April 5, 2021
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Registration Statement Nos. 333-236659 and 333-236659-01; Rule 424(b)(2)
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JPMorgan Chase Financial Company LLC
Structured Investments
$450,000
Auto Callable Buffered Digital Notes Linked to
the Russell 2000® Index due April 7, 2026
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
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The notes are designed for investors who seek early exit prior to maturity at a premium if, on any Review Date (other than the final
Review Date), the closing level of the Russell 2000® Index, which we refer to as the Index, is at or above the Call Value.
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The earliest date on which an automatic call may be initiated is April 5, 2022.
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The notes are also designed for investors who seek uncapped, unleveraged exposure to any appreciation of the Index at maturity, subject
to a contingent minimum return of 25.00%, which we refer to as the Contingent Digital Return, if the Final Value is greater than or equal
to the Strike Value and the notes have not been automatically called.
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Investors should be willing to forgo interest and dividend payments and be willing to accept the risk of losing up to 90.00% of their
principal amount at maturity.
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The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial,
the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes is subject to the
credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor of the notes.
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Minimum denominations of $1,000 and integral multiples thereof
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The notes priced on April 5, 2021 (the “Pricing Date”) and are expected to settle on or about April 7, 2021. The Strike
Value has been determined by reference to the closing level of the Index on April 1, 2021 and not by reference to the closing level of
the Index on the Pricing Date.
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Investing in the notes involves a number of risks. See “Risk Factors”
beginning on page S-2 of the accompanying prospectus supplement, “Risk Factors” beginning on page PS-12 of the accompanying
product supplement, “Risk Factors” beginning on page US-3 of the accompanying underlying supplement and “Selected Risk
Considerations” beginning on page PS-4 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing
supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation to
the contrary is a criminal offense.
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Price to Public (1)
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Fees and Commissions (2)
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Proceeds to Issuer
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Per note
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$1,000
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$35
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$965
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Total
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$450,000
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$15,750
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$434,250
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(1) See “Supplemental Use of Proceeds” in
this pricing supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer to as
JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions of $35.00 per $1,000 principal amount note it receives
from us to other affiliated or unaffiliated dealers. See “Plan of Distribution (Conflicts of Interest)” in the accompanying
product supplement.
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The estimated value of the notes, when the terms of the notes
were set, was $944.00 per $1,000 principal amount note. See “The Estimated Value of the Notes” in this pricing supplement
for additional information.
The notes are not bank deposits, are not insured by the Federal Deposit
Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Pricing supplement to product supplement no. 4-II dated
November 4, 2020, underlying supplement no. 1-II dated November 4, 2020
and the prospectus and prospectus supplement, each dated April 8, 2020
Key Terms
Issuer: JPMorgan
Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan
Chase & Co.
Index: The
Russell 2000® Index (Bloomberg ticker: RTY)
Call Premium Amount:
The Call Premium Amount with respect to each Review Date is set forth below:
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first Review Date:
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5.00% × $1,000
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second Review Date:
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10.00% × $1,000
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third Review Date:
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15.00% × $1,000
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fourth Review Date:
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20.00% × $1,000
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Call Value: 100.00%
of the Strike Value
Contingent Digital
Return: 25.00%
Buffer Amount:
10.00%
Strike Date:
April 1, 2021
Pricing
Date: April 5, 2021
Original Issue Date
(Settlement Date): On or about April 7, 2021
Review Dates*:
April 5, 2022, April 3, 2023, April 1, 2024, April 1, 2025 and April 1, 2026 (final
Review Date)
Call Settlement Date*:
April 8, 2022, April 6, 2023, April 4, 2024 and April 4, 2025
Maturity Date*:
April 7, 2026
* Subject to postponement in the event of a market disruption event
and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying
— Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General Terms of Notes — Postponement
of a Payment Date” in the accompanying product supplement
Automatic Call:
If the closing level of the Index on any Review Date (other than the
final Review Date) is greater than or equal to the Call Value, the notes will be automatically called for a cash payment, for each $1,000
principal amount note, equal to (a) $1,000 plus (b) the Call Premium Amount applicable to that Review Date, payable on the applicable
Call Settlement Date. No further payments will be made on the notes.
If the notes are automatically called, you will not benefit from the
feature that provides you with a return at maturity equal to the greater of the Contingent Digital Return and the Index Return if the
Final Value is greater than or equal to the Strike Value. Because this feature does not apply to the payment upon an automatic call, the
payment upon an automatic call may be significantly less than the payment at maturity for the same level of change in the Index.
