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
$25,409,000
Uncapped Accelerated Barrier Notes Linked to the Lesser Performing
of the S&P 500® Index and the Dow Jones Industrial AverageTM due May 12, 2026
Fully and Unconditionally Guaranteed by JPMorgan Chase &
Co.
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The notes are designed for investors who seek an uncapped return of 1.2875 times any appreciation of the lesser performing
of the S&P 500® Index and the Dow Jones Industrial AverageTM, which we refer to as the Indices, at
maturity.
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Investors should be willing to forgo interest and dividend payments and be willing to lose some or all of their principal amount
at maturity.
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The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan
Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes
is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as
guarantor of the notes.
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Payments on the notes are not linked to a basket composed of the Indices. Payments on the notes are linked to the performance
of each of the Indices individually, as described below.
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Minimum denominations of $1,000 and integral multiples thereof
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The notes priced on 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-3 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this
pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
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Price to Public (1)
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Fees and Commissions (2)
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Proceeds to Issuer
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Per note
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$1,000
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$6
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$994
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Total
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$25,409,000
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$152,454
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$25,256,546
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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 $6.00 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
$975.40 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.
Indices:
The S&P 500® Index (Bloomberg ticker: SPX) and the Dow Jones Industrial AverageTM
(Bloomberg ticker: INDU)
Upside
Leverage Factor: 1.2875
Barrier Amount: With respect
to each Index, 70.00% of its Initial Value, which is 2,962.82 for the S&P 500® Index and 24,344.432 for the
Dow Jones Industrial AverageTM
Pricing Date:
May 7, 2021
Original
Issue Date (Settlement Date): On or about May 12, 2021
Observation
Date*: May 7, 2026
Maturity
Date*: May 12, 2026
* 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
Payment at Maturity:
If the Final Value of each Index is greater than its Initial Value, your payment
at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing Index Return
× Upside Leverage Factor)
If the Final Value of either Index is equal to or less than its Initial
Value but the Final Value of each Index is greater than or equal to its Barrier Amount, you will receive the principal amount of
your notes at maturity.
If the Final Value of either Index is less than its Barrier Amount, your
payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing Index Return)
If the Final Value of either Index is less than its Barrier Amount, you
will lose more than 30.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
Lesser Performing Index: The
Index with the Lesser Performing Index Return
Lesser Performing Index Return: The
lower of the Index Returns of the Indices
Index Return:
With respect to each Index,
(Final Value – Initial Value)
Initial Value
Initial
Value: With respect to each Index, the closing
level of that Index on the Pricing Date, which was 4,232.60 for the S&P 500® Index and 34,777.76 for the Dow
Jones Industrial AverageTM
Final
Value: With respect to each Index, the closing level of that Index on the Observation
Date
PS-1
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to the Lesser Performing
of the S&P 500® Index and the Dow Jones Industrial AverageTM
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Hypothetical Payout
Profile
The following table and graph illustrate the hypothetical
total return and payment at maturity on the notes linked to two hypothetical Indices. The “total return” as used in
this pricing supplement is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000
principal amount note to $1,000. The hypothetical total returns and payments set forth below assume the following:
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an Initial Value for the Lesser Performing Index of 100.00;
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an Upside Leverage Factor of 1.2875; and
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a Barrier Amount for the Lesser Performing Index of 70.00 (equal to 70.00% of its hypothetical Initial Value).
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The hypothetical Initial Value of the Lesser Performing
Index of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value of either Index.
The actual Initial Value of each Index is the closing level of that Index on the Pricing Date and is specified under “Key
Terms — Initial Value” in this pricing supplement. For historical data regarding the actual closing levels of each
Index, please see the historical information set forth under “The Indices” in this pricing supplement.
Each hypothetical total return or hypothetical payment at
maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable
to a purchaser of the notes. The numbers appearing in the following table and graph have been rounded for ease of analysis.
Final Value of the
Lesser Performing
Index
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Lesser Performing Index
Return
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Total Return on the Notes
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Payment at Maturity
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165.00
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65.00%
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83.6875%
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$1,836.875
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150.00
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50.00%
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64.3750%
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$1,643.750
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140.00
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40.00%
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51.5000%
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$1,515.000
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130.00
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30.00%
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38.6250%
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$1,386.250
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120.00
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20.00%
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25.7500%
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$1,257.500
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110.00
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10.00%
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12.8750%
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$1,128.750
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105.00
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5.00%
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6.4375%
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$1,064.375
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101.00
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1.00%
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1.2875%
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$1,012.875
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100.00
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0.00%
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0.0000%
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$1,000.000
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95.00
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-5.00%
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0.0000%
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$1,000.000
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90.00
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-10.00%
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0.0000%
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$1,000.000
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80.00
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-20.00%
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0.0000%
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$1,000.000
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70.00
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-30.00%
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0.0000%
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$1,000.000
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69.99
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-30.01%
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-30.0100%
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$699.900
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60.00
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-40.00%
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-40.0000%
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$600.000
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50.00
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-50.00%
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-50.0000%
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$500.000
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40.00
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-60.00%
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-60.0000%
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$400.000
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30.00
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-70.00%
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-70.0000%
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$300.000
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20.00
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-80.00%
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-80.0000%
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$200.000
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10.00
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-90.00%
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-90.0000%
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$100.000
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0.00
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-100.00%
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-100.0000%
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$0.0000
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PS-2
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to the Lesser Performing
of the S&P 500® Index and the Dow Jones Industrial AverageTM
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The following graph demonstrates the hypothetical payments at
maturity on the notes for a sub-set of Lesser Performing Index Returns detailed in the table above (-80% to 50%). There can be
no assurance that the performance of the Lesser Performing Index will result in the return of any of your principal amount.
