JPMorgan Chase Financial Company LLC Trigger GEARS

$13,006,000 Linked to the lesser performing of the MSCI Emerging Markets Index and an Unequally Weighted Basket of 5 Equity Indices due May 15, 2026

Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.

See “Additional Information about JPMorgan Financial, JPMorgan Chase & Co. and the Securities” in this pricing supplement. The Securities will have the terms specified in the prospectus and the prospectus supplement, each dated April 8, 2020, product supplement no. UBS-1-II dated November 4, 2020, underlying supplement no. 1-II dated November 4, 2020 and this pricing supplement. The terms of the Securities as set forth in this pricing supplement, to the extent they differ or conflict with those set forth in the accompanying product supplement, will supersede the terms set forth in that product supplement.

Neither the Securities and Exchange Commission (the “SEC”) nor any state securities commission has approved or disapproved of the Securities or passed upon the accuracy or the adequacy of this pricing supplement or the accompanying prospectus, the accompanying prospectus supplement, the accompanying product supplement and the accompanying underlying supplement. Any representation to the contrary is a criminal offense.

The estimated value of the Securities, when the terms of the Securities were set, was $9.345 per $10 principal amount Security. See “The Estimated Value of the Securities” in this pricing supplement for additional information.

The Securities are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.

You should read this pricing supplement together with the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which these Securities are a part, and the more detailed information contained in the accompanying product supplement and the accompanying underlying supplement. This pricing supplement, together with the documents listed below, contains the terms of the Securities and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk Factors” sections of the accompanying prospectus supplement, the accompanying product supplement and the accompanying underlying supplement, as the Securities involve risks not associated with conventional debt securities.

You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):

Our Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, the “Issuer,” “JPMorgan Financial,” “we,” “us” and “our” refer to JPMorgan Chase Financial Company LLC.

Set forth below are the Basket Underlyings, their Basket Weights and their Initial Values:

For purposes of the accompanying product supplement, each of the MSCI Emerging Markets Index, the EURO STOXX 50^® Index, the Nikkei 225 Index, the FTSE^® 100 Index, the Swiss Market Index and the S&P/ASX 200 Index is an “Index.”

Investor Suitability

The suitability considerations identified above are not exhaustive. Whether or not the Securities are a suitable investment for you will depend on your individual circumstances, and you should reach an investment decision only after you and your investment, legal, tax, accounting and other advisers have carefully considered the suitability of an investment in the Securities in light of your particular circumstances. You should also review carefully the “Key Risks” section of this pricing supplement and the “Risk Factors” sections of the accompanying prospectus supplement, the accompanying product supplement and the accompanying underlying supplement for risks related to an investment in the Securities. For more information on the MSCI Emerging Markets Index, the Basket and the Basket Underlyings, please see the sections titled “The MSCI Emerging Markets Index,” “The Basket,” “The EURO STOXX 50^® Index,” “The Nikkei 225 Index,” “The FTSE^® 100 Index,” “The Swiss Market Index” and “The S&P/ASX 200 Index” below.

You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. UBS-1-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 Securities.

Based on current market conditions, in the opinion of our special tax counsel it is reasonable to treat the Securities as “open transactions” that are not debt instruments for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement. Assuming this treatment is respected, the gain or loss on your Securities should be treated as long-term capital gain or loss if you hold your Securities for more than a year, whether or not you are an initial purchaser of Securities at the issue price.  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 Securities could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership” regime, 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 Securities, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the Securities, including 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 Securities 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 Securities.

An investment in the Securities involves significant risks. Investing in the Securities is not equivalent to investing directly in either or both of the Reference Assets or any or all of the Basket Underlyings. These risks are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement, the accompanying product supplement and the accompanying underlying supplement. We also urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the Securities.

