June 5, 2020
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Registration Statement Nos. 333-236659 and 333-236659-01; Rule 424(b)(2)
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JPMorgan Chase Financial Company LLC
Structured Investments
$2,216,000
Contingent Buffered Digital Notes Linked to the
Lesser Performing of the S&P 500® Index and the Dow Jones Industrial AverageTM due July 9, 2021
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
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The notes are designed for investors who seek a fixed return of 9.15% at maturity if the Final Value of the lesser performing
of the S&P 500® Index and the Dow Jones Industrial AverageTM, which we refer to as the Indices, is
greater than or equal to its Initial Value or is less than its Initial Value by up to 30.00%.
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Investors should be willing to forgo interest and dividend payments and be willing to lose some or all of their principal amount
at maturity.
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The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan
Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes
is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as
guarantor of the notes.
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Payments on the notes are not linked to a basket composed of the Indices. Payments on the notes are linked to the performance
of each of the Indices individually, as described below.
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Minimum denominations of $1,000 and integral multiples thereof
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The notes priced on June 5, 2020 and are expected to settle on or about June 10, 2020.
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Investing in the notes involves a number of risks. See “Risk
Factors” beginning on page S-2 of the accompanying prospectus supplement, “Risk Factors” beginning on page PS-10
of the accompanying product supplement, “Risk Factors” beginning on page US-1 of the accompanying underlying supplement
and “Selected Risk Considerations” beginning on page PS-3 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
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—
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$1,000
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Total
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$2,216,000
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—
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$2,216,000
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(1) See “Supplemental Use of Proceeds”
in this pricing supplement for information about the components of the price to public of the notes.
(2) All
sales of the notes will be made to certain fee-based advisory accounts for which an affiliated or unaffiliated broker-dealer is
an investment adviser. These broker-dealers will forgo any commissions related to these sales. 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 $992.50 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.
Pricing supplement to product supplement no
4-I dated April 8, 2020, underlying supplement no. 1-I dated April 8, 2020
and the prospectus and prospectus supplement,
each dated April 8, 2020
Key
Terms
Issuer:
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan
Chase & Co.
Guarantor:
JPMorgan Chase & Co.
Indices:
The S&P 500® Index (Bloomberg ticker: SPX) and the Dow Jones Industrial AverageTM
(Bloomberg ticker: INDU)
Contingent
Digital Return: 9.15%
Contingent Buffer Amount:
30.00%
Pricing
Date: June 5, 2020
Original
Issue Date (Settlement Date): On or about June 10, 2020
Observation
Date*: July 6, 2021
Maturity
Date*: July 9, 2021
* 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 Multiple Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying
product supplement
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Payment at Maturity:
If the Final Value of each Index is greater than or equal to
its Initial Value or is less than its Initial Value by up to the Contingent Buffer Amount, your payment at maturity per $1,000
principal amount note will be calculated as follows:
$1,000 + ($1,000 × Contingent Digital
Return)
If the Final Value of either Index is less than its Initial
Value by more than the Contingent Buffer Amount, your payment at maturity per $1,000 principal amount note will be calculated as
follows:
$1,000 + ($1,000 × Lesser Performing
Index Return)
If the Final Value of either Index is less than its Initial
Value by more than the Contingent Buffer Amount, you will lose more than 30.00% of your principal amount at maturity and could
lose all of your principal amount at maturity.
Lesser Performing Index: The
Index with the Lesser Performing Index Return
Lesser Performing Index Return: The
lower of the Index Returns of the Indices
Index Return:
With respect to each Index,
(Final Value – Initial Value)
Initial Value
Initial
Value: With respect to each Index, the closing
level of that Index on the Pricing Date, which was 3,193.93 for the S&P 500® Index and 27,110.98 for the Dow
Jones Industrial AverageTM
Final
Value: With respect to each Index, the closing level of that Index on the Observation
Date
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PS-1
| Structured Investments
Contingent Buffered Digital Notes Linked to the Lesser
Performing of the S&P 500® Index and the Dow Jones Industrial AverageTM
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Hypothetical
Payout Profile
The following table and graph illustrate the
hypothetical total return and payment at maturity on the notes linked to two hypothetical Indices. The “total return”
as used in this pricing supplement is the number, expressed as a percentage, that results from comparing the payment at maturity
per $1,000 principal amount note to $1,000. The hypothetical total returns and payments set forth below assume the following:
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an Initial Value for the Lesser Performing Index of 100.00;
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a Contingent Digital Return of 9.15%; and
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a Contingent Buffer Amount of 30.00%.
