September 23, 2020
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Registration Statement Nos. 333-236659 and 333-236659-01; Rule 424(b)(2)
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JPMorgan Chase Financial Company LLC
Structured Investments
$205,000
Auto Callable Contingent Buffered Return
Enhanced Notes Linked to the iShares® Silver Trust due September 28, 2022
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
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The notes are designed for investors who seek early exit prior to maturity at a premium if, on the Review Date, the closing
price of one share of the iShares® Silver Trust, which we refer to as the Fund, is at or above the Call Value.
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The date on which an automatic call may be initiated is September 24, 2021.
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The notes are also designed for investors who seek an uncapped return of 1.50 times any appreciation of the Fund at maturity
if the notes have not been automatically called.
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Investors should be willing to forgo interest payments and be willing to lose some or all of their principal amount at maturity.
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The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan
Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes
is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as
guarantor of the notes.
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Minimum denominations of $1,000 and integral multiples thereof
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The notes priced on September 23, 2020 and are expected to settle on or about September 28, 2020.
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Investing in the notes involves a number of risks. See
“Risk Factors” beginning on page S-2 of the accompanying prospectus supplement, “Risk Factors” beginning
on page PS-10 of the accompanying product supplement and “Selected Risk Considerations” beginning on page PS-4 of this
pricing supplement.
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.
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Price to Public (1)
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Fees and Commissions (2)
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Proceeds to Issuer
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Per note
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$1,000
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$20
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$980
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Total
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$205,000
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$4,100
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$200,900
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(1) See “Supplemental Use of Proceeds”
in this pricing supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer
to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions of $20.00 per $1,000 principal amount
note it receives from us to other affiliated or unaffiliated dealers. See “Plan of Distribution (Conflicts of Interest)”
in the accompanying product supplement.
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The estimated value of the notes, when the terms of the
notes were set, was $929.90 per $1,000 principal amount note. See “The Estimated Value of the Notes” in this pricing
supplement for additional information.
The notes are not bank deposits, are not insured by the Federal
Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Pricing supplement to product supplement no. 4-I
dated April 8, 2020
and the prospectus and prospectus supplement, each dated April 8, 2020
Key
Terms
Issuer: JPMorgan
Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor:
JPMorgan Chase & Co.
Fund:
The iShares® Silver Trust (Bloomberg ticker: SLV)
Call Premium Amount:
$105.00 per $1,000 principal amount note
Call Value:
100.00% of the Initial Value
Upside
Leverage Factor: 1.50
Contingent
Buffer Amount: 35.00%
Pricing
Date: September 23, 2020
Original Issue
Date (Settlement Date): On or about September 28, 2020
Review Date*:
September 24, 2021
Call Settlement
Date*: September 29, 2021
Observation
Date*: September 23, 2022
Maturity Date*:
September 28, 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
Automatic Call:
If the closing price of one share of the Fund on the Review
Date is greater than or equal to the Call Value, the notes will be automatically called for a cash payment, for each $1,000 principal
amount note, equal to (a) $1,000 plus (b) the Call Premium Amount, payable on the Call Settlement Date. No further payments
will be made on the notes.
If the notes are automatically called, you will not
benefit from the Upside Leverage Factor that applies to the payment at maturity if the Final Value is greater than the Initial
Value. Because the Upside Leverage Factor does not apply to the payment upon an automatic call, the payment upon an automatic
call may be significantly less than the payment at maturity for the same level of appreciation in the Fund.
Payment at Maturity:
If the notes have not been automatically called and 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)
If the notes have not been automatically called and the Final
Value is equal to the Initial Value or is less than the Initial Value by up to the Contingent Buffer Amount, you will receive the
principal amount of your notes at maturity.
