Key Terms
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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Fund:
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The Industrial Select Sector SPDR® Fund (Bloomberg ticker: XLI UP)
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Payment at Maturity:
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If the Final Share Price is greater than the Share Strike Price, at maturity you will receive a cash payment that provides you with a return per $1,000 principal amount note equal to the Fund Return, subject to the Maximum Upside Return. Accordingly, under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows:
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$1,000 + ($1,000 × Fund Return), subject to the Maximum Upside Return
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If the Final Share Price is equal to the Share Strike Price,
you will receive the principal amount of your notes at maturity.
If the Final Share Price is less than the Share Strike Price
by up 10.00%, you will receive at maturity a cash payment that provides you with a return per $1,000 principal amount note equal
to the Absolute Fund Return, and your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Absolute Fund Return)
Because the payment at maturity will not reflect the Absolute
Fund Return if the Final Share Price is less than the Share Strike Price by more than the Buffer Amount of 10.00%, your maximum
payment at maturity if the Fund Return is negative is $1,100.00 per $1,000 principal amount note.
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If the Final Share Price is less than the Share Strike Price by more than the Buffer Amount of 10.00%, you will lose 1.11111% of the principal amount of your notes for every 1% that the Final Share Price is less than the Share Strike Price by more than 10.00%. Under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows:
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$1,000 + [$1,000 × (Fund Return + 10.00%) × 1.11111]
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You will lose some or all of your principal amount at maturity if the Final Share Price is less than the Share Strike Price by more than 10.00%
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Maximum Upside Return:
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10.00%. For example, if the Fund Return is equal to or greater than 10.00%, you will receive the Maximum Upside Return of 10.00%, which entitles you to a maximum payment at maturity if the Fund Return is positive of $1,100.00 per $1,000 principal amount note that you hold.
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Buffer Amount:
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10.00%
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Downside Leverage
Factor:
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1.11111
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Fund Return:
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(Final Share Price –
Share Strike Price)
Share Strike Price
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Absolute Fund Return:
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The absolute value of the Fund Return. For example, if the Fund Return is -5%, the Absolute Fund Return will equal 5%.
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Share Strike Price:
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$77.41, the closing price of one share of the Fund on October 27, 2020. The Share Strike Price is not determined by reference to the closing price of one share of the Fund on the Pricing Date.
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Final Share Price:
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The arithmetic average of the closing prices of one share of the Fund on the Ending Averaging Dates
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Share Adjustment Factor:
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The Share Adjustment Factor is referenced in determining the closing price of one share of the Fund and is set initially at 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.
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Pricing Date:
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October 28, 2020
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Original Issue Date:
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On or about November 2, 2020 (Settlement Date)
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Ending Averaging Dates*:
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November 3, 2021, November 4, 2021, November 5, 2021, November 8, 2021 and November 9, 2021 (final Ending Averaging Date)
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Maturity Date*:
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November 15, 2021
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CUSIP:
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48132PSQ8
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*
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Subject to postponement in the event of certain market
disruption events 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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Investing in the notes involves a number of risks. See
“Risk Factors” beginning on page PS-10 of the accompanying product supplement, “Risk Factors” beginning
on page US-1 of the accompanying underlying supplement and “Selected Risk Considerations” beginning on page PS-5 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, underlying 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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$1,000.00
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$7.50
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$992.50
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Total
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$1,500,000.00
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$11,250.00
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$1,488,750.00
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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 notes.
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(2)
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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 $7.50 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 $974.50 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.
Additional Terms Specific
to the Notes
You should read this pricing supplement together
with the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term
notes, of which these notes are a part, and the more detailed information contained in the accompanying product supplement and
the accompanying underlying supplement. This pricing supplement, together 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 product supplement and the accompanying underlying supplement, as
the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting
and other advisers before you invest in the notes.
You may access these documents on the SEC website
at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is 1665650,
and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us” and “our”
refer to JPMorgan Financial.
