January 20, 2021
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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
$1,000,000
Capped Buffered Return Enhanced Notes Linked
to the ARK Innovation ETF due January 26, 2022
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
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The notes are designed for investors who seek a return of 1.50 times any appreciation of the ARK Innovation ETF, up to a maximum
return of 22.00%, at maturity.
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Investors should be willing to forgo interest and dividend payments and be willing to lose up to 85.00% of their principal
amount at maturity.
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The Fund is actively managed and is subject to additional risks. Unlike a passively managed fund, an actively managed
fund does not attempt to track an index or other benchmark, and the investment decisions for an actively managed fund are instead
made by its investment adviser. See “Selected Risk Considerations — Risks Relating to the Fund — An
Investment in the Notes Is Subject to Risks Associated with Actively Managed Funds” in this pricing supplement for more information.
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The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan
Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes
is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as
guarantor of the notes.
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Minimum denominations of $1,000 and integral multiples thereof
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The notes priced on January 20, 2021 and are expected to settle on or about January 25, 2021.
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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-12 of the accompanying product supplement and “Selected Risk Considerations” beginning on page PS-4 of this
pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this
pricing supplement or the accompanying product supplement, prospectus supplement and prospectus. Any representation to the contrary
is a criminal offense.
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Price to Public (1)
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Fees and Commissions (2)
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Proceeds to Issuer
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Per note
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$1,000
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$3.50
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$996.50
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Total
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$1,000,000
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$3,500
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$996,500
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(1) See “Supplemental Use of Proceeds”
in this pricing supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer
to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions of $3.50 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 $953.70 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-II
dated November 4, 2020
and the prospectus and prospectus supplement, each dated April 8, 2020
Key
Terms
Issuer:
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary
of JPMorgan Chase & Co.
Guarantor:
JPMorgan Chase & Co.
Fund: The
ARK Innovation ETF (Bloomberg ticker: ARKK)
Maximum Return:
22.00% (corresponding to a maximum payment at maturity of $1,220.00 per $1,000
principal amount note)
Upside Leverage
Factor: 1.50
Buffer Amount:
15.00%
Pricing
Date: January 20, 2021
Original Issue
Date (Settlement Date): On or about January 25, 2021
Observation
Date*: January 21, 2022
Maturity Date*:
January 26, 2022
* Subject to postponement in the event of a market
disruption event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes
Linked to a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General
Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
Payment at Maturity:
If the Final Value is greater than the Initial Value, your payment
at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Fund Return ×
Upside Leverage Factor), subject to the Maximum Return
If the Final Value is equal to the Initial Value or is less
than the Initial Value by up to the Buffer Amount, you will receive the principal amount of your notes at maturity.
If the Final Value is less than the Initial Value by more than
the Buffer Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + [$1,000 × (Fund Return +
Buffer Amount)]
If the Final Value is less
than the Initial Value by more than the Buffer Amount, you will lose some or most of your principal amount at maturity.
Fund Return:
(Final
Value – Initial Value)
Initial Value
Initial Value:
The closing price of one share of the Fund on the Pricing Date, which
was $147.11
Final Value:
The closing price of one share of the Fund on the Observation Date
Share Adjustment
Factor: The Share Adjustment Factor is referenced in determining the
closing price of one share of the Fund and is set equal to 1.0 on the Pricing Date. The Share Adjustment Factor is subject to adjustment
upon the occurrence of certain events affecting the Fund. See “The Underlyings — Funds — Anti-Dilution Adjustments”
in the accompanying product supplement for further information.
PS-1
| Structured Investments
Capped Buffered Return Enhanced Notes Linked to the ARK
Innovation ETF
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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 a hypothetical Fund. 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 of $100.00;
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a Maximum Return of 22.00%;
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an Upside Leverage Factor of 1.50; and
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a Buffer Amount of 15.00%.
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The hypothetical Initial Value of $100.00 has
been chosen for illustrative purposes only and does not represent the actual Initial Value. The actual Initial Value is the closing
price of one share of the Fund on the Pricing Date and is specified under “Key Terms — Initial Value” in this
pricing supplement. For historical data regarding the actual closing prices of one share of the Fund, please see the historical
information set forth under “The Fund” in this pricing supplement.
Each hypothetical total return or hypothetical
payment at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity
applicable to a purchaser of the notes. The numbers appearing in the following table and graph have been rounded for ease of analysis.