If the notes have not been automatically called and the Final
Value is less than the Initial Value by more than the Contingent Buffer Amount, your payment at maturity per $1,000 principal amount
note will be calculated as follows:
$1,000 + ($1,000 × (Fund Return)
If the notes have not been
automatically called and the Final Value is less than the Initial Value by more than the Contingent Buffer Amount, you will lose
more than 35.00% of your principal amount at maturity and could lose all 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 $21.17
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
Auto Callable Contingent Buffered Return Enhanced Notes
Linked to the iShares® Silver Trust
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Supplemental Terms of the Notes
The notes are not commodity futures contracts
or swaps and are not regulated under the Commodity Exchange Act of 1936, as amended (the “Commodity Exchange Act”).
The notes are offered pursuant to an exemption from regulation under the Commodity Exchange Act, commonly known as the hybrid instrument
exemption, that is available to securities that have one or more payments indexed to the value, level or rate of one or more commodities,
as set out in section 2(f) of that statute. Accordingly, you are not afforded any protection provided by the Commodity Exchange
Act or any regulation promulgated by the Commodity Futures Trading Commission.
Hypothetical
Payout Profile
Payment upon an Automatic Call
Payment at Maturity If the Notes Have Not
Been Automatically Called
PS-2
| Structured Investments
Auto Callable Contingent Buffered Return Enhanced Notes
Linked to the iShares® Silver Trust
|
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Call Premium Amount
The Call Premium Amount per $1,000 principal amount
note if the notes are automatically called is $105.00.
Payment at Maturity If the Notes Have Not Been
Automatically Called
The following table illustrates the hypothetical
total return and payment at maturity on the notes linked to a hypothetical Fund if the notes have not been automatically called.
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:
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the notes have not been automatically called;
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an Initial Value of $100.00;
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an Upside Leverage Factor of 1.50; and
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a Contingent Buffer Amount of 35.00%.
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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 have been rounded for ease of analysis.
Final Value
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Fund Return
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Total Return on the Notes
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Payment at Maturity
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$165.00
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65.00%
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97.50%
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$1,975.00
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$150.00
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50.00%
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75.00%
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$1,750.00
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$140.00
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40.00%
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60.00%
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$1,600.00
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$130.00
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30.00%
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45.00%
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$1,450.00
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$120.00
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20.00%
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30.00%
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$1,300.00
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$110.00
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10.00%
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15.00%
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$1,150.00
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$105.00
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5.00%
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7.50%
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$1,075.00
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$101.00
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1.00%
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1.50%
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$1,015.00
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$100.00
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0.00%
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0.00%
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$1,000.00
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$95.00
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-5.00%
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0.00%
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$1,000.00
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$90.00
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-10.00%
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0.00%
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$1,000.00
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$80.00
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-20.00%
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0.00%
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$1,000.00
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$70.00
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-30.00%
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0.00%
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$1,000.00
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$65.00
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-35.00%
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0.00%
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$1,000.00
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$64.99
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-35.01%
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-35.01%
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$649.90
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$60.00
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-40.00%
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-40.00%
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$600.00
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$50.00
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-50.00%
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-50.00%
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$500.00
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$40.00
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-60.00%
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-60.00%
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$400.00
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$30.00
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-70.00%
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-70.00%
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$300.00
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$20.00
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-80.00%
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-80.00%
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$200.00
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$10.00
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-90.00%
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-90.00%
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$100.00
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$0.00
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-100.00%
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-100.00%
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$0.00
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PS-3
| Structured Investments
Auto Callable Contingent Buffered Return Enhanced Notes
Linked to the iShares® Silver Trust
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How
the Notes Work
Upside Scenario If Automatic Call:
If the closing price of one share of the Fund
on the Review Date is greater than or equal to the Call Value, the notes will be automatically called and investors will receive
on the Call Settlement Date the $1,000 principal amount plus the Call Premium Amount of $105.00. No further payments
will be made on the notes.
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If the closing price of one share of the Fund increases 20.00%
as of the Review Date, the notes will be automatically called and investors will receive a 10.50% return, or $1,105.00 per $1,000
principal amount note.
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Upside Scenario If No Automatic Call:
If the notes have not been automatically called
and 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.
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If the notes have not been automatically called and 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.