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The hypothetical Initial Value of the Lesser
Performing Index of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value of either
Index. The actual Initial Value of each Index is the closing level of that Index on the Pricing Date and is specified under “Key
Terms — Initial Value” in this pricing supplement. For historical data regarding the actual closing levels of each
Index, please see the historical information set forth under “The Indices” in this pricing supplement.
Each hypothetical total return or hypothetical
payment at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity
applicable to a purchaser of the notes. The numbers appearing in the following table and graph have been rounded for ease of analysis.
Final Value of the
Lesser Performing
Index
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Lesser Performing Index
Return
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Total Return on the Notes
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Payment at Maturity
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180.00
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80.00%
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9.15%
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$1,091.50
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165.00
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65.00%
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9.15%
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$1,091.50
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150.00
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50.00%
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9.15%
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$1,091.50
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140.00
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40.00%
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9.15%
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$1,091.50
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130.00
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30.00%
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9.15%
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$1,091.50
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120.00
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20.00%
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9.15%
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$1,091.50
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110.00
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10.00%
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9.15%
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$1,091.50
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109.15
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9.15%
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9.15%
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$1,091.50
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105.00
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5.00%
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9.15%
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$1,091.50
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101.00
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1.00%
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9.15%
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$1,091.50
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100.00
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0.00%
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9.15%
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$1,091.50
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99.99
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-0.01%
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9.15%
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$1,091.50
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95.00
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-5.00%
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9.15%
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$1,091.50
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90.00
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-10.00%
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9.15%
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$1,091.50
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80.00
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-20.00%
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9.15%
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$1,091.50
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70.00
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-30.00%
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9.15%
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$1,091.50
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69.99
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-30.01%
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-30.01%
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$699.90
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60.00
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-40.00%
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-40.00%
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$600.00
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50.00
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-50.00%
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-50.00%
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$500.00
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40.00
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-60.00%
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-60.00%
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$400.00
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30.00
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-70.00%
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-70.00%
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$300.00
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20.00
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-80.00%
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-80.00%
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$200.00
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10.00
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-90.00%
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-90.00%
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$100.00
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0.00
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-100.00%
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-100.00%
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$0.00
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PS-2
| Structured Investments
Contingent Buffered Digital Notes Linked to the Lesser
Performing of the S&P 500® Index and the Dow Jones Industrial AverageTM
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The following graph demonstrates the hypothetical
payments at maturity on the notes for a sub-set of Lesser Performing Index Returns detailed in the table above (-80% to 80%). There
can be no assurance that the performance of the Lesser Performing Index will result in the return of any of your principal amount.
How the Notes Work
Upside Scenario:
If the Final Value of each Index is greater than
or equal to its Initial Value or is less than its Initial Value by up to the Contingent Buffer Amount of 30.00%, investors will
receive at maturity the $1,000 principal amount plus a fixed return equal to the Contingent Digital Return of 9.15%, which
reflects the maximum return at maturity.
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If the closing level of the Lesser Performing Index increases 5.00%, investors will receive at maturity a 9.15% return, or
$1,091.50 per $1,000 principal amount note.
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If the closing level of the Lesser Performing Index increases 50.00%, investors will receive at maturity a 9.15% return, or
$1,091.50 per $1,000 principal amount note.
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If the closing level of the Lesser Performing Index decreases 5.00%, investors will receive at maturity a 9.15% return, or
$1,091.50 per $1,000 principal amount note.
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Downside Scenario:
If the Final Value of either Index is less than
its Initial Value by more than the Contingent Buffer Amount of 30.00%, investors will lose 1% of the principal amount of their
notes for every 1% that the Final Value of the Lesser Performing Index is less than its Initial Value.
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For example, if the closing level of the Lesser Performing Index declines 60.00%, investors will lose 60.00% of their principal
amount and receive only $400.00 per $1,000 principal amount note at maturity.
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The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect the
fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the
hypothetical returns and hypothetical payments shown above would likely be lower.
