductor Sector Index™ inclusion, the PHLX Semiconductor
Sector Index™ security is removed as soon as practicable.
Replacement Policy
Securities may be added to the PHLX Semiconductor
Sector Index™ outside of the PHLX Semiconductor Sector Index™ reconstitution when there is a deletion. The issuer with
the largest market capitalization which is not in the PHLX Semiconductor Sector Index™ and meets all security eligibility
criteria will replace the deleted security.
Corporate Actions
In the periods between scheduled index reconstitution
and rebalancing events, individual PHLX Semiconductor Sector Index™ securities may be the subject to a variety of corporate
actions and events that require maintenance and adjustments to the PHLX Semiconductor Sector Index™. With the exception of
certain corporate events, PHLX Semiconductor Sector Index™ securities are adjusted for corporate actions prior to market
open on the effective date, ex-date, ex-dividend date or ex-distribution date of a given corporate action/event. In the absence
of one of those dates, there will be no adjustment to the PHLX Semiconductor Sector Index™ for such corporate action.
With respect to spin-offs, if the parent is
a PHLX Semiconductor Sector Index™ security and there is a when-issued market for the spun-off company (the “spinco”),
the price of the parent is adjusted downward for the value of the spinco. The value of the spinco is calculated as the spin-off
ratio multiplied by the when-issued LSP of the spinco. There is no adjustment to the index shares of the parent. This will result
in a divisor adjustment and the spinco is not added to the PHLX Semiconductor Sector Index™. If there is no when-issued market
for the spinco, then no price of index shares adjustment is made to the PHLX Semiconductor Sector Index™ security and the
spinco is not added to the PHLX Semiconductor Sector Index™.
PS-13
| Structured Investments
Uncapped Return Enhanced Notes Linked to the Least Performing
of the PHLX Semiconductor Sector IndexTM, the NASDAQ-100 Index® and the NASDAQ-100® Technology
Sector IndexSM
|
|
Index share adjustments
If the change in TSO arising from other corporate
events is greater than or equal to 10%, the change is made as soon as practicable. If the change in TSO is less than 10%, then
all changes are accumulated and made effective at one time on a quarterly basis after the close of trading on the third Friday
in each of March, June, September, and December.
PHLX Semiconductor Sector Index™
Governance
The Nasdaq Index Management Committee (the “Nasdaq
Index Committee”) approves all new index methodologies applicable to the PHLX Semiconductor Sector Index™. The Nasdaq
Index Committee is comprised of full-time professional members of Nasdaq. The Nasdaq Index Committee meets regularly, and reviews
items including, but not limited to, pending corporate actions that may affect the PHLX Semiconductor Sector Index™ constituents,
statistics comparing the composition of the PHLX Semiconductor Sector Index™ to the market, companies that are being considered
as candidates for addition to the PHLX Semiconductor Sector Index™, and any significant market events.
License
Agreement
JPMorgan Chase & Co. or its affiliate has entered into
a non-exclusive license agreement with Nasdaq providing for the license to it and certain of its affiliates or subsidiaries, including
JPMorgan Financial, with a non-exclusive license and, for a fee, with the right to use the PHLX Semiconductor Sector Index™
in connection with certain securities, including the notes.
The license agreement with Nasdaq provides that the following
language must be stated in this pricing supplement:
The notes are not sponsored, endorsed, sold or promoted by,
Nasdaq, Inc. or its affiliates (Nasdaq, with its affiliates, are referred to as the “Corporations”). The Corporations
have not passed on the legality or suitability of, or the accuracy or adequacy of descriptions and disclosures relating to, the
notes. The Corporations make no representation or warranty, express or implied, to the owners of the notes or any member
of the public regarding the advisability of investing in securities generally or in the notes particularly, or the ability of the
PHLX Semiconductor Sector Index™ to track general stock market performance. The Corporations’ only relationship
to JPMorgan Chase & Co., JPMorgan Financial and their affiliates is in the licensing of the Nasdaq® and PHLX
Semiconductor Sector Index™ registered trademarks, service marks and certain trade names of the Corporations and the use
of the PHLX Semiconductor Sector Index™ which is determined, composed and calculated by Nasdaq without regard to JPMorgan
Chase & Co., JPMorgan Financial or the notes. Nasdaq has no obligation to take the needs of JPMorgan Chase & Co.
or JPMorgan Financial or the owners of the notes into consideration in determining, composing or calculating the PHLX Semiconductor
Sector Index™. The Corporations are not responsible for and have not participated in the determination of the timing
of, prices at, or quantities of the notes to be issued or in the determination or calculation of the equation by which the notes
are to be converted into cash. The Corporations have no liability in connection with the administration, marketing or trading
of the notes.
THE CORPORATIONS DO
NOT GUARANTEE THE ACCURACY AND/OR UNINTERRUPTED CALCULATION OF THE PHLX SEMICONDUCTOR SECTOR INDEX™ OR ANY DATA INCLUDED
THEREIN. THE CORPORATIONS MAKE NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY JPMORGAN CHASE & CO.,
JPMORGAN FINANCIAL, OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE PHLX SEMICONDUCTOR SECTOR INDEX™
OR ANY DATA INCLUDED THEREIN. THE CORPORATIONS MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIM ALL WARRANTIES
OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE PHLX SEMICONDUCTOR SECTOR INDEX™ OR ANY
DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE CORPORATIONS HAVE ANY LIABILITY FOR ANY
LOST PROFITS OR SPECIAL, INCIDENTAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES, EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH
DAMAGES.
PS-14
| Structured Investments
Uncapped Return Enhanced Notes Linked to the Least Performing
of the PHLX Semiconductor Sector IndexTM, the NASDAQ-100 Index® and the NASDAQ-100® Technology
Sector IndexSM
|
|
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