Additional
Information about JPMorgan Financial, JPMorgan Chase & Co. and 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.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is 1665650,
and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, the “Issuer,” “JPMorgan
Financial,” “we,” “us” and “our” refer to JPMorgan Chase Financial Company LLC.
Supplemental
Terms of the Notes
For purposes of the accompanying product supplement, each of the
MSCI Emerging Markets Index and the EURO STOXX 50® Index is an “Index.”
Investor
Suitability
The Notes may be suitable for you if, among other considerations:
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You fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
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You can tolerate a loss of all or a substantial portion of your investment and are willing to make an investment that may have
the same downside market risk as an investment in the Lesser Performing Underlying.
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You are willing to accept the individual market risk of each Underlying and understand that any decline in the level of one
Underlying will not be offset or mitigated by a lesser decline or any potential increase in the level of the other Underlying.
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You accept that you may not receive a Contingent Coupon on some or all of the Coupon Payment Dates.
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You believe each Underlying will close at or above its Coupon Barrier on the Observation Dates and its Downside Threshold on
the Final Valuation Date.
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You believe each Underlying will close at or above its Initial Value on one of the specified Observation Dates (after an initial
six-month non-call period).
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You understand and accept that you will not participate in any appreciation of either Underlying and that your potential return
is limited to the Contingent Coupons.
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You can tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside fluctuations
in the levels of the Underlyings.
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You are willing to invest in the Notes based on the Contingent Coupon Rate indicated on the cover hereof.
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You do not seek guaranteed current income from this investment and are willing to forgo dividends paid on the stocks included
in the Underlyings.
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You are able and willing to invest in Notes that may be called early (after an initial six-month non-call period) and you are
otherwise able and willing to hold the Notes to maturity.
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You accept that there may be little or no secondary market for the Notes and that any secondary market will depend in large
part on the price, if any, at which J.P. Morgan Securities LLC, which we refer to as JPMS, is willing to trade the Notes.
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You understand and accept the risks associated with the Underlyings.
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You are willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Notes,
and understand that if JPMorgan Financial and JPMorgan Chase & Co. default on their obligations, you may not receive any amounts
due to you including any repayment of principal.
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The Notes may not be suitable for you if, among other considerations:
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You do not fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial
investment.
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You cannot tolerate a loss of all or a substantial portion of your investment or are unwilling to make an investment that may
have the same downside market risk as an investment in the Lesser Performing Underlying.
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You are unwilling to accept the individual market risk of each Underlying or do not understand that any decline in the level
of one Underlying will not be offset or mitigated by a lesser decline or any potential increase in the level of the other Underlying.
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You require an investment designed to provide a full return of principal at maturity.
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You do not accept that you may not receive a Contingent Coupon on some or all of the Coupon Payment Dates.
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You believe that either Underlying will decline during the term of the Notes and is likely to close below its Coupon Barrier
on the Observation Dates and its Downside Threshold on the Final Valuation Date.
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You seek an investment that participates in the full appreciation of either or both of the Underlyings or that has unlimited
return potential.
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You cannot tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside
fluctuations in the levels of the Underlyings.
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You are not willing to invest in the Notes based on the Contingent Coupon Rate indicated on the cover hereof.
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You prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable
maturities and credit ratings.
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You seek guaranteed current income from this investment or prefer to receive the dividends paid on the stocks included in the
Underlyings.
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You are unable or unwilling to invest in Notes that may be called early (after an initial six-month non-call period), or you
are otherwise unable or unwilling to hold the Notes to maturity or you seek an investment for which there will be an active secondary
market.
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You do not understand or accept the risks associated with the Underlyings.
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You are not willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the
Notes, including any repayment of principal.
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The suitability considerations identified above are not exhaustive. Whether
or not the Notes are a suitable investment for you will depend on your individual circumstances, and you should reach an investment
decision only after you and your investment, legal, tax, accounting and other advisers have carefully considered the suitability
of an investment in the Notes in light of your particular circumstances. You should also review carefully the “Key Risks”
section of this pricing supplement and the “Risk Factors” sections of the accompanying prospectus supplement, the accompanying
product supplement and the accompanying underlying supplement for risks related to an investment in the Notes. For more information
on the Underlyings, please see the sections titled “The MSCI Emerging Markets Index” and “The EURO STOXX 50®
Index” below.
Final
Terms
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Issuer:
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JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
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Guarantor:
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JPMorgan Chase & Co.
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Issue Price
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$10 per Note
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Underlyings
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MSCI Emerging Markets Index
EURO STOXX 50® Index
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Principal Amount
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$10 per Note (subject to a minimum purchase of 100 Notes or $1,000)
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Term
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Approximately 3 years, unless called earlier
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Automatic Call Feature
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The Notes will be called automatically if the closing level of each Underlying on any Observation Date (after an initial six-month non-call period) is equal to or greater than its Initial Value. If the Notes are called, JPMorgan Financial will pay you on the applicable Call Settlement Date a cash payment per Note equal to the principal amount plus the Contingent Coupon otherwise due for the applicable Observation Date, and no further payments will be made on the Notes.
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Contingent Coupon
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If the closing level of each Underlying is equal to or greater than its Coupon
Barrier on any Observation Date, we will pay you the Contingent Coupon for that Observation Date on the relevant Coupon Payment
Date.
If the closing level of either Underlying is less than its Coupon Barrier on
any Observation Date, the Contingent Coupon for that Observation Date will not accrue or be payable, and we will not make any payment
to you on the relevant Coupon Payment Date.
Each Contingent Coupon will be a fixed amount based on equal quarterly installments
at the Contingent Coupon Rate, which is a per annum rate.
Contingent Coupon payments on the Notes are not guaranteed. We will not
pay you the Contingent Coupon for any Observation Date on which the closing level of either Underlying is less than its Coupon
Barrier.
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Contingent Coupon Rate
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9.30% per annum
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Contingent Coupon payments
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$0.2325 per $10 principal amount Note
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Coupon Payment Dates1
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As specified under the “Coupon Payment Dates” column of the table under “Observation Dates and Coupon Payment Dates” below
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Call Settlement Dates1
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First Coupon Payment Date following the applicable Observation Date
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Payment at Maturity
(per $10 Note)
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If the Notes are not automatically called and the Final Value of each Underlying
is equal to or greater than its Downside Threshold, we will pay you a cash payment
at maturity per $10 principal amount Note equal to $10 plus the Contingent Coupon otherwise due on the Maturity Date.
If the Notes are not automatically called and the Final Value of either
Underlying is less than its Downside Threshold, we will pay you a cash payment at maturity that is less than $10 per $10 principal
amount Note resulting in a loss on your principal amount proportionate to the negative Underlying Return of the Lesser Performing
Underlying, equal to:
$10 × (1 + Lesser Performing Underlying Return)
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Underlying Return
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With respect to each Underlying:
Final Value – Initial Value
Initial Value
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Lesser Performing Underlying:
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The Underlying with the lower Underlying Return
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Lesser Performing Underlying Return:
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The lower of the Underlying Returns of the Underlyings
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Initial Value
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With respect to each Underlying, the closing level of that Underlying on the Trade Date, as specified on the cover of this pricing supplement
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Final Value
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With respect to each Underlying, the closing level of that Underlying on the Final Valuation Date
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Downside Threshold
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With respect to each Underlying, a percentage of the Initial Value of that Underlying, as specified on the cover of this pricing supplement
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Coupon Barrier
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With respect to each Underlying, a percentage of the Initial Value of that Underlying, as specified on the cover of this pricing supplement
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See footnote 1 under “Key Dates” on the front cover
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Investment
Timeline
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Trade Date
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The closing level of each Underlying (Initial Value) is observed, the Downside Threshold and the Coupon Barrier of each Underlying are determined and the Contingent Coupon Rate is finalized.