Payment at Maturity:
If the notes have not been automatically called and the Final Value
is greater than or equal to the Strike Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × greater of (a) Contingent
Digital Return and (b) Index Return)
If the notes have not been automatically called and the Final Value
is less than the Strike Value by up to the Buffer Amount, you will receive the principal amount of your notes at maturity.
If the notes have not been automatically called and the Final Value
is less than the Strike Value by more than the Buffer Amount, your payment at maturity per $1,000 principal amount note will be calculated
as follows:
$1,000 + [$1,000 × (Index Return + Buffer
Amount)]
If the notes have not been automatically
called and the Final Value is less than the Strike Value by more than the Buffer Amount, you will lose some or most of your principal
amount at maturity.
Index Return:
(Final Value – Strike Value)
Strike Value
Strike Value: The
closing level of the Index on the Strike Date, which was 2,253.903. The Strike Value is not
the closing level of the Index on the Pricing Date.
Final Value: The
closing level of the Index on the final Review Date
PS-1
| Structured Investments
Auto Callable Buffered Digital Notes Linked to the Russell 2000®
Index
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How the
Notes Work
Payment upon an Automatic Call
Payment at Maturity If the Notes Have Not Been
Automatically Called
Call Premium Amount
The table below illustrates the Call Premium Amount per
$1,000 principal amount note for each Review Date (other than the final Review Date) based on the Call Premium Amounts set forth under
“Key Terms — Call Premium Amount” above.
Review Date
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Call Premium Amount
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First
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$50.00
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Second
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$100.00
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Third
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$150.00
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Fourth
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$200.00
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PS-2
| Structured Investments
Auto Callable Buffered Digital Notes Linked to the Russell 2000®
Index
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Payment at Maturity If the Notes Have Not Been
Automatically Called
The following table illustrates the hypothetical
total return and payment at maturity on the notes linked to a hypothetical Index if the notes have not been automatically called. The
“total return” as used in this pricing supplement is the number, expressed as a percentage, that results from comparing the
payment at maturity per $1,000 principal amount note to $1,000. The hypothetical total returns and payments set forth below assume the
following:
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the notes have not been automatically called;
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a Strike Value of 100.00;
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a Contingent Digital Return of 25.00%; and
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a Buffer Amount of 10.00%.
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The hypothetical
Strike Value of 100.00 has been chosen for illustrative purposes only and does not represent the actual Strike Value. The actual Strike
Value is the closing level of the Index on the Strike Date and is specified under “Key Terms — Strike Value” in this
pricing supplement. For historical data regarding the actual closing levels of the Index, please see the historical information set forth
under “The Index” in this pricing supplement.
Each hypothetical total return or hypothetical payment
at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable
to a purchaser of the notes. The numbers appearing in the following table have been rounded for ease of analysis.
Final Value
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Index Return
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Total Return on the Notes
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Payment at Maturity
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165.00
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65.00%
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65.00%
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$1,650.00
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150.00
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50.00%
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50.00%
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$1,500.00
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140.00
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40.00%
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40.00%
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$1,400.00
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130.00
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30.00%
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30.00%
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$1,300.00
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125.00
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25.00%
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25.00%
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$1,250.00
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120.00
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20.00%
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25.00%
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$1,250.00
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110.00
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10.00%
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25.00%
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$1,250.00
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105.00
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5.00%
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25.00%
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$1,250.00
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101.00
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1.00%
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25.00%
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$1,250.00
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100.00
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0.00%
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25.00%
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$1,250.00
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95.00
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-5.00%
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0.00%
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$1,000.00
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90.00
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-10.00%
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0.00%
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$1,000.00
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80.00
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-20.00%
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-10.00%
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$900.00
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70.00
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-30.00%
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-20.00%
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$800.00
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60.00
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-40.00%
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-30.00%
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$700.00
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50.00
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-50.00%
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-40.00%
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$600.00
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40.00
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-60.00%
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-50.00%
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$500.00
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30.00
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-70.00%
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-60.00%
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$400.00
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20.00
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-80.00%
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-70.00%
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$300.00
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10.00
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-90.00%
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-80.00%
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$200.00
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0.00
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-100.00%
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-90.00%
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$100.00
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PS-3
| Structured Investments
Auto Callable Buffered Digital Notes Linked to the Russell 2000®
Index
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Upside Scenario If Automatic Call:
If the closing level of the Index on any Review Date
(other than the final Review Date) is greater than or equal to the Call Value, the notes will be automatically called and investors will
receive on the applicable Call Settlement Date the $1,000 principal amount plus the Call Premium Amount, applicable to that Review
Date. No further payments will be made on the notes.