Risks Relating to the Securities Generally

The lower the correlation between two Reference Assets, the greater the potential for one of those Reference Assets to close below its Downside Threshold on the Final Valuation Date.  Although the correlation of the Reference Assets’ performance may change over the term of the Securities, the Upside Gearing is determined, in part, based on the correlation of the Reference Assets’ performance, as calculated using internal models of our affiliates at the time when the terms of the Securities are finalized.  A higher Upside Gearing is generally associated with lower correlation of the Reference Assets, which reflects a greater potential for a loss of principal at maturity.  The correlation referenced in setting the terms of the Securities is calculated using internal models of our affiliates and is not derived from the returns of the Reference Assets over the period set forth under “Correlation of the Reference Assets” below.  In addition, other factors and inputs other than correlation may impact how the terms of the Securities are set and the performance of the Securities. 

reflect the full economic value of the Upside Gearing or the Securities themselves, and the return you realize may be less than the product of the performance of the Lesser Performing Reference Asset and the Upside Gearing and may be less than the Lesser Performing Reference Asset’s return, even if that return is positive. You can receive the full benefit of the Upside Gearing only if you hold your Securities to maturity.

Risks Relating to Conflicts of Interest

possible that hedging or trading activities of ours or our affiliates in connection with the Securities could result in substantial returns for us or our affiliates while the value of the Securities declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement for additional information about these risks.

Risks Relating to the Estimated Value and Secondary Market Prices of the Securities

The Securities are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Securities to maturity. See “— Risks Relating to the Securities Generally — Lack of Liquidity” above.

other, aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and the levels of the Underlyings, including:

Additionally, independent pricing vendors and/or third party broker-dealers may publish a price for the Securities, which may also be reflected on customer account statements. This price may be different (higher or lower) than the price of the Securities, if any, at which JPMS may be willing to purchase your Securities in the secondary market.

Risks Relating to the Reference Assets

All of these factors are in turn sensitive to the monetary, fiscal and trade policies pursued by the governments of the countries issuing those currencies and the United States and other countries important to international trade and finance.

these executive orders.  If the issuer of any of the equity securities included in the MSCI Emerging Markets Index is in the future designated as such a prohibited company, the value of that company may be adversely affected, perhaps significantly, which would adversely affect the performance of the MSCI Emerging Markets Index.  In addition, under these circumstances, the sponsor of the MSCI Emerging Markets Index is expected to remove the equity securities of that company from the MSCI Emerging Markets Index.  Any changes to the composition of the MSCI Emerging Markets Index in response to these executive orders could adversely affect the performance of the MSCI Emerging Markets Index.

Hypothetical terms only. Actual terms may vary. See the cover page for actual offering terms.

The following table and hypothetical examples below illustrate the payment at maturity per $10 principal amount Security for a hypothetical range of Lesser Performing Reference Asset Returns from -100.00% to +100.00% on an offering of the Securities linked to two hypothetical Reference Assets and assume a hypothetical Initial Value for the Lesser Performing Reference Asset of 100, a hypothetical Downside Threshold for the Lesser Performing Reference Asset of 90 and a hypothetical Upside Gearing of 1.20. The hypothetical Initial Value for the Lesser Performing Reference Asset of 100 has been chosen for illustrative purposes only and does not represent the actual Initial Value for the MSCI Emerging Markets Index. The actual Initial Value of the MSCI Emerging Markets Index is based on the closing level of the MSCI Emerging Markets Index on the Trade Date and is specified on the cover of this pricing supplement. The Initial Value of the Basket was set equal to 100 on the Trade Date. For historical data regarding the actual closing levels of the Reference Assets, please see the historical information set forth under “The MSCI Emerging Markets Index” and “The Basket” in this pricing supplement. The actual Downside Thresholds and Upside Gearing are specified on the cover of this pricing supplement. The hypothetical payment at maturity examples set forth below are for illustrative purposes only and may not be the actual returns applicable to a purchaser of the Securities. The actual payment at maturity may be more or less than the amounts displayed below and will be determined based on the actual terms of the Securities, including the Initial Values, the Downside Thresholds and the Upside Gearing and the Final Values on the Final Valuation Date. You should consider carefully whether the Securities are suitable to your investment goals. The numbers appearing in the table below have been rounded for ease of analysis.

