PRICING SUPPLEMENT
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-236659 and 333-236659-01
Dated October 27, 2020
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JPMorgan Chase Financial Company LLC Capped GEARS
$21,688,500 Linked to the SPDR® Gold Trust due December
31, 2021
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
Capped GEARS
(Growth Enhanced Asset Return Securities), which we refer to as the “Securities,” are unsecured and unsubordinated
debt securities issued by JPMorgan Chase Financial Company LLC (“JPMorgan Financial”), the payment on which is fully
and unconditionally guaranteed by JPMorgan Chase & Co., with a return linked to the performance of the SPDR®
Gold Trust (the “Underlying”). If the Underlying Return is positive, JPMorgan Financial will repay your principal
amount at maturity plus pay a return equal to the Underlying Return times the Upside Gearing of 3.00, up to the Maximum Gain of
18.00%. If the Underlying Return is zero, JPMorgan Financial will repay your principal amount at maturity. However, if the Underlying
Return is negative, JPMorgan Financial will repay less than your principal amount at maturity, if anything, resulting in a loss
of principal that is proportionate to the negative Underlying Return. In this case, you will have full downside exposure to the
Underlying from the Initial Value to the Final Value and could lose all of your principal amount. The closing price of one share
of the Underlying is subject to adjustments in the case of certain events described in the accompanying product supplement under
“The Underlyings — Funds — Anti-Dilution Adjustments.” Investing in the Securities involves significant
risks. You may lose some or all of your principal amount. The Securities will not pay interest. Any payment on the Securities
is subject to the creditworthiness of JPMorgan Financial, as issuer of the Securities, and the creditworthiness of JPMorgan Chase
& Co., as guarantor of the Securities. If JPMorgan Financial and JPMorgan Chase & Co. were to default on their payment
obligations, you may not receive any amounts owed to you under the Securities and you could lose your entire investment.
Features
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Key Dates
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q Enhanced
Growth Potential Subject to Maximum Gain — At
maturity, the Upside Gearing feature will provide leveraged exposure to any positive performance of the Underlying, up
to the Maximum Gain of 18.00%. If the Underlying Return is negative, investors will be exposed to the negative Underlying
Return at maturity.
q Full
Downside Market Exposure — If the Underlying Return
is negative, investors will be exposed to the negative Underlying Return at maturity and JPMorgan Financial will pay less
than your principal amount, if anything, resulting in a loss of principal that is proportionate to the Underlying’s
decline from the Initial Value to the Final Value. You may lose some or all of your principal. Any payment on the Securities
is subject to the creditworthiness of JPMorgan Financial and JPMorgan Chase & Co.
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Trade Date
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October 27, 2020
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Original Issue Date (Settlement Date)1
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October 30, 2020
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Final Valuation Date2
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December 28, 2021
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Maturity Date2
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December 31, 2021
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See “Supplemental Plan of Distribution for more details on the expected Settlement Date.
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2
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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
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THE SECURITIES ARE SIGNIFICANTLY RISKIER THAN
CONVENTIONAL DEBT INSTRUMENTS. JPMORGAN FINANCIAL IS NOT NECESSARILY OBLIGATED TO REPAY THE FULL PRINCIPAL AMOUNT OF THE SECURITIES
AT MATURITY, AND THE SECURITIES HAVE DOWNSIDE MARKET RISK SIMILAR TO THE UNDERLYING. THIS MARKET RISK IS IN ADDITION TO THE CREDIT
RISK INHERENT IN PURCHASING A DEBT OBLIGATION OF JPMORGAN FINANCIAL FULLY AND UNCONDITIONALLY GUARANTEED BY JPMORGAN CHASE &
CO. YOU SHOULD NOT PURCHASE THE SECURITIES IF YOU DO NOT UNDERSTAND OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS INVOLVED
IN INVESTING IN THE SECURITIES.
YOU SHOULD CAREFULLY CONSIDER THE RISKS
DESCRIBED UNDER “KEY RISKS” BEGINNING ON PAGE 6 OF THIS PRICING SUPPLEMENT, UNDER “RISK FACTORS” BEGINNING
ON PAGE S-2 OF THE ACCOMPANYING PROSPECTUS SUPPLEMENT, UNDER “RISK FACTORS” BEGINNING ON PAGE PS-10 OF THE ACCOMPANYING
PRODUCT SUPPLEMENT AND UNDER “RISK FACTORS” BEGINNING ON PAGE US-1 OF THE ACCOMPANYING UNDERLYING SUPPLEMENT BEFORE
PURCHASING ANY SECURITIES. EVENTS RELATING TO ANY OF THOSE RISKS, OR OTHER RISKS AND UNCERTAINTIES, COULD ADVERSELY AFFECT THE
MARKET VALUE OF, AND THE RETURN ON, YOUR SECURITIES. YOU MAY LOSE SOME OR ALL OF YOUR INITIAL INVESTMENT IN THE SECURITIES. THE
SECURITIES WILL NOT BE LISTED ON ANY SECURITIES EXCHANGE.
We are offering Capped GEARS linked to the SPDR® Gold
Trust. The Securities are offered at a minimum investment of $1,000 in denominations of $10 and integral multiples thereof. The
return on the Securities is subject to, and will not exceed, the Maximum Gain.
Underlying
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Upside
Gearing
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Maximum
Gain
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Initial
Value
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CUSIP
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ISIN
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SPDR® Gold Trust (Bloomberg ticker: GLD)
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3.00
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18.00%
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$179.02
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48132N646
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US48132N6461
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See “Additional Information about
JPMorgan Financial, JPMorgan Chase & Co. and the Securities” in this pricing supplement. The Securities will have the
terms specified in the prospectus and the prospectus supplement, each dated April 8, 2020, product supplement no. UBS-1-I dated
April 8, 2020, underlying supplement no. 1-I dated April 8, 2020 and this pricing supplement. The terms of the Securities as
set forth in this pricing supplement, to the extent they differ or conflict with those set forth in the accompanying product supplement,
will supersede the terms set forth in that product supplement.