Selected
Risk Considerations
An investment in the notes involves significant
risks. These risks are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement,
product supplement and underlying supplement.
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YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
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The notes do not guarantee any return
of principal. If the Final Value of either Index is less than its Initial Value by more than 30.00%, you will lose 1% of the principal
amount of your notes for every 1% that the Final Value of the Lesser Performing Index is less than its Initial Value. Accordingly,
under these circumstances, you will lose more than 30.00% of your principal amount at maturity and could lose all of your principal
amount at maturity.
PS-3
| Structured Investments
Contingent Buffered Digital Notes Linked to the Lesser
Performing of the S&P 500® Index and the Dow Jones Industrial AverageTM
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YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE CONTINGENT DIGITAL RETURN,
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regardless of any appreciation of either
Index, which may be significant.
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YOUR ABILITY TO RECEIVE THE CONTINGENT DIGITAL RETURN MAY TERMINATE ON THE OBSERVATION DATE —
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If the Final Value of either Index is
less than its Initial Value by more than the Contingent Buffer Amount, you will not be entitled to receive the Contingent Digital
Return at maturity. Under these circumstances, you will lose more than 30.00% of your principal amount at maturity and could lose
all of your principal amount at maturity.
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CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
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Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase &
Co.’s creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely
affect the value of the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive
any amounts owed to you under the notes and you could lose your entire investment.
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AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS —
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As a finance subsidiary of JPMorgan Chase
& Co., we have no independent operations beyond the issuance and administration of our securities. Aside from the initial capital
contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates to make payments
under loans made by us or other intercompany agreements. As a result, we are dependent upon payments from our affiliates to meet
our obligations under the notes. If these affiliates do not make payments to us and we fail to make payments on the notes, you
may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu
with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
We and our affiliates play a variety
of roles in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests
are potentially adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours
or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the value of
the notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying
product supplement.
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JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE INDICES,
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but JPMorgan Chase & Co. will not
have any obligation to consider your interests in taking any corporate action that might affect the level of either Index.
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YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX —
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Payments on the notes are not linked
to a basket composed of the Indices and are contingent upon the performance of each individual Index. Poor performance by either
of the Indices over the term of the notes may negatively affect your payment at maturity and will not be offset or mitigated by
positive performance by the other Index.
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YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LESSER PERFORMING INDEX.
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THE BENEFIT PROVIDED BY THE CONTINGENT BUFFER AMOUNT MAY TERMINATE ON THE OBSERVATION DATE —
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If the Final Value of either Index is
less than its Initial Value by more than the Contingent Buffer Amount, the benefit provided by the Contingent Buffer Amount will
terminate and you will be fully exposed to any depreciation of the Lesser Performing Index.
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THE NOTES DO NOT PAY INTEREST.
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YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN EITHER INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES.
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THE RISK OF THE CLOSING LEVEL OF AN INDEX FALLING BELOW ITS INITIAL VALUE BY MORE THAN THE CONTINGENT BUFFER AMOUNT IS GREATER
IF THE LEVEL OF THAT INDEX IS VOLATILE.
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The notes will not be listed on any securities
exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which
J.P. Morgan Securities LLC, which we refer to as JPMS, is willing to buy the notes.
PS-4
| Structured Investments
Contingent Buffered Digital Notes Linked to the Lesser
Performing of the S&P 500® Index and the Dow Jones Industrial AverageTM
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You may not be able to sell your notes. The notes are
not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
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THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES —
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The estimated value of the notes is only
an estimate determined by reference to several factors. The original issue price of the notes exceeds the estimated value of the
notes because costs associated with structuring and hedging the notes are included in the original issue price of the notes. These
costs include the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes and the estimated cost of hedging our obligations under the notes. See “The Estimated Value of the Notes”
in this pricing supplement.
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THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES
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See “The Estimated Value of the
Notes” in this pricing supplement.
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THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
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The internal funding rate used in the
determination of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments
of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things,
our and our affiliates’ view of the funding value of the notes as well as the higher issuance, operational and ongoing liability
management costs of the notes in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase &
Co. This internal funding rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended
to approximate the prevailing market replacement funding rate for the notes. The use of an internal funding rate and any potential
changes to that rate may have an adverse effect on the terms of the notes and any secondary market prices of the notes. See “The
Estimated Value of the Notes” in this pricing supplement.
