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, prospectus supplement and prospectus. Any representation to the contrary is a criminal offense.
Key Terms
Issuer: JPMorgan
Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan
Chase & Co.
Fund: The
ARK Innovation ETF (Bloomberg ticker: ARKK)
Maximum Return: 9.00%
(corresponding to a maximum payment at maturity of $1,090.00 per $1,000 principal amount note)
Upside Leverage Factor:
1.50
Buffer Amount: 15.00%
Pricing
Date: July 30, 2021
Original Issue Date (Settlement
Date): On or about August 4, 2021
Observation Date*: August
2, 2022
Maturity Date*: August
5, 2022
* 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 a Single Underlying
— Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General Terms of Notes — Postponement
of a Payment Date” in the accompanying product supplement
|
Payment at Maturity:
If the Final Value is greater than the Initial Value, your payment at maturity
per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Fund Return × Upside Leverage
Factor), subject to the Maximum Return
If the Final Value is equal to the Initial Value or is less than the Initial Value
by up to the Buffer Amount, you will receive the principal amount of your notes at maturity.
If the Final Value is less than the Initial Value by more than the Buffer Amount,
your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + [$1,000 × (Fund Return + Buffer Amount)]
If the Final Value is less than the Initial
Value by more than the Buffer Amount, you will lose some or most of your principal amount at maturity.
Fund Return:
(Final Value – Initial
Value)
Initial Value
Initial Value: The
closing price of one share of the Fund on the Pricing Date, which was $120.00
Final Value: The
closing price of one share of the Fund on the Observation Date
Share Adjustment Factor:
The Share Adjustment Factor is referenced in determining the closing price of one
share of the Fund and is set equal to 1.0 on the Pricing Date. The Share Adjustment Factor is subject to adjustment upon the occurrence
of certain events affecting the Fund. See “The Underlyings — Funds — Anti-Dilution Adjustments” in the accompanying
product supplement for further information.
|
PS-1
| Structured Investments
Capped Buffered Return Enhanced Notes Linked to the ARK Innovation ETF
|
|
Hypothetical Payout
Profile
The following table and graph illustrate the hypothetical total
return and payment at maturity on the notes linked to a hypothetical Fund. 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 of $100.00;
|
|
·
|
a Maximum Return of 9.00%;
|
|
·
|
an Upside Leverage Factor of 1.50; and
|
|
·
|
a Buffer Amount of 15.00%.
|
The hypothetical Initial Value of $100.00 has been chosen for illustrative
purposes only and does not represent the actual Initial Value. The actual Initial Value is the closing price of one share of the Fund
on the Pricing Date and is specified under “Key Terms — Initial Value” in this pricing supplement. For historical data
regarding the actual closing prices of one share of the Fund, please see the historical information set forth under “The Fund”
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 and graph have been rounded for ease of analysis.
Final Value
|
Fund Return
|
Total Return on the Notes
|
Payment at Maturity
|
$180.00
|
80.00%
|
9.00%
|
$1,090.00
|
$165.00
|
65.00%
|
9.00%
|
$1,090.00
|
$150.00
|
50.00%
|
9.00%
|
$1,090.00
|
$140.00
|
40.00%
|
9.00%
|
$1,090.00
|
$130.00
|
30.00%
|
9.00%
|
$1,090.00
|
$120.00
|
20.00%
|
9.00%
|
$1,090.00
|
$110.00
|
10.00%
|
9.00%
|
$1,090.00
|
$106.00
|
6.00%
|
9.00%
|
$1,090.00
|
$105.00
|
5.00%
|
7.50%
|
$1,075.00
|
$101.00
|
1.00%
|
1.50%
|
$1,015.00
|
$100.00
|
0.00%
|
0.00%
|
$1,000.00
|
$95.00
|
-5.00%
|
0.00%
|
$1,000.00
|
$90.00
|
-10.00%
|
0.00%
|
$1,000.00
|
$85.00
|
-15.00%
|
0.00%
|
$1,000.00
|
$80.00
|
-20.00%
|
-5.00%
|
$950.00
|
$70.00
|
-30.00%
|
-15.00%
|
$850.00
|
$60.00
|
-40.00%
|
-25.00%
|
$750.00
|
$50.00
|
-50.00%
|
-35.00%
|
$650.00
|
$40.00
|
-60.00%
|
-45.00%
|
$550.00
|
$30.00
|
-70.00%
|
-55.00%
|
$450.00
|
$20.00
|
-80.00%
|
-65.00%
|
$350.00
|
$10.00
|
-90.00%
|
-75.00%
|
$250.00
|
$0.00
|
-100.00%
|
-85.00%
|
$150.00
|
PS-2
| Structured Investments
Capped Buffered Return Enhanced Notes Linked to the ARK Innovation ETF
|
|
The following graph demonstrates the hypothetical payments at maturity
on the notes for a sub-set of Fund Returns detailed in the table above (-50% to 50%). There can be no assurance that the performance of
the Fund will result in the return of any of your principal amount in excess of $150.00 per $1,000 principal amount note, subject to the
credit risks of JPMorgan Financial and JPMorgan Chase & Co.