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Par Scenario:
If the notes have not been automatically called
and the Final Value is equal to the Initial Value or is less than the Initial Value by up to the Contingent Buffer Amount of 35.00%,
investors will receive at maturity the principal amount of their notes.
Downside Scenario:
If the notes have not been automatically called
and the Final Value is less than the Initial Value by more than the Contingent Buffer Amount of 35.00%, investors will lose 1%
of the principal amount of their notes for every 1% that the Final Value is less than the Initial Value.
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For example, if the notes have not been automatically called
and the closing price of one share of the Fund 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.
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The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term or until automatically called. These hypotheticals
do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses
were included, the hypothetical returns and hypothetical payments shown above would likely be lower.
Selected
Risk Considerations
An investment in the notes involves significant
risks. These risks are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement
and product supplement.
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YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
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The notes do not guarantee any return
of principal. If the notes have not been automatically called and the Final Value is less than the Initial Value by more than 35.00%,
you will lose 1% of the principal amount of your notes for every 1% that the Final Value is less than the Initial Value. Accordingly,
under these circumstances, you will lose more than 35.00 of your principal amount at maturity and could lose all of your principal
amount at maturity.
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CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
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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.
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AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND
HAS LIMITED ASSETS —
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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.
PS-4
| Structured Investments
Auto Callable Contingent Buffered Return Enhanced Notes
Linked to the iShares® Silver Trust
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IF THE NOTES ARE AUTOMATICALLY CALLED, THE APPRECIATION POTENTIAL OF THE NOTES
IS LIMITED TO THE CALL PREMIUM AMOUNT PAID ON THE NOTES,
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regardless of any appreciation of the
Fund, which may be significant. In addition, if the notes are automatically called, you will not benefit from the Upside
Leverage Factor that applies to the payment at maturity if the Final Value is greater than the Initial Value. Because the
Upside Leverage Factor does not apply to the payment upon an automatic call, the payment upon an automatic call may be significantly
less than the payment at maturity for the same level of appreciation in the Fund.
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.
In addition, the benchmark price of the
Fund’s Underlying Commodity (as defined under “The Fund” below) is administered by the London Bullion Market
Association (“LBMA”) or an independent service provider appointed by the LBMA, and we are, or one of our affiliates
is, a price participant that contributes to the determination of that price. Furthermore, our affiliate is the custodian of the
Fund. We and our affiliates will have no obligation to consider your interests as a holder of the notes in taking any actions in
connection with our roles as a price participant and a custodian that might affect the Fund or the notes.
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THE BENEFIT PROVIDED BY THE CONTINGENT BUFFER AMOUNT MAY TERMINATE ON THE OBSERVATION
DATE —
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If the Final Value is less than the Initial
Value by more than the Contingent Buffer Amount, the benefit provided by the Contingent Buffer Amount will terminate and you will
be fully exposed to any depreciation of the Fund.
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THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
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If your notes are automatically called,
the term of the notes may be reduced to as short as approximately one year. There is no guarantee that you would be able to reinvest
the proceeds from an investment in the notes at a comparable return for a similar level of risk. Even in cases where the notes
are called before maturity, you are not entitled to any fees and commissions described on the front cover of this pricing supplement.
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THE NOTES DO NOT PAY INTEREST.
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YOU WILL NOT HAVE ANY RIGHTS WITH RESPECT TO THE FUND OR THE COMMODITIES HELD
BY THE FUND.
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THE RISK OF THE CLOSING PRICE OF ONE SHARE OF THE FUND FALLING BELOW THE INITIAL
VALUE BY MORE THAN THE CONTINGENT BUFFER AMOUNT IS GREATER IF THE PRICE OF ONE SHARE OF THE FUND IS VOLATILE.
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THE FUND IS NOT AN INVESTMENT COMPANY OR A COMMODITY POOL AND WILL NOT BE SUBJECT
TO REGULATION UNDER THE INVESTMENT COMPANY ACT OF 1940, AS AMENDED, OR THE COMMODITY EXCHANGE ACT —
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Accordingly, you will not benefit from
any regulatory protections afforded to persons who invest in regulated investment companies or commodity pools.
