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.
Reference
Stock: The American Depositary Shares, each representing two common shares, no par value
(“ADSs”), of Petróleo Brasileiro S.A. — Petrobras (Bloomberg ticker: PBR). We refer to Petróleo
Brasileiro S.A. — Petrobras as “Petrobras.”
Contingent
Digital Return: At least 15.45% (to be provided in the pricing supplement)
Strike
Date: August 4, 2020
Pricing
Date: On or about August 5, 2020
Original
Issue Date (Settlement Date): On or about August 7, 2020
Observation
Date*: November 4, 2020
Maturity
Date*: November 9, 2020
* 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 or equal to the Strike 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 is less than the Strike Value, your payment
at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Stock Return)
Stock Return:
(Final Value – Strike Value)
Strike Value
Strike
Value: The closing price of one share of the Reference Stock on the Strike Date, which
was $8.42. The Strike Value is not the closing price of one share of the Reference Stock on the Pricing Date.
Final
Value: The closing price of one share of the Reference Stock on the Observation Date
Stock
Adjustment Factor: The Stock Adjustment Factor is referenced in determining the closing
price of one share of the Reference Stock and is set equal to 1.0 on the Strike Date. The Stock Adjustment Factor is subject to
adjustment upon the occurrence of certain corporate events affecting the Reference Stock. See “The Underlyings — Reference
Stocks — Anti-Dilution Adjustments” and “The Underlyings — Reference Stocks — Reorganization Events”
in the accompanying product supplement for further information.
|
PS-1
| Structured Investments
Digital Notes Linked to the American Depositary Shares,
Each Representing Two Common Shares, of Petróleo Brasileiro S.A. — Petrobras.
|
|
Hypothetical
Payout Profile
The following table and graph illustrate the
hypothetical total return and payment at maturity on the notes linked to a hypothetical Reference Stock. 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:
|
·
|
a Strike Value of $100.00; and
|
|
·
|
a Contingent Digital Return of 15.45%.
|
The hypothetical Strike Value of $100.00 has
been chosen for illustrative purposes only and does not represent the actual Strike Value. The actual Strike Value is the closing
price of one share of the Reference Stock on the Strike Date and is specified under “Key Terms — Strike Value”
in this pricing supplement. For historical data regarding the actual closing prices of one share of the Reference Stock, please
see the historical information set forth under “The Reference Stock” in this pricing supplement.
Each hypothetical 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
|
Stock Return
|
Total Return on the Notes
|
Payment at Maturity
|
$180.00
|
80.00%
|
15.45%
|
$1,154.50
|
$165.00
|
65.00%
|
15.45%
|
$1,154.50
|
$150.00
|
50.00%
|
15.45%
|
$1,154.50
|
$140.00
|
40.00%
|
15.45%
|
$1,154.50
|
$130.00
|
30.00%
|
15.45%
|
$1,154.50
|
$120.00
|
20.00%
|
15.45%
|
$1,154.50
|
$115.45
|
15.45%
|
15.45%
|
$1,154.50
|
$110.00
|
10.00%
|
15.45%
|
$1,154.50
|
$105.00
|
5.00%
|
15.45%
|
$1,154.50
|
$101.00
|
1.00%
|
15.45%
|
$1,154.50
|
$100.00
|
0.00%
|
15.45%
|
$1,154.50
|
$95.00
|
-5.00%
|
-5.00%
|
$950.00
|
$90.00
|
-10.00%
|
-10.00%
|
$900.00
|
$85.00
|
-15.00%
|
-15.00%
|
$850.00
|
$80.00
|
-20.00%
|
-20.00%
|
$800.00
|
$70.00
|
-30.00%
|
-30.00%
|
$700.00
|
$60.00
|
-40.00%
|
-40.00%
|
$600.00
|
$50.00
|
-50.00%
|
-50.00%
|
$500.00
|
$40.00
|
-60.00%
|
-60.00%
|
$400.00
|
$30.00
|
-70.00%
|
-70.00%
|
$300.00
|
$20.00
|
-80.00%
|
-80.00%
|
$200.00
|
$10.00
|
-90.00%
|
-90.00%
|
$100.00
|
$0.00
|
-100.00%
|
-100.00%
|
$0.00
|
PS-2
| Structured Investments
Digital Notes Linked to the American Depositary Shares,
Each Representing Two Common Shares, of Petróleo Brasileiro S.A. — Petrobras.
|
|
The following graph demonstrates hypothetical
payments at maturity on the notes for a sub-set of Stock Returns detailed in the table above (-50% to 50%). There can be no assurance
that the performance of the Reference Stock will result in the return of any of your principal amount.