JPMorgan Structured Investments —
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PS- 2
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Capped Dual Directional Buffered Equity Notes Linked to the Industrial Select Sector SPDR® Fund
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What Is the Total Return
on the Notes at Maturity, Assuming a Range of Performances for the Fund?
The following table and examples illustrate
the hypothetical total return and the hypothetical payment at maturity on the notes. 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. Each hypothetical total return or payment at maturity set forth below assumes a Share Strike Price
of $75.00 and reflects the Maximum Upside Return of 10.00%, the Buffer Amount of 10.00% and the Downside Leverage Factor of 1.11111.
Each hypothetical total return or payment at maturity set forth below is for illustrative purposes only and may not be the actual
total return or payment at maturity applicable to a purchaser of the notes. The numbers appearing in the following table and in
the examples below have been rounded for ease of analysis.
Final Share
Price
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Fund Return
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Absolute Fund Return
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Total Return
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$135.00
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80.00%
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N/A
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10.0000%
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$127.50
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70.00%
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N/A
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10.0000%
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$120.00
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60.00%
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N/A
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10.0000%
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$112.50
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50.00%
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N/A
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10.0000%
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$105.00
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40.00%
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N/A
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10.0000%
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$97.50
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30.00%
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N/A
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10.0000%
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$90.00
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20.00%
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N/A
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10.0000%
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$82.50
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10.00%
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N/A
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10.0000%
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$78.75
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5.00%
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N/A
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5.0000%
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$76.88
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2.50%
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N/A
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2.5000%
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$75.00
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0.00%
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N/A
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0.0000%
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$73.13
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-2.50%
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2.50%
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2.5000%
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$71.25
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-5.00%
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5.00%
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5.0000%
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$67.50
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-10.00%
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10.00%
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10.0000%
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$67.49
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-10.01%
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N/A
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-0.0111%
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$60.00
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-20.00%
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N/A
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-11.1111%
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$52.50
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-30.00%
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N/A
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-22.2222%
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$45.00
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-40.00%
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N/A
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-33.3333%
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$37.50
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-50.00%
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N/A
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-44.4444%
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$30.00
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-60.00%
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N/A
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-55.5555%
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$22.50
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-70.00%
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N/A
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-66.6666%
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$15.00
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-80.00%
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N/A
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-77.7777%
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$7.50
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-90.00%
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N/A
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-88.8888%
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$0.00
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-100.00%
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N/A
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-100.0000%
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JPMorgan Structured Investments —
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PS- 3
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Capped Dual Directional Buffered Equity Notes Linked to the Industrial Select Sector SPDR® Fund
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Hypothetical Examples of
Amount Payable at Maturity
The following examples illustrate how the total
payment at maturity in different hypothetical scenarios is calculated.
Example 1: The price of one share of the Fund
increases from the Share Strike Price of $75.00 to a Final Share Price of $76.88.
Because the Final Share Price of $76.88 is
greater than the Share Strike Price of $75.00 and the Fund Return of 2.50% does not exceed the Maximum Upside Return of 10.00%,
the investor receives a payment at maturity of $1,025.00 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 ×
2.50%) = $1,025.00
Example 2: The price of one share of the Fund
decreases from the Share Strike Price of $75.00 to a Final Share Price of $71.25.
Although the Fund Return is negative, because the
Final Share Price of $71.25 is less than the Share Strike Price of $75.00, which does not exceed the Buffer Amount of 10.00%, and
the Absolute Fund Return is 5.00%, the investor receives a payment at maturity of $1,050.00 per $1,000 principal amount note, calculated
as follows:
$1,000 + ($1,000 ×
5.00%) = $1,050.00
Example 3: The price of one share of the Fund
increases from the Share Strike Price of $75.00 to a Final Share Price of $97.50.
Because the Final Share Price of $97.50 is greater
than the Share Strike Price of $75.00 and the Fund Return of 30.00% exceeds the Maximum Upside Return of 10.00%, the investor receives
a payment at maturity of $1,100.00 per $1,000 principal amount note, the maximum payment at maturity if the Fund Return is positive.
