May 7, 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
$2,000,000
Callable Contingent Interest Notes Linked to the Least
Performing of the Russell 2000® Index, the NASDAQ-100 Index® and the VanEck Vectors® Gold
Miners ETF due August 11, 2022
Fully and Unconditionally Guaranteed by JPMorgan Chase
& Co.
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·
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The notes are designed for investors who seek a Contingent Interest Payment with respect to each monthly Review Date for which the
closing value of each of the Russell 2000® Index, the NASDAQ-100 Index® and the VanEck Vectors®
Gold Miners ETF, which we refer to as the Underlyings, is greater than or equal to 65.00% of its Initial Value, which we refer to as an
Interest Barrier.
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The notes may be redeemed early, in whole but not in part, at our option on any of the quarterly Optional Call Payment Dates.
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The earliest date on which the notes may be redeemed early is November 12, 2021.
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Investors should be willing to accept the risk of losing some or all of their principal and the risk that no Contingent Interest Payment
may be made with respect to some or all Review Dates.
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Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive Contingent
Interest Payments.
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The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial,
the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes is subject to the
credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor of the notes.
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Payments on the notes are not linked to a basket composed of the Underlyings. Payments on the notes are linked to the performance
of each of the Underlyings individually, as described below.
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Minimum denominations of $1,000 and integral multiples thereof
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The notes priced on May 7, 2021 and are expected to settle on or about May 12, 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, “Risk Factors” beginning on page US-3 of the accompanying underlying supplement and “Selected
Risk Considerations” beginning on page PS-5 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing
supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation to
the contrary is a criminal offense.
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Price to Public (1)
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Fees and Commissions (2)
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Proceeds to Issuer
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Per note
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$1,000
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$5
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$995
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Total
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$2,000,000
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$10,000
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$1,990,000
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(1) See “Supplemental Use of Proceeds” in this
pricing supplement for information about the components of the price to public of the notes.
(2) 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 $5.00 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 $969.90 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, underlying supplement no. 1-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.
Underlyings:
The Russell 2000® Index (Bloomberg ticker: RTY) and
the NASDAQ-100 Index® (Bloomberg ticker: NDX) (each of the Russell 2000®
Index and the NASDAQ-100 Index®, an “Index”
and collectively, the “Indices”) and the VanEck Vectors® Gold Miners ETF (Bloomberg ticker: GDX) (the “Fund”)
(each of the Indices and the Fund, an “Underlying” and collectively, the “Underlyings”)
Contingent
Interest Payments: If the notes have not been previously redeemed early and the closing value of each Underlying on any Review
Date is greater than or equal to its Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal
amount note a Contingent Interest Payment equal to $10.50 (equivalent to a Contingent Interest Rate of 12.60% per annum, payable at a
rate of 1.05% per month).
If the closing value of any Underlying on any Review Date is less
than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date.
Contingent
Interest Rate: 12.60% per annum, payable at a rate of 1.05% per month
Interest Barrier / Trigger Value:
With respect to each Underlying, 65.00% of its Initial Value, which is 1,476.55885 for the Russell 2000® Index, 8,917.7595
for the NASDAQ-100 Index® and $24.323 for the Fund
Pricing
Date: May 7, 2021
Original
Issue Date (Settlement Date): On or about May 12, 2021
Review
Dates*: June 7, 2021, July 7, 2021, August 9, 2021, September 7, 2021, October 7, 2021, November 8, 2021, December 7, 2021,
January 7, 2022, February 7, 2022, March 7, 2022, April 7, 2022, May 9, 2022, June 7, 2022, July 7, 2022 and August 8, 2022 (final Review
Date)
Interest
Payment Dates*: June 10, 2021, July 12, 2021, August 12, 2021, September 10, 2021, October 13, 2021, November 12, 2021, December
10, 2021, January 12, 2022, February 10, 2022, March 10, 2022, April 12, 2022, May 12, 2022, June 10, 2022, July 12, 2022 and the Maturity
Date
Optional Call Payment Dates*:
November 12, 2021, February 10, 2022 and May 12, 2022
Maturity
Date*: August 11, 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 Multiple
Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
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Early Redemption:
We, at our election, may redeem the notes early, in whole but not in
part, on any of the Optional Call Payment Dates at a price, for each $1,000 principal amount note, equal to $1,000 plus the Contingent
Interest Payment, if any, applicable to the immediately preceding Review Date. If we intend to redeem your notes early, we will deliver
notice to The Depository Trust Company, or DTC, at least three business days before the applicable Optional Call Payment Date on which
the notes are redeemed early.