Neither the Securities and Exchange Commission
(the “SEC”) nor any state securities commission has approved or disapproved of the Securities or passed upon the accuracy
or the adequacy of this pricing supplement or the accompanying prospectus, the accompanying prospectus supplement, the accompanying
product supplement and the accompanying underlying supplement. Any representation to the contrary is a criminal offense.
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Price
to Public1
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Fees
and Commissions2
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Proceeds
to Issuer
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Offering
of Securities
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Total
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Per
Security
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Total
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Per
Security
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Total
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Per
Security
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Securities Linked to the SPDR® Gold Trust
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$21,688,500
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$10.00
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$433,770
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$0.20
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$21,254,730
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$9.80
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1
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See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price to public of the Securities.
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2
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UBS Financial Services Inc., which we refer to as UBS, will receive selling commissions from us of $0.20 per $10.00 principal amount Security. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement, as supplemented by “Supplemental Plan of Distribution” in this pricing supplement.
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The estimated value of the Securities, when the
terms of the Securities were set, was $9.761 per $10 principal amount Security. See “The Estimated Value of the Securities”
in this pricing supplement for additional information.
The Securities 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.
UBS Financial Services Inc.
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Additional
Information about JPMorgan Financial, JPMorgan Chase & Co. and the Securities
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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 Securities are a part, and the more detailed information
contained in the accompanying product supplement and the accompanying underlying supplement. This pricing supplement, together
with the documents listed below, contains the terms of the Securities and supersedes all other prior or contemporaneous oral statements
as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures
for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You should carefully
consider, among other things, the matters set forth in the “Risk Factors” sections of the accompanying prospectus
supplement, the accompanying product supplement and the accompanying underlying supplement, as the Securities involve risks not
associated with conventional debt securities.
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, the “Issuer,” “JPMorgan
Financial,” “we,” “us” and “our” refer to JPMorgan Chase Financial Company LLC.
Supplemental
Terms of the Securities
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For purposes of the accompanying product supplement, the SPDR®
Gold Trust is a “Fund.”
The
Securities 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 Securities 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.
Investor Suitability
The Securities may be suitable for you if,
among other considerations:
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You fully understand the risks inherent in an investment
in the Securities, including the risk of loss of your entire principal amount.
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You can tolerate a loss of all or a substantial portion
of your investment and are willing to make an investment that has the same downside market risk as a hypothetical investment in
the Underlying.
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You believe the price of the Underlying will increase
over the term of the Securities and that the appreciation is unlikely to exceed an amount equal to the Maximum Gain indicated
on the cover hereof.
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You understand and accept that your potential return
is limited by the Maximum Gain and you are willing to invest in the Securities based on the Maximum Gain indicated on the cover
hereof.
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You can tolerate fluctuations in the price of the Securities
prior to maturity that may be similar to or exceed the downside price fluctuations of the Underlying.
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You do not seek current income from your investment.
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You are willing and able to hold the Securities to maturity.
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You accept that there may be little or no secondary market
for the Securities and that any secondary market will depend in large part on the price, if any, at which J.P. Morgan Securities
LLC, which we refer to as JPMS, is willing to trade the Securities.
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You understand and accept the risks associated with the
Underlying.
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You are willing to assume the credit risks of JPMorgan
Financial and JPMorgan Chase & Co. for all payments under the Securities, and understand that if JPMorgan Financial and JPMorgan
Chase & Co. default on their obligations, you may not receive any amounts due to you including any repayment of principal.
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The Securities may not be suitable for you
if, among other considerations:
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You do not fully understand the risks inherent in an
investment in the Securities, including the risk of loss of your entire principal amount.
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You require an investment designed to provide a full
return of principal at maturity.
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You cannot tolerate a loss of all or a substantial portion
of your investment, or you are not willing
to make an investment that has the same downside market risk as a hypothetical investment in the
Underlying.
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You believe the price of the Underlying will decline
over the term of the Securities, or you believe the Underlying will appreciate over the term of the Securities by more than the
Maximum Gain indicated on the cover hereof.
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You seek an investment that has unlimited return potential
without a cap on appreciation.
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You are unwilling to invest in the Securities based on
the Maximum Gain indicated on the cover hereof.
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You cannot tolerate fluctuations in the price of the
Securities prior to maturity that may be similar to or exceed the downside price fluctuations of the Underlying.
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You seek current income from your investment.
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You are unwilling or unable to hold the Securities to
maturity or seek an investment for which there will be an active secondary market.
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You do not understand or accept the risks associated
with the Underlying.
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You are not willing to assume the credit risks of JPMorgan
Financial and JPMorgan Chase & Co. for all payments under the Securities, including any repayment of principal.
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The suitability considerations identified
above are not exhaustive. Whether or not the Securities are a suitable investment for you will depend on your individual circumstances,
and you should reach an investment decision only after you and your investment, legal, tax, accounting and other advisers have
carefully considered the suitability of an investment in the Securities in light of your particular circumstances. You should
also review carefully the “Key Risks” section of this pricing supplement and the “Risk Factors” sections
of the accompanying prospectus supplement, the accompanying product supplement and the accompanying underlying supplement for
risks related to an investment in the Securities. For more information on the Underlying, please
see the section titled “The Underlying” below.