Example 4: The price of one share of the Fund
decreases from the Share Strike Price of $75.00 to a Final Share Price of $37.50.
Because the Final Share Price of $37.50 is less
than the Share Strike Price of $75.00 by more than the Buffer Amount of 10.00% and the Fund Return is -50.00%, the investor receives
a payment at maturity of $555.556 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00%
+ 10.00%) × 1.11111] = $555.556
Example 5: The price of one share of the Fund
decreases from the Share Strike Price of $75.00 to a Final Share Price of $67.50. Although the Fund Return is negative, because
the Final Share Price of $67.50 is less than the Share Strike Price of $75.00 by up to the Buffer Amount of 10.00% and the Absolute
Fund Return is 10.00%, the investor receives a payment at maturity of $1,100.00 per $1,000 principal amount note, the maximum payment
at maturity if the Fund Return is negative, calculated as follows:
$1,000 + ($1,000 ×
10.00%) = $1,100.00
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect 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.
JPMorgan Structured Investments —
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PS- 4
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Capped Dual Directional Buffered Equity Notes Linked to the Industrial Select Sector SPDR® Fund
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Selected Purchase Considerations
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·
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CAPPED, UNLEVERAGED
APPRECIATION POTENTIAL IF THE FUND RETURN IS POSITIVE — The notes provide the opportunity to earn a capped, unleveraged
return equal to a positive Fund Return, up to the Maximum Upside Return of 10.00%. Accordingly, the maximum payment at maturity
if the Fund Return is positive is $1,100.00 per $1,000 principal amount note. Because the notes are our unsecured and unsubordinated
obligations, the payment of which is fully and unconditionally guaranteed by JPMorgan Chase & Co., payment of any amount on
the notes is subject to our ability to pay our obligations as they become due and JPMorgan Chase & Co.’s ability to pay
its obligations as they become due.
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·
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POTENTIAL FOR UP
TO A 10.00% RETURN ON THE NOTES EVEN IF THE FUND RETURN IS NEGATIVE — If the Final Share Price is less than the Share
Strike Price by up to the Buffer Amount, you will earn a positive, unleveraged return on the notes equal to the Absolute Fund Return.
Under these circumstances, you will earn a positive return on the notes even though the Final Share Price is less than the Share
Strike Price. For example, if the Fund Return is -5%, the Absolute Fund Return will equal 5%. Because the payment at maturity will
not reflect the Absolute Fund Return if the Final Share Price is less than the Share Strike Price by more than the Buffer Amount
of 10.00%, your maximum payment at maturity if the Fund Return is negative is $1,100.00 per $1,000 principal amount note.
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·
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LOSS OF PRINCIPAL
BEYOND BUFFER AMOUNT — We will pay you at least your principal back at maturity if the Final Share Price is equal to
the Share Strike Price or is less than the Share Strike Price by up to 10.00%. If the Final Share Price is less than the Share
Strike Price by more than 10.00%, for every 1% that the Final Share Price is less than the Share Strike Price by more than 10.00%,
you will lose an amount equal to 1.11111% of the principal amount of your notes. Accordingly, you may lose some or all of your
principal amount at maturity.
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·
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RETURN LINKED TO
THE THE INDUSTRIAL SELECT SECTOR SPDR® FUND — The Industrial Select Sector SPDR® Fund is
an exchange-traded fund of the Select Sector SPDR® Trust, a registered investment company, which
seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of
publicly traded equity securities of companies in the Industrial Select Sector Index, which we refer to as the Underlying
Index with respect to the Fund. The Industrial Select Sector Index is a modified market capitalization-based
index that measures the performance of the industrial sector of the S&P 500® Index.