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Quarterly (callable after an initial six-month non-call period)
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If the closing level of each Underlying is equal to or greater than its
Coupon Barrier on any Observation Date, JPMorgan Financial will pay you a Contingent Coupon on the Coupon Payment Date.
The Notes will also be called if the closing level of each Underlying on any
Observation Date (after an initial six-month non-call period) is equal to or greater than its Initial Value. If the Notes are called,
JPMorgan Financial will pay you a cash payment per Note equal to the principal amount plus the Contingent Coupon otherwise due
for the applicable Observation Date, and no further payments will be made on the Notes.
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Maturity Date
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The Final Value of each Underlying
is determined as of the Final Valuation Date.
If the Notes have not been called
and the Final Value of each Underlying is equal to or greater than its Downside Threshold,
at maturity JPMorgan Financial will repay the principal amount equal to $10.00 per Note plus the Contingent Coupon otherwise
due on the Maturity Date.
If the Notes have not been called
and the Final Value of either Underlying is less than its Downside Threshold, JPMorgan Financial will repay less than the principal
amount, if anything, at maturity, resulting in a loss on your principal amount proportionate to the decline of the Lesser Performing
Underlying, equal to a return of:
$10 × (1 + Lesser Performing Underlying
Return) per Note
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INVESTING IN THE NOTES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE SOME OR ALL OF YOUR PRINCIPAL AMOUNT. YOU WILL BE EXPOSED TO THE MARKET RISK OF EACH UNDERLYING AND ANY DECLINE IN THE LEVEL OF ONE UNDERLYING MAY NEGATIVELY AFFECT YOUR RETURN AND WILL NOT BE OFFSET OR MITIGATED BY A LESSER DECLINE OR ANY POTENTIAL INCREASE IN THE LEVEL OF THE OTHER UNDERLYING. ANY PAYMENT ON THE NOTES, INCLUDING ANY REPAYMENT OF PRINCIPAL, IS SUBJECT TO THE CREDITWORTHINESS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. IF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. WERE TO DEFAULT ON THEIR 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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Observation
Dates and Coupon Payment Dates
Observation Dates†
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Coupon Payment Dates†
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May 24, 2021
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May 26, 2021
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August 24, 2021
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August 26, 2021
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November 24, 2021
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November 29, 2021
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February 24, 2022
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February 28, 2022
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May 24, 2022
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May 26, 2022
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August 24, 2022
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August 26, 2022
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November 25, 2022
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November 29, 2022
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February 24, 2023
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February 28, 2023
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May 24, 2023
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May 26, 2023
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August 24, 2023
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August 28, 2023
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November 24, 2023
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November 28, 2023
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February 26, 2024 (the Final Valuation Date)
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February 29, 2024 (the Maturity Date)
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†The Notes are not callable until the second Observation
Date, August 24, 2021.
Each of the Observation Dates,
and therefore the Coupon Payment Dates, is 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.
What
Are the Tax Consequences of the Notes?
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. UBS-1-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 Coupons 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.
Sale, Exchange or Redemption of a Note. Assuming the treatment
described above is respected, upon a sale or exchange of the Notes (including redemption upon an automatic call or at maturity),
you should recognize capital gain or loss equal to the difference between the amount realized on the sale or exchange and your
tax basis in the Notes, which should equal the amount you paid to acquire the Notes (assuming Contingent Coupons are properly treated
as ordinary income, consistent with the position referred to above). This gain or loss should be short-term capital gain or loss
unless you hold the Notes for more than one year, in which case the gain or loss should be long-term capital gain or loss, whether
or not you are an initial purchaser of the Notes at the issue price. The deductibility of capital losses is subject to limitations.
If you sell your Notes between the time your right to a Contingent Coupon is fixed and the time it is paid, it is likely that you
will be treated as receiving ordinary income equal to the Contingent Coupon. Although uncertain, it is possible that proceeds received
from the sale or exchange of your Notes prior to an Observation Date but that can be attributed to an expected Contingent Coupon
payment could be treated as ordinary income. You should consult your tax adviser regarding this issue.
As described above, 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.
Non-U.S. Holders — Tax Considerations.
The U.S. federal income tax treatment of Contingent Coupons is uncertain, and although we believe it is reasonable to take a position
that Contingent Coupons 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.
Key
Risks
An investment in the Notes involves significant risks. Investing in the
Notes is not equivalent to investing directly in the Underlying. These risks are explained in more detail in the “Risk Factors”
sections of the accompanying prospectus supplement, the accompanying product supplement and the accompanying underlying supplement.
We also urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the Notes.
Risks Relating to the Notes Generally
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Your Investment in the Notes May Result in a Loss — The Notes differ from ordinary debt securities in that JPMorgan
Financial will not necessarily repay the full principal amount of the Notes. If the Notes are not called and the closing level
of either Underlying has declined below its Downside Threshold on the Final Valuation Date, you will be fully exposed to any depreciation
of the Lesser Performing Underlying from its Initial Value to its Final Value. In this case, JPMorgan Financial will repay less
than the full principal amount at maturity, resulting in a loss of principal that is proportionate to the negative Underlying Return
of the Lesser Performing Underlying. Under these circumstances, you will lose 1% of your principal for every 1% that the Final
Value of the Lesser Performing Underlying is less than its Initial Value and could lose your entire principal amount. As a result,
your investment in the Notes may not perform as well as an investment in a security that does not have the potential for full downside
exposure to either Underlying at maturity.
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Credit Risks of JPMorgan Financial and JPMorgan Chase & Co. — The Notes are unsecured and unsubordinated debt
obligations of the Issuer, JPMorgan Chase Financial Company LLC, the payment on which is fully and unconditionally guaranteed by
JPMorgan Chase & Co. The Notes will rank pari passu with all of our other unsecured and unsubordinated obligations,
and the related guarantee JPMorgan Chase & Co. will rank pari passu with all of JPMorgan Chase & Co.’s other
unsecured and unsubordinated obligations. The Notes and related guarantees are not, either directly or indirectly, an obligation
of any third party. Any payment to be made on the Notes, including any repayment of principal, depends on the ability of JPMorgan
Financial and JPMorgan Chase & Co. to satisfy their obligations as they come due. As a result, the actual and perceived creditworthiness
of JPMorgan Financial and JPMorgan Chase & Co. may affect the market value of the Notes and, in the event JPMorgan Financial
and JPMorgan Chase & Co. were to default on their obligations, you may not receive any amounts owed to you under the terms
of the Notes and you could lose your entire investment.
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As a Finance Subsidiary, JPMorgan Financial Has No Independent Operations and Limited Assets — 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 Not Guaranteed Any Contingent Coupons — We will not necessarily make periodic coupon payments on the Notes.