Final Value
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Fund Return
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Total Return on the Notes
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Payment at Maturity
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$180.0000
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80.0000%
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22.00%
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$1,220.00
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$165.0000
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65.0000%
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22.00%
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$1,220.00
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$150.0000
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50.0000%
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22.00%
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$1,220.00
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$140.0000
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40.0000%
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22.00%
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$1,220.00
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$130.0000
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30.0000%
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22.00%
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$1,220.00
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$120.0000
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20.0000%
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22.00%
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$1,220.00
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$114.6667
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14.6667%
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22.00%
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$1,220.00
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$110.0000
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10.0000%
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15.00%
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$1,150.00
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$105.0000
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5.0000%
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7.50%
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$1,075.00
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$101.0000
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1.0000%
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1.50%
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$1,015.00
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$100.0000
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0.0000%
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0.00%
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$1,000.00
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$95.0000
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-5.0000%
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0.00%
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$1,000.00
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$90.0000
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-10.0000%
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0.00%
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$1,000.00
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$85.0000
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-15.0000%
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0.00%
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$1,000.00
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$80.0000
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-20.0000%
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-5.00%
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$950.00
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$70.0000
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-30.0000%
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-15.00%
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$850.00
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$60.0000
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-40.0000%
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-25.00%
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$750.00
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$50.0000
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-50.0000%
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-35.00%
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$650.00
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$40.0000
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-60.0000%
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-45.00%
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$550.00
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$30.0000
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-70.0000%
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-55.00%
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$450.00
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$20.0000
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-80.0000%
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-65.00%
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$350.00
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$10.0000
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-90.0000%
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-75.00%
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$250.00
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$0.0000
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-100.0000%
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-85.00%
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$150.00
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PS-2
| Structured Investments
Capped Buffered Return Enhanced Notes Linked to the ARK
Innovation ETF
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The following graph demonstrates the hypothetical
payments at maturity on the notes for a sub-set of Fund Returns detailed in the table above (-50% to 50%). There can be no assurance
that the performance of the Fund will result in the return of any of your principal amount in excess of $150.00 per $1,000 principal
amount note, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
How
the Notes Work
Upside Scenario:
If the Final Value is greater than the Initial
Value, investors will receive at maturity the $1,000 principal amount plus a return equal to the Fund Return times the
Upside Leverage Factor of 1.50, up to the Maximum Return of 22.00%. An investor will realize the maximum payment at maturity at
a Final Value at or above approximately 114.6667% or more of the Initial Value.
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If the closing price of one share of the Fund increases 5.00%,
investors will receive at maturity a 7.50% return, or $1,075.00 per $1,000 principal amount note.
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If the closing price of one share of the Fund increases 40.00%, investors will receive at maturity
a return equal to the 22.00% Maximum Return, or $1,220.00 per $1,000 principal amount note, which is the maximum payment at maturity.
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Par Scenario:
If the Final Value is equal to the Initial Value
or is less than the Initial Value by up to the Buffer Amount of 15.00%, investors will receive at maturity the principal amount
of their notes.
Downside Scenario:
If the Final Value is less than the Initial Value
by more than the Buffer Amount of 15.00%, investors will lose 1% of the principal amount of their notes for every 1% that the Final
Value is less than the Initial Value by more than the Buffer Amount.
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For example, if the closing price of one share of the Fund
declines 60.00%, investors will lose 45.00% of their principal amount and receive only $550.00 per $1,000 principal amount note
at maturity, calculated as follows:
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$1,000 + [$1,000
× (-60.00% + 15.00%)] = $550.00
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 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.
PS-3
| Structured Investments
Capped Buffered Return Enhanced Notes Linked to the ARK
Innovation ETF
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Selected
Risk Considerations
An investment in the notes involves significant
risks. These risks are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement
and product supplement.
Risks Relating to the Notes Generally
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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 is less than the Initial Value by more than 15.00%, you will lose 1% of the principal amount of
your notes for every 1% that the Final Value is less than the Initial Value by more than 15.00%. Accordingly, under these circumstances,
you will lose up to 85.00 % of your principal amount at maturity.
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YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE MAXIMUM RETURN,
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regardless of
any appreciation of the Fund, which may be significant.
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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.
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THE NOTES DO NOT PAY INTEREST.
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YOU WILL NOT RECEIVE DIVIDENDS ON THE FUND OR THE SECURITIES HELD BY THE FUND
OR HAVE ANY RIGHTS WITH RESPECT TO THE FUND OR THOSE SECURITIES.
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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 JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term
trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
Risks Relating to Conflicts of Interest
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.
Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes
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THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE
TO PUBLIC) OF THE NOTES —
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The estimated value of the notes is
only an estimate determined by reference to several factors. The original issue price of the notes exceeds the estimated value
of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue price
of the notes. These costs include the selling commissions, the projected profits, if any, that our affiliates expect to realize
for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under
the notes. See “The Estimated Value of the Notes” in this pricing supplement.