Payment at Maturity:
If the notes have not been redeemed early and (i) the Final Value of each
Underlying is greater than or equal to its Initial Value or (ii) a Trigger Event has not occurred, you will receive a cash payment at
maturity, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to the
final Review Date.
If the notes have not been redeemed early and (i) the Final Value of any
Underlying is less than its Initial Value and (ii) a Trigger Event has occurred, your payment at maturity per $1,000 principal amount
note, in addition to any Contingent Interest Payment, will be calculated as follows:
$1,000 + ($1,000 × Least Performing Underlying
Return)
If the notes have not been redeemed early and (i) the Final Value of any
Underlying is less than its Initial Value and (ii) a Trigger Event has occurred, you will lose some or all of your principal amount at
maturity.
Trigger Event: A Trigger Event
occurs if, on any day during the Monitoring Period, the closing value of any Underlying is less than its Trigger Value.
Monitoring Period: The period
from but excluding the Pricing Date to and including the final Review Date
Least Performing Underlying: The
Underlying with the Least Performing Underlying Return
Least Performing Underlying Return: The
lowest of the Underlying Returns of the Underlyings
Underlying Return:
With respect to each Underlying,
(Final Value – Initial Value)
Initial Value
Initial
Value: With respect to each Underlying, the closing
value of that Underlying on the Pricing Date, which was 2,271.629 for the Russell 2000® Index, 13,719.63 for the NASDAQ-100
Index® and $37.42 for the Fund
Final
Value: With respect to each Underlying, the closing value of that Underlying on the final Review
Date
Share
Adjustment Factor: The Share Adjustment Factor is referenced in determining the closing value 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.
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PS-1
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Russell 2000® Index, the NASDAQ-100 Index® and the VanEck Vectors® Gold
Miners ETF
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How the
Notes Work
Payments in Connection with Review Dates Preceding
the Final Review Date
PS-2
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Russell 2000® Index, the NASDAQ-100 Index® and the VanEck Vectors® Gold
Miners ETF
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Payment at Maturity If the Notes
Have Not Been Redeemed Early
Total Contingent Interest Payments
The table below illustrates the hypothetical total Contingent
Interest Payments per $1,000 principal amount note over the term of the notes based on the Contingent Interest Rate of 12.60% per annum,
depending on how many Contingent Interest Payments are made prior to early redemption or maturity.
Number of Contingent
Interest Payments
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Total Contingent
Interest Payments
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15
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$157.50
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14
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$147.00
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13
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$136.50
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12
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$126.00
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11
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$115.50
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10
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$105.00
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9
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$94.50
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8
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$84.00
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7
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$73.50
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6
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$63.00
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5
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$52.50
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4
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$42.00
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3
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$31.50
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2
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$21.00
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1
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$10.50
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0
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$0.00
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Hypothetical
Payout Examples
The following examples illustrate payments on the notes
linked to three hypothetical Underlyings, assuming a range of performances for the hypothetical Least Performing Underlying on the Review
Dates.
The hypothetical payments set forth below assume the
following:
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the notes have not been redeemed early;
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PS-3
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Russell 2000® Index, the NASDAQ-100 Index® and the VanEck Vectors® Gold
Miners ETF
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an Initial Value for the Least Performing Underlying of 100.00;
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an Interest Barrier and a Trigger Value for the Least Performing Underlying of 65.00 (equal to 65.00% of its hypothetical Initial
Value); and
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a Contingent Interest Rate of 12.60% per annum (payable at a rate of 1.05% per month).
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The hypothetical Initial Value of the Least Performing
Underlying of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value of any Underlying.