If the closing level of either Underlying on an Observation Date is less than its Coupon Barrier, we will not pay you the Contingent
Coupon for that Observation Date even if the closing level of the other Underlying is greater than or equal to its Coupon Barrier
on that Observation Date, and the Contingent Coupon that would otherwise be payable will not be accrued and will be lost. If the
closing level of either Underlying is less than its Coupon Barrier on each of the Observation Dates, we will not pay you any Contingent
Coupon during the term of, and you will not receive a positive return on, your Notes. Generally, this non-payment of the Contingent
Coupon coincides with a period of greater risk of principal loss on your Notes.
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Return on the Notes Limited to the Sum of Any Contingent Coupons and You Will Not Participate in Any Appreciation of Either
Underlying — The return potential of the Notes is limited to the specified Contingent Coupon Rate, regardless of the
appreciation of either Underlying, which may be significant. In addition, the total return on the Notes will vary based on the
number of Observation Dates on which the requirements for a Contingent Coupon have been met prior to maturity or an automatic call.
Further, if the Notes are called, you will not receive any Contingent Coupons or any other payments in respect of any Observation
Dates after the Call Settlement Date. Because the Notes could be called as early as the second Observation Date, the total return
on the Notes could be minimal. If the Notes are not called, you may be subject to the risk of decline of each Underlying, even
though you are not able to participate in any potential appreciation of either Underlying. Generally, the longer the Notes
remain outstanding, the less likely it is that they will be automatically called, due to the decline in the level of one or both
of the Underlyings and the shorter time remaining for the level of either Underlying to recover to or above its Initial Value on
a subsequent Observation Date. As a result, the return on an investment in the Notes could be less than the return on a hypothetical
direct investment in either Underlying. In addition, if the Notes are not called and the Final Value of either Underlying is below
its Downside Threshold, you will have a loss on your principal amount and the overall return on the Notes may be less than the
amount that would be paid on a conventional debt security of JPMorgan Financial of comparable maturity.
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Because the Notes Are Linked to the Lesser Performing
Underlying, You Are Exposed to Greater Risks of No Contingent Coupons and Sustaining a Significant Loss on Your Investment at
Maturity Than If the Notes Were Linked to a Single Underlying — The risk that you will not receive any Contingent Coupons
and lose some or all of your initial investment in the Notes at maturity is greater if you invest in the Notes as opposed to substantially
similar securities that are linked to the performance of a single Underlying. With two Underlyings, it is more likely that the
closing level of either Underlying will be less than its Coupon Barrier on the Observation Dates or less than its Downside Threshold
on the Final Valuation Date. Therefore it is more likely that you will not receive any Contingent Coupons and that you will suffer
a significant loss on your investment at maturity. In addition, the performance of the Underlyings may not be correlated or may
be negatively correlated.
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The lower the correlation between two Underlyings,
the greater the potential for one of those Underlyings to close below its Coupon Barrier or Downside Threshold on an Observation
Date or the Final Valuation Date, respectively. Although the correlation of the Underlyings’ performance may change over
the term of the Notes, the Contingent Coupon Rate is determined, in part, based on the correlation of the Underlyings’ performance,
as calculated using internal models of our affiliates at the time when the terms of the Notes are finalized. A higher Contingent
Coupon Rate is generally associated with lower correlation of the Underlyings, which reflects a greater potential for missed Contingent
Coupons and for a loss of principal at maturity. The correlation referenced in setting the terms of the Notes is calculated using
internal models of our affiliates and is not derived from the returns of the Underlyings over the period set forth under “Correlation
of the Underlyings” below. In addition, other factors and inputs other than correlation may impact how the terms of the Notes
are set and the performance of the Notes. Furthermore, because the closing level of each Underlying must be greater than or equal
to its Initial Value on a quarterly Observation Date (after an initial six-month non-call period) in order for the notes to be
automatically called prior to maturity, the Notes are less likely to be automatically called on any Observation Date than if the
Notes were linked to a single Underlying.
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You Are Exposed to the Risk of Decline of Each Underlying
— Your return on the Notes and your payment at maturity, if any, is not linked to a basket consisting of the Underlyings.
If the Notes have not been automatically called, your payment at maturity is contingent upon the performance of each individual
Underlying such that you will be equally exposed to the risks related to either of the Underlyings. In addition, the performance
of the Underlyings may not be correlated. Poor performance by either of the Underlyings over the term of the Notes may negatively
affect whether you will receive a Contingent Coupon on any Coupon Payment Date and your payment at maturity and will not be offset
or mitigated by positive performance by the other Underlying. Accordingly, your investment is subject to the risk of decline of
each Underlying.
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Your Payment at Maturity Will Be Determined By the Lesser
Performing Underlying — Because the payment at maturity will be determined based on the performance of the Lesser Performing
Underlying, you will not benefit from the performance of the other Underlying. Accordingly, if the Notes have not been automatically
called and the Final Value of either Underlying is less than its Downside Threshold, you will lose some or all of your principal
amount at maturity, even if the Final Value of the other Underlying is greater than or equal to its Initial Value.
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Contingent Repayment of Principal Applies Only If You Hold the Notes to Maturity — If you are able to sell your
Notes in the secondary market, if any, prior to maturity, you may have to sell them at a loss relative to your initial investment
even if the closing levels of both Underlyings are above their respective Downside Thresholds. If by maturity the Notes have not
been called, either JPMorgan Financial will repay you the full principal amount per Note plus the Contingent Coupon, or,
if either Underlying closes below its Downside Threshold on the Final Valuation Date, JPMorgan Financial will repay less than the
principal amount, if anything, at maturity, resulting in a loss on your principal amount that is proportionate to the decline of
the Lesser Performing Underlying from its Initial Value to its Final Value. This contingent repayment of principal applies only
if you hold your Notes to maturity.
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A Higher Contingent Coupon Rate and/or a Lower Coupon Barrier and/or Downside Threshold May Reflect Greater Expected Volatility
of the Underlyings, Which Is Generally Associated With a Greater Risk of Loss — Volatility is a measure of the degree
of variation in the levels of the Underlyings over a period of time. The greater the expected volatilities of the Underlyings
at the time the terms of the Notes are set, the greater the expectation is at that time that the level of an Underlying could close
below its Coupon Barrier on any Observation Date, resulting in the loss of one or more, or all, Contingent Coupon payments, or
below its Downside Threshold on the Final Valuation Date, resulting in the loss of a significant portion or all of your principal
at maturity. In addition, the economic terms of the Notes, including the Contingent Coupon Rate, the Coupon Barrier and the
Downside Threshold, are based, in part, on the expected volatilities of the Underlyings at the time the terms of the Notes are
set, where higher expected volatilities will generally be reflected in a higher Contingent Coupon Rate than the fixed rate we would
pay on conventional debt securities of the same maturity and/or on otherwise comparable securities and/or a lower Coupon Barrier
and/or a lower Downside Threshold as compared to otherwise comparable securities. Accordingly, a higher Contingent Coupon
Rate will generally be indicative of a greater risk of loss while a lower Coupon Barrier or Downside Threshold does not necessarily
indicate that the Notes have a greater likelihood of paying Contingent Coupon payments or returning your principal at maturity.
You should be willing to accept the downside market risk of each Underlying and the potential loss of some or all of your principal
at maturity.