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If the closing level of the Index increases 10.00% as of the first Review Date,
the notes will be automatically called and investors will receive a 5.00% return, or $1,050.00 per $1,000 principal amount note.
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If the notes have not been previously automatically called and the closing level
of the Index increases 65.00% as of the fourth Review Date, the notes will be automatically called and investors will receive a 20.00%
return, or $1,200.00 per $1,000 principal amount note.
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Upside Scenario If No Automatic Call:
If the notes have not been automatically called and the
Final Value is greater than or equal to the Strike Value, investors will receive at maturity the $1,000 principal amount plus a
return equal to the greater of (a) the Contingent Digital Return of 25.00% and (b) the Index Return.
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If the notes have not been automatically called and the closing level of the Index
increases 10.00%, investors will receive at maturity a 25.00% return, or $1,250.00 per $1,000 principal amount note.
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If the notes have not been automatically called and the closing level of the Index
increases 30.00%, investors will receive at maturity a 30.00% return, or $1,300.00 per $1,000 principal amount note.
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Par Scenario:
If the notes have not been automatically called and the
Final Value is less than the Strike Value by up to the Contingent Buffer Amount of 10.00%, investors will receive at maturity the principal
amount of their notes.
Downside Scenario:
If the notes have not been automatically called and the
Final Value is less than the Strike Value by more than the Contingent Buffer Amount of 10.00%, investors will lose 1% of the principal
amount of their notes for every 1% that the Final Value is less than the Strike Value.
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For example, if the notes have not been automatically called and the closing level of the Index declines
60.00%, investors will lose 50.00% of their principal amount and receive only $500.00 per $1,000 principal amount note at maturity, calculated
as follows:
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$1,000 +
[$1,000 × (-60.00% + 10.00%)] = $500.00
The hypothetical returns and hypothetical payments on
the notes shown above apply only if you hold the notes for their entire term or until automatically called. These hypotheticals
do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included,
the hypothetical returns and hypothetical payments shown above would likely be lower.
Selected Risk Considerations
An investment in the notes involves significant risks.
These risks are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement, product
supplement and underlying supplement.
Risks Relating to the Notes Generally
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YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
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The notes do not guarantee any return of principal.
If the notes have not been automatically called and the Final Value is less than the Strike Value by more than 10.00%, you will lose 1%
of the principal amount of your notes for every 1% that the Final Value is less than the Strike Value by more than 10.00%. Accordingly,
under these circumstances, you will lose up to 90.00% of your principal amount at maturity.
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CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
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Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.’s
creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely affect the value of
the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed to you
under the notes and you could lose your entire investment.
PS-4
| Structured Investments
Auto Callable Buffered Digital Notes Linked to the Russell 2000®
Index
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AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS —
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As a finance subsidiary of JPMorgan Chase
& Co., we have no independent operations beyond the issuance and administration of our securities. Aside from the initial capital
contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates to make payments under
loans made by us or other intercompany agreements. As a result, we are dependent upon payments from our affiliates to meet our obligations
under the notes. If these affiliates do not make payments to us and we fail to make payments on the notes, you may have to seek payment
under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu with all other unsecured and unsubordinated
obligations of JPMorgan Chase & Co.
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IF THE NOTES ARE AUTOMATICALLY CALLED, THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE APPLICABLE
CALL PREMIUM AMOUNT PAID ON THE NOTES,
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regardless of any appreciation of the Index,
which may be significant. In addition, if the notes are automatically called, you will not benefit from the feature that provides you
with a return at maturity equal to the greater of the Contingent Digital Return and the Index Return if the Final Value is greater than
or equal to the Strike Value. Because this feature does not apply to the payment upon an automatic call, the payment upon an automatic
call may be significantly less than the payment at maturity for the same level of change in the Index.
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IF THE NOTES HAVE NOT BEEN AUTOMATICALLY CALLED, YOUR ABILITY TO RECEIVE THE CONTINGENT DIGITAL RETURN
MAY TERMINATE ON THE FINAL REVIEW DATE —
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If the notes have not been automatically called
and the Final Value is less than the Strike Value, you will not be entitled to receive the Contingent Digital Return at maturity.
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THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
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If your notes are automatically called, the
term of the notes may be reduced to as short as approximately one year. There is no guarantee that you would be able to reinvest the proceeds
from an investment in the notes at a comparable return for a similar level of risk. Even in cases where the notes are called before maturity,
you are not entitled to any fees and commissions described on the front cover of this pricing supplement.