Final Terms
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Issuer:
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JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
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Guarantor:
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JPMorgan Chase & Co.
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Issue Price:
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$10.00 per Security (subject to a minimum purchase of 100 Securities or $1,000)
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Principal Amount:
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$10.00 per Security. The payment at maturity will be based on the principal amount.
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Underlying:
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SPDR® Gold Trust
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Term:
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Approximately 14 months
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Payment at Maturity (per $10 principal amount Security):
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If the Underlying Return is positive, JPMorgan
Financial will pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00 + ($10.00 × Underlying Return
× Upside Gearing)
provided, however, that in no event will JPMorgan Financial
pay you at maturity an amount greater than:
$10.00 + ($10.00 × Maximum Gain)
If the Underlying Return is zero, JPMorgan
Financial will pay you a cash payment at maturity of $10.00 per $10 principal amount Security.
If the Underlying Return is negative, JPMorgan
Financial will pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00 + ($10.00 × Underlying Return)
In this scenario, you will be exposed to the decline of
the Underlying and you will lose some or all of your principal amount in an amount proportionate to the negative Underlying Return.
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Underlying Return:
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(Final Value – Initial Value)
Initial Value
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Upside Gearing:
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3.00
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Maximum Gain:
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18.00%. In no event will the return on the Principal Amount be greater than the Maximum Gain.
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Initial Value:
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The closing price of one share of the Underlying on the Trade Date, as specified on the cover of this pricing supplement
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Final Value:
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The closing price1 of one share of the Underlying on the Final Valuation Date
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Share Adjustment
Factor1:
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The Share Adjustment Factor is referenced in determining the closing price of one share of the Underlying. The Share Adjustment Factor is set initially at 1.0 on the Trade Date.
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1 The closing price and the Share Adjustment Factor of
the Underlying are subject to adjustments in the case of certain events described in the accompanying product supplement under
“The Underlyings — Funds — Anti-Dilution Adjustments.”
Investment
Timeline
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Trade
Date
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The Initial Value is observed. The Maximum Gain is determined.
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Maturity
Date
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The Final Value and the Underlying Return are determined.
If the Underlying Return is positive, JPMorgan
Financial will pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00 + ($10.00 × Underlying Return
×
Upside Gearing)
provided, however, that in no event will you receive
at maturity an amount greater than:
$10.00 + ($10.00 × Maximum Gain)
If the Underlying Return is zero, JPMorgan
Financial will pay you a cash payment at maturity of $10.00 per $10 principal amount Security.
If the Underlying Return is negative, JPMorgan
Financial will pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00 + ($10.00 × Underlying Return)
Under these circumstances, you will be exposed to the decline
of the Underlying and you will lose some or all of your principal amount.
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INVESTING IN THE SECURITIES INVOLVES SIGNIFICANT
RISKS. YOU MAY LOSE SOME OR ALL OF YOUR PRINCIPAL AMOUNT. ANY PAYMENT ON THE SECURITIES, INCLUDING ANY REPAYMENT OF PRINCIPAL,
IS SUBJECT TO THE CREDITWORTHINESS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. IF JPMORGAN FINANCIAL AND JPMORGAN CHASE
& CO. WERE TO DEFAULT ON THEIR PAYMENT OBLIGATIONS, YOU MAY NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE SECURITIES AND YOU
COULD LOSE YOUR ENTIRE INVESTMENT.
What Are the
Tax Consequences of the Securities?
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You should review carefully the section entitled “Material U.S. Federal
Income Tax Consequences” in the accompanying product supplement no. UBS-1-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 Securities.
Based on current market conditions, in the opinion of our special tax counsel
it is reasonable to treat the Securities 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 Securities should be treated as long-term capital gain or loss if you hold your Securities for more than a
year, whether or not you are an initial purchaser of Securities at the issue price. The Securities 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
Securities 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 Securities. In addition, long-term
capital gain that you would otherwise recognize in respect of your Securities 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 Securities. Accordingly, U.S. Holders
should consult their tax advisers regarding the potential application of the constructive ownership rules.
The IRS or a court may not respect the treatment of the Securities described
above, in which case the timing and character of any income or loss on your Securities 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 Securities, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal
income tax consequences of an investment in the Securities, including the potential application of the constructive ownership rules,
possible alternative treatments and the issues presented by this notice.
Section 871(m) of the Code and Treasury
regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax
treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked
to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime,
including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations.
Additionally, a recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2023 that do
not have a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax
purposes (each an “Underlying Security”). Because the SPDR® Gold Trust is not a corporation for U.S.
federal income tax purposes, Section 871(m) does not apply to the Securities.
An investment in the Securities involves significant risks.
Investing in the Securities is not equivalent to investing directly in the Underlying. These risks are explained in more detail
in the “Risk Factors” sections of the accompanying prospectus supplement, the accompanying product supplement and the
accompanying underlying supplement. We also urge you to consult your investment, legal, tax, accounting and other advisers before
you invest in the Securities.
Risks Relating to the Securities Generally
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Your
Investment in the Securities May Result in a Loss — The Securities differ from
ordinary debt securities in that we will not necessarily repay the full principal amount
of the Securities. We will pay you the principal amount of your Securities in cash only
if the Final Value has not declined below the Initial Value. If the Underlying Return
is negative, you will lose some or all of your principal amount in an amount proportionate
to the negative Underlying Return. Accordingly, you could lose up to your entire principal
amount.
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Credit
Risks of JPMorgan Financial and JPMorgan Chase & Co.