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THE PERFORMANCE AND MARKET VALUE OF THE FUND, PARTICULARLY DURING PERIODS OF MARKET
VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE OF THE FUND’S UNDERLYING COMMODITY AS WELL AS THE NET ASSET VALUE PER
SHARE —
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The Fund does not fully replicate the performance
of its Underlying Commodity due to the fees and expenses charged by the Funds or by restrictions on access to the relevant Underlying
Commodity due to other circumstances. The Fund does not generate any income, and as the Fund regularly sells its Underlying Commodity
to pay for ongoing expenses, the amount of its Underlying Commodity represented by each share gradually declines over time. The
Fund sells its Underlying Commodity to pay expenses on an ongoing basis irrespective of whether the trading price of the shares
rises or falls in response to changes in the price of its Underlying Commodity. The sale by the Fund of its Underlying Commodity
to pay expenses at a time of low prices for its Underlying Commodity could adversely affect the value of the notes. Additionally,
there is a risk that part or all of the Fund’s holdings in its Underlying Commodity could be lost, damaged or stolen. Access
to the Fund’s Underlying Commodity could also be restricted by natural events (such as an earthquake) or human actions (such
as a terrorist attack). All of these factors may lead to a lack of correlation between the performance of the Fund and its Underlying
Commodity. In addition, 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.
PS-5
| Structured Investments
Auto Callable Contingent Buffered Return Enhanced Notes
Linked to the iShares® Silver Trust
|
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During periods of market volatility, the
Fund’s Underlying Commodity 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 performance of its Underlying
Commodity as well as 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.
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THE NOTES ARE SUBJECT TO RISKS ASSOCIATED WITH SILVER —
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The Fund seeks to reflect generally the
performance of the price of silver, less the Fund’s expenses and liabilities. The price of silver is primarily affected by
global demand for and supply of silver. Silver prices can fluctuate widely and may be affected by numerous factors. These include
general economic trends, increases in silver hedging activity by silver producers, significant changes in attitude by speculators
and investors in silver, technical developments, substitution issues and regulation, as well as specific factors including industrial
and jewelry demand, expectations with respect to the rate of inflation, the relative strength of the U.S. dollar (the currency
in which the price of silver is generally quoted) and other currencies, interest rates, central bank sales, forward sales by producers,
global or regional political or economic events and production costs and disruptions in major silver-producing countries, such
as Mexico, China and Peru. The demand for and supply of silver affect silver prices, but not necessarily in the same manner as
supply and demand affect the prices of other commodities. The supply of silver consists of a combination of new mine production
and existing stocks of bullion and fabricated silver held by governments, public and private financial institutions, industrial
organizations and private individuals. In addition, the price of silver has on occasion been subject to very rapid short-term changes
due to speculative activities. From time to time, above-ground inventories of silver may also influence the market. The major end
uses for silver include industrial applications, jewelry and silverware. It is not possible to predict the aggregate effect of
all or any combination of these factors.
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THERE ARE RISKS RELATING TO COMMODITIES TRADING ON THE LBMA —
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The Fund seeks to reflect generally the
performance of the price of silver, less the Fund’s expenses and liabilities. The price of silver is determined by the LBMA
or an independent service provider appointed by the LBMA. The LBMA is a self-regulatory association of bullion market participants.
Although all market-making members of the LBMA are supervised by the Bank of England and are required to satisfy a capital adequacy
test, the LBMA itself is not a regulated entity. If the LBMA should cease operations, or if bullion trading should become subject
to a value added tax or other tax or any other form of regulation currently not in place, the role of the LBMA silver price as
a global benchmark for the value of silver may be adversely affected. The LBMA is a principals’ market, which operates in
a manner more closely analogous to an over-the-counter physical commodity market than regulated futures markets, and certain features
of U.S. futures contracts are not present in the context of LBMA trading. For example, there are no daily price limits on the LBMA
which would otherwise restrict fluctuations in the prices of LBMA contracts. In a declining market, it is possible that prices
would continue to decline without limitation within a trading day or over a period of trading days. The LBMA may alter, discontinue
or suspend calculation or dissemination of the LBMA silver price, which could adversely affect the value of the notes. The LBMA,
or an independent service provider appointed by the LBMA, will have no obligation to consider your interests in calculating or
revising the LBMA silver price.