How
the Notes Work
Upside Scenario:
If the Final Value is greater than or equal to
the Strike Value, investors will receive at maturity the $1,000 principal amount plus a fixed return equal to the Contingent
Digital Return of at least 15.45%, which reflects the maximum return at maturity.
|
·
|
Assuming a hypothetical Contingent Digital Return of 15.45%, if the closing price of one share of the Reference Stock increases
10.00%, investors will receive at maturity a 15.45% return, or $1,154.50 per $1,000 principal amount note.
|
|
·
|
Assuming a hypothetical Contingent Digital Return of 15.45%, if the closing price of one share of the Reference Stock increases
40.00%, investors will receive at maturity a 15.45% return, or $1,154.50 per $1,000 principal amount note.
|
Downside Scenario:
If the Final Value is less than the Strike Value,
investors will lose 1% of the principal amount of their notes for every 1% that the Final Value is less than the Strike Value.
|
·
|
For example, if the closing price of one share of the Reference Stock 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
and product supplement.
|
·
|
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 Strike Value, you will lose 1% of the principal amount of your notes for every
1% that the Final Value is less than the Strike Value. Accordingly, under these circumstances, you will lose some or all of your
principal amount at maturity.
|
·
|
YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE CONTINGENT DIGITAL RETURN,
|
regardless of any appreciation of the
Reference Stock, which may be significant.
PS-3
| Structured Investments
Digital Notes Linked to the American Depositary Shares,
Each Representing Two Common Shares, of Petróleo Brasileiro S.A. — Petrobras.
|
|
|
·
|
YOUR ABILITY TO RECEIVE THE CONTINGENT DIGITAL RETURN MAY TERMINATE ON THE OBSERVATION DATE —
|
If the Final Value is less than the Strike
Value, you will not be entitled to receive the Contingent Digital Return at maturity. Under these circumstances, you will lose
some or all of your principal amount at maturity.
|
·
|
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
|
Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase &
Co.’s creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely
affect the value of the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive
any amounts owed to you under the notes and you could lose your entire investment.
|
·
|
AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS —
|
As a finance subsidiary of JPMorgan Chase
& Co., we have no independent operations beyond the issuance and administration of our securities. Aside from the initial capital
contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates to make payments
under loans made by us or other intercompany agreements. As a result, we are dependent upon payments from our affiliates to meet
our obligations under the notes. If these affiliates do not make payments to us and we fail to make payments on the notes, you
may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu
with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
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.
|
·
|
THE NOTES DO NOT PAY INTEREST.
|
|
·
|
YOU WILL NOT RECEIVE DIVIDENDS ON THE REFERENCE STOCK OR HAVE ANY RIGHTS WITH RESPECT TO THE
REFERENCE STOCK.
|
|
·
|
NO AFFILIATION WITH THE REFERENCE STOCK ISSUER —
|
We have not independently verified any
of the information about the Reference Stock issuer contained in this pricing supplement. You should undertake your own investigation
into the Reference Stock and its issuer. We are not responsible for the Reference Stock issuer’s public disclosure of information,
whether contained in SEC filings or otherwise.
|
·
|
RISKS ASSOCIATED WITH NON-U.S. COMPANIES —
|
The Reference Stock has been issued
by a non-U.S. company. 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.
|
·
|
EMERGING MARKETS RISK —
|
The Reference Stock has been issued
by a non-U.S. company conducting its business in an emerging markets country (Brazil). 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.
|
·
|
CURRENCY EXCHANGE RATE RISK —
|
Because the ADSs of Petrobras are quoted
and traded in U.S. dollars on the New York Stock Exchange and the common shares of Petrobras is quoted and traded in Brazilian
real on the B3 (Brasil Bolsa Balcão S.A.), fluctuations in the exchange rate between the Brazilian real and the U.S. dollar
will likely affect the relative value of the ADSs and the common shares of Petrobras, in each case in the two currencies and, as
a result, will likely affect the market price of the ADSs of Petrobras trading on the New York Stock Exchange. These trading differences
and currency exchange rates may affect the market value of the notes and whether the Final Value will fall below the Strike Value.