— The Securities are unsecured and unsubordinated debt obligations of the Issuer,
JPMorgan Chase Financial Company LLC, the payment on which
is fully and unconditionally guaranteed by JPMorgan Chase & Co. The
Securities will rank pari passu with all of our other unsecured and unsubordinated
obligations, and the related guarantee JPMorgan Chase &
Co. will rank pari passu with all of JPMorgan Chase & Co.’s other unsecured
and unsubordinated obligations. The Securities and related guarantees are not, either
directly or indirectly, an obligation of any third party. Any payment to be made on the
Securities, including any repayment of principal, depends on the ability of JPMorgan
Financial and JPMorgan Chase & Co. to satisfy their
obligations as they come due. As a result, the actual and perceived creditworthiness
of JPMorgan Financial and JPMorgan Chase & Co. may
affect the market value of the Securities and, in the event JPMorgan Financial and JPMorgan
Chase & Co. were to default on their obligations, you may not receive any amounts
owed to you under the terms of the Securities and you could lose your entire investment.
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As
a Finance Subsidiary, JPMorgan Financial Has No Independent Operations and 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 Securities. If these affiliates do not make payments to us and
we fail to make payments on the Securities, 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.
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The
Appreciation Potential of the Securities Is Limited by the Maximum Gain — The
appreciation potential of the Securities is limited by the Maximum Gain of 18.00%. Accordingly,
the appreciation potential of the Securities will be limited by the Maximum Gain even
if the Underlying Return times the Upside Gearing is greater than the Maximum Gain.
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The
Upside Gearing Applies Only If You Hold the Securities to Maturity —
You should be willing to hold your Securities to maturity. If you are able to sell your
Securities prior to maturity in the secondary market, if any, the price you receive likely
will not reflect the full economic value of the Upside Gearing or the Securities themselves,
and the return you realize may be less than the product of the performance of the Underlying
and the Upside Gearing and may be less than the Underlying return, even if that return
is positive and does not exceed the Maximum Gain. You can receive the full benefit of
the Upside Gearing, subject to the Maximum Gain, only if you hold your Securities to
maturity.
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No
Interest Payments — JPMorgan Financial will not make any interest payments
to you with respect to the Securities.
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Potential
Conflicts — We and our affiliates play a variety of roles in connection with
the issuance of the Securities, including acting as calculation agent and hedging our
obligations under the Securities and making the assumptions used to determine the pricing
of the Securities and the estimated value of the Securities when the terms of the Securities
are set, which we refer to as the estimated value of the Securities. In performing these
duties, our and JPMorgan Chase & Co.’s economic interests and the economic
interests of the calculation agent and other affiliates of ours are potentially adverse
to your interests as an investor in the Securities. In addition, our and JPMorgan Chase
& Co.’s business activities, including hedging and trading activities, could
cause our and JPMorgan Chase & Co.’s economic interests to be adverse to yours
and could adversely affect any payment on the Securities and the value of the Securities.
It is possible that hedging or trading activities of ours or our affiliates in connection
with the Securities could result in substantial returns for us or our affiliates while
the value of the Securities declines. Please refer to “Risk Factors — Risks
Relating to Conflicts of Interest” in the accompanying product supplement for additional
information about these risks.
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In
addition, the benchmark price of the Underlying’s Underlying Commodity (as defined under “The Underlying” 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. We
and our affiliates will have no obligation to consider your interests as a holder of the Securities in taking any actions in connection
with our roles as a price participant that might affect the Underlying or the Securities.
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The Probability
That the Final Value Will Fall Below the Initial Value on the Final Valuation Date Will
Depend on the Volatility of the Underlying — “Volatility”
refers to the frequency and magnitude of changes in the price of the Underlying. Greater
expected volatility with respect to the Underlying reflects a higher expectation as of
the Trade Date that the Underlying could close below the Initial Value on the Final Valuation
Date of the Securities, resulting in the loss of some or all of your investment. However,
the Underlying’s volatility can change significantly over the term of the Securities.
The price of the Underlying could fall sharply, which could result in a significant loss
of principal.
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The
Estimated Value of the Securities Is Lower Than the Original Issue Price (Price to Public)
of the Securities — The estimated value of the Securities is only an estimate
determined by reference to several factors. The original issue price of the Securities
exceeds the estimated value of the Securities because costs associated with selling,
structuring and hedging the Securities are included in the original issue price of the
Securities. 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 Securities and the estimated cost of hedging our obligations under the Securities.
See “The Estimated Value of the Securities” in this pricing supplement.
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The Estimated Value
of the Securities Does Not Represent Future Values of the Securities and May Differ from
Others’ Estimates — The estimated value of the Securities is determined
by reference to internal pricing models of our affiliates when the terms of the Securities
are set. This estimated value of the Securities is based on market conditions and other
relevant factors existing at that time and assumptions about market parameters, which
can include volatility, interest rates and other factors. Different pricing models and
assumptions could provide valuations for the Securities that are greater than or less
than the estimated value of the Securities. 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 Securities 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 Securities from you in secondary market transactions.
See “The Estimated Value of the Securities” in this pricing supplement.
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t
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The Estimated Value
of the Securities Is Derived by Reference to an Internal Funding Rate — The
internal funding rate used in the determination of the estimated value of the Securities
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 Securities as well as the higher issuance, operational and ongoing liability
management costs of the Securities 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 Securities. The
use of an internal funding rate and any potential changes to that rate may have an adverse
effect on the terms of the Securities and any secondary market prices of the Securities.
See “The Estimated Value of the Securities” in this pricing supplement.