The actual Initial Value of each Underlying is the closing value of that Underlying on the Pricing Date and is specified under “Key
Terms — Initial Value” in this pricing supplement. For historical data regarding the actual closing value of each Underlying,
please see the historical information set forth under “The Underlyings” in this pricing supplement.
Each hypothetical payment set forth below is for illustrative
purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing in the following examples
have been rounded for ease of analysis.
Example 1 — Notes have NOT been redeemed early,
the Final Value of the Least Performing Underlying is greater than or equal to its Initial Value and a Trigger Event has occurred.
Date
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Closing Value of Least
Performing Underlying
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Payment (per $1,000 principal amount note)
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First Review Date
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95.00
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$10.50
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Second Review Date
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85.00
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$10.50
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Third through Fourteenth Review Dates
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Less than Interest Barrier
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$0
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Final Review Date
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105.00
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$1,010.50
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Total Payment
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$1,031.50 (3.15% return)
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Because the notes have not been redeemed early and
the Final Value of the Least Performing Underlying is greater than or equal to its Initial Value (and, therefore, its Interest Barrier),
even though a Trigger Event has occurred, the payment at maturity, for each $1,000 principal amount note, will be $1,010.50 (or $1,000
plus the Contingent Interest Payment applicable to the final Review Date). When added to the Contingent Interest Payments received
with respect to the prior Review Dates, the total amount paid, for each $1,000 principal amount note, is $1,031.50.
Example 2 — Notes have NOT been redeemed early,
the Final Value of the Least Performing Underlying is less than its Initial Value and a Trigger Event has NOT occurred.
Date
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Closing Value of Least
Performing Underlying
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Payment (per $1,000 principal amount note)
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First Review Date
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90.00
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$10.50
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Second Review Date
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85.00
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$10.50
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Third through Fourteenth Review Dates
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Greater than Interest Barrier
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$10.50
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Final Review Date
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70.00
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$1,010.50
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Total Payment
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$1,157.50 (15.75% return)
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Because the notes have not been redeemed early, the
Final Value of the Least Performing Underlying is greater than or equal to its Interest Barrier and
a Trigger Event has not occurred, even though the Final Value of the Least Performing Underlying is
less than its Initial Value, the payment at maturity, for each $1,000 principal amount note, will be $1,010.50 (or $1,000 plus
the Contingent Interest Payment applicable to the final Review Date). When added to the Contingent Interest Payments received with respect
to the prior Review Dates, the total amount paid, for each $1,000 principal amount note, is $1,157.50.
PS-4
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Russell 2000® Index, the NASDAQ-100 Index® and the VanEck Vectors® Gold
Miners ETF
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Example
3 — Notes have NOT been redeemed early, the Final Value of the Least Performing Underlying is less than its Initial Value and its
Interest Barrier and a Trigger Event has occurred.
Date
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Closing Value of Least
Performing Underlying
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Payment (per $1,000 principal amount note)
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First Review Date
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40.00
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$0
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Second Review Date
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45.00
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$0
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Third through Fourteenth Review Dates
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Less than Interest Barrier
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$0
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Final Review Date
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50.00
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$500.00
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Total Payment
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$500.00 (-50.00% return)
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Because the notes have not been redeemed early, the
Final Value of the Least Performing Underlying is less than its Initial Value and its Interest Barrier, a Trigger Event has occurred and
the Least Performing Underlying Return is -50.00%, the payment at maturity will be $500.00 per $1,000 principal amount note, calculated
as follows:
$1,000 + [$1,000 × (-50.00%)] = $500.00
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.
Selected
Risk Considerations
An investment in the notes involves significant risks.
These risks are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement, product
supplement and underlying supplement.
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 notes have not been redeemed early and (i) the Final Value of any Underlying is less than its Initial Value and (ii) a Trigger
Event has occurred, you will lose 1% of the principal amount of your notes for every 1% that the Final Value of the Least Performing Underlying
is less than its Initial Value. Accordingly, under these circumstances, you will lose some or all of your principal amount at maturity.