Example 1 — The level of the Lesser Performing Reference Asset increases by 10% from its Initial Value of 100 to a Final Value of 110.

Because the Lesser Performing Reference Asset Return is 10%, at maturity, JPMorgan Financial will pay you your principal amount plus a return equal to 12.00%, resulting in a payment at maturity of $11.20 per $10 principal amount Security, calculated as follows:

$10.00 + ($10.00 × Lesser Performing Reference Asset Return × Upside Gearing)

$10.00 + ($10.00 × 10.00% × 1.20) = $11.20

Example 2— The level of the Lesser Performing Reference Asset decreases by 5% from its Initial Value of 100 to a Final Value of 95.

Because the Lesser Performing Reference Asset Return is negative and the Final Value of the Lesser Performing Reference Asset is greater than its Downside Threshold, at maturity, JPMorgan Financial will pay you your principal amount of $10 per $10 principal amount Security.

Example 3 — The level of the Lesser Performing Reference Asset decreases by 40% from its Initial Value of 100 to a Final Value of 60.

Because the Lesser Performing Reference Asset Return is -40% and the Final Value of the Lesser Performing Reference Asset is less than its Downside Threshold of 90, at maturity, JPMorgan Financial will pay you a payment at maturity of $6.00 per $10 principal amount Security, calculated as follows:

$10 + ($10 × Lesser Performing Reference Asset Return)
$10 + ($10 × -40.00%) = $6.00

If the Lesser Performing Reference Asset Return is negative and the Final Value of the Lesser Performing Reference Asset is less than its Downside Threshold, investors will be exposed to the negative Lesser Performing Reference Asset Return at maturity,

resulting in a loss of principal that is proportionate to the Lesser Performing Reference Asset’s decline from its Initial Value to its Final Value. Investors could lose some or all of their principal amount.

The hypothetical returns and hypothetical payments on the Securities shown above apply only if you hold the Securities for their entire term. These hypotheticals do not reflect fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns and hypothetical payments shown above would likely be lower.

The examples below illustrate the hypothetical closing levels of the Basket on the Final Valuation Date under different hypothetical scenarios with the following assumptions (amounts have been rounded for ease of reference):

Example 1 — On the Final Valuation Date, each Basket Underlying closes above its Initial Value.

A closing level of the Basket of 105 represents a 5% increase in the level of the Basket from the Initial Basket Value.

Example 2 — On the Final Valuation Date, each Basket Underlying closes below its Initial Value.

A closing level of the Basket of 85 represents a 15% decline in the level of the Basket from the Initial Basket Value.

Example 3 — On the Final Valuation Date, the most heavily weighted Basket Underlying closes below its Initial Value, offsetting the increase of the other Basket Underlyings.

A closing level of the Basket of 84.25 represents a 15.75% decline in the level of the Basket from the Initial Basket Value.

Because the Basket is unequally weighted, increases in the levels of the lower weighted Basket Underlyings are offset by the decrease in the level of the most heavily weighted Basket Underlying. In this example, even though the Basket Underlying Return of each of the Nikkei 225 Index, the FTSE^® 100 Index, the Swiss Market Index and the S&P/ASX 200 Index are positive, the significant negative Basket Underlying Return of the EURO STOXX 50^® Index results in a Final Basket Value that is less the Initial Basket Value.

Example 4 — On the Final Valuation Date, the most heavily weighted Basket Underlying closes above its Initial Value, but this increase is offset by the decline of the other Basket Underlyings.

A closing level of the Basket of 78.75 represents a 21.25% decline in the level of the Basket from the Initial Basket Value.

Although the Basket is unequally weighted, significant decreases in the levels of the lower weighted Basket Underlyings more than offset the significant increase in the level of the most heavily weighted Basket Underlying. In this example, even though the Basket Underlying Return of the EURO STOXX 50^® Index was positive, the significant negative Basket Underlying Return of each of the Nikkei 225 Index, the FTSE^® 100 Index, the Swiss Market Index and the S&P/ASX 200 Index together results in a Final Basket Value that is less the Initial Basket Value.