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t
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The Value of the
Securities as Published by JPMS (and Which May Be Reflected on Customer Account Statements)
May Be Higher Than the Then-Current Estimated Value of the Securities for a Limited Time
Period — We generally expect that some of the costs included in the original
issue price of the Securities will be partially paid back to you in connection with any
repurchases of your Securities 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. See “Secondary
Market Prices of the Securities” in this pricing supplement for additional information
relating to this initial period. Accordingly, the estimated value of your Securities
during this initial period may be lower than the value of the Securities as published
by JPMS (and which may be shown on your customer account statements).
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Secondary Market
Prices of the Securities Will Likely Be Lower Than the Original Issue Price of the Securities
— Any secondary market prices of the Securities will likely be lower than the
original issue price of the Securities 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 Securities. As a result, the price, if any, at which JPMS
will be willing to buy Securities 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. See the immediately following risk factor
for information about additional factors that will impact any secondary market prices
of the Securities.
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The Securities are not designed to be short-term
trading instruments. Accordingly, you should be able and willing to hold your Securities to maturity. See “— Lack of
Liquidity” below.
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t
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Many Economic and
Market Factors Will Impact the Value of the Securities — As described under
“The Estimated Value of the Securities” in this pricing supplement, the Securities
can be thought of as securities that combine a fixed-income debt component with one or
more derivatives. As a result, the factors that influence the values of fixed-income
debt and derivative instruments will also influence the terms of the Securities at issuance
and their value in the secondary market. Accordingly, the secondary market price of the
Securities 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 Underlying,
including:
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t
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any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
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t
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customary bid-ask spreads for similarly sized trades;
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our internal secondary market funding rates for structured debt issuances;
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the actual and expected volatility in the price of one share of the Underlying;
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t
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supply and demand trends for the Underlying Commodity;
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t
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the time to maturity of the Securities;
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t
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the occurrence of certain events affecting the Underlying that may or may not require an adjustment to the closing price and
the Share Adjustment Factor of the Underlying;
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t
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interest and yield rates in the market generally; and
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t
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a variety of other economic, financial, political, regulatory, geographical and judicial events.
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Additionally, independent pricing vendors and/or
third party broker-dealers may publish a price for the Securities, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the Securities, if any, at which JPMS may be willing to purchase
your Securities in the secondary market.
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t
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Investing in the
Securities Is Not Equivalent to Investing in the Underlying or the Commodities Held by
the Underlying — Investing in the Securities is not equivalent to investing
in the Underlying or the commodities held by the Underlying. As an investor in the Securities,
you will not have any ownership interest or rights in the Underlying or the commodities
held by the Underlying, such as voting rights.
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No
Affiliation with the Underlying — We are not affiliated with the Underlying.
We have not independently verified the information about the Underlying contained in
this pricing supplement. You should make your own investigation into the Underlying.
We are not responsible for the public disclosure of information by the Underlying, whether
contained in SEC filings or otherwise.
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Lack of Liquidity
— The Securities will not be listed on any securities exchange. JPMS intends
to offer to purchase the Securities in the secondary market, but is not required to do
so. Even if there is a secondary market, it may not provide enough liquidity to allow
you to trade or sell the Securities easily. Because other dealers are not likely to make
a secondary market for the Securities, the price at which you may be able to trade your
Securities is likely to depend on the price, if any, at which JPMS is willing to buy
the Securities.
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Potentially Inconsistent
Research, Opinions or Recommendations by JPMS, UBS or Their Affiliates — JPMS,
UBS or their affiliates may publish research, express opinions or provide recommendations
that are inconsistent with investing in or holding the Securities, and that may be revised
at any time. Any such research, opinions or recommendations may or may not recommend
that investors buy or hold investments linked to the Underlying and could affect the
value of the Underlying, and therefore the market value of the Securities.
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Tax Treatment
— Significant aspects of the tax treatment of the Securities are uncertain. You
should consult your tax adviser about your tax situation.
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Potential JPMorgan
Financial Impact on the Market Price of the Underlying — Trading or transactions
by JPMorgan Financial or its affiliates in the Underlying or in futures, options or other
derivative products on the Underlying may adversely affect the market value of the Underlying
and, therefore, the market value of the Securities.
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Risks Relating to the
Underlying
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t
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The Underlying Is Not an Investment Company or Commodity Pool and Will Not Be Subject to Regulation Under the Investment
Company Act of 1940, as Amended, or the Commodity Exchange Act — 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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There Are Risks Associated with the Underlying — Although shares
of the Underlying are listed for trading on a securities exchange and a number of similar products have been trading on a securities
exchange for varying periods of time, there is no assurance that an active trading market will continue for the shares of the Underlying
or that there will be liquidity in the trading market.
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The Performance and Market Value of the Underlying, Particularly During Periods of
Market Volatility, May Not Correlate with the Performance of the Underlying’s Underlying Commodity as well as the Net Asset
Value per Share — The Underlying does not fully replicate the performance of its Underlying Commodity due to the
fees and expenses charged by the Fund or by restrictions on access to its Underlying Commodity due to other circumstances. The
Underlying does not generate any income, and as the Underlying 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 Underlying 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 Underlying of its Underlying Commodity to pay expenses at
a time of low prices for its Underlying Commodity could adversely affect the value of the Securities. Additionally, there is a
risk that part or all of the Underlying’s holdings in its Underlying Commodity could be lost, damaged or stolen. Access to
the Underlying’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 Underlying
and its Underlying Commodity. In addition, because the shares of the Underlying are traded on a securities exchange and are subject
to market supply and investor demand, the market value of one share of the Underlying may differ from the net asset value per share
of the Underlying.
|
During periods of market volatility, the Underlying’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 Underlying and the liquidity of the Underlying may be adversely affected. This kind of market
volatility may also disrupt the ability of market participants to create and redeem shares of the Underlying. Further, market
volatility may adversely affect, sometimes materially, the prices at which market participants are willing to buy and sell shares
of the Underlying. As a result, under these circumstances, the market value of shares of the Underlying may vary substantially
from the net asset value per share of the Underlying. For all of the foregoing reasons, the performance of the Underlying
may not correlate with the performance of its Underlying Commodity as well as the net asset value per share of the Underlying,
which could materially and adversely affect the value of the Securities in the secondary market and/or reduce any payment on the
Securities.