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SINGLE COMMODITY PRICES TEND TO BE MORE VOLATILE THAN, AND MAY NOT CORRELATE WITH,
THE PRICES OF COMMODITIES GENERALLY —
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The Fund is linked to a single commodity
and not to a diverse basket of commodities or a broad-based commodity index. The Fund’s Underlying Commodity may not correlate
to the price of commodities generally and may diverge significantly from the prices of commodities generally. As a result, the
notes carry greater risk and may be more volatile than notes linked to the prices of more commodities or a broad-based commodity
index.
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THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED —
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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-6
| Structured Investments
Auto Callable Contingent Buffered Return Enhanced Notes
Linked to the iShares® Silver Trust
|
|
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.
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THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE
TO PUBLIC) OF THE NOTES —
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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.
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THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES
AND MAY DIFFER FROM OTHERS’ ESTIMATES —
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See “The Estimated Value of the
Notes” in this pricing supplement.
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THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING
RATE —
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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.
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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 —
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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).
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SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE
PRICE OF THE NOTES —
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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.
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SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET
FACTORS —
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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.
PS-7
| Structured Investments
Auto Callable Contingent Buffered Return Enhanced Notes
Linked to the iShares® Silver Trust
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The
Fund
The Fund is an investment trust sponsored by
iShares® Delaware Trust Sponsor LLC. The Fund seeks to reflect generally the performance of the price of silver,
less the Fund’s expenses and liabilities. The assets of the Fund consists primarily of silver held by a custodian on behalf
of the Fund. We refer to silver as the Underlying Commodity with respect to the Fund. 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 2, 2015 through September
18, 2020. The closing price of one share of the Fund on September 23, 2020 was $21.17. 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 Review Date or 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.
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, 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. In addition, long-term capital gain that
you would otherwise recognize in respect of your notes up to the amount of the “net underlying long-term capital gain”
could, if you are an individual or other non-corporate investor, be subject to tax at the higher rates applicable to “collectibles”
instead of the general rates that apply to long-term capital gain. 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.
PS-8
| Structured Investments
Auto Callable Contingent Buffered Return Enhanced Notes
Linked to the iShares® Silver Trust
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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 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.
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, interest rates and other factors, as well as assumptions about future market
events and/or environments. Accordingly, the estimated value of the notes is determined when the terms of the notes are set based
on market conditions and other relevant factors and assumptions existing at that time.
The estimated value of the notes does not
represent future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could
provide valuations for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions
and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value
of the notes could change significantly based on, among other things, changes in market conditions, our or JPMorgan Chase &
Co.’s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at which
JPMS would be willing to buy notes from you in secondary market transactions.
The estimated value of the notes is lower
than the original issue price of the notes because costs associated with selling, structuring and hedging the notes are included
in the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated
dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk
and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected,
or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes may be allowed
to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits.
See “Selected Risk Considerations — The Estimated Value of the Notes Is Lower Than the Original Issue Price (Price
to Public) of the Notes” in this pricing supplement.
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
PS-9
| Structured Investments
Auto Callable Contingent Buffered Return Enhanced Notes
Linked to the iShares® Silver Trust
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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 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 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.
PS-10
| Structured Investments
Auto Callable Contingent Buffered Return Enhanced Notes
Linked to the iShares® Silver Trust
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You may access
these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the
relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website
is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us”
and “our” refer to JPMorgan Financial.