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THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL —
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If the notes have not been redeemed early, we
will make a Contingent Interest Payment with respect to a Review Date only if the closing value of each Underlying on that Review Date
is greater than or equal to its Interest Barrier. If the closing value of any Underlying on that Review Date is less than its Interest
Barrier, no Contingent Interest Payment will be made with respect to that Review Date. Accordingly, if the closing value of any Underlying
on each Review Date is less than its Interest Barrier, you will not receive any interest payments over the term of the notes.
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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.
PS-5
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Russell 2000® Index, the NASDAQ-100 Index® and the VanEck Vectors® Gold
Miners ETF
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THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS THAT MAY BE PAID OVER THE TERM
OF THE NOTES,
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regardless of any appreciation of any Underlying,
which may be significant. You will not participate in any appreciation of any Underlying.
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YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE VALUE OF EACH UNDERLYING —
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Payments on the notes are not linked to a basket
composed of the Underlyings and are contingent upon the performance of each individual Underlying. Poor performance by any of the Underlyings
over the term of the notes may negatively affect whether you will receive a Contingent Interest Payment on any Interest Payment Date and
your payment at maturity and will not be offset or mitigated by positive performance by any other Underlying.
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YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING UNDERLYING.
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THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON ANY DAY DURING THE MONITORING PERIOD —
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If, on any day during the Monitoring Period,
the closing value of any Underlying is less than its Trigger Value (i.e., a Trigger Event occurs) and the notes have not been redeemed
early, the benefit provided by the Trigger Value will terminate and you will be fully exposed to any depreciation of the Least Performing
Underlying. You will be subject to this potential loss of principal even if that Underlying subsequently recovers such that the closing
value of that Underlying is greater than or equal to its Trigger Value.
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THE OPTIONAL EARLY REDEMPTION FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
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If we elect to redeem your notes early, the
term of the notes may be reduced to as short as approximately six months and you will not receive any Contingent Interest Payments after
the applicable Optional Call Payment Date. There is no guarantee that you would be able to reinvest the proceeds from an investment in
the notes at a comparable return and/or with a comparable interest rate for a similar level of risk. Even in cases where we elect to redeem
your notes before maturity, you are not entitled to any fees and commissions described on the front cover of this pricing supplement.
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YOU WILL NOT RECEIVE DIVIDENDS ON THE FUND OR THE SECURITIES INCLUDED IN OR HELD BY ANY UNDERLYING OR HAVE ANY RIGHTS WITH RESPECT
TO THE FUND OR THOSE SECURITIES.
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THE RISK OF THE CLOSING VALUE OF AN UNDERLYING FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS GREATER IF THE VALUE OF THAT
UNDERLYING IS VOLATILE.
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The notes will not be listed on any securities
exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which 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-6
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Russell 2000® Index, the NASDAQ-100 Index® and the VanEck Vectors® Gold
Miners ETF
|
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·
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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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·
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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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·
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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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·
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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 values of the Underlyings. 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 Underlyings
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·
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AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH RESPECT TO THE RUSSELL 2000®
INDEX —
|
Small capitalization companies may be less able
to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small 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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·
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NON-U.S. SECURITIES RISK WITH RESPECT TO THE NASDAQ-100 INDEX® AND THE FUND
—
|
Some of the equity securities included in the
NASDAQ-100 Index® and 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 home countries and/or 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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THERE ARE RISKS ASSOCIATED WITH THE FUND —
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PS-7
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Russell 2000® Index, the NASDAQ-100 Index® and the VanEck Vectors® Gold
Miners ETF
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The Fund is subject to management risk, which
is the risk that the investment strategies of the Fund’s investment adviser, the implementation of which is subject to a number
of constraints, may not produce the intended results. These constraints could adversely affect the market price of the shares of the Fund
and, consequently, the value of the notes.
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THE PERFORMANCE AND MARKET VALUE OF THE FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE
OF THE FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE —
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The Fund does not fully replicate its Underlying
Index (as defined under “The Underlyings” below) and may hold securities different from those included in its Underlying Index.