The MSCI Emerging Markets Index is a free-float adjusted market capitalization index that is designed to measure the equity market performance of global emerging markets. For additional information about the MSCI Emerging Markets Index, see the information set forth under “Equity Index Descriptions — The MSCI Indices” in the accompanying underlying supplement.

Historical Information Regarding the MSCI Emerging Markets Index

The following table sets forth the quarterly high and low closing levels of the MSCI Emerging Markets Index, based on daily closing levels of the MSCI Emerging Markets Index as reported by the Bloomberg Professional^® Service (“Bloomberg”), without independent verification. The information given below is for the four calendar quarters in each of 2016, 2017, 2018, 2019 and 2020 and the first calendar quarter of 2021. Partial data is provided for the second calendar quarter of 2021. The closing level of the MSCI Emerging Markets Index on May 12, 2021 was 1,315.25. We obtained the closing levels of the MSCI Emerging Markets Index above and below from Bloomberg, without independent verification. You should not take the historical levels of the MSCI Emerging Markets Index as an indication of future performance.

The graph below illustrates the daily performance of the MSCI Emerging Markets Index from January 3, 2011 through May 12, 2021, based on information from Bloomberg, without independent verification. The dotted line represents the Downside Threshold of 657.63, equal to 50% of the closing level of the MSCI Emerging Markets Index on May 12, 2021.

Past performance of the MSCI Emerging Markets Index is not indicative of the future performance of the MSCI Emerging Markets Index.

The following graph shows the daily hypothetical performance of the Basket from January 4, 2011 (the first day in 2011 on which the closing levels of all Basket Underlyings were published) through May 12, 2021, assuming that the closing level of the Basket on January 4, 2011 was 100 and that the Basket Underlyings on those dates were weighted as specified in the “Final Terms” in this pricing supplement. The dotted line represents a hypothetical Downside Threshold of 85.85, equal to 50% of the hypothetical closing level of the Basket on May 12, 2021. The hypothetical historical daily Basket performance data in this graph was determined using the closing levels of each Basket Underlying reported by Bloomberg for those dates, without independent verification. The hypothetical historical performance of the Basket displayed below is a reflection of the aggregated historical performance of the Basket Underlyings as described above.

Past performance of the Basket is not indicative of the future performance of the Basket.

Included on the following pages is a brief description of each Basket Underlying. This information has been obtained from publicly available sources, without independent verification. Set forth below is a table that provides the quarterly high and low closing levels of each Basket Underlying. This information given below is for the four calendar quarters in each of 2016, 2017, 2018, 2019 and 2020 and the first calendar quarter of 2021. Partial data is provided for the second calendar quarter of 2021. We obtained the closing levels information set forth below from Bloomberg, without independent verification. You should not take the historical performance of the any Basket Underlying as an indication of future performance.

The EURO STOXX 50^® Index consists of 50 component stocks of market sector leaders from within the Eurozone. The EURO STOXX 50^® Index and STOXX^® are the intellectual property (including registered trademarks) of STOXX Limited, Zurich, Switzerland and/or its licensors (the “Licensors”), which are used under license. The Securities based on the EURO STOXX 50^® Index are in no way sponsored, endorsed, sold or promoted by STOXX Limited and its Licensors and neither Stoxx Limited nor any of its Licensors shall have any liability with respect thereto. For additional information about the EURO STOXX 50^® Index, see the information set forth under “Equity Index Descriptions — The STOXX Benchmark Indices” in the accompanying underlying supplement.

Historical Information Regarding the EURO STOXX 50^® Index

The following table sets forth the quarterly high and low closing levels of the EURO STOXX 50^® Index, based on daily closing levels of the EURO STOXX 50^® Index as reported by Bloomberg, without independent verification. The closing level of the EURO STOXX 50^® Index on May 12, 2021 was 3,947.43. We obtained the closing levels of the EURO STOXX 50^® Index above and below from Bloomberg, without independent verification. You should not take the historical levels of the EURO STOXX 50^® Index as an indication of future performance.