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THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN
THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
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We generally expect that some of the
costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of
your notes by JPMS in an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices
of the Notes” in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated
value of your notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be
shown on your customer account statements).
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SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
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Any secondary market prices of the notes
will likely be lower than the original issue price of the notes because, among other things, secondary market prices take into
account our internal secondary market funding rates for structured debt issuances and, also, because secondary market prices may
exclude projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the notes.
As a result, the price, if any, at which JPMS will be willing to buy the notes from you in secondary market transactions, if at
all, is likely to be lower than the original issue price. Any sale by you prior to the Maturity Date could result in a substantial
loss to you.
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SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
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The secondary market price of the notes
during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside
from the projected hedging profits, if any, estimated hedging costs and the levels of the Indices. Additionally, independent pricing
vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your
notes in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying
product supplement.
PS-5
| Structured Investments
Contingent Buffered Digital Notes Linked to the Lesser
Performing of the S&P 500® Index and the Dow Jones Industrial AverageTM
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The
Indices
The S&P 500® Index consists of
stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For additional information about
the S&P 500® Index, see “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying
underlying supplement.
The Dow Jones Industrial AverageTM consists
of 30 common stocks chosen as representative of the broad market of U.S. industry. For additional information about the Dow Jones
Industrial AverageTM, see “Equity Index Descriptions — The Dow Jones Industrial AverageTM”
in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical
performance of each Index based on the weekly historical closing levels from January 2, 2015 through June 5, 2020. The closing
level of the S&P 500® Index on June 5, 2020 was 3,193.93. The closing level of the Dow Jones Industrial AverageTM
on June 5, 2020 was 27,110.98. We obtained the closing levels above and below from the Bloomberg Professional® service
(“Bloomberg”), without independent verification.
The historical closing levels of each Index
should not be taken as an indication of future performance, and no assurance can be given as to the closing level of either Index
on the Observation Date. There can be no assurance that the performance of the Indices will result in the return of any of your
principal amount.
PS-6
| Structured Investments
Contingent Buffered Digital Notes Linked to the Lesser
Performing of the S&P 500® Index and the Dow Jones Industrial AverageTM
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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, Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing
of notes.
Based
on current market conditions, in the opinion of our special tax counsel it is reasonable to treat the notes as “open transactions”
that are not debt instruments for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income
Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments”
in the accompanying product supplement. Assuming this treatment is respected, the gain or loss on your notes should be treated
as 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. However, the IRS or a court may not respect this treatment, in which case the timing and character of any income
or loss on the notes could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting
comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice
focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment.
It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments;
the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any,
to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether
these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate
to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. While the notice requests
comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration
of these issues could materially and adversely affect the tax consequences of an investment in the notes, possibly with retroactive
effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, including
possible alternative treatments and the issues presented by this notice.
Section
871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding
tax (unless an income tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain
financial instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions
to this withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in
the applicable Treasury regulations. Additionally, a recent IRS notice excludes from the scope of Section 871(m) instruments
issued prior to January 1, 2023 that do not have a delta of one with respect to underlying securities that could pay U.S.-source
dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on certain determinations
made by us, our special tax counsel is of the opinion that Section 871(m) should not apply to the notes with regard to Non-U.S.
Holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m)
is complex and its application may depend on your particular circumstances, including whether you enter into other transactions
with respect to an Underlying Security. You should consult your tax adviser regarding the potential application of Section
871(m) to the notes.
The
Estimated Value of the Notes
The estimated value of the notes set forth
on the cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income
debt component with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative
or derivatives underlying the economic terms of the notes. The estimated value of the notes does not represent a minimum price
at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time. The internal funding rate
used in the determination of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed
income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on,
among other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance, operational
and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed income instruments
of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove to be
incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The use of an internal
funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any secondary market
prices of the notes. For additional information, see “Selected Risk Considerations — 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.