In addition, the performance of the Fund will reflect additional transaction costs and fees that are not included in the calculation of
its Underlying Index. All of these factors may lead to a lack of correlation between the performance of the Fund and its Underlying Index.
In addition, corporate actions with respect to the equity securities underlying the Fund (such as mergers and spin-offs) may impact the
variance between the performances of the Fund and its Underlying Index. Finally, because the shares of the Fund are traded on a securities
exchange and are subject to market supply and investor demand, the market value of one share of the Fund may differ from the net asset
value per share of the Fund.
During periods of market volatility, securities
underlying the Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately the net asset
value per share of the Fund and the liquidity of the Fund may be adversely affected. This kind of market volatility may also disrupt the
ability of market participants to create and redeem shares of the Fund. Further, market volatility may adversely affect, sometimes materially,
the prices at which market participants are willing to buy and sell shares of the Fund. As a result, under these circumstances, the market
value of shares of the Fund may vary substantially from the net asset value per share of the Fund. For all of the foregoing reasons, the
performance of the Fund may not correlate with the performance of its Underlying Index as well as the net asset value per share of the
Fund, which could materially and adversely affect the value of the notes in the secondary market and/or reduce any payment on the notes.
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RISKS ASSOCIATED WITH THE GOLD AND SILVER MINING INDUSTRIES WITH THE FUND —
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All or substantially all of the equity securities
held by the Fund are issued by companies whose primary line of business is directly associated with the gold and/or silver mining industries. As
a result, the value of the notes may be subject to greater volatility and be more adversely affected by a single economic, political or
regulatory occurrence affecting these industries than a different investment linked to securities of a more broadly diversified group
of issuers. Investments related to gold and silver are considered speculative and are affected by a variety of factors. Competitive
pressures may have a significant effect on the financial condition of gold and silver mining companies. Also, gold and silver mining
companies are highly dependent on the price of gold and silver bullion, respectively, and may be adversely affected by a variety of worldwide
economic, financial and political factors. The price of gold and silver may fluctuate substantially over short periods of time,
so the Fund’s share price may be more volatile than other types of investments. Fluctuation in the prices of gold and silver
may be due to a number of factors, including changes in inflation, changes in currency exchange rates and changes in industrial and commercial
demand for metals (including fabricator demand). Additionally, increased environmental or labor costs may depress the value of metal investments.
These factors could affect the gold and silver mining industries and could affect the value of the equity securities held by the Fund
and the price of the Fund during the term of the notes, which may adversely affect the value of your notes.
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THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK WITH THE FUND —
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Because the prices of the non-U.S. equity
securities held by the Fund are converted into U.S. dollars for purposes of calculating the net asset value of the Fund, holders of the
notes will be exposed to currency exchange rate risk with respect to each of the currencies in which the non-U.S. equity securities held
by the Fund trade. Your net exposure will depend on the extent to which those currencies strengthen or weaken against the U.S. dollar
and the relative weight of equity securities held by the Fund denominated in each of those currencies. If, taking into account the
relevant weighting, the U.S. dollar strengthens against those currencies, the price of the Fund will be adversely affected and any payment
on the notes may be reduced.
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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.
The Underlyings
The Russell 2000® Index consists of
the middle 2,000 companies included in the Russell 3000E™ Index and, as a result of the index calculation methodology, consists
of the smallest 2,000 companies included in the Russell 3000® Index. The Russell 2000® Index is
PS-8
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Russell 2000® Index, the NASDAQ-100 Index® and the VanEck Vectors® Gold
Miners ETF
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designed to track the performance of the small capitalization segment
of the U.S. equity market. For additional information about the Russell 2000® Index, see “Equity Index Descriptions
— The Russell Indices” in the accompanying underlying supplement.
The NASDAQ-100 Index® is a modified
market capitalization-weighted index of 100 of the largest non-financial securities listed on The NASDAQ Stock Market based on market
capitalization. For additional information about the NASDAQ-100 Index®, see “Equity Index Descriptions — The
NASDAQ-100 Index®” in the accompanying underlying supplement.