The Industrial Select Sector Index includes companies in the following industries: aerospace and defense; building
products; construction and engineering; electrical equipment; industrial conglomerates; machinery; trading companies
and distributors; commercial services and supplies; professional services; air freight and logistics; airlines; marine; road and
rail; and transportation infrastructure. For additional information about the Fund, see “Fund Descriptions
— The Select Sector SPDR® Funds” in the accompanying underlying supplement.
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·
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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, Latham & Watkins LLP, regarding the material U.S. federal income tax consequences of owning and
disposing of notes.
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Based
on current market conditions, in the opinion of our special tax counsel it is reasonable to treat the notes as “open transactions”
that are not debt instruments for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income
Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments”
in the accompanying product supplement. Assuming this treatment is respected, subject to the possible application of the “constructive
ownership” rules, the gain or loss on your notes should be treated as long-term capital gain or loss if you hold your notes
for more than a year, whether or not you are an initial purchaser of notes at the issue price. The notes could be treated as “constructive
ownership transactions” within the meaning of Section 1260 of the Code, in which case any gain recognized in respect of the
notes that would otherwise be long-term capital gain and that was in excess of the “net underlying long-term capital gain”
(as defined in Section 1260) would be treated as ordinary income, and a notional interest charge would apply as if that income
had accrued for tax purposes at a constant yield over your holding period for the notes. Our special tax counsel has not expressed
an opinion with respect to whether the constructive ownership rules apply to the notes. Accordingly, U.S. Holders should consult
their tax advisers regarding the potential application of the constructive ownership rules.
The
IRS or a court may not respect the treatment of the notes described above, in which case the timing and character of any income
or loss on your notes could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice 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.
JPMorgan Structured Investments —
|
PS- 5
|
Capped Dual Directional Buffered Equity Notes Linked to the Industrial Select Sector SPDR® Fund
|
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
(such an index, a “Qualified Index”). Additionally, a recent IRS notice excludes from the scope of Section 871(m) instruments
issued prior to January 1, 2023 that do not have a delta of one with respect to underlying securities that could pay U.S.-source
dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on certain determinations made
by us, our special tax counsel is of the opinion that Section 871(m) should not apply to the notes with regard to Non-U.S. Holders.
Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its
application may depend on your particular circumstances, including whether you enter into other transactions with respect to an
Underlying Security. You should consult your tax adviser regarding the potential application of Section 871(m) to the notes.
Withholding under legislation
commonly referred to as “FATCA” may (if the notes are recharacterized as debt instruments) apply to amounts treated
as interest paid with respect to the notes, as well as to payments of gross proceeds of a taxable disposition, including redemption
at maturity, of a note, although under recently proposed regulations (the preamble to which specifies that taxpayers are permitted
to rely on them pending finalization), no withholding will apply to payments of gross proceeds (other than any amount treated as
interest). You should consult your tax adviser regarding the potential application of FATCA to the notes.
Selected Risk Considerations
An investment in the notes involves significant
risks. Investing in the notes is not equivalent to investing directly in the Fund, the Underlying Index or any of the component
securities of the Fund or the Underlying Index. These risks are explained in more detail in the “Risk Factors” sections
of the accompanying product supplement and the accompanying underlying supplement.
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·
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YOUR INVESTMENT
IN THE NOTES MAY RESULT IN A LOSS — The notes do not guarantee any return of principal. The return on the notes at maturity
is linked to the performance of the Fund and will depend on whether, and the extent to which, the Fund Return is positive or negative.
Your investment will be exposed to a loss on a leveraged basis if the Final Share Price is less than the Share Strike Price by
more than 10.00%. For every 1% that the Final Share Price is less than the Share Strike Price by more than 10.00%, you will lose
an amount equal to 1.11111% of the principal amount of your notes. Accordingly, you may lose some or all of your principal amount
at maturity.
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·
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YOUR MAXIMUM GAIN
ON THE NOTES IS LIMITED BY THE MAXIMUM UPSIDE RETURN AND THE BUFFER AMOUNT — If the Final Share Price is greater than
the Share Strike Price, for each $1,000 principal amount note, you will receive at maturity $1,000 plus an additional return
that will not exceed the Maximum Upside Return of 10.00%, regardless of the appreciation of the Fund, which may be significant.