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Reinvestment Risk — If your Notes are called early, the holding period over which you would have the opportunity
to receive any Contingent Coupons could be as short as approximately six months. 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 in the event the Notes are called prior to the Maturity Date.
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Each Contingent Coupon Is Based Solely on the Closing Levels of the Underlyings on the Applicable Observation Date —
Whether a Contingent Coupon will be payable with respect to an Observation Date will be based solely on the closing levels of the
Underlyings on that Observation Date. As a result, you will not know whether you will receive a Contingent Coupon until the related
Observation Date. Moreover, because each Contingent Coupon is based solely on the closing levels of the Underlyings on the applicable
Observation Date, if the closing level of either Underlying is less than its Coupon Barrier, you will not receive any Contingent
Coupon with respect to that Observation Date, even if the closing level of the other Underlying is equal to or greater than its
Coupon Barrier and even if the closing level of that Underlying was higher on other days during the period before that Observation
Date.
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Investing in the Notes Is Not Equivalent to Investing
in the Stocks Composing the Underlyings — Investing in the Notes is not equivalent to investing in the stocks included
in the Underlyings. As an investor in the Notes, you will not have any ownership interest or rights in the stocks included in
the Underlyings, such as voting rights, dividend payments or other distributions.
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We Cannot Control Actions by the Sponsor of Either Underlying and That Sponsor Has
No Obligation to Consider Your Interests — We and our affiliates are not affiliated with the sponsor of either Underlying
and have no ability to control or predict its actions, including any errors in or discontinuation of public disclosure regarding
methods or policies relating to the calculation of that
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Underlying.
The sponsor of each Underlying is not involved in this Note offering in any way and has no obligation to consider your interest
as an owner of the Notes in taking any actions that might affect the market value of your Notes.
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Your Return on the Notes Will Not Reflect Dividends
on the Stocks Composing the Underlyings — Your return on the Notes will not reflect the return you would realize if
you actually owned the stocks included in the Underlyings and received the dividends on the stocks included in the Underlyings.
This is because the calculation agent will determine whether the Notes will be called and whether a Contingent Coupon is payable
and, if the Notes are not called, will calculate the amount payable to you at maturity of the Notes by reference to the closing
level of each Underlying on the relevant Observation Date, without taking into consideration the value of dividends on the stocks
included in that Underlying.
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No Assurances That the Investment View Implicit in the Notes Will Be Successful — While the Notes are structured
to provide for Contingent Coupons if each Underlying does not close below its Coupon Barrier on the Observation Dates, we cannot
assure you of the economic environment during the term or at maturity of your Notes.
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Lack of Liquidity — The Notes will not be listed on any securities exchange. JPMS intends to offer to purchase
the Notes in the secondary market, but is not required to do so. Even if there is a secondary market, it may not provide enough
liquidity to allow you to trade or sell the Notes easily. Because other dealers are not likely to make a secondary market for the
Notes, 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.
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Tax Treatment — Significant aspects of the tax treatment of the Notes are uncertain. You should consult your tax
adviser about your tax situation.
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Risks Relating to Conflicts of Interest
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Potential Conflicts — We and our affiliates
play a variety of roles in connection with the issuance of the Notes, including acting as calculation agent and hedging our obligations
under the Notes and making the assumptions used to determine the pricing of the Notes and the estimated value of the Notes when
the terms of the Notes are set, which we refer to as the estimated value of the Notes. In performing these duties, our and JPMorgan
Chase & Co.’s economic interests and the economic interests of the calculation agent and other affiliates of ours are
potentially adverse to your interests as an investor in the Notes. In addition, our and JPMorgan Chase & Co.’s business
activities, including hedging and trading activities, could cause our and JPMorgan Chase & Co.’s economic interests
to be adverse to yours and could adversely affect any payment on the Notes and the value of 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 for additional information about these risks.
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Potentially Inconsistent Research, Opinions or Recommendations by JPMS, UBS or Their Affiliates — JPMS, UBS or
their affiliates may publish research, express opinions or provide recommendations that are inconsistent with investing in or holding
the Notes, and that may be revised at any time. Any such research, opinions or recommendations may or may not recommend that investors
buy or hold the Underlyings and could affect the level of an Underlying, and therefore the market value of the Notes.
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Potential JPMorgan Financial Impact on the Level of an Underlying — Trading or transactions by JPMorgan Financial
or its affiliates in an Underlying and/or over-the-counter options, futures or other instruments with returns linked to the performance
of an Underlying may adversely affect the level of that Underlying and, therefore, the market value of the Notes.
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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 — The estimated
value of the Notes is only an estimate determined by reference to several factors. The original issue price of the Notes exceeds
the estimated value of the Notes because costs associated with structuring and hedging the Notes are included in the original issue
price of the Notes. These costs include the projected profits, if any, that our affiliates expect to realize for assuming risks
inherent in hedging our obligations under the Notes and the estimated cost of hedging our obligations under the Notes. See “The
Estimated Value of the Notes” in this pricing supplement.
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The Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ from Others’ Estimates
— The estimated value of the Notes is determined by reference to internal pricing models of our affiliates when the terms
of the Notes are set. This estimated value of the Notes is based on market conditions and other relevant factors existing at that
time and assumptions about market parameters, which can include volatility, dividend rates, interest rates and other factors. 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. See “The
Estimated Value of the Notes” in this pricing supplement.
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The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate — 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 — We generally expect that some of the costs
included in the original issue price of the Notes will be partially paid back to you in connection with any repurchases of your
Notes by JPMS in an amount that will decline to zero over an initial predetermined period. These costs can include projected hedging
profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates for structured
debt issuances. 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 — Any secondary
market prices of the Notes will likely be lower than the original issue price of the Notes because, among other things, secondary
market prices take into account our internal secondary market funding rates for structured debt issuances and, also, because secondary
market prices may exclude projected hedging profits, if any, and estimated hedging costs that are included in the original issue
price of the Notes. As a result, the price, if any, at which JPMS will be willing to buy 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. See the immediately following risk factor for information about additional factors that will impact any secondary
market prices of the Notes.
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The Notes are not designed to be short-term trading
instruments. Accordingly, you should be able and willing to hold your Notes to maturity. See “— Risks Relating to the
Notes Generally — Lack of Liquidity” above.
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Many Economic and Market Factors Will Impact the Value of the Notes — As described under “The Estimated
Value of the Notes” in this pricing supplement, the Notes can be thought of as securities that combine a fixed-income debt
component with one or more derivatives. As a result, the factors that influence the values of fixed-income debt and derivative
instruments will also influence the terms of the Notes at issuance and their value in the secondary market. Accordingly, the secondary
market price of the Notes during their term will be impacted by a number of economic and market factors, which may either offset
or magnify each other, aside from the projected hedging profits, if any, estimated hedging costs and the levels of the Underlyings,
including:
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any actual or potential change in our or JPMorgan
Chase & Co.’s creditworthiness or credit spreads;
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customary bid-ask spreads for similarly sized trades;
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our internal secondary market funding rates for structured
debt issuances;
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the actual and expected volatility in the levels of
the Underlyings;
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the time to maturity of the Notes;
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the likelihood of an automatic call being triggered;
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whether the closing level of either Underlying has
been, or is expected to be, less than its Coupon Barrier on any Observation Date and whether the Final Value of either Underlying
is expected to be less than its Downside Threshold;
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the dividend rates on the equity securities underlying
the Underlyings;
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the actual and expected positive or negative correlation
between the Underlyings, or the actual or expected absence of any such correlation;
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interest and yield rates in the market generally;
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the exchange rates and the volatility of the exchange
rates between the U.S. dollar and each of the currencies in which the equity securities included in the Underlyings trade and
the correlation among those rates and the levels of the Underlyings; and
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a variety of other economic, financial, political,
regulatory and judicial events.