The Fund is an exchange-traded fund of the VanEck Vectors®
ETF Trust, a registered investment company, that seeks to replicate as closely as possible, before fees and expenses, the price and yield
performance of the NYSE Arca Gold Miners Index, which we refer to as the Underlying Index with respect to the Fund. The NYSE Arca Gold
Miners Index is a modified market capitalization weighted index composed of publicly traded companies involved primarily in the mining
of gold or silver. For additional information about the Fund, see “Fund Descriptions — The VanEck Vectors®
ETFs” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical performance
of each Underlying based on the weekly historical closing values from January 8, 2016 through May 7, 2021. The closing value of the Russell
2000® Index on May 7, 2021 was 2,271.629. The closing value of the NASDAQ-100 Index® on May 7, 2021 was
13,719.63. The closing value of the Fund on May 7, 2021 was $37.42. We obtained the closing values above and below from the Bloomberg
Professional® service (“Bloomberg”), without independent verification. The closing values of the Fund above
and below may have been adjusted by Bloomberg for actions taken by the Fund, such as stock splits.
The historical closing values of each Underlying
should not be taken as an indication of future performance, and no assurance can be given as to the closing value of any Underlying on
any Review Date or any day during the Monitoring Period. There can be no assurance that the performance of the Underlyings will result
in the return of any of your principal amount or the payment of any interest.
PS-9
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Russell 2000® Index, the NASDAQ-100 Index® and the VanEck Vectors® Gold
Miners ETF
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Tax Treatment
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-II. In determining our reporting
responsibilities we intend to treat (i) the notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent
coupons and (ii) any Contingent Interest Payments as ordinary income, as described in the section entitled “Material U.S. Federal
Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated Contingent
Coupons” in the accompanying product supplement. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel,
we believe that this is a reasonable treatment, but that there are other reasonable treatments that the IRS or a court may adopt, in which
case the timing and character of any income or loss on the notes could be materially 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
and the relevance of factors such as the nature of the underlying property to which the instruments are linked. 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 affect the tax consequences of an investment in the notes, possibly with retroactive effect. The discussions
above and in the accompanying product supplement do not address the consequences to taxpayers subject to special tax accounting rules
under Section 451(b) of the Code. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment
in the notes, including possible alternative treatments and the issues presented by the notice described above.
PS-10
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Russell 2000® Index, the NASDAQ-100 Index® and the VanEck Vectors® Gold
Miners ETF
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Non-U.S. Holders — Tax Considerations.
The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and although we believe it is reasonable to take a
position that Contingent Interest Payments are not subject to U.S. withholding tax (at least if an applicable Form W-8 is provided), a
withholding agent may nonetheless withhold on these payments (generally at a rate of 30%, subject to the possible reduction of that rate
under an applicable income tax treaty), unless income from your notes is effectively connected with your conduct of a trade or business
in the United States (and, if an applicable treaty so requires, attributable to a permanent establishment in the United States). If you
are not a United States person, you are urged to consult your tax adviser regarding the U.S. federal income tax consequences of an investment
in the notes in light of your particular circumstances.
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.
In the event of any
withholding on the notes, we will not be required to pay any additional amounts with respect to amounts so withheld.
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.
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
PS-11
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Russell 2000® Index, the NASDAQ-100 Index® and the VanEck Vectors® Gold
Miners ETF
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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 “How the Notes Work” and “Hypothetical
Payout Examples” in this pricing supplement for an illustration of the risk-return profile of the notes and “The Underlyings”
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 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
PS-12
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Russell 2000® Index, the NASDAQ-100 Index® and the VanEck Vectors® Gold
Miners ETF
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contained in the accompanying product supplement and the accompanying
underlying supplement. This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes
all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing
terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials
of ours. You should carefully consider, among other things, the matters set forth in the “Risk Factors” sections of the accompanying
prospectus supplement, the accompanying product supplement and the accompanying underlying supplement, as the notes involve risks not
associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before
you invest in the notes.
You may access these documents on the SEC website at
www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is
1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us” and
“our” refer to JPMorgan Financial.
PS-13
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Russell 2000® Index, the NASDAQ-100 Index® and the VanEck Vectors® Gold
Miners ETF
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