In addition, if the Final Share Price is less than the Share Strike Price by up to the Buffer Amount of 10.00%, you will receive
at maturity $1,000 plus an additional return equal to the Absolute Fund Return, up to 10.00%. Because the payment at maturity
will not reflect the Absolute Fund Return if the Final Share Price is less than the Share Strike Price by more than the Buffer
Amount of 10.00%, your maximum payment at maturity if the Fund Return is negative is $1,100.00 per $1,000 principal amount note.
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|
·
|
CREDIT RISKS OF
JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. — The notes are subject to our and JPMorgan Chase & Co.’s credit
risks, and our and JPMorgan Chase & Co.’s credit ratings and credit spreads may adversely affect the market value of
the notes. 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 — 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.
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|
·
|
POTENTIAL CONFLICTS
— We and our affiliates play a variety of roles in connection with the issuance of the notes, including acting as calculation
agent and as an agent of the offering of the notes, hedging our obligations under the notes and making the assumptions used to
determine the pricing of the notes and the estimated value of the notes when the terms of the notes are set, which we refer to
as the estimated value of the notes. 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 notes. 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 notes and the value of the notes. It is possible that hedging or trading activities of ours or
|
JPMorgan Structured Investments —
|
PS- 6
|
Capped Dual Directional Buffered Equity Notes Linked to the Industrial Select Sector SPDR® Fund
|
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 for additional
information about these risks.
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·
|
THE ESTIMATED VALUE
OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES — The estimated value of the notes
is only an estimate determined by reference to several factors. The original issue price of the notes exceeds the estimated value
of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue price
of the notes. These costs include the selling commissions, the projected profits, if any, that our affiliates expect to realize
for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under
the notes. See “The Estimated Value of the Notes” in this pricing supplement.
|
|
·
|
THE ESTIMATED VALUE
OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES — The estimated
value of the notes is determined by reference to internal pricing models of our affiliates when the terms of the notes are set.
This estimated value of the notes is based on market conditions and other relevant factors existing at that time and assumptions
about market parameters, which can include volatility, dividend rates, interest rates and other factors. 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. See “The Estimated
Value of the Notes” in this pricing supplement.
|
|
·
|
THE ESTIMATED VALUE
OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE — The internal funding rate used in the determination
of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar
maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our
affiliates’ view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management
costs of the notes in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This
internal funding rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate
the prevailing market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to
that rate may have an adverse effect on the terms of the notes and any secondary market prices of the notes. See “The Estimated
Value of the Notes” in this pricing supplement.
|
|
·
|
THE VALUE OF THE
NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED
VALUE OF THE NOTES FOR A LIMITED TIME PERIOD — We generally expect that some of the costs included in the original issue
price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that
will decline to zero over an initial predetermined period. 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 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 — 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 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. See the immediately following risk consideration for information about additional factors
that will impact any secondary market prices of the notes.
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The notes are not designed to
be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity. See “—
Lack of Liquidity” below.
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SECONDARY MARKET
PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS — The secondary market price of the notes during
their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from
the selling commissions, projected hedging profits, if any, estimated hedging costs and the price of one share of the Fund.
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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.
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NO INTEREST OR
DIVIDEND PAYMENTS OR VOTING RIGHTS — As a holder of the notes, you will not receive interest payments, and you will not
have voting rights or rights to receive cash dividends or other
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JPMorgan Structured Investments —
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PS- 7
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Capped Dual Directional Buffered Equity Notes Linked to the Industrial Select Sector SPDR® Fund
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distributions or other rights
that holders of shares of the Fund or securities held by the Fund or included in the Underlying Index would have.