PS-4
| Structured Investments
Capped Buffered Return Enhanced Notes Linked to the ARK
Innovation ETF
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THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES
AND MAY DIFFER FROM OTHERS’ ESTIMATES —
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See “The Estimated Value of the
Notes” in this pricing supplement.
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THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING
RATE —
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The internal funding rate used in the
determination of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments
of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things,
our and our affiliates’ view of the funding value of the notes as well as the higher issuance, operational and ongoing liability
management costs of the notes in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase &
Co. This internal funding rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended
to approximate the prevailing market replacement funding rate for the notes. The use of an internal funding rate and any potential
changes to that rate may have an adverse effect on the terms of the notes and any secondary market prices of the notes. See “The
Estimated Value of the Notes” in this pricing supplement.
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THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER
ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
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We generally expect that some of the
costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of
your notes by JPMS in an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices
of the Notes” in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated
value of your notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be
shown on your customer account statements).
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SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE
PRICE OF THE NOTES —
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Any secondary market prices of the
notes will likely be lower than the original issue price of the notes because, among other things, secondary market prices take
into account our internal secondary market funding rates for structured debt issuances and, also, because secondary market prices
may exclude selling commissions, projected hedging profits, if any, and estimated hedging costs that are included in the original
issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy the notes from you in secondary
market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the Maturity Date
could result in a substantial loss to you.
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SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET
FACTORS —
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The secondary market price of the notes
during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside
from the selling commissions, projected hedging profits, if any, estimated hedging costs and the price of one share of the Fund.
Additionally, independent pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be
reflected on customer account statements. This price may be different (higher or lower) than the price of the notes, if any, at
which JPMS may be willing to purchase your notes in the secondary market. See “Risk Factors — Risks Relating to the
Estimated Value and Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many
economic and market factors” in the accompanying product supplement.
Risks Relating to the Fund
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AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH ACTIVELY MANAGED FUNDS —
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The Fund is actively managed. Unlike
a passively managed fund, an actively managed fund does not attempt to track an index or other benchmark, and the investment decisions
for an actively managed fund are instead made by its investment adviser. The investment adviser of an actively managed fund may
adopt a strategy or strategies that are significantly higher risk than the indexing strategy that would have been employed by a
passively managed fund. As an actively managed fund, the Fund is subject to management risk. In managing an actively managed fund,
the investment adviser of a fund applies investment strategies, techniques and analyses in making investment decisions for that
fund, but there can be no guarantee that these actions will produce the intended results. The ability of the Fund’s investment
adviser to successfully implement the Fund’s investment strategy will significantly influence the market price of the shares
of the Fund and, consequently, the value of the 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 NET ASSET VALUE PER SHARE —
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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. During periods of market
PS-5
| Structured Investments
Capped Buffered Return Enhanced Notes Linked to the ARK
Innovation ETF
|
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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 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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RISKS ASSOCIATED WITH DISRUPTIVE INNOVATION COMPANIES —
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The Fund’s investment strategy
involves exposure to companies that the investment adviser believes are capitalizing on disruptive innovation and developing technologies
to displace older technologies or create new markets (“disruptive innovation companies”). However, the companies selected
by the investment adviser may not in fact do so. Companies that initially develop a novel technology may not be able to capitalize
on the technology. Companies that develop disruptive technologies may face political or legal attacks from competitors, industry
groups or local and national governments. These companies may also be exposed to risks applicable to sectors other than the disruptive
innovation theme for which they are chosen, and the securities issued by these companies may underperform the securities of other
companies that are primarily focused on a particular theme. The Fund may invest in companies that do not currently derive any revenue
from disruptive innovations or technologies, and there is no assurance that any company will derive any revenue from disruptive
innovations or technologies in the future. A disruptive innovation or technology may constitute a small portion of any company’s
overall business. As a result, the success of a disruptive innovation or technology may not affect the value of the equity securities
issued by that company.
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AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH MID-SIZE, SMALL AND MICRO-CAPITALIZATION
STOCKS —
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Some of the equity securities held
by the Fund have been issued by mid-size, small or micro-capitalization companies. Mid-size, small and micro-capitalization companies
may be less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Mid-size,
small and micro-capitalization companies are less likely to pay dividends on their stocks, and the presence of a dividend payment
could be a factor that limits downward stock price pressure under adverse market conditions.