How the Notes Work
Upside Scenario:
If the Final Value is greater than the Initial Value, investors will
receive at maturity the $1,000 principal amount plus a return equal to the Fund Return times the Upside Leverage Factor
of 1.50, up to the Maximum Return of 9.00%. An investor will realize the maximum payment at maturity at a Final Value at or above 106.00%
of the Initial Value.
|
·
|
If the closing price of one share of the Fund increases 5.00%, investors
will receive at maturity a 7.50% return, or $1,075.00 per $1,000 principal amount note.
|
|
·
|
If the closing price of one share of the Fund increases 40.00%, investors will receive at maturity a
return equal to the 9.00% Maximum Return, or $1,090.00 per $1,000 principal amount note, which is the maximum payment at maturity.
|
Par Scenario:
If the Final Value is equal to the Initial Value or is less than
the Initial Value by up to the Buffer Amount of 15.00%, investors will receive at maturity the principal amount of their notes.
Downside Scenario:
If the Final Value is less than the Initial Value by more than the
Buffer Amount of 15.00%, investors will lose 1% of the principal amount of their notes for every 1% that the Final Value is less than
the Initial Value by more than the Buffer Amount.
|
·
|
For example, if the closing price of one share of the Fund declines
60.00%, investors will lose 45.00% of their principal amount and receive only $550.00 per $1,000 principal amount note at maturity, calculated
as follows:
|
$1,000 + [$1,000 × (-60.00%
+ 15.00%)] = $550.00
The hypothetical returns and hypothetical payments on the notes shown
above apply only if you hold the notes for their entire term. These hypotheticals do not reflect 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.
PS-3
| Structured Investments
Capped Buffered Return Enhanced Notes Linked to the ARK Innovation ETF
|
|
Selected Risk Considerations
An investment in the notes involves significant risks. These risks
are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement and product supplement.
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 is less than the Initial Value by more than 15.00%, you will lose 1% of the principal amount of your notes for every 1%
that the Final Value is less than the Initial Value by more than 15.00%. Accordingly, under these circumstances, you will lose up to 85.00%
of your principal amount at maturity.
|
·
|
YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE MAXIMUM RETURN,
|
regardless of any appreciation of
the Fund, which may be significant.
|
·
|
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
|
Investors are dependent on our and JPMorgan Chase &
Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness
or credit spreads, as determined by the market for taking that credit risk, is likely to adversely affect the value of the notes. If we
and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed to you under the notes and
you could lose your entire investment.
|
·
|
AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED
ASSETS —
|
As a finance subsidiary of JPMorgan Chase & Co., we
have no independent operations beyond the issuance and administration of our securities. Aside from the initial capital contribution from
JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates to make payments under loans made by
us or other intercompany agreements. As a result, we are dependent upon payments from our affiliates to meet our obligations under the
notes. If these affiliates do not make payments to us and we fail to make payments on the notes, you may have to seek payment under the
related guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu with all other unsecured and unsubordinated
obligations of JPMorgan Chase & Co.
|
·
|
THE NOTES DO NOT PAY INTEREST.
|
|
·
|
YOU WILL NOT RECEIVE DIVIDENDS ON THE FUND OR THE SECURITIES HELD BY THE FUND OR HAVE
ANY RIGHTS WITH RESPECT TO THE FUND OR 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.