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·
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THERE ARE RISKS
ASSOCIATED WITH THE FUND — Although the shares of the Fund are listed for trading on a securities exchange and a number
of similar products have been traded on securities exchanges for varying periods of time, there is no assurance that an active
trading market will continue for the shares of the Fund or that there will be liquidity in the trading market. The Fund is subject
to management risk, which is the risk that the investment strategies of the Fund’s investment adviser, the implementation
of which is subject to a number of constraints, may not produce the intended results. These constraints could adversely affect
the market price of the shares of the Fund, and consequently, the value of the notes.
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RISKS ASSOCIATED
WITH THE INDUSTRIAL SECTOR WITH RESPECT TO THE FUND — All or substantially all of the equity securities held by the Fund
are issued by companies whose primary line of business is directly associated with the industrial sector. As a result, the value
of the notes may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory
occurrence affecting this sector than a different investment linked to securities of a more broadly diversified group of issuers.
Industrial companies are affected by supply and demand both for their specific product or service and for industrial sector products
in general. Government regulation, world events, exchange rates and economic conditions, technological developments and liabilities
for environmental damage and general civil liabilities will likewise affect the performance of these companies. Aerospace and defense
companies, a component of the industrial sector, can be significantly affected by government spending policies because companies
involved in this industry rely, to a significant extent, on U.S. and foreign government demand for their products and services.
Thus, the financial condition of, and investor interest in, aerospace and defense companies are heavily influenced by governmental
defense spending policies, which are typically under pressure from efforts to control the U.S. (and other) government budgets.
Transportation securities, a component of the industrial sector, are cyclical and have occasional sharp price movements, which
may result from changes in the economy, fuel prices, labor agreements and insurance costs. These factors could affect the industrial
sector and could affect the value of the equity securities held by the Fund and the price of the Fund during the term of the notes,
which may adversely affect the value of your notes.
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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 INDEX AS WELL AS THE
NET ASSET VALUE PER SHARE — The Fund does not fully replicate its Underlying Index and may hold securities different
from those included in its Underlying Index. In addition, the performance of the Fund will reflect additional transaction costs
and fees that are not included in the calculation of its Underlying Index. All of these factors may lead to a lack of correlation
between the performance of the Fund and its Underlying Index. In addition, corporate actions with respect to the equity securities
underlying the Fund (such as mergers and spin-offs) may impact the variance between the performances of the Fund and its Underlying
Index. Finally, 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.
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During periods of market volatility, securities
underlying the Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately the net
asset value per share of the Fund and the liquidity of the Fund may be adversely affected. This kind of market volatility may also
disrupt the ability of market participants to create and redeem shares of the Fund. Further, market volatility may adversely affect,
sometimes materially, the prices at which market participants are willing to buy and sell shares of the Fund. As a result, under
these circumstances, the market value of shares of the Fund may vary substantially from the net asset value per share of the Fund.
For all of the foregoing reasons, the performance of the Fund may not correlate with the performance of its Underlying Index 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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·
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LACK OF LIQUIDITY
— The notes will not be listed on any securities exchange. JPMS intends to offer to purchase the notes 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 notes easily. Because other dealers are not likely to make a secondary market for the notes, 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.
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THE ANTI-DILUTION
PROTECTION FOR THE FUND IS LIMITED — The calculation agent will make adjustments to the Share Adjustment Factor for certain
events affecting the shares of the Fund. However, the calculation agent will not make an adjustment in response to all events that
could affect the shares of the Fund. If an event occurs that does not require the calculation agent to make an adjustment, the
value of the notes may be materially and adversely affected.
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JPMorgan Structured Investments —
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PS- 8
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Capped Dual Directional Buffered Equity Notes Linked to the Industrial Select Sector SPDR® Fund
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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 October
23, 2020. The closing price of one share of the Fund on October 28, 2020 was $74.87.
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
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 any Ending Averaging Date. There can be no assurance that the performance of the
Fund will result in the return of any of your principal amount.