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NON-U.S. SECURITIES RISK —
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Some of the equity securities held by
the Fund have been issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity securities
involve risks associated with the securities markets in the home countries of the issuers of those non-U.S. equity securities.
Also, there is generally less publicly available information about companies in some of these jurisdictions than there is about
U.S. companies that are subject to the reporting requirements of the SEC.
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EMERGING MARKETS RISK —
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Some of the equity securities held
by the Fund have been issued by non-U.S. companies located in emerging markets countries. Countries with emerging markets
may have relatively unstable governments, may present the risks of nationalization of businesses, restrictions on foreign ownership
and prohibitions on the repatriation of assets, and may have less protection of property rights than more developed countries.
The economies of countries with emerging markets may be based on only a few industries, may be highly vulnerable to changes in
local or global trade conditions, and may suffer from extreme and volatile debt burdens or inflation rates. Local securities
markets may trade a small number of securities and may be unable to respond effectively to increases in trading volume, potentially
making prompt liquidation of holdings difficult or impossible at times.
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THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED —
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The calculation agent will make adjustments
to the Share Adjustment Factor for certain events affecting the shares of the Fund. However, the calculation agent will not make
an adjustment in response to all events that could affect the shares of the Fund. If an event occurs that does not require the
calculation agent to make an adjustment, the value of the notes may be materially and adversely affected.
PS-6
| Structured Investments
Capped Buffered Return Enhanced Notes Linked to the ARK
Innovation ETF
|
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The
Fund
The Fund is an actively-managed exchange-traded
fund of ARK ETF Trust, a registered investment company, with an investment objective of long-term growth of capital, that primarily
invests in equity securities of U.S. and non-U.S. companies relevant to the Fund’s investment theme of disruptive innovation.
For additional information about the Fund, see Annex A in this pricing supplement.
Historical Information
The following graph sets forth the historical
performance of the Fund based on the weekly historical closing prices of one share of the Fund from January 8, 2016 through January
15, 2021. The closing price of one share of the Fund on January 20, 2021 was $147.11. We obtained the closing prices above and
below from the Bloomberg Professional® service (“Bloomberg”), without independent verification. The
closing prices above and below may have been adjusted by Bloomberg for actions taken by the Fund, such as stock splits.
The historical closing prices of one share
of the Fund should not be taken as an indication of future performance, and no assurance can be given as to the closing price of
one share of the Fund on the Observation Date. There can be no assurance that the performance of the Fund will result in the return
of any of your principal amount in excess of $150.00 per $1,000 principal amount note, subject to the credit risks of JPMorgan
Financial and JPMorgan Chase & Co.
Tax
Treatment
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-II. The following discussion,
when read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell
LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes.
Based on current market conditions, in the
opinion of our special tax counsel it is reasonable to treat the notes as “open transactions” that are not debt instruments
for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences—Tax
Consequences to U.S. Holders—Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying
product supplement. Assuming this treatment is respected, subject to the possible application of the “constructive
ownership” rules, the gain or loss on your notes should be treated as long-term capital gain or loss if you hold your notes
for more than a year, whether or not you are an initial purchaser of notes at the issue price. The notes could be treated
as “constructive ownership transactions” within the meaning of Section 1260 of the Code, in which case any gain recognized
in respect of the notes that would otherwise be long-term capital gain and that was in excess of the “net underlying long-term
capital gain” (as defined in Section 1260) would be treated as ordinary income, and a notional interest charge would apply
as if that income had accrued for tax purposes at a constant yield over your holding period for the notes. Our special tax
counsel has not expressed an opinion with respect to whether the constructive ownership rules apply to the notes. Accordingly,
U.S. Holders should consult their tax advisers regarding the potential application of the constructive ownership rules.
PS-7
| Structured Investments
Capped Buffered Return Enhanced Notes Linked to the ARK
Innovation ETF
|
|
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.
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 — Risks Relating to the Estimated
Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Derived by Reference to an Internal
Funding Rate” in this pricing supplement.
The value of the derivative or derivatives
underlying the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent
on inputs such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are
market-observable, and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about
future market events and/or environments. Accordingly, the estimated value of the notes is determined when the terms of the notes
are set based on market conditions and other relevant factors and assumptions existing at that time.
The estimated value of the notes does not
represent future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could
provide valuations for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions
and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value
of the notes could change significantly based on, among other things, changes in market conditions, our or JPMorgan Chase &
Co.’s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at which
JPMS would be willing to buy notes from you in secondary market transactions.
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Innovation ETF
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The estimated value of the notes is lower
than the original issue price of the notes because costs associated with selling, structuring and hedging the notes are included
in the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated
dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk
and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected,
or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes may be allowed
to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits.