PS-11
| Structured Investments
Auto Callable Contingent Buffered Return Enhanced Notes
Linked to the iShares® Silver Trust
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Annex
A
The iShares® Silver Trust
All information contained in this pricing supplement
regarding the iShares® Silver Trust (the “Silver Trust”), has been derived from publicly available information,
without independent verification. This information reflects the policies of, and is subject to change by, iShares®
Delaware Trust Sponsor LLC, a subsidiary of BlackRock, Inc., the sponsor of the Silver Trust. The Bank of New York Mellon is the
trustee of the Silver Trust, and JPMorgan Chase Bank, N.A., London branch is the custodian of the Silver Trust. The Silver Trust
trades under the ticker symbol “SLV” on NYSE Arca, Inc.
The Silver Trust seeks to reflect generally the
performance of the price of silver, less the Silver Trust’s expenses and liabilities. The assets of the Silver Trust consist
primarily of silver held by a custodian on behalf of the Silver Trust. The Silver Trust issues shares in exchange for deposits
of silver and distributes silver in connection with the redemption of shares. The shares of the Silver Trust are intended to constitute
a simple and cost-effective means of making an investment similar to an investment in silver.
The Silver Trust does not engage in any activity
designed to derive a profit from changes in the price of silver. The Silver Trust’s only ordinary recurring expense is expected
to be the sponsor’s fee, which is accrued daily at an annualized rate equal to 0.50% of the net asset value of the Silver
Trust and is payable monthly in arrears. The trustee of the Silver Trust will, when directed by the sponsor of the Silver Trust,
and, in the absence of such direction, may, in its discretion, sell silver in such quantity and at such times as may be necessary
to permit payment of the Silver Trust sponsor’s fee and of Silver Trust expenses or liabilities not assumed by the sponsor.
As a result of the recurring sales of silver necessary to pay the Silver Trust sponsor’s fee and the Silver Trust expenses
or liabilities not assumed by the Silver Trust sponsor, the net asset value of the Silver Trust will decrease over the life of
the Silver Trust. New deposits of silver, received in exchange for additional new issuances of shares by the Trust, do not reverse
this trend.
Information provided to or filed with the Securities
and Exchange Commission (the “SEC”) by the Silver Trust pursuant to the Securities Act of 1933, as amended, and the
Securities Exchange Act of 1934, as amended, can be located by reference to SEC file numbers 333-239613 and 001-32863, respectively,
through the SEC’s website at http://www.sec.gov. The Silver Trust is not a mutual fund or any other type of investment company
within the meaning of the Investment Company Act of 1940, as amended, and is not subject to regulation thereunder. In addition,
the Silver Trust is not a commodity pool within the meaning of the Commodity Exchange Act, as amended, and is not subject to regulation
thereunder.
Silver
The price of silver is primarily affected by global
demand for and supply of silver. Silver prices can fluctuate widely and may be affected by numerous factors. These include general
economic trends, increases in silver hedging activity by silver producers, significant changes in attitude by speculators and investors
in silver, technical developments, substitution issues and regulation, as well as specific factors including industrial and jewelry
demand, expectations with respect to the rate of inflation, the relative strength of the U.S. dollar (the currency in which the
price of silver is generally quoted) and other currencies, interest rates, central bank sales, forward sales by producers, global
or regional political or economic events and production costs and disruptions in major silver-producing countries, such as Mexico,
China and Peru. The demand for and supply of silver affect silver prices, but not necessarily in the same manner as supply and
demand affect the prices of other commodities. The supply of silver consists of a combination of new mine production and existing
stocks of bullion and fabricated silver held by governments, public and private financial institutions, industrial organizations
and private individuals. In addition, the price of silver has on occasion been subject to very rapid short-term changes due to
speculative activities. From time to time, above-ground inventories of silver may also influence the market. The major end uses
for silver include industrial applications, jewelry and silverware. It is not possible to predict the aggregate effect of all or
any combination of these factors.
PS-12
| Structured Investments
Auto Callable Contingent Buffered Return Enhanced Notes
Linked to the iShares® Silver Trust
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