How the Notes
Work
Upside Scenario:
If the Final Value of each Index is greater than its Initial
Value, investors will receive at maturity the $1,000 principal amount plus a return equal to the Lesser Performing Index
Return times the Upside Leverage Factor of 1.2875.
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If the closing level of the Lesser Performing Index increases 5.00%, investors will receive at maturity a 6.4375% return, or
$1,064.375 per $1,000 principal amount note.
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Par Scenario:
If the Final Value of either Index is equal to or less than
its Initial Value but the Final Value of each Index is greater than or equal to its Barrier Amount of 70.00% of its Initial Value,
investors will receive at maturity the principal amount of their notes.
Downside Scenario:
If the Final Value of either Index is less than its Barrier
Amount of 70.00% of its Initial Value, investors will lose 1% of the principal amount of their notes for every 1% that the Final
Value of the Lesser Performing Index is less than its Initial Value.
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For example, if the closing level of the Lesser Performing Index declines 60.00%, investors will lose 60.00% of their principal
amount and receive only $400.00 per $1,000 principal amount note at maturity.
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The hypothetical returns and hypothetical payments on the
notes shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect the fees or
expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical
returns and hypothetical payments shown above would likely be lower.
Selected Risk
Considerations
An investment in the notes involves significant risks. These
risks are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement, product
supplement and underlying supplement.
Risks Relating to the Notes Generally
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YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
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The notes do not guarantee any return of principal.
If the Final Value of either Index is less than its Barrier Amount, you will lose 1% of the principal amount of your notes for
every 1% that the Final Value of the Lesser Performing Index is less than its Initial Value. Accordingly, under these circumstances,
you will lose more than 30.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
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CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
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PS-3
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to the Lesser Performing
of the S&P 500® Index and the Dow Jones Industrial AverageTM
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Investors are dependent on our and JPMorgan Chase
& Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.’s
creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely affect the
value of the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts
owed to you under the notes and you could lose your entire investment.
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AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS —
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As a finance subsidiary of JPMorgan Chase & Co.,
we have no independent operations beyond the issuance and administration of our securities. Aside from the initial capital contribution
from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates to make payments under loans
made by us or other intercompany agreements. As a result, we are dependent upon payments from our affiliates to meet our obligations
under the notes. If these affiliates do not make payments to us and we fail to make payments on the notes, you may have to seek
payment under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu with all other
unsecured and unsubordinated obligations of JPMorgan Chase & Co.
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YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX —
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Payments on the notes are not linked to a basket
composed of the Indices and are contingent upon the performance of each individual Index. Poor performance by either of the Indices
over the term of the notes may negatively affect your payment at maturity and will not be offset or mitigated by positive performance
by the other Index.
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YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LESSER PERFORMING INDEX.
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THE BENEFIT PROVIDED BY THE BARRIER AMOUNT MAY TERMINATE ON THE OBSERVATION DATE —
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If the Final Value of either Index is less than its
Barrier Amount, the benefit provided by the Barrier Amount will terminate and you will be fully exposed to any depreciation of
the Lesser Performing Index.
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THE NOTES DO NOT PAY INTEREST.
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YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN EITHER INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES.
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THE RISK OF THE CLOSING LEVEL OF AN INDEX FALLING BELOW ITS BARRIER AMOUNT IS GREATER IF THE LEVEL OF THAT INDEX IS VOLATILE.
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The notes will not be listed on any securities exchange.
Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which 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.
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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.
PS-4
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to the Lesser Performing
of the S&P 500® Index and the Dow Jones Industrial AverageTM
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THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
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The internal funding rate used in the determination
of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar
maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our
affiliates’ view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management
costs of the notes in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This
internal funding rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate
the prevailing market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to
that rate may have an adverse effect on the terms of the notes and any secondary market prices of the notes. See “The Estimated
Value of the Notes” in this pricing supplement.
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THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN
THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
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We generally expect that some of the costs included
in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by
JPMS in an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices of the Notes”
in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your
notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your
customer account statements).
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SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
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Any secondary market prices of the notes will likely
be lower than the original issue price of the notes because, among other things, secondary market prices take into account our
internal secondary market funding rates for structured debt issuances and, also, because secondary market prices may exclude selling
commissions, projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the
notes. As a result, the price, if any, at which JPMS will be willing to buy the notes from you in secondary market transactions,
if at all, is likely to be lower than the original issue price. Any sale by you prior to the Maturity Date could result in a substantial
loss to you.