The Brazilian real has been subject to fluctuations against the U.S. dollar in the past and may be subject to significant fluctuations
in the future. Previous fluctuations or periods of relative stability in the exchange
PS-4
| Structured Investments
Digital Notes Linked to the American Depositary Shares,
Each Representing Two Common Shares, of Petróleo Brasileiro S.A. — Petrobras.
|
|
rate between the Brazilian real and the
U.S. dollar are not necessarily indicative of fluctuations or periods of relative stability in that rate that may occur over the
term of the notes. The exchange rate between the Brazilian real and the U.S. dollar is the result of the supply of, and the demand
for, those currencies. Changes in the exchange rate results over time from the interaction of many factors directly or indirectly
affecting economic and political conditions in Brazil and the United States, including economic and political developments in other
countries. Of particular importance are rates of inflation, interest rate levels, the balance of payments, any political, civil
or military unrest and the extent of governmental surpluses or deficits in Brazil and the United States, all of which are in turn
sensitive to the monetary, fiscal and trade policies pursued by Brazil and the United States and other jurisdictions important
to international trade and finance.
|
·
|
THERE ARE IMPORTANT DIFFERENCES BETWEEN THE RIGHTS OF HOLDERS OF THE ADSs OF PETROBRAS AND THE RIGHTS OF HOLDERS OF THE
COMMON SHARES OF PETROBRAS —
|
There are important differences between
the rights of holders of the ADSs of Petrobras and the rights of holders of the common shares of Petrobras, which we refer to as
the underlying stock. For example, the issuer of the underlying stock may make distributions in respect of the underlying
stock that are not passed on to the holders of the ADSs of Petrobras. Any such differences between the rights of holders
of the underlying stock may be significant and may materially and adversely affect the value of the ADSs of Petrobras and, as a
result, the notes.
|
·
|
THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY —
|
The calculation agent will not make an
adjustment in response to all events that could affect the Reference Stock. The calculation agent may make adjustments in response
to events that are not described in the accompanying product supplement to account for any diluting or concentrative effect, but
the calculation agent is under no obligation to do so or to consider your interests as a holder of the notes in making these determinations.
The notes will not be listed on any securities
exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which
JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your notes to maturity.
|
·
|
THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT —
|
You should consider your potential investment
in the notes based on the minimums for the estimated value of the notes and the Contingent Digital Return.
|
·
|
THE ESTIMATED VALUE OF THE NOTES WILL BE 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 will exceed 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 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.
PS-5
| Structured Investments
Digital Notes Linked to the American Depositary Shares,
Each Representing Two Common Shares, of Petróleo Brasileiro S.A. — Petrobras.
|
|
|
·
|
THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN
THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
|
We generally expect that some of the
costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of
your notes by JPMS in an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices
of the Notes” in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated
value of your notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be
shown on your customer account statements).
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
|
Any secondary market prices of the notes
will likely be lower than the original issue price of the notes because, among other things, secondary market prices take into
account our internal secondary market funding rates for structured debt issuances and, also, because secondary market prices may
exclude selling commissions, projected hedging profits, if any, and estimated hedging costs that are included in the original issue
price of the notes. As a result, the price, if any, at which JPMS will be willing to buy the notes from you in secondary market
transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the Maturity Date could
result in a substantial loss to you.
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
|
The secondary market price of the notes
during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside
from the selling commissions, projected hedging profits, if any, estimated hedging costs and the price of one share of the Reference
Stock. Additionally, independent pricing vendors and/or third party broker-dealers may publish a price for the notes, which may
also be reflected on customer account statements. This price may be different (higher or lower) than the price of the notes, if
any, at which JPMS may be willing to purchase your notes in the secondary market. See “Risk Factors — Risks Relating
to the Estimated Value and Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by
many economic and market factors” in the accompanying product supplement.