PS-4
| Structured Investments
Capped Buffered Return Enhanced Notes Linked to the ARK Innovation ETF
|
|
|
·
|
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 price of one share of the Fund. 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 Fund
|
·
|
AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH ACTIVELY MANAGED FUNDS —
|
The Fund is actively managed. Unlike a passively managed
fund, an actively managed fund does not attempt to track an index or other benchmark, and the investment decisions for an actively managed
fund are instead made by its investment adviser. The investment adviser of an actively managed fund may adopt a strategy or strategies
that are significantly higher risk than the indexing strategy that would have been employed by a passively managed fund. As an actively
managed fund, the Fund is subject to management risk. In managing an actively managed fund, the investment adviser of a fund applies investment
strategies, techniques and analyses in making investment decisions for that fund, but there can be no guarantee that these actions will
produce the intended results. The ability of the Fund’s investment adviser to successfully implement the Fund’s investment
strategy will significantly influence the market price of the shares of the Fund and, consequently, the value of the notes.
|
·
|
THE PERFORMANCE AND MARKET VALUE OF THE FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE
OF THE FUND’S NET ASSET VALUE PER SHARE —
|
Because the shares of the Fund are traded on a securities
exchange and are subject to market supply and investor demand, the market value of one share of the Fund may differ from the net asset
value per share of the Fund. During periods of market
PS-5
| Structured Investments
Capped Buffered Return Enhanced Notes Linked to the ARK Innovation ETF
|
|
volatility, securities underlying the Fund may be unavailable
in the secondary market, market participants may be unable to calculate accurately the net asset value per share of the Fund and the liquidity
of the Fund may be adversely affected. This kind of market volatility may also disrupt the ability of market participants to create
and redeem shares of the Fund. Further, market volatility may adversely affect, sometimes materially, the prices at which market participants
are willing to buy and sell shares of the Fund. As a result, under these circumstances, the market value of shares of the Fund may
vary substantially from the net asset value per share of the Fund. For all of the foregoing reasons, the performance of the Fund
may not correlate with the net asset value per share of the Fund, which could materially and adversely affect the value of the notes in
the secondary market and/or reduce any payment on the notes.
|
·
|
RISKS ASSOCIATED WITH DISRUPTIVE INNOVATION COMPANIES —
|
The Fund’s investment strategy involves exposure
to companies that the investment adviser believes are capitalizing on disruptive innovation and developing technologies to displace older
technologies or create new markets (“disruptive innovation companies”). However, the companies selected by the investment
adviser may not in fact do so. Companies that initially develop a novel technology may not be able to capitalize on the technology. Companies
that develop disruptive technologies may face political or legal attacks from competitors, industry groups or local and national governments.
These companies may also be exposed to risks applicable to sectors other than the disruptive innovation theme for which they are chosen,
and the securities issued by these companies may underperform the securities of other companies that are primarily focused on a particular
theme. The Fund may invest in companies that do not currently derive any revenue from disruptive innovations or technologies, and there
is no assurance that any company will derive any revenue from disruptive innovations or technologies in the future. A disruptive innovation
or technology may constitute a small portion of any company’s overall business. As a result, the success of a disruptive innovation
or technology may not affect the value of the equity securities issued by that company.
|
·
|
THE NOTES ARE SUBJECT TO RISKS RELATING TO CRYPTOCURRENCIES AND RELATED INVESTMENTS —
|
The Fund may have exposure to cryptocurrencies, such as
bitcoin, indirectly through investment funds, including through an investment in the Grayscale Bitcoin Trust (“GBTC”), a privately
offered, open-end investment vehicle. Cryptocurrencies are digital assets designed to act as a medium of exchange and do not represent
legal tender. Cryptocurrency generally operates without central authority or banks and is not backed by any government. Cryptocurrencies
are susceptible to theft, loss, destruction and fraud. Cryptocurrency is an emerging asset class, and regulation in the United States
is still developing, including with respect to market integrity, anti-fraud, anti-manipulation, cybersecurity, surveillance and anti-money
laundering. Federal, state and/or foreign governments may restrict the use and exchange of cryptocurrencies. The market prices
of bitcoin and other cryptocurrencies have been subject to extreme fluctuations. Even when held indirectly, investment vehicles
like GBTC may be affected by the high volatility associated with cryptocurrency exposure. Holding a privately offered investment
vehicle in its portfolio may cause the Fund to trade at a discount to its net asset value. If cryptocurrency markets continue to
be subject to sharp fluctuations, the Fund and the notes may be adversely affected. In addition, the share prices of GBTC and other
similar investment vehicles that are not listed on a national securities exchange may be more volatile than listed securities because
there is generally less liquidity in these securities and there may be less publicly available information about them or their issuers.
Cryptocurrency exchanges and other trading venues on which cryptocurrencies trade are relatively new and, in most cases, largely unregulated
and may therefore be more exposed to fraud and failure than established, regulated exchanges for securities, derivatives and other currencies.