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t
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Risks Associated with Gold — The investment objective of the
Underlying is to reflect the performance of the price of gold bullion, less the expenses of the Underlying’s operations.
The price of gold is primarily affected by the global demand for and supply of gold. The market for gold bullion is global, and
gold prices are subject to volatile price movements over short periods of time and are affected by numerous factors, including
macroeconomic factors, such as the structure of and confidence in the global monetary system, expectations regarding the future
rate of inflation, the relative strength of, and confidence in, the U.S. dollar (the currency in which the price of gold is usually
quoted), interest rates, gold borrowing and lending rates and global or regional economic, financial, political, regulatory, judicial
or other events. Gold prices may be affected by industry factors, such as industrial and jewelry demand as well as lending, sales
and purchases of gold by the official sector, including central banks and other governmental agencies and multilateral institutions
that hold gold. Additionally, gold prices may be affected by levels of gold production, production costs and short-term changes
in supply and demand due to trading activities in the gold market. From time to time, above-ground inventories of gold may also
influence the market. It is not possible to predict the aggregate effect of all or any combination of these factors. The price
of gold has recently been, and may continue to be, extremely volatile.
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Risks Relating to Commodities Trading on the LBMA — The investment objective of the Underlying is to reflect the
performance of the price of gold bullion, less the expenses of the Underlying's operations. The price of gold 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 gold price as a global benchmark for the value of gold 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 gold price, which could adversely affect the value of the Securities.
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 gold price.
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Single Commodity Prices Tend to Be More Volatile Than, and May Not Correlate with, the Prices of Commodities Generally
— The Underlying is linked to a single commodity and not to a diverse basket of commodities or a broad-based commodity index.
The Underlying'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 Securities carry greater risk and may be more volatile than Securities linked
to the prices of more commodities or a broad-based commodity index.
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Anti-Dilution Protection Is Limited — Although the calculation agent
will adjust the closing price of one share of the Underlying for certain events affecting the Underlying, the calculation agent
is not required to make an adjustment for every event that can affect the Underlying. If an event occurs that does not require
the calculation agent to adjust the closing price of one share of the Underlying, the market value of your Securities and any payment
on the Securities may be materially and adversely affected.
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Hypothetical
Examples and Return Table
|
Hypothetical terms only. Actual terms
may vary. See the cover page for actual offering terms.
The following table and hypothetical examples below illustrate
the payment at maturity per $10.00 principal amount Security for a hypothetical range of Underlying Returns from -100.00% to +100.00%
on an offering of the Securities linked to a hypothetical Underlying, and assume a hypothetical Initial Value of $100, a hypothetical
Upside Gearing of 1.50 and a hypothetical Maximum Gain of 12.00%. The hypothetical Initial Value of $100 has been chosen for illustrative
purposes only and does not represent the actual Initial Value. The actual Initial Value is based on the closing price of one share
of the Underlying on the Trade Date and is specified on the cover of this pricing supplement. For historical data regarding the
actual closing prices of one share of the Underlying, please see the historical information set forth under “The Underlying”
in this pricing supplement. The actual Upside Gearing and Maximum Gain are specified on the cover of this pricing supplement. The
hypothetical payment at maturity examples set forth below are for illustrative purposes only and may not be the actual returns
applicable to a purchaser of the Securities. The actual payment at maturity may be more or less than the amounts displayed below
and will be determined based on the actual terms of the Securities, including the Upside Gearing, the Initial Value and the Maximum
Gain, and the Final Value on the Final Valuation Date. You should consider carefully whether the Securities are suitable to your
investment goals. The numbers appearing in the table below have been rounded for ease of analysis.
Final
Value
|
Underlying
Return (%)
|
Payment
at Maturity ($)
|
Return
at Maturity per
$10.00 issue price (%)
|
$200.00
|
100.00%
|
$11.20
|
12.00%
|
$190.00
|
90.00%
|
$11.20
|
12.00%
|
$180.00
|
80.00%
|
$11.20
|
12.00%
|
$170.00
|
70.00%
|
$11.20
|
12.00%
|
$160.00
|
60.00%
|
$11.20
|
12.00%
|
$150.00
|
50.00%
|
$11.20
|
12.00%
|
$140.00
|
40.00%
|
$11.20
|
12.00%
|
$130.00
|
30.00%
|
$11.20
|
12.00%
|
$120.00
|
20.00%
|
$11.20
|
12.00%
|
$110.00
|
10.00%
|
$11.20
|
12.00%
|
$108.00
|
8.00%
|
$11.20
|
12.00%
|
$106.00
|
6.00%
|
$10.90
|
9.00%
|
$104.00
|
4.00%
|
$10.60
|
6.00%
|
$102.00
|
2.00%
|
$10.30
|
3.00%
|
$100.00
|
0.00%
|
$10.00
|
0.00%
|
$95.00
|
-5.00%
|
$9.50
|
-5.00%
|
$90.00
|
-10.00%
|
$9.00
|
-10.00%
|
$80.00
|
-20.00%
|
$8.00
|
-20.00%
|
$70.00
|
-30.00%
|
$7.00
|
-30.00%
|
$60.00
|
-40.00%
|
$6.00
|
-40.00%
|
$50.00
|
-50.00%
|
$5.00
|
-50.00%
|
$40.00
|
-60.00%
|
$4.00
|
-60.00%
|
$30.00
|
-70.00%
|
$3.00
|
-70.00%
|
$20.00
|
-80.00%
|
$2.00
|
-80.00%
|
$10.00
|
-90.00%
|
$1.00
|
-90.00%
|
$0.00
|
-100.00%
|
$0.00
|
-100.00%
|
Example 1 — The price of the Underlying
increases by 2% from the Initial Value of $100 to the Final Value of $102.