PS-6
| Structured Investments
Digital Notes Linked to the American Depositary Shares,
Each Representing Two Common Shares, of Petróleo Brasileiro S.A. — Petrobras.
|
|
The
Reference Stock
All information contained herein on the Reference
Stock and on Petrobras is derived from publicly available sources, without independent verification. According to its publicly
available filings with the SEC, Petrobras, a Brazilian company, is a producer of oil and gas, primarily engaged in exploration
and production, refining, energy generation and trading. The ADSs, each representing two common shares, no par value, of Petrobras
(Bloomberg ticker: PBR) are registered under the Securities Exchange Act of 1934, as amended, which we refer to as the Exchange
Act, and are listed on the New York Stock Exchange, which we refer to as the relevant exchange for purposes of Petrobras in the
accompanying product supplement. Information provided to or filed with the SEC by Petrobras pursuant to the Exchange Act can be
located by reference to SEC file number 001-15106, and can be accessed through www.sec.gov. We do not make any representation that
these publicly available documents are accurate or complete.
Historical Information
The following graph sets forth the historical
performance of the Reference Stock based on the weekly historical closing prices of one share of the Reference Stock from January
3, 2014 through July 31, 2020. The closing price of one share of the Reference Stock on August 4, 2020 was $8.42. 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 corporate actions, such as stock splits,
public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
The historical closing prices of one share
of the Reference Stock should not be taken as an indication of future performance, and no assurance can be given as to the closing
price of one share of the Reference Stock on the Observation Date. There can be no assurance that the performance of the Reference
Stock will result in the return of any of your principal amount.
Tax
Treatment
You
should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product
supplement no. 4-I. 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 short-term capital gain or loss, 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
PS-7
| Structured Investments
Digital Notes Linked to the American Depositary Shares,
Each Representing Two Common Shares, of Petróleo Brasileiro S.A. — Petrobras.
|
|
should be subject to withholding tax; and whether investors
in short-term instruments should be required to accrue income. 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, we
expect that Section 871(m) will 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. If necessary, further
information regarding the potential application of Section 871(m) will be provided in the pricing supplement for the notes. 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 — 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 will be
lower than the original issue price of the notes because costs associated with selling, structuring and hedging the notes are included
in the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated
dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk
and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected,
or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes may be allowed
to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits.
See “Selected Risk Considerations — The Estimated Value of the Notes Will Be Lower Than the Original Issue Price (Price
to Public) of the Notes” in this pricing supplement.
PS-8
| Structured Investments
Digital Notes Linked to the American Depositary Shares,
Each Representing Two Common Shares, of Petróleo Brasileiro S.A. — Petrobras.
|
|
Secondary
Market Prices of the Notes
For information about factors that will impact
any secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in
the accompanying product supplement. In addition, we generally expect that some of the costs included in the original issue price
of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will
decline to zero over an initial predetermined period. These costs can include selling commissions, projected hedging profits, if
any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates for structured debt issuances.
This initial predetermined time period is intended to be the shorter of six months and one-half of the stated term of the notes.
The length of any such initial period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection
with our hedging activities, the estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates.
See “Selected Risk Considerations — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer
Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this pricing
supplement.
Supplemental
Use of Proceeds
The notes are offered to meet investor demand
for products that reflect the risk-return profile and market exposure provided by the notes. See “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 Reference Stock” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal
to the estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus
(minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes, plus the estimated cost of hedging our obligations under the notes.
Additional
Terms Specific to the Notes
You may revoke your offer to purchase the notes
at any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the
terms of, or reject any offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes,
we will notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject
such changes, in which case we may reject your offer to purchase.
You should read this pricing supplement together
with the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term
notes of which these notes are a part, and the more detailed information contained in the accompanying product supplement. This
pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all other prior or
contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence,
trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You
should carefully consider, among other things, the matters set forth in the “Risk Factors” sections of the accompanying
prospectus supplement and the accompanying product supplement, as the notes involve risks not associated with conventional debt
securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC website
at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website
is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us”
and “our” refer to JPMorgan Financial.
PS-9
| Structured Investments
Digital Notes Linked to the American Depositary Shares,
Each Representing Two Common Shares, of Petróleo Brasileiro S.A. — Petrobras.
|
|
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