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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.
Risks Relating to the Underlyings
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Non-U.S. Securities Risk — The equity securities included in the Underlyings
have been issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity securities involve
risks associated with the securities markets in the home countries of the issuers of those non-U.S. equity securities, including
risks of volatility in those markets, governmental intervention in those markets and cross shareholdings in companies in certain
countries. Also, there is generally less publicly available information about companies in some of these jurisdictions than about
U.S. companies that are subject to the reporting requirements of the SEC.
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Emerging Markets Risk with Respect to the MSCI Emerging Markets Index —
The equity securities included in the MSCI Emerging Markets Index have been issued by non-U.S. companies located in emerging markets
countries. Countries with emerging markets may have relatively unstable governments, may present the risks of nationalization of
businesses, restrictions on foreign ownership and prohibitions on the repatriation of assets, and may have less protection of property
rights than more developed countries. The economies of countries with emerging markets may be based on only a few industries, may
be highly vulnerable to changes in local or global trade conditions, and may suffer from extreme and volatile debt burdens or inflation
rates. Local securities markets may trade a small number of securities and may be unable to respond effectively to increases in
trading volume, potentially making prompt liquidation of holdings difficult or impossible at times.
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The Notes Are Subject to Currency Exchange Risk with
Respect to the MSCI Emerging Markets Index — Because the prices of the equity securities
included in the MSCI Emerging Markets Index are converted into U.S. dollars
for purposes of calculating the level of
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the MSCI
Emerging Markets Index, holders of the Notes will be exposed to currency exchange rate risk with respect to each of the
currencies in which the equity securities included in the MSCI
Emerging Markets Index 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 included in the
MSCI Emerging Markets Index denominated in each of those currencies. If, taking into
account the relevant weighting, the U.S. dollar strengthens against those currencies, the level of the MSCI
Emerging Markets Index will be adversely affected and any payment on the Notes may be reduced. Of particular importance
to potential currency exchange risk are:
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existing and expected rates of inflation;
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existing and expected interest rate levels;
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the balance of payments in the countries issuing those
currencies and the United States and between each country and its major trading partners;
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political, civil or military unrest in the countries
issuing those currencies and the United States; and
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the extent of government surpluses or deficits in
the countries issuing those currencies and the United States.
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All of these factors are in turn sensitive to
the monetary, fiscal and trade policies pursued by the governments of the countries issuing those currencies and the United States
and other countries important to international trade and finance.
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Recent Executive Orders May Adversely Affect the Performance of the MSCI Emerging Markets Index — Pursuant to
recent executive orders, U.S. persons are prohibited from engaging in transactions in, or possession of, publicly traded securities
of certain companies that are determined to be linked to the People’s Republic of China military, intelligence and security
apparatus, or securities that are derivative of, or are designed to provide investment exposure to, those securities. The
sponsor of the MSCI Emerging Markets Index recently removed the equity securities of a small number of companies from the MSCI
Emerging Markets Index in response to these executive orders. If the issuer of any of the equity securities included in the
MSCI Emerging Markets Index is in the future designated as such a prohibited company, the value of that company may be adversely
affected, perhaps significantly, which would adversely affect the performance of the MSCI Emerging Markets Index. In addition,
under these circumstances, the sponsor of the MSCI Emerging Markets Index is expected to remove the equity securities of that company
from the MSCI Emerging Markets Index. Any changes to the composition of the MSCI Emerging Markets Index in response to these
executive orders could adversely affect the performance of the MSCI Emerging Markets Index.
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No Direct Exposure to Fluctuations in Foreign Exchange Rates with Respect to the EURO STOXX 50® Index —
The value of the Notes will not be adjusted for exchange rate fluctuations between the U.S. dollar and the currencies upon which
the equity securities included in the EURO STOXX 50® Index are based, although any currency fluctuations could affect
the performance of the EURO STOXX 50® Index. Therefore, if the applicable currencies appreciate or depreciate relative
to the U.S. dollar over the term of the Notes, you will not receive any additional payment or incur any reduction in any payment
on the Notes.
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Hypothetical
Examples
Hypothetical terms only. Actual terms may
vary. See the cover page for actual offering terms.
The examples below illustrate the hypothetical payments on a Coupon
Payment Date, upon an automatic call or at maturity under different hypothetical scenarios for a $10.00 Note on an offering of
the Notes, with the assumptions set forth below.* We cannot predict the closing level of either Underlying on any day during the
term of the Notes, including on any Observation Date. You should not take these examples as an indication or assurance of the expected
performance of the Notes. Numbers in the examples below have been rounded for ease of analysis. In these examples, we refer to
the MSCI Emerging Markets Index and the EURO STOXX 50® Index as the “MXEF Index” and the “SX5E
Index,” respectively.
Principal Amount:
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$10.00
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Term:
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Approximately 3 years (unless earlier called)
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Hypothetical Initial Value:
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100.00 for the MXEF Index and 100.00 for the SX5E Index
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Contingent Coupon Rate:
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9.30% per annum (or 2.325% per quarter)
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Observation Dates:
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Quarterly (callable after six months)
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Hypothetical Downside Threshold:
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70.00 for the MXEF Index and 70.00 for the SX5E Index (which, with respect to each Underlying, is 70% of the hypothetical Initial Value of that Underlying)
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Hypothetical Coupon Barrier:
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70.00 for the MXEF Index and 70.00 for the SX5E Index (which, with respect to each Underlying, is 70% of the hypothetical Initial Value of that Underlying)
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*
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Terms used for purposes of these hypothetical examples do not represent the actual Initial Values, Coupon Barriers or Downside Thresholds. The hypothetical Initial Values of 100.00 for the MXEF Index and 100.00 for the SX5E Index have been chosen for illustrative purposes only and do not represent the actual Initial Value for either Underlying. The actual Initial Value and resulting Downside Threshold and Coupon Barrier of each Underlying are based on the closing level of that Underlying on the Trade Date and are specified on the cover of this pricing supplement. For historical data regarding the actual closing levels of the Underlyings, please see the historical information set forth under the sections titled “The MSCI Emerging Markets Index” and “The EURO STOXX 50® Index” below.
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The examples below are purely hypothetical. These examples are intended
to illustrate (a) under what circumstances the Notes will be subject to an automatic call, (b) how the payment of a Contingent
Coupon with respect to any Observation Date will depend on whether the closing level of either Underlying on that Observation Date
is less than its Coupon Barrier, (c) how the value of the payment at maturity on the Notes will depend on whether the Final Value
of either Underlying is less than its Downside Threshold and (d) how the total return on the Notes may be less than the total return
on a direct investment in either or both Underlyings in certain scenarios. The “total return” as used in this pricing
supplement is the number, expressed as a percentage, that results from comparing the total payments per $10.00 principal amount
Note over the term of the Notes to the $10.00 initial issue price.