The graph below illustrates the daily performance of the EURO STOXX 50^® Index from January 3, 2011 through May 12, 2021, based on information from Bloomberg, without independent verification.

Past performance of the EURO STOXX 50^® Index is not indicative of the future performance of the EURO STOXX 50^® Index.

The Nikkei 225 Index is a stock index that measures the composite price performance of selected Japanese stocks. The Nikkei 225 Index is based on 225 underlying stocks (the “Nikkei underlying stocks”) trading on the Tokyo Stock Exchange (“TSE”), representing a broad cross-section of Japanese industries. All Nikkei underlying stocks are stocks listed in the First Section of the TSE. Stocks listed in the First Section of the TSE are among the most actively traded stocks on the TSE. For additional information about the Nikkei 225 Index, see “Equity Index Descriptions ― The Nikkei 225 Index” in the accompanying underlying supplement.

Historical Information Regarding the Nikkei 225 Index

The following table sets forth the quarterly high and low closing levels of the Nikkei 225 Index, based on daily closing levels of the Nikkei 225 Index as reported by Bloomberg, without independent verification. The closing level of the Nikkei 225 Index on May 12, 2021 was 28,147.51. We obtained the closing levels of the Nikkei 225 Index above and below from Bloomberg, without independent verification. You should not take the historical levels of the Nikkei 225 Index as an indication of future performance.

The graph below illustrates the daily performance of the Nikkei 225 Index from January 4, 2011 through May 12, 2021, based on information from Bloomberg, without independent verification.

Past performance of the Nikkei 225 Index is not indicative of the future performance of the Nikkei 225 Index.

The FTSE^® 100 Index measures the composite price performance of stocks of the largest 100 companies (determined on the basis of market capitalization) traded on the London Stock Exchange. For additional information about the FTSE^® 100 Index, see “Equity Index Descriptions — The FTSE^® 100 Index” in the accompanying underlying supplement.

Historical Information Regarding the FTSE^® 100 Index

The following table sets forth the quarterly high and low closing levels of the FTSE^® 100 Index, based on daily closing levels of the FTSE^® 100 Index as reported by Bloomberg, without independent verification. The closing level of the FTSE^® 100 Index on May 12, 2021 was 7,004.63. We obtained the closing levels of the FTSE^® 100 Index above and below from Bloomberg, without independent verification. You should not take the historical levels of the FTSE^® 100 Index as an indication of future performance.

The graph below illustrates the daily performance of the FTSE^® 100 Index from January 4, 2011 through May 12, 2021, based on information from Bloomberg, without independent verification.

Past performance of the FTSE^® 100 Index is not indicative of the future performance of the FTSE^® 100 Index.

The Swiss Market Index (“SMI^®”) is a free-float adjusted market capitalization-weighted price return index of the Swiss equity market. The SMI^® comprises the 20 most highly capitalized and liquid stocks of the Swiss Performance Index^®. For additional information about the Swiss Market Index, see “Equity Index Descriptions — The Swiss Market Index” in the accompanying underlying supplement.

Historical Information Regarding the Swiss Market Index

The following table sets forth the quarterly high and low closing levels of the Swiss Market Index, based on daily closing levels of the Swiss Market Index as reported by Bloomberg, without independent verification. The closing level of the Swiss Market Index on May 12, 2021 was 11,033.90. We obtained the closing levels of the Swiss Market Index above and below from Bloomberg, without independent verification. You should not take the historical levels of the Swiss Market Index as an indication of future performance.

The graph below illustrates the daily performance of the Swiss Market Index from January 3, 2011 through May 12, 2021, based on information from Bloomberg, without independent verification.

Past performance of the Swiss Market Index is not indicative of the future performance of the Swiss Market Index.

The S&P/ASX 200 Index measures the performance of the 200 largest index-eligible stocks listed on the Australian Securities Exchange by float-adjusted market capitalization, and is widely considered Australia’s benchmark index. For additional information see “Equity Index Descriptions — The S&P/ASX 200 Index” in the accompanying underlying supplement.