Because the Upside Gearing of 1.50 times the Underlying Return
of 2% is less than the Maximum Gain of 12.00%, JPMorgan Financial will pay you your principal amount plus a return equal
to the Underlying Return times the Upside Gearing, resulting in a payment at maturity of $10.30 per $10 principal amount
Security, calculated as follows:
$10.00 + ($10.00 × Underlying Return
× Upside Gearing)
$10.00 + ($10.00 × 2% × 1.50) = $10.30
Example 2 — The price of the Underlying
increases by 10% from the Initial Value of $100 to the Final Value of $110.
Because the Upside Gearing of 1.50 times the Underlying Return
of 10% is greater than the Maximum Gain of 12.00%, JPMorgan Financial will pay you your principal amount plus a return equal
to the Maximum Gain of 12.00%, resulting in a payment at maturity of $11.20 per $10 principal amount Security, calculated as follows:
$10.00 + ($10.00 × Maximum Gain)
$10.00 + ($10.00 × 12.00%) = $11.20
Example 3 — The price of the Underlying
increases by 40% from the Initial Value of $100 to the Final Value of $140.
Because the Upside Gearing of 1.50 times the Underlying Return
of 40% is significantly greater than the Maximum Gain of 12.00%, JPMorgan Financial will pay you your principal amount plus
a return equal to only the Maximum Gain of 12.00%, resulting in a payment at maturity of $11.20 per $10 principal amount Security,
calculated as follows:
$10.00 + ($10.00 × Maximum Gain)
$10.00 + ($10.00 × 12.00%) = $11.20
Example 4 — The price of the Underlying
decreases by 40% from the Initial Value of $100 to the Final Value of $60.
Because the Underlying Return is -40%, JPMorgan Financial will
pay you a payment at maturity of $6.00 per $10 principal amount Security, calculated as follows:
$10.00 + ($10.00 × Underlying Return)
$10.00 + ($10.00 × -40.00%) = $6.00
If the Underlying Return is negative, investors will be
exposed to the negative Underlying Return at maturity, resulting in a loss of principal that is proportionate to the Underlying’s
decline from the Initial Value to the Final Value. Investors could lose some or all of their principal amount.
The
hypothetical returns and hypothetical payments on the Securities shown above apply only if you hold the Securities for their
entire term. These hypotheticals do not reflect 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.
The SPDR® Gold Trust is an investment trust sponsored
by World Gold Trust Services, LLC. The investment objective of the SPDR® Gold Trust is for its shares to reflect
the performance of the price of gold bullion, less the expenses of the SPDR® Gold Trust’s operations. The
SPDR® Gold Trust holds gold bars. We refer to gold as the Underlying Commodity with respect to the SPDR®
Gold Trust. For additional information about the SPDR® Gold Trust, see “Fund Descriptions — The SPDR®
Gold Trust” in the accompanying underlying supplement.
Historical Information
The following table sets forth the quarterly high and low closing
prices of one share of the Underlying, based on daily closing prices of one share of the Underlying as reported by the Bloomberg
Professional® service (“Bloomberg”), without independent verification. The
information given below is for the four calendar quarters in each of 2015, 2016, 2017, 2018 and 2019 and the first, second and
third calendar quarters of 2020. Partial data is provided for the fourth calendar quarter of 2020. The closing price of one share
of the Underlying on October 27, 2020 was $179.02. We obtained the closing prices of one share of the Underlying above and below
from Bloomberg, without independent verification. The closing prices above and below may have been adjusted by Bloomberg for certain
actions, such as stock splits. You should not take the historical prices of one share of the Underlying as an indication of future
performance.
Quarter
Begin
|
Quarter
End
|
Quarterly
Closing High
|
Quarterly
Closing Low
|
Close
|
1/1/2015
|
3/31/2015
|
$125.23
|
$110.21
|
$113.66
|
4/1/2015
|
6/30/2015
|
$117.53
|
$112.24
|
$112.37
|
7/1/2015
|
9/30/2015
|
$112.06
|
$103.93
|
$106.86
|
10/1/2015
|
12/31/2015
|
$113.81
|
$100.50
|
$101.46
|
1/1/2016
|
3/31/2016
|
$121.50
|
$102.89
|
$117.64
|
4/1/2016
|
6/30/2016
|
$126.68
|
$115.62
|
$126.47
|
7/1/2016
|
9/30/2016
|
$130.52
|
$124.78
|
$125.64
|
10/1/2016
|
12/31/2016
|
$125.32
|
$107.34
|
$109.61
|
1/1/2017
|
3/31/2017
|
$119.70
|
$110.47
|
$118.72
|
4/1/2017
|
6/30/2017
|
$123.10
|
$116.04
|
$118.02
|
7/1/2017
|
9/30/2017
|
$128.13
|
$115.28
|
$121.58
|
10/1/2017
|
12/31/2017
|
$123.82
|
$118.01
|
$123.65
|
1/1/2018
|
3/31/2018
|
$128.83
|
$124.31
|
$125.79
|
4/1/2018
|
6/30/2018
|
$128.11
|
$118.22
|
$118.65
|
7/1/2018
|
9/30/2018
|
$119.15
|
$111.10
|
$112.76
|
10/1/2018
|
12/31/2018
|
$121.25
|
$112.54
|
$121.25
|
1/1/2019
|
3/31/2019
|
$126.70
|
$121.02
|
$122.01
|
4/1/2019
|
6/30/2019
|
$134.20
|
$119.94
|
$133.20
|
7/1/2019
|
9/30/2019
|
$146.66
|
$130.62
|
$138.87
|
10/1/2019
|
12/31/2019
|
$142.90
|
$137.01
|
$142.90
|
1/1/2020
|
3/31/2020
|
$157.81
|
$138.04
|
$148.05
|
4/1/2020
|
6/30/2020
|
$167.37
|
$149.45
|
$167.37
|
7/1/2019
|
9/30/2020
|
$193.89
|
$166.62
|
$177.12
|
10/1/2020
|
10/27/2020*
|
$181.08
|
$177.22
|
$179.02
|
*As of the date of this pricing supplement, available information
for the fourth calendar quarter of 2020 includes data for the period from October 1, 2020 through October 27, 2020. Accordingly,
the “Quarterly Closing High,” “Quarterly Closing Low” and “Close” data indicated are for this
shortened period only and do not reflect complete data for the third calendar quarter of 2020.