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SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
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The secondary market price of the notes during their
term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the
selling commissions, projected hedging profits, if any, estimated hedging costs and the levels of the Indices. Additionally, independent
pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account
statements. This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to
purchase your notes in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors”
in the accompanying product supplement.
Risks Relating to the Indices
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JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE INDICES,
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but JPMorgan Chase & Co. will not have any obligation
to consider your interests in taking any corporate action that might affect the level of the Indices.
PS-5
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to the Lesser Performing
of the S&P 500® Index and the Dow Jones Industrial AverageTM
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The Indices
The S&P 500® Index consists of stocks of 500
companies selected to provide a performance benchmark for the U.S. equity markets. For additional information about the S&P
500® Index, see “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying underlying
supplement.
The Dow Jones Industrial AverageTM consists of 30 common
stocks chosen as representative of the broad market of U.S. industry. For additional information about the Dow Jones Industrial
AverageTM, see “Equity Index Descriptions — The Dow Jones Industrial AverageTM” in the
accompanying underlying supplement.
Historical Information
The following graphs set forth the historical performance
of each Index based on the weekly historical closing levels from January 8, 2016 through May 7, 2021. The closing level of the
S&P 500® Index on May 7, 2021 was 4,232.60. The closing level of the Dow Jones Industrial AverageTM
on May 7, 2021 was 34,777.76. We obtained the closing levels above and below from the Bloomberg Professional® service
(“Bloomberg”), without independent verification.
The historical closing levels of each Index should not
be taken as an indication of future performance, and no assurance can be given as to the closing level of either Index on the Observation
Date. There can be no assurance that the performance of the Indices will result in the return of any of your principal amount.
PS-6
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to the Lesser Performing
of the S&P 500® Index and the Dow Jones Industrial AverageTM
|
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Tax Treatment
You
should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product
supplement no. 4-II. The following discussion, when read in combination with that section, constitutes the full opinion of our
special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing
of notes.
Based on current
market conditions, in the opinion of our special tax counsel it is reasonable to treat the notes as “open transactions”
that are not debt instruments for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income
Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments”
in the accompanying product supplement. Assuming this treatment is respected, the gain or loss on your notes should be treated
as long-term capital gain or loss if you hold your notes for more than a year, whether or not you are an initial purchaser of notes
at the issue price. However, the IRS or a court may not respect this treatment, in which case the timing and character of any income
or loss on the notes could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting
comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice
focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment.
It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments;
the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any,
to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether
these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate
to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. While the notice requests
comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration
of these issues could materially and adversely affect the tax consequences of an investment in the notes, possibly with retroactive
effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, including
possible alternative treatments and the issues presented by this notice.
Section 871(m) of
the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax
(unless an income tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial
instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to
this withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in the
applicable Treasury regulations. Additionally, a recent IRS notice excludes from the scope of Section 871(m) instruments
issued prior to January 1, 2023 that do not have a delta of one with respect to underlying securities that could pay U.S.-source
dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on certain determinations
made by us, our special tax counsel is of the opinion that Section 871(m) should not apply to the notes with regard to Non-U.S.
Holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m)
is complex and its application may depend on your particular circumstances, including whether you enter into other transactions
with respect to an Underlying Security. You should consult your tax adviser regarding the potential application of Section
871(m) to the notes.
The Estimated
Value of the Notes
The estimated value of the notes set forth on the cover
of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt
component with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or
derivatives underlying the economic terms of the notes. The estimated value of the notes does not represent a minimum price at
which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time. The internal funding rate used
in the determination of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income
instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other
things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance, operational and ongoing
liability management costs of the notes in comparison to those costs for the conventional fixed income instruments of JPMorgan
Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove to be incorrect,
and is intended to approximate the prevailing market replacement funding rate for the notes. The use of an internal funding rate
and any potential changes to that rate may have an adverse effect on the terms of the notes and any secondary market prices of
the notes. For additional information, see “Selected Risk Considerations — 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
PS-7
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to the Lesser Performing
of the S&P 500® Index and the Dow Jones Industrial AverageTM
|
|
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 allowed to other
affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits. See “Selected
Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated
Value of the Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary Market
Prices of the Notes
For information about factors that will impact any secondary
market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of
the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying
product supplement. In addition, we generally expect that some of the costs included in the original issue price of the notes will
be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over
an initial predetermined period. These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances,
estimated hedging costs and our internal secondary market funding rates for structured debt issuances. This initial predetermined
time period is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial
period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities,
the estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates. See “Selected
Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Value of
the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current
Estimated Value of the Notes for a Limited Time Period” in this pricing supplement.
Supplemental Use
of Proceeds
The notes are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the notes. See “Hypothetical Payout Profile” and
“How the Notes Work” in this pricing supplement for an illustration of the risk-return profile of the notes and “The
Indices” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the estimated
value of the notes plus 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
PS-8
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to the Lesser Performing
of the S&P 500® Index and the Dow Jones Industrial AverageTM
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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 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-9
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to the Lesser Performing
of the S&P 500® Index and the Dow Jones Industrial AverageTM
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