Historical Information Regarding the S&P/ASX 200 Index

The following table sets forth the quarterly high and low closing levels of the S&P/ASX 200 Index, based on daily closing levels of the S&P/ASX 200 Index as reported by Bloomberg, without independent verification. The closing level of the S&P/ASX 200 Index on May 12, 2021 was 7,044.874. We obtained the closing levels of the S&P/ASX 200 Index above and below from Bloomberg, without independent verification. You should not take the historical levels of the S&P/ASX 200 Index as an indication of future performance.

The graph below illustrates the daily performance of the S&P/ASX 200 Index from January 4, 2011 through May 12, 2021, based on information from Bloomberg, without independent verification.

Past performance of the S&P/ASX 200 Index is not indicative of the future performance of the S&P/ASX 200 Index.

The graph below illustrates the daily performance of the MSCI Emerging Markets Index and the Basket from January 4, 2011 through May 12, 2021. For comparison purposes, the MSCI Emerging Markets Index has been normalized to have a closing level of 100.00 on January 4, 2011 by dividing the closing level of that Reference Asset on each day by the closing level of that Reference Asset on January 4, 2011 and multiplying by 100.00. The performance of the Basket assumes that the closing level of the Basket on January 4, 2011 was 100 and that the Basket Underlyings on those dates were weighted as specified in the “Final Terms” in this pricing supplement. We obtained the closing levels used to determine the closing levels set forth below from Bloomberg, without independent verification.

Past performance of the Reference Assets is not indicative of the future performance of the Reference Assets.

The correlation of a pair of Reference Assets represents a statistical measurement of the degree to which the returns of those Reference Assets were similar to each other over a given period in terms of timing and direction.  The correlation between a pair of Reference Assets is scaled from 1.0 to -1.0, with 1.0 indicating perfect positive correlation (i.e., the value of both Reference Assets are increasing together or decreasing together and the ratio of their returns has been constant), 0 indicating no correlation (i.e., there is no statistical relationship between the returns of that pair of Reference Assets) and -1.0 indicating perfect negative correlation (i.e., as the value of one Reference Asset increases, the value of the other Reference Asset decreases and the ratio of their returns has been constant).

The closer the relationship of the returns of a pair of Reference Assets over a given period, the more positively correlated those Reference Assets are.  The graph above illustrates the historical performance of each Reference Asset relative to each other over the time period shown and provides an indication of how close the relative performance of each Reference Asset has historically been to the other Reference Asset.

The lower (or more negative) the correlation between the Reference Assets, the less likely it is that the Reference Assets will move in the same direction and, therefore, the greater the potential for one of the Reference Assets to close below its Downside Threshold on the Final Valuation Date.  This is because the less positively correlated the Reference Assets are, the greater the likelihood that at least one of the Reference Assets will decrease in value.  However, even if the Reference Assets have a higher positive correlation, one or both of the Reference Assets might close below its Downside Threshold on the Final Valuation Date, as both of the Reference Assets may decrease in value together.

Although the correlation of the Reference Assets’ performance may change over the term of the Securities, the Upside Gearing is determined, in part, based on the correlation of the Reference Assets’ performance calculated using internal models of our affiliates at the time when the terms of the Securities are finalized.  A higher Upside Gearing is generally associated with lower correlation of the Reference Assets, which reflects a greater potential for a loss of principal at maturity.  The correlation referenced in setting the terms of the Securities is calculated using internal models of our affiliates and is not derived from the returns of the Reference Assets over the period set forth above.  In addition, other factors and inputs other than correlation may impact how the terms of the Securities are set and the performance of the Securities.

We and JPMorgan Chase & Co. have agreed to indemnify UBS and JPMS against liabilities under the Securities Act of 1933, as amended, or to contribute to payments that UBS may be required to make relating to these liabilities as described in the prospectus supplement and the prospectus. We have agreed that UBS may sell all or a part of the Securities that it purchases from us to the public or its affiliates at the price to public indicated on the cover hereof.