The graph below illustrates the daily performance of the Underlying
from January 4, 2010 through October 27, 2020, based on information from Bloomberg, without independent verification.
Past performance of the Underlying is not indicative of
the future performance of the Underlying.
The historical performance of the Underlying 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 Underlying
on the Final Valuation Date. We cannot give you assurance that the performance of the Underlying will result in the return of any
of your principal amount.
Supplemental
Plan of Distribution
|
We and JPMorgan Chase & Co. have agreed to indemnify UBS
and JPMS against liabilities under the Securities Act of 1933, as amended, or to contribute to payments that UBS may be required
to make relating to these liabilities as described in the prospectus supplement and the prospectus. We have agreed that UBS may
sell all or a part of the Securities that it purchases from us to the public or its affiliates at the price to public indicated
on the cover hereof.
Subject to regulatory constraints, JPMS intends to offer to
purchase the Securities in the secondary market, but it is not required to do so.
We or our affiliates may enter into swap agreements or related
hedge transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the Securities,
and JPMS and/or an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions.
See “Supplemental Use of Proceeds” in this pricing supplement and “Use of Proceeds and Hedging” in the
accompanying product supplement.
We expect that delivery of the Securities will be made against
payment for the Securities 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 Trade Date of the Securities (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
Securities 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.
The Estimated
Value of the Securities
|
The estimated value of the Securities 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 Securities, valued using the internal funding rate described below, and (2) the derivative or derivatives
underlying the economic terms of the Securities. The estimated value of the Securities does not represent a minimum price at which
JPMS would be willing to buy your Securities in any secondary market (if any exists) at any time. The internal funding rate used
in the determination of the estimated value of the Securities 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 values of the Securities as well as the higher issuance,
operational and ongoing liability management costs of the Securities 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 Securities. The use
of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the Securities and
any secondary market prices of the Securities. For additional information, see “Key Risks — Risks Relating to the Securities
Generally — The Estimated Value of the Securities 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 Securities 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 Securities
is determined when the terms of the Securities are set based on market conditions and other relevant factors and assumptions existing
at that time. See “Key Risks — Risks Relating to the Securities Generally — The Estimated Value of the Securities
Does Not Represent Future Values of the Securities and May Differ from Others’ Estimates” in this pricing supplement.
The estimated value of the Securities is lower than the original
issue price of the Securities because costs associated with selling, structuring and hedging the Securities are included in the
original issue price of the Securities. These costs include the selling commissions paid to UBS, the projected profits, if any,
that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the Securities and the estimated
cost of hedging our obligations under the Securities. 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.
We or one or more of our affiliates will retain any profits realized in hedging our obligations under the Securities. See “Key
Risks — Risks Relating to the Securities Generally — The Estimated Value of the Securities Is Lower Than the Original
Issue Price (Price to Public) of the Securities” in this pricing supplement.
Secondary
Market Prices of the Securities
|
For information about factors that will impact any secondary
market prices of the Securities, see “Key Risks — Risks Relating to the Securities Generally — Secondary Market
Prices of the Securities Will Be Impacted by Many Economic and Market Factors” in this pricing supplement. In addition, we
generally expect that some of the costs included in the original issue price of the Securities will be partially paid back to you
in connection with any repurchases of your Securities by JPMS in an amount that will decline to zero over an initial predetermined
period that is intended to be up to seven months. The length of any such initial period reflects secondary market volumes for the
Securities, the structure of the Securities, whether our affiliates expect to earn a profit in connection with our hedging activities,
the estimated costs of hedging the Securities and when these costs are incurred, as determined by our affiliates. See “Key
Risks — Risks Relating to the Securities Generally — The Value of the Securities as Published by JPMS (and Which May
Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Securities for a Limited
Time Period” in this pricing supplement.
Supplemental
Use of Proceeds
|
The Securities are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the Securities. See “Hypothetical Examples and Return
Table” in this pricing supplement for an illustration of the risk-return profile of the Securities and “The Underlying”
in this pricing supplement for a description of the market exposure provided by the Securities.
The original issue price of the Securities is equal to the estimated
value of the Securities plus the selling commissions paid to UBS, plus (minus) the projected profits (losses) that our affiliates
expect to realize for assuming risks inherent in hedging our obligations under the Securities, plus the estimated cost of hedging
our obligations under the Securities.
Validity
of the Securities and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as special
products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the Securities 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 Securities 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 Securities 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.
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