Example 1 — Notes Are Automatically Called on
the Second Observation Date
Date
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Closing Level
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Payment (per Note)
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First Observation Date
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MXEF Index:
105.00
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Closing level of each Underlying above its Initial Value; Notes NOT automatically callable because Observation Date is prior to the second Observation Date. Closing level of each Underlying above its Coupon Barrier; Issuer pays Contingent Coupon of $0.2325 on first Coupon Payment Date.
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SX5E Index:
110.00
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Second Observation Date
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MXEF Index:
110.00
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Closing level of each Underlying at or above its Initial Value; Notes are automatically called; Issuer repays principal plus pays Contingent Coupon of $0.2325 on Call Settlement Date.
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SX5E Index:
115.00
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Total Payments (per $10.00 Note):
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Payment on Call Settlement Date:
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$10.2325 ($10.00 + $0.2325)
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Prior Contingent Coupons:
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$0.2325 ($0.2325 × 1)
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Total:
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$10.465
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Total Return:
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4.65%
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Because the closing level of each Underlying is greater than or equal to
its Initial Value on the second Observation Date (which is approximately six months after the Trade Date and is the first Observation
Date on which the Notes are callable), the Notes are automatically called on that Observation Date. JPMorgan Financial will pay
you on the Call Settlement Date $10.2325 per $10.00 principal amount Note, which is equal to your principal amount plus
the Contingent Coupon due on the Coupon Payment Date that is also the Call Settlement Date. No further amounts will be owed to
you under the Notes.
In addition, because the closing level of each Underlying was greater than
or equal to its Coupon Barrier on the first Observation Date, JPMorgan Financial will pay the Contingent Coupon of $0.2325 on the
first Coupon Payment Date. Accordingly, JPMorgan Financial will have paid a total of $10.465 per $10.00 principal amount Note for
a 4.65% total return over the shortened six (6) month term of the Notes as a result of the automatic call.
Example 2 — Notes Are NOT Automatically Called
and the Final Value of Each Underlying Is Above Its Downside Threshold and Coupon Barrier
Date
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Closing Level
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Payment (per Note)
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First Observation Date
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MXEF Index:
115.00
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Closing level of each Underlying above its Initial Value; Notes NOT automatically callable because Observation Date is prior to the second Observation Date. Closing level of each Underlying above its Coupon Barrier; Issuer pays Contingent Coupon of $0.2325 on first Coupon Payment Date.
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SX5E Index:
110.00
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Second Observation Date
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MXEF Index:
80.00
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Closing level of each Underlying below its Initial Value; Notes NOT automatically called. Closing level of each Underlying above its Coupon Barrier; Issuer pays Contingent Coupon of $0.2325 on second Coupon Payment Date.
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SX5E Index:
75.00
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Third Observation Date
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MXEF Index:
85.00
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Closing level of each Underlying below its Initial Value; Notes NOT automatically called. Closing level of SX5E Index below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on third Coupon Payment Date.
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SX5E Index:
55.00
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Fourth to Eleventh Observation Dates
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Various (below Coupon Barrier)
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Closing level of each Underlying below its Initial Value; Notes NOT automatically called. Closing level of each Underlying below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on any of the fourth to eleventh Coupon Payment Dates.
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Twelfth Observation Date (the Final Valuation Date)
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MXEF Index:
110.00
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Closing level of SX5E Index below its Initial Value; Notes NOT automatically called. Final Value of each Underlying above its Downside Threshold; Issuer repays principal plus pays Contingent Coupon of $0.2325 on Maturity Date.
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SX5E Index:
80.00
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Total Payments (per $10.00 Note):
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Payment at Maturity:
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$10.2325 ($10.00 + $0.2325)
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Prior Contingent Coupons:
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$0.465 ($0.2325 × 2)
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Total:
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$10.6975
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Total Return:
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6.975%
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Because the closing level of at least one Underlying was less than its Initial
Value on each Observation Date on and after the second Observation Date (which is approximately six months after the Trade Date
and is the first Observation Date on which the Notes are callable), the Notes are not automatically called. Because the Final Value
of each Underlying is greater than or equal to its Downside Threshold, JPMorgan Financial will pay you on the Maturity Date $10.2325
per $10.00 principal amount Note, which is equal to your principal amount plus the Contingent Coupon due on the Coupon Payment
Date that is also the Maturity Date.
In addition, because the closing level of each Underlying was greater than or
equal to its Coupon Barrier on the first and second Observation Dates, JPMorgan Financial will pay the Contingent Coupon of $0.2325
on the first and second Coupon Payment Dates. However, because the closing level of at least one Underlying was less than its Coupon
Barrier on the third through eleventh Observation Dates, JPMorgan Financial will not pay any Contingent Coupon on the Coupon Payment
Dates following those Observation Dates. Accordingly, JPMorgan Financial will have paid a total of $10.6975 per $10.00 principal
amount Note for a 6.975% total return over the approximately three (3) year term of the Notes.
Example 3 — Notes Are NOT Automatically Called and the Final Value of
Either Underlying Is Below Its Downside Threshold
Date
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Closing Level
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Payment (per Note)
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First Observation Date
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MXEF Index:
55.00
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Closing level of each Underlying below its Initial Value; Notes NOT automatically callable because Observation Date is prior to the second Observation Date. Closing level of each Underlying below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on first Coupon Payment Date.
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SX5E Index:
50.00
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Second Observation Date
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MXEF Index:
105.00
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Closing level of the SX5E Index below its Initial Value; Notes NOT automatically called. Closing level of SX5E Index below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on second Coupon Payment Date.
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SX5E Index:
50.00
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Third Observation Date
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|
MXEF Index:
90.00
|
|
Closing level of each Underlying below its Initial Value; Notes NOT automatically called. Closing level of SX5E Index below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on third Coupon Payment Date.
|
SX5E Index:
50.00
|
Fourth to Eleventh Observation Dates
|
|
Various (below Coupon Barrier)
|
|
Closing level of each Underlying below its Initial Value; Notes NOT automatically called. Closing level of each Underlying below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on any of the fourth to eleventh Coupon Payment Dates.
|
Twelfth Observation Date (the Final Valuation Date)
|
|
MXEF Index:
45.00
|
|
Closing level of MXEF Index below its Initial Value; Notes NOT automatically called. Closing level of MXEF Index below its Downside Threshold; Issuer DOES NOT pay Contingent Coupon on Maturity Date, and Issuer will repay less than the principal amount resulting in a loss proportionate to the decline of the Lesser Performing Underlying.
|
SX5E Index:
110.00
|
Total Payments (per $10.00 Note):
|
|
Payment at Maturity:
|
$4.50
|
|
|
Prior Contingent Coupons:
|
$0.00
|
|
|
Total:
|
$4.50
|
|
|
|
|
Total Return:
|
-55.00%
|
|
|
|
|
|
|
|
|
Because the closing level of at least one Underlying is less than its Initial
Value on each Observation Date on and after the second Observation Date (which is approximately six months after the Trade Date
and is the first Observation Date on which the Notes are callable), the Notes are not automatically called. Because the Final Value
of at least one Underlying is less than its Downside Threshold on the Final Valuation Date, at maturity, JPMorgan Financial will
pay you a total of $4.50 per $10.00 principal amount Note, for a -55.00% total return on the Notes, calculated as follows:
$10.00 × (1 + Lesser Performing Underlying Return)
Step 1: Determine the Underlying Return of each Underlying:
Underlying Return of the MXEF Index:
(Final Value – Initial Value)
|
=
|
45.00 – 100.00
|
= -55.00%
|
Initial Value
|
100.00
|
Underlying Return of the SX5E Index:
(Final Value – Initial Value)
|
=
|
110.00 – 100.00
|
= 10.00%
|
Initial Value
|
100.00
|
Step 2: Determine the Lesser Performing Underlying. The MXEF Index
is the Underlying with the lower Underlying Return.