Subject to regulatory constraints, JPMS intends to offer to purchase the Securities in the secondary market, but it is not required to do so.

We or our affiliates may enter into swap agreements or related hedge transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the Securities, and JPMS and/or an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions. See “Supplemental Use of Proceeds” in this pricing supplement and “Use of Proceeds and Hedging” in the accompanying product supplement.

We expect that delivery of the Securities will be made against payment for the Securities on or about the Original Issue Date set forth on the front cover of this pricing supplement, which will be the third business day following the Trade Date of the Securities (this settlement cycle being referred to as “T+3”). Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in two business days, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade Securities on any date prior to two business days before delivery will be required to specify an alternate settlement cycle at the time of any such trade to prevent a failed settlement and should consult their own advisors.

The estimated value of the Securities set forth on the cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component with the same maturity as the Securities, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying the economic terms of the Securities. The estimated value of the Securities does not represent a minimum price at which JPMS would be willing to buy your Securities in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated value of the Securities may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’ view of the funding values of the Securities as well as the higher issuance, operational and ongoing liability management costs of the Securities in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the Securities. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the Securities and any secondary market prices of the Securities. For additional information, see “Key Risks — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities — The Estimated Value of the Securities Is Derived by Reference to an Internal Funding Rate” in this pricing supplement. The value of the derivative or derivatives underlying the economic terms of the Securities is derived from internal pricing models of our affiliates. These models are dependent on inputs such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments. Accordingly, the estimated value of the Securities is determined when the terms of the Securities are set based on market conditions and other relevant factors and assumptions existing at that time. See “Key Risks — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities — The Estimated Value of the Securities Does Not Represent Future Values of the Securities and May Differ from Others’ Estimates” in this pricing supplement.

The estimated value of the Securities is lower than the original issue price of the Securities because costs associated with selling, structuring and hedging the Securities are included in the original issue price of the Securities. These costs include the selling commissions paid to UBS, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the Securities and the estimated cost of hedging our obligations under the Securities. Because hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. We or one or more of our affiliates will retain any profits realized in hedging our obligations under the Securities. See “Key Risks — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities — The Estimated Value of the Securities Is Lower Than the Original Issue Price (Price to Public) of the Securities” in this pricing supplement.

For information about factors that will impact any secondary market prices of the Securities, see “Key Risks — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities — Secondary Market Prices of the Securities Will Be Impacted by Many Economic and Market Factors” in this pricing supplement. In addition, we generally expect that some of the costs included in the original issue price of the Securities will be partially paid back to you in connection with any repurchases of your Securities by JPMS in an amount that will decline to zero over an initial predetermined period that is intended to be up to twelve months. The length of any such initial period reflects secondary market volumes for the Securities, the structure of the Securities, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the Securities and when these costs are incurred, as determined by our affiliates. See “Key Risks — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities — The Value of the Securities as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Securities for a Limited Time Period” in this pricing supplement.

The Securities are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the Securities. See “Hypothetical Examples and Return Table” and “Hypothetical Examples of Calculations of the Closing Levels of the Basket” in this pricing supplement for an illustration of the risk-return profile of the Securities and “The Underlyings” in this pricing supplement for a description of the market exposure provided by the Securities.

The original issue price of the Securities is equal to the estimated value of the Securities plus the selling commissions paid to UBS, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the Securities, plus the estimated cost of hedging our obligations under the Securities.

In the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the Securities offered by this pricing supplement have been executed and issued by JPMorgan Financial and authenticated by the trustee pursuant to the indenture, and delivered against payment as contemplated herein, such Securities will be valid and binding obligations of JPMorgan Financial and the related guarantee will constitute a valid and binding obligation of JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above or (ii) any provision of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law by limiting the amount of JPMorgan Chase & Co.’s obligation under the related guarantee. This opinion is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution and delivery of the indenture and its authentication of the Securities and the validity, binding nature and enforceability of the indenture with respect to the trustee, all as stated in the letter of such counsel dated February 26, 2020, which was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 26, 2020.