See “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
— 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 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 — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
— The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than
the Then-Current Estimated Value of the Notes for a Limited Time Period” in this pricing supplement.
Supplemental
Use of Proceeds
The notes are offered to meet investor demand
for products that reflect the risk-return profile and market exposure provided by the notes. See “Hypothetical Payout Profile”
and “How the Notes Work” in this pricing supplement for an illustration of the risk-return profile of the notes and
“The Fund” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is
equal to the estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers,
plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes, plus the estimated cost of hedging our obligations under the notes.
Supplemental
Plan of Distribution
We expect that delivery of the notes will be made
against payment for the notes on or about the Original Issue Date set forth on the front cover of this pricing supplement, which
will be the third business day following the Pricing Date of the notes (this settlement cycle being referred to as “T+3”).
Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to
settle in two business days, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade
notes on any date prior to two business days before delivery will be required to specify an alternate settlement cycle at the time
of any such trade to prevent a failed settlement and should consult their own advisors.
Validity
of the Notes and the Guarantee
In the opinion
of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes
offered by this pricing supplement have been executed and issued by JPMorgan Financial and authenticated by the trustee pursuant
to the indenture, and delivered against payment as contemplated herein, such notes will be valid and binding obligations of JPMorgan
Financial and the related guarantee will constitute a valid and binding obligation of JPMorgan Chase & Co., enforceable in
accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally,
concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith,
fair dealing and the lack of bad faith), provided that such counsel expresses no opinion as to (i) the effect of fraudulent
conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above or (ii) any provision
of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable
law by limiting the amount of JPMorgan Chase & Co.’s obligation under the related guarantee. This opinion is given as
of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware and
the Delaware Limited Liability Company Act. In addition, this opinion
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Innovation ETF
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is subject to customary assumptions about
the trustee’s authorization, execution and delivery of the indenture and its authentication of the notes and the validity,
binding nature and enforceability of the indenture with respect to the trustee, all as stated in the letter of such counsel dated
February 26, 2020, which was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase
& Co. on February 26, 2020.
Additional
Terms Specific to the Notes
You should read this pricing supplement together
with the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term
notes of which these notes are a part, and the more detailed information contained in the accompanying product supplement. This
pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all other prior or
contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence,
trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You
should carefully consider, among other things, the matters set forth in the “Risk Factors” sections of the accompanying
prospectus supplement and the accompanying product supplement, as the notes involve risks not associated with conventional debt
securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes.
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.
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Innovation ETF
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Annex A
The ARK Innovation ETF
All information contained in this pricing supplement
regarding the ARK Innovation ETF (the “ARKK Fund”), has been derived from publicly available information, without independent
verification. This information reflects the policies of, and is subject to change by, ARK ETF Trust (“ARK Trust”).
The ARKK Fund is an actively-managed exchange-traded fund managed by ARK Investment Management LLC (“ARK LLC”), the
investment adviser to the ARKK Fund. The ARKK Fund trades on NYSE Arca, Inc. under the ticker symbol “ARKK.”
The investment objective of the ARKK Fund is long-term
growth of capital.
As an actively-managed fund, the ARKK Fund is
subject to management risk. In managing the ARKK Fund, ARK LLC applies investment strategies, techniques and analyses in making
investment decisions for the ARKK Fund, but there can be no guarantee that these actions will produce the intended results. The
ability of ARK LLC to successfully implement the ARKK Fund’s investment strategy will significantly influence that ARKK Fund’s
performance.
The ARKK Fund will invest under normal circumstances
primarily (at least 65% of its assets) in equity securities of U.S. and non-U.S. companies that are relevant to the ARKK Fund’s
investment theme of disruptive innovation. ARK LLC defines “disruptive innovation” as the introduction of a technologically
enabled new product or service that potentially changes the way the world works. ARK LLC believes that companies relevant to this
theme are those that rely on or benefit from the development of new products or services, technological improvements and advancements
in scientific research relating to the areas of genomics; innovation in automation and manufacturing, transportation, energy, artificial
intelligence and materials; the increased use of shared technology, infrastructure and services; and technologies that make financial
services more efficient. ARK LLC defines “genomics” as the study of genes and their functions, and related techniques
(e.g., genomic sequencing).
ARK Trust is a registered investment company that
consists of numerous separate investment portfolios, including the ARKK Fund. Information provided to or filed with the SEC by
ARK Trust pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located
by reference to SEC file numbers 333-191019 and 811-22883, respectively, through the SEC’s website at http://www.sec.gov.
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