Cryptocurrency exchanges may stop operating or permanently shut down due to fraud, technical glitches, hackers or malware, which may also
affect the prices of cryptocurrencies. Events that negatively affect cryptocurrencies may negatively affect the performance of the
Fund and the notes.
|
·
|
AN INVESTMENT IN THE NOTES IS SUBJECT
TO RISKS ASSOCIATED WITH MID-SIZE, SMALL AND MICRO-CAPITALIZATION STOCKS —
|
Some of the equity securities held by the Fund have been
issued by mid-size, small or micro-capitalization companies. Mid-size, small and micro-capitalization companies may be less able to withstand
adverse economic, market, trade and competitive conditions relative to larger companies. Mid-size, small and micro-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.
PS-6
| Structured Investments
Capped Buffered Return Enhanced Notes Linked to the ARK Innovation ETF
|
|
|
·
|
NON-U.S. SECURITIES RISK —
|
Some of the equity securities held by the Fund 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.
|
·
|
EMERGING MARKETS RISK —
|
Some of the equity securities held by the Fund have been
issued by non-U.S. companies located in emerging markets countries. Countries with emerging markets may have relatively unstable
governments, may present the risks of nationalization of businesses, restrictions on foreign ownership and prohibitions on the repatriation
of assets, and may have less protection of property rights than more developed countries. The economies of countries with emerging
markets may be based on only a few industries, may be highly vulnerable to changes in local or global trade conditions, and may suffer
from extreme and volatile debt burdens or inflation rates. Local securities markets may trade a small number of securities and may
be unable to respond effectively to increases in trading volume, potentially making prompt liquidation of holdings difficult or impossible
at times.
|
·
|
THE NOTES ARE SUBJECT TO CURRENCY
EXCHANGE RISK —
|
Because the prices of the non-U.S. equity securities held
by the Fund are converted into U.S. dollars for purposes of calculating the net asset value of the Fund, holders of the notes will be
exposed to currency exchange rate risk with respect to each of the currencies in which the non-U.S. equity securities held by the Fund
trade. Your net exposure will depend on the extent to which those currencies strengthen or weaken against the U.S. dollar and the
relative weight of equity securities held by the Fund denominated in each of those currencies. If, taking into account the relevant
weighting, the U.S. dollar strengthens against those currencies, the price of the Fund will be adversely affected and any payment on the
notes may be reduced.
|
·
|
Recent Executive Orders May Adversely Affect the Performance of the Fund
—
|
Pursuant to recent executive orders, U.S. persons are prohibited
from engaging in transactions in, or possession of, publicly traded securities of certain companies that are determined to be linked to
the People’s Republic of China military, intelligence and security apparatus, or securities that are derivative of, or are designed
to provide investment exposure to, those securities. If the issuer of any of the equity securities held by the Fund is in the future
designated as such a prohibited company, the value of that company may be adversely affected, perhaps significantly, which would adversely
affect the performance of the Fund. In addition, under these circumstances, the Fund is expected to remove the equity securities
of that company from the Fund. Any changes to the composition of the Fund in response to these executive orders could adversely
affect the performance of the Fund.
|
·
|
THE ANTI-DILUTION PROTECTION FOR
THE FUND IS LIMITED —
|
The calculation agent will make adjustments to the Share
Adjustment Factor for certain events affecting the shares of the Fund. However, the calculation agent will not make an adjustment in response
to all events that could affect the shares of the Fund. If an event occurs that does not require the calculation agent to make an adjustment,
the value of the notes may be materially and adversely affected.
PS-7
| Structured Investments
Capped Buffered Return Enhanced Notes Linked to the ARK Innovation ETF
|
|
The Fund
The Fund is an actively-managed exchange-traded fund of ARK ETF
Trust, a registered investment company, with an investment objective of long-term growth of capital, that primarily invests in equity
securities of U.S. and non-U.S. companies relevant to the Fund’s investment theme of disruptive innovation. For additional information
about the Fund, see Annex A in this pricing supplement.
Historical Information
The following graph sets forth the historical performance of the
Fund based on the weekly historical closing prices of one share of the Fund from January 8, 2016 through July 30, 2021. The closing price
of one share of the Fund on July 30, 2021 was $120.00. We obtained the closing prices above and below from the Bloomberg Professional®
service (“Bloomberg”), without independent verification. The closing prices above and below may have been adjusted by Bloomberg
for actions taken by the Fund, such as stock splits.