Step 3: Calculate the Payment at Maturity:
$10.00 × (1 + Lesser Performing Underlying Return)
= $10.00 × (1 + -55.00%) = $4.50
In addition, because the closing level of at least one Underlying is less
than its Coupon Barrier on each Observation Date, JPMorgan Financial will not pay any Contingent Coupons over the term of the Notes.
Accordingly, JPMorgan Financial will have paid a total of $4.50 per $10.00 principal amount Note for a -55.00% total return over
the approximately three (3) year term of the Notes.
The hypothetical returns and hypothetical payments on the Notes shown above
apply only if you hold the Notes for their entire term or until automatically called. These hypotheticals do not reflect
fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the
hypothetical returns and hypothetical payments shown above would likely be lower.
The
Underlyings
Included on the following pages is a brief description of the Underlyings.
This information has been obtained from publicly available sources, without independent verification. Set forth below is a table
that provides the quarterly high and low closing levels of each Underlying. This information given below is for the four calendar
quarters in each of 2016, 2017, 2018, 2019 and 2020. Partial data is provided for the first calendar quarter of 2021. We obtained
the closing levels information set forth below from the Bloomberg Professional®
service (“Bloomberg”), without independent verification. You should not take the historical levels of either Underlying
as an indication of future performance.
The
MSCI Emerging Markets Index
The MSCI Emerging Markets Index is a free-float adjusted market
capitalization index that is designed to measure the equity market performance of global emerging markets. For additional information
about the MSCI Emerging Markets Index, see the information set forth under “Equity Index Descriptions — The MSCI Indices”
in the accompanying underlying supplement.
Historical Information Regarding the MSCI Emerging Markets Index
The following table sets forth the quarterly high and low closing
levels of the MSCI Emerging Markets Index, based on daily closing levels of the MSCI Emerging Markets Index as reported by Bloomberg,
without independent verification. The closing level of the MSCI Emerging Markets Index on February 24, 2021 was 1,376.76. We obtained
the closing levels of the MSCI Emerging Markets Index above and below from Bloomberg, without independent verification. You should
not take the historical levels of the MSCI Emerging Markets Index as an indication of future performance.
Quarter Begin
|
Quarter End
|
Quarterly High
|
Quarterly Low
|
Close
|
1/1/2016
|
3/31/2016
|
836.80
|
688.52
|
836.80
|
4/1/2016
|
6/30/2016
|
853.69
|
781.84
|
834.10
|
7/1/2016
|
9/30/2016
|
927.29
|
819.19
|
903.46
|
10/1/2016
|
12/31/2016
|
918.68
|
838.96
|
862.27
|
1/1/2017
|
3/31/2017
|
973.08
|
861.88
|
958.37
|
4/1/2017
|
6/30/2017
|
1,019.11
|
952.92
|
1,010.80
|
7/1/2017
|
9/30/2017
|
1,112.92
|
1,002.48
|
1,081.72
|
10/1/2017
|
12/31/2017
|
1,158.45
|
1,082.97
|
1,158.45
|
1/1/2018
|
3/31/2018
|
1,273.07
|
1,142.85
|
1,170.88
|
4/1/2018
|
6/30/2018
|
1,184.13
|
1,046.71
|
1,069.52
|
7/1/2018
|
9/30/2018
|
1,092.36
|
1,003.33
|
1,047.91
|
10/1/2018
|
12/31/2018
|
1,046.40
|
934.80
|
965.78
|
1/1/2019
|
3/31/2019
|
1,070.95
|
949.57
|
1,058.13
|
4/1/2019
|
6/30/2019
|
1,096.39
|
984.81
|
1,054.86
|
7/1/2019
|
9/30/2019
|
1,064.63
|
960.81
|
1,001.00
|
10/1/2019
|
12/31/2019
|
1,118.61
|
989.20
|
1,114.66
|
1/1/2020
|
3/31/2020
|
1,146.83
|
758.20
|
848.58
|
4/1/2020
|
6/30/2020
|
1,014.62
|
827.26
|
995.10
|
7/1/2020
|
9/30/2020
|
1,121.60
|
1,001.08
|
1,082.00
|
10/1/2020
|
12/31/2020
|
1,291.26
|
1,081.71
|
1,291.26
|
1/1/2020
|
2/24/2021*
|
1,444.93
|
1,291.75
|
1,376.76
|
*
|
As of the date of this pricing supplement, available information for the first calendar quarter of 2021 includes data for the period from January 1, 2021 through February 24, 2021. Accordingly, the “Quarterly High,” “Quarterly Low” and “Close” data indicated are for this shortened period only and do not reflect complete data for the first calendar quarter of 2021.
|
The graph below illustrates the daily performance of the MSCI Emerging
Markets Index from January 3, 2011 through February 24, 2021, based on information from Bloomberg, without independent verification.
The dotted line represents the Downside Threshold and Coupon Barrier of 963.73, equal to 70% of the closing level of the MSCI Emerging
Markets Index on February 24, 2021.
Past performance of the MSCI Emerging Markets Index is not
indicative of the future performance of the MSCI Emerging Markets Index.
The
EURO STOXX 50® Index
The EURO STOXX 50® Index consists of 50 component
stocks of market sector leaders from within the Eurozone. The EURO STOXX 50® Index and STOXX® are
the intellectual property (including registered trademarks) of STOXX Limited, Zurich, Switzerland and/or its licensors (the “Licensors”),
which are used under license. The Securities based on the EURO STOXX 50® Index are in no way sponsored, endorsed,
sold or promoted by STOXX Limited and its Licensors and neither Stoxx Limited nor any of its Licensors shall have any liability
with respect thereto. For additional information about the EURO STOXX 50® Index, see the information set forth under
“Equity Index Descriptions — The STOXX Benchmark Indices” in the accompanying underlying supplement.
Historical Information Regarding the EURO STOXX 50®
Index
The following table sets forth the quarterly high and low closing
levels of the EURO STOXX 50® Index, based on daily closing levels of the EURO STOXX 50® Index as
reported by Bloomberg, without independent verification. The closing level of the EURO STOXX 50® Index on February
24, 2021 was 3,705.99. We obtained the closing levels of the EURO STOXX 50® Index above and below from Bloomberg,
without independent verification. You should not take the historical levels of the EURO STOXX 50® Index as an indication
of future performance.