PS-7
| Structured Investments
Contingent Buffered Digital Notes Linked to the Lesser
Performing of the S&P 500® Index and the Dow Jones Industrial AverageTM
|
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The estimated value of the notes does not
represent future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could
provide valuations for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions
and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value
of the notes could change significantly based on, among other things, changes in market conditions, our or JPMorgan Chase &
Co.’s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at which
JPMS would be willing to buy notes from you in secondary market transactions.
The estimated value of the notes is lower
than the original issue price of the notes because costs associated with structuring and hedging the notes are included in the
original issue price of the notes. These costs include the projected profits, if any, that our affiliates expect to realize for
assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the
notes. Because hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may
result in a profit that is more or less than expected, or it may result in a loss. A portion of the profits, if any, realized in
hedging our obligations under the notes may be allowed to other affiliated or unaffiliated dealers, and we or one or more of our
affiliates will retain any remaining hedging profits. See “Selected Risk Considerations — The Estimated Value of the
Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact
any secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in
the accompanying product supplement. In addition, we generally expect that some of the costs 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 projected hedging profits, if any, and, in some circumstances,
estimated hedging costs and our internal secondary market funding rates for structured debt issuances. This initial predetermined
time period is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial
period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities,
the estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates. See “Selected
Risk Considerations — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements)
May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this pricing supplement.
Supplemental
Use of Proceeds
The notes are offered to meet investor demand
for products that reflect the risk-return profile and market exposure provided by the notes. See “Hypothetical Payout Profile”
and “How the Notes Work” in this pricing supplement for an illustration of the risk-return profile of the notes and
“The Indices” 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 (minus) the projected profits (losses) that our affiliates expect to realize for
assuming risks inherent in hedging our obligations under the notes, plus the estimated cost of hedging our obligations under the
notes.
Supplemental
Plan of Distribution
We expect that delivery of the notes will be
made against payment for the notes on or about the Original Issue Date set forth on the front cover of this pricing supplement,
which will be the third business day following the Pricing Date of the notes (this settlement cycle being referred to as “T+3”).
Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to
settle in two business days, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade
notes on any date prior to two business days before delivery will be required to specify an alternate settlement cycle at the time
of any such trade to prevent a failed settlement and should consult their own advisors.
Validity
of the Notes and the Guarantee
In the opinion
of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes
offered by this pricing supplement have been executed and issued by JPMorgan Financial and authenticated by the trustee pursuant
to the indenture, and delivered against payment as contemplated herein, such notes will be valid and binding obligations of JPMorgan
Financial and the related guarantee will constitute a valid and binding obligation of JPMorgan Chase & Co., enforceable in
accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally,
concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith,
fair dealing and the lack of bad faith), provided that such counsel expresses no opinion as to (i) the effect of fraudulent
conveyance, fraudulent transfer
PS-8
| Structured Investments
Contingent Buffered Digital Notes Linked to the Lesser
Performing of the S&P 500® Index and the Dow Jones Industrial AverageTM
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or similar provision of applicable law
on the conclusions expressed above or (ii) any provision of the indenture that purports to avoid the effect of fraudulent conveyance,
fraudulent transfer or similar provision of applicable law by limiting the amount of JPMorgan Chase & Co.’s obligation
under the related guarantee. This opinion is given as of the date hereof and is limited to the laws of the State of New York, the
General Corporation Law of the State of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject
to customary assumptions about the trustee’s authorization, execution and delivery of the indenture and its authentication
of the notes and the validity, binding nature and enforceability of the indenture with respect to the trustee, all as stated in
the letter of such counsel dated February 26, 2020, which was filed as an exhibit to the Registration Statement on Form S-3 by
JPMorgan Financial and JPMorgan Chase & Co. on February 26, 2020.
Additional
Terms Specific to the Notes
You should read this pricing supplement together
with the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term
notes of which these notes are a part, and the more detailed information contained in the accompanying product supplement 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 prospectus supplement, 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):
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Product supplement no. 4-I dated April 8, 2020:
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Underlying supplement no. 1-I dated April 8, 2020:
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Prospectus supplement and prospectus, each dated April 8, 2020:
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Our Central Index Key, or CIK, on the SEC website
is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us”
and “our” refer to JPMorgan Financial.
PS-9
| Structured Investments
Contingent Buffered Digital Notes Linked to the Lesser
Performing of the S&P 500® Index and the Dow Jones Industrial AverageTM
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