The historical closing prices of one share of the Fund should
not be taken as an indication of future performance, and no assurance can be given as to the closing price of one share of the Fund on
the Observation Date. There can be no assurance that the performance of the Fund will result in the return of any of your principal amount
in excess of $150.00 per $1,000 principal amount note, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
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, subject to the possible application of the “constructive ownership” rules, 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. The notes could be treated as “constructive ownership transactions” within
the meaning of Section 1260 of the Code, in which case any gain recognized in respect of the notes that would otherwise be long-term capital
gain and that was in excess of the “net underlying long-term capital gain” (as defined in Section 1260) would be treated as
ordinary income, and a notional interest charge would apply as if that income had accrued for tax purposes at a constant yield over your
holding period for the notes. Our special tax counsel has not expressed an opinion with respect to whether the constructive ownership
rules apply to the notes. Accordingly, U.S. Holders should consult their tax advisers regarding the potential application of the
constructive ownership rules.
The IRS or a court may not respect the treatment of the notes
described above, in which case the timing and character of any income or loss on your notes could be materially and adversely affected.
In addition, in 2007 Treasury and the IRS released a notice
PS-8
| Structured Investments
Capped Buffered Return Enhanced Notes Linked to the ARK Innovation ETF
|
|
requesting comments on the U.S. federal income tax treatment
of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to require investors in
these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including
the character of income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property
to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors
should be subject to withholding tax; and whether these instruments are or should be subject to the constructive ownership regime described
above. 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 the potential application of the constructive ownership rules, 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
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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 — 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 Fund” 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
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counsel dated February 26, 2020, which was filed as an exhibit to
the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 26, 2020.
Additional Terms Specific
to the Notes
You should read this pricing supplement together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which these notes
are a part, and the more detailed information contained in the accompanying product supplement. This pricing supplement, together with
the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous oral statements as well
as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation,
sample structures, fact sheets, brochures or other educational materials of ours. You should carefully consider, among other things, the
matters set forth in the “Risk Factors” sections of the accompanying prospectus supplement and the accompanying product supplement,
as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting
and other advisers before you invest in the notes.
You may access these documents
on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC
website):
Our Central Index Key, or CIK, on the SEC website is 1665650, and
JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us” and “our”
refer to JPMorgan Financial.
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Annex A
The ARK Innovation ETF
All information contained in this pricing supplement regarding the
ARK Innovation ETF (the “ARKK Fund”), has been derived from publicly available information, without independent verification.
This information reflects the policies of, and is subject to change by, ARK ETF Trust (“ARK Trust”). The ARKK Fund is an actively-managed
exchange-traded fund managed by ARK Investment Management LLC (“ARK LLC”), the investment adviser to the ARKK Fund. The ARKK
Fund trades on NYSE Arca, Inc. under the ticker symbol “ARKK.”
The investment objective of the ARKK Fund is long-term growth of
capital.
As an actively-managed fund, the ARKK Fund is subject to management
risk. In managing the ARKK Fund, ARK LLC applies investment strategies, techniques and analyses in making investment decisions for the
ARKK Fund, but there can be no guarantee that these actions will produce the intended results. The ability of ARK LLC to successfully
implement the ARKK Fund’s investment strategy will significantly influence that ARKK Fund’s performance.
The ARKK Fund will invest under normal circumstances primarily (at
least 65% of its assets) in equity securities of U.S. and non-U.S. companies that are relevant to the ARKK Fund’s investment theme
of disruptive innovation. ARK LLC defines “disruptive innovation” as the introduction of a technologically enabled new product
or service that potentially changes the way the world works. ARK LLC believes that companies relevant to this theme are those that rely
on or benefit from the development of new products or services, technological improvements and advancements in scientific research relating
to the areas of genomics; innovation in automation and manufacturing, transportation, energy, artificial intelligence and materials; the
increased use of shared technology, infrastructure and services; and technologies that make financial services more efficient. ARK LLC
defines “genomics” as the study of genes and their functions, and related techniques (e.g., genomic sequencing).
ARK Trust is a registered investment company that consists of numerous
separate investment portfolios, including the ARKK Fund. Information provided to or filed with the SEC by ARK Trust pursuant to the Securities
Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by reference to SEC file numbers 333-191019
and 811-22883, respectively, through the SEC’s website at http://www.sec.gov.
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