The Estimated Value of the
Notes
The estimated value of the notes set forth on
the cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income
debt component with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative
or derivatives underlying the economic terms of the notes. The estimated value of the notes does not represent a minimum price
at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time. The internal funding rate
used in the determination of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed
income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on,
among other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance, operational
and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed income instruments
of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove to be
incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The use of an internal
funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any secondary market
prices of the notes. For additional information, see “Selected Risk Considerations — The Estimated Value of the Notes
Is Derived by Reference to an Internal Funding Rate” in this pricing supplement. The value of the derivative or derivatives
underlying the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent
on inputs such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are
market-observable, and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about
future market events and/or environments. Accordingly, the estimated value of the notes is determined when the terms of the notes
are set based on market conditions and other relevant factors and assumptions existing at that time. See “Selected Risk Considerations
— The Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ from Others’ Estimates”
in this pricing supplement.
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. We or one or more of our affiliates will retain any profits realized in hedging our obligations under
the notes. 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.
JPMorgan Structured Investments —
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PS- 9
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Capped Dual Directional Buffered Equity Notes Linked to the Industrial Select Sector SPDR® Fund
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Secondary Market Prices of
the Notes
For information about factors that will impact
any secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in
the accompanying product supplement. In addition, we generally expect that some of the costs included in the original issue price
of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will
decline to zero over an initial predetermined period. These costs can include selling commissions, projected hedging profits, if
any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates for structured debt issuances.
This initial predetermined time period is intended to be the shorter of six months and one-half of the stated term of the notes.
The length of any such initial period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection
with our hedging activities, the estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates.
See “Selected Risk Considerations — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer
Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this pricing
supplement.
Supplemental Use of Proceeds
The notes are offered to meet investor demand
for products that reflect the risk-return profile and market exposure provided by the notes. See “What Is the Total Return
on the Notes at Maturity, Assuming a Range of Performances for the Fund?” and “Hypothetical Examples of Amount Payable
at Maturity” in this pricing supplement for an illustration of the risk-return profile of the notes and “Selected Purchase
Considerations — Return Linked to the Industrial Select Sector SPDR® 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.
We intend to lend the net proceeds from the sale
of the notes to JPMorgan Chase & Co. and/or its affiliates (collectively “J.P. Morgan”). J.P. Morgan intends to
use the proceeds from these loans to provide additional funds for its operations and for other general corporate purposes.
Supplemental Donation Information
J.P. Morgan previously agreed to make an unconditional
and irrevocable donation of $100,000 to The Nature Conservancy to support one or several forestry projects. According to The Nature
Conservancy, these projects are part of a forest restoration initiative that aims to plant one billion healthy trees across the
globe, working to restore certain critical forests. There is no assurance that these projects will be successful or be completed
as intended. This donation and the amount of this donation are not contingent on the sale of the notes and will not impact the
final terms of the notes.
Our affiliates expect to realize profits
for assuming risks inherent in hedging our obligations under the notes. Some of these projected profits, if any, may be used to
offset a portion of the donation.
The issuance of the notes and the related use
of proceeds described above are not intended to comply with the Social Bond Principles, June 2020 and/or the Green Bond Principles,
June 2018 (the “Principles”). The Principles are voluntary process guidelines published by the International Capital
Markets Association for the issuance of social or green bonds developed by a committee of issuers, investors and other market participants.
We cannot assure you that the donation to The Nature Conservancy meets your expectations concerning environmental or sustainability
benefits, expectations for sustainable finance products or any criteria or guidelines with which you are required to comply.
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 Latham & Watkins LLP, as
special product 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 special product counsel expresses no opinion as to (i) the effect of fraudulent conveyance,
JPMorgan Structured Investments —
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PS- 10
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Capped Dual Directional Buffered Equity Notes Linked to the Industrial Select Sector SPDR® Fund
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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.
JPMorgan Structured Investments —
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PS- 11
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Capped Dual Directional Buffered Equity Notes Linked to the Industrial Select Sector SPDR® Fund
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