Quarter Begin
|
Quarter End
|
Quarterly High
|
Quarterly Low
|
Close
|
1/1/2016
|
3/31/2016
|
3,178.01
|
2,680.35
|
3,004.93
|
4/1/2016
|
6/30/2016
|
3,151.69
|
2,697.44
|
2,864.74
|
7/1/2016
|
9/30/2016
|
3,091.66
|
2,761.37
|
3,002.24
|
10/1/2016
|
12/31/2016
|
3,290.52
|
2,954.53
|
3,290.52
|
1/1/2017
|
3/31/2017
|
3,500.93
|
3,230.68
|
3,500.93
|
4/1/2017
|
6/30/2017
|
3,658.79
|
3,409.78
|
3,441.88
|
7/1/2017
|
9/30/2017
|
3,594.85
|
3,388.22
|
3,594.85
|
10/1/2017
|
12/31/2017
|
3,697.40
|
3,503.96
|
3,503.96
|
1/1/2018
|
3/31/2018
|
3,672.29
|
3,278.72
|
3,361.50
|
4/1/2018
|
6/30/2018
|
3,592.18
|
3,340.35
|
3,395.60
|
7/1/2018
|
9/30/2018
|
3,527.18
|
3,293.36
|
3,399.20
|
10/1/2018
|
12/31/2018
|
3,414.16
|
2,937.36
|
3,001.42
|
1/1/2019
|
3/31/2019
|
3,409.00
|
2,954.66
|
3,351.71
|
4/1/2019
|
6/30/2019
|
3,514.62
|
3,280.43
|
3,473.69
|
7/1/2019
|
9/30/2019
|
3,571.39
|
3,282.78
|
3,569.45
|
10/1/2019
|
12/31/2019
|
3,782.27
|
3,413.31
|
3,745.15
|
1/1/2020
|
3/31/2020
|
3,865.18
|
2,385.82
|
2,786.90
|
4/1/2020
|
6/30/2020
|
3,384.29
|
2,662.99
|
3,234.07
|
7/1/2020
|
9/30/2020
|
3,405.35
|
3,137.06
|
3,193.61
|
10/1/2020
|
12/31/2020
|
3,581.37
|
2,958.21
|
3,552.64
|
1/1/2020
|
2/24/2021*
|
3,734.20
|
3,481.44
|
3,705.99
|
*
|
As of the date of this pricing supplement, available information for the first calendar quarter of 2021 includes data for the period from January 1, 2021 through February 24, 2021. Accordingly, the “Quarterly High,” “Quarterly Low” and “Close” data indicated are for this shortened period only and do not reflect complete data for the first calendar quarter of 2021.
|
The graph below illustrates the daily performance of the EURO STOXX
50® Index from January 3, 2011 through February 24, 2021, based on information from Bloomberg, without independent
verification. The dotted line represents the Downside Threshold and Coupon Barrier of 2,594.19, equal to 70% of the closing level
of the EURO STOXX 50® Index on February 24, 2021.
Past performance of the EURO STOXX 50® Index
is not indicative of the future performance of the EURO STOXX 50® Index.
Correlation
of the Underlyings
The graph below illustrates the daily performance of the MSCI Emerging
Markets Index and the EURO STOXX 50® Index from January 3, 2011 through February 24, 2021. For comparison purposes,
each Underlying has been normalized to have a closing level of 100.00 on January 3, 2011 by dividing the closing level of that
Underlying on each day by the closing level of that Underlying on January 3, 2011 and multiplying by 100.00. We obtained the closing
levels used to determine the normalized closing levels set forth below from Bloomberg, without independent verification.
Past performance of the Underlyings is not indicative of
the future performance of the Underlyings.
The correlation of a pair of Underlyings represents a statistical measurement
of the degree to which the returns of those Underlyings were similar to each other over a given period in terms of timing and direction.
The correlation between a pair of Underlyings is scaled from 1.0 to -1.0, with 1.0 indicating perfect positive correlation
(i.e., the value of both Underlyings are increasing together or decreasing together and the ratio of their returns has been
constant), 0 indicating no correlation (i.e., there is no statistical relationship between the returns of that pair of Underlyings)
and -1.0 indicating perfect negative correlation (i.e., as the value of one Underlying increases, the value of the other
Underlying decreases and the ratio of their returns has been constant).
The closer the relationship of the returns of a pair of Underlyings over
a given period, the more positively correlated those Underlyings are. The graph above illustrates the historical performance
of each Underlying relative to each other over the time period shown and provides an indication of how close the relative performance
of each Underlying has historically been to the other Underlying.
The lower (or more negative) the correlation between the Underlyings, the
less likely it is that the Underlyings will move in the same direction and, therefore, the greater the potential for one of the
Underlyings to close below its Coupon Barrier or Downside Threshold on any Observation Date or the Final Valuation Date, respectively.
This is because the less positively correlated the Underlyings are, the greater the likelihood that at least one of the Underlyings
will decrease in value. However, even if the Underlyings have a higher positive correlation, one or both of the Underlyings
might close below its Coupon Barrier or Downside Threshold on any Observation Date or the Final Valuation Date, respectively, as
both of the Underlyings may decrease in value together.
Although the correlation of the Underlyings’ performance may change
over the term of the Notes, the Contingent Coupon Rate is determined, in part, based on the correlation of the Underlyings’
performance calculated using internal models of our affiliates at the time when the terms of the Notes are finalized. A higher
Contingent Coupon Rate is generally associated with lower correlation of the Underlyings, which reflects a greater potential for
missed Contingent Coupons and for a loss of principal at maturity. The correlation referenced in setting the terms of the
Notes is calculated using internal models of our affiliates and is not derived from the returns of the Underlyings over the period
set forth above. In addition, other factors and inputs other than correlation may impact how the terms of the Notes are set
and the performance of the Notes.
Supplemental
Plan of Distribution
We and JPMorgan Chase & Co. have agreed to indemnify UBS and JPMS against
liabilities under the Securities Act of 1933, as amended, or to contribute to payments that UBS may be required to make relating
to these liabilities as described in the prospectus supplement and the prospectus. We have agreed that UBS may sell all or a part
of the Notes that it purchases from us to the public or its affiliates at the price to public indicated on the cover hereof.
Subject to regulatory constraints, JPMS intends to offer to purchase the
Notes in the secondary market, but it is not required to do so.
We or our affiliates may enter into swap agreements or related hedge
transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the Notes, and JPMS
and/or an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions. See
“Supplemental Use of Proceeds” in this pricing supplement and “Use of Proceeds and Hedging” in the accompanying
product supplement.
All sales of the Notes will be made to certain fee-based advisory
accounts for which UBS is an investment adviser and UBS will act as placement agent. The purchase price will be $10.00 per Security
and UBS will forgo any selling commissions related to these sales.
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 values 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 “Key Risks — 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. See “Key
Risks — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the
Notes Does Not Represent Future Values of the Notes and May Differ from Others’ Estimates” in this pricing supplement.
The estimated value of the Notes is lower than the original issue
price of the Notes because costs associated with structuring and hedging the Notes are included in the original issue price of
the Notes. These costs include the projected profits, if any, that our affiliates expect to realize for assuming risks inherent
in hedging our obligations under the Notes and the estimated cost of hedging our obligations under the Notes. Because hedging our
obligations entails risk and may be influenced by market forces beyond our control, this hedging may result in a profit that is
more or less than expected, or it may result in a loss. We or one or more of our affiliates will retain any profits realized in
hedging our obligations under the Notes. See “Key Risks — 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 “Key Risks — 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 this pricing 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 that is intended to be up to five months. The length of any such initial period reflects secondary market volumes for the
Notes, 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 “Key Risks —
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.