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THE NOTES DO NOT PAY INTEREST.
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YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN THE INDEX OR HAVE ANY RIGHTS WITH RESPECT
TO THOSE SECURITIES.
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The notes will not be listed on any securities
exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS
is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your notes to maturity.
Risks Relating to Conflicts of Interest
We and our affiliates play a variety of roles
in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests are potentially
adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours or our affiliates in
connection with the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer
to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement.
Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes
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THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES
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The estimated value of the notes is only an
estimate determined by reference to several factors. The original issue price of the notes exceeds the estimated value of the notes because
costs associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include
the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our
obligations under the notes and the estimated cost of hedging our obligations under the notes. See “The Estimated Value of the Notes”
in this pricing supplement.
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THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’
ESTIMATES —
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See “The Estimated Value of the Notes”
in this pricing supplement.
PS-5
| Structured Investments
Auto Callable Buffered Digital Notes Linked to the Russell 2000®
Index
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THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
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The internal funding rate used in the determination
of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar
maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based
on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement
funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the
terms of the notes and any secondary market prices of the notes. See “The Estimated Value of the Notes” in this pricing supplement.
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THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS)
MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
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We generally expect that some of the costs
included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes
by JPMS in an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices of the Notes”
in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes
during this initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account
statements).
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SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES
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Any secondary market prices of the notes will
likely be lower than the original issue price of the notes because, among other things, secondary market prices take into account our
internal secondary market funding rates for structured debt issuances and, also, because secondary market prices may exclude selling commissions,
projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the notes. As a result,
the price, if any, at which JPMS will be willing to buy the notes from you in secondary market transactions, if at all, is likely to be
lower than the original issue price. Any sale by you prior to the Maturity Date could result in a substantial loss to you.
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SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
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The secondary market price of the notes during
their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the
selling commissions, projected hedging profits, if any, estimated hedging costs and the level of the Index. Additionally, independent
pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes
in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
— Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
Risks Relating to the Index
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AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS —
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Small capitalization companies may be less
able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization companies
are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock
price pressure under adverse market conditions.
PS-6
| Structured Investments
Auto Callable Buffered Digital Notes Linked to the Russell 2000®
Index
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The Index consists of the middle 2,000 companies included
in the Russell 3000E™ Index and, as a result of the index calculation methodology, consists of the smallest 2,000 companies included
in the Russell 3000® Index. The Index is designed to track the performance of the small capitalization segment of the U.S.
equity market. For additional information about the Index, see “Equity Index Descriptions — The Russell Indices” in
the accompanying underlying supplement.
Historical Information
The following graph sets forth the historical performance
of the Index based on the weekly historical closing levels of the Index from January 8, 2016 through April 1, 2021. The U.S. equity markets
were closed on April 2, 2021 in observance of Good Friday. The closing level of the Index on April 5, 2021 was 2,264.886. We obtained
the closing levels above and below from the Bloomberg Professional® service (“Bloomberg”), without independent
verification.
The historical closing levels of the Index should not
be taken as an indication of future performance, and no assurance can be given as to the closing level of the Index on any Review Date.
There can be no assurance that the performance of the Index will result in the return of any of your principal amount in excess of $100.00
per $1,000 principal amount note, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
Tax Treatment
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-II. The following discussion,
when read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding
the material U.S. federal income tax consequences of owning and disposing of notes.
Based on current market conditions, in the opinion
of our special tax counsel it is reasonable to treat the notes as “open transactions” that are not debt instruments for U.S.
federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences
to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement.
Assuming this treatment is respected, the gain or loss on your notes should be treated as long-term capital gain or loss if you hold your
notes for more than a year, whether or not you are an initial purchaser of notes at the issue price. However, the IRS or a court
may not respect this treatment, in which case the timing and character of any income or loss on the notes could be materially and adversely
affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment
of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to require investors
in these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics,
including the character of income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying
property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S.
investors should be subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership”
regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest
charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other
guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in
the notes, possibly with retroactive effect. You should consult your tax adviser regarding the
PS-7
| Structured Investments
Auto Callable Buffered Digital Notes Linked to the Russell 2000®
Index
|
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U.S. federal income tax consequences of an investment
in the notes, including possible alternative treatments and the issues presented by this notice.
Section 871(m) of the Code and Treasury regulations
promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on
dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or
indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked
to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations. Additionally, a recent IRS notice
excludes from the scope of Section 871(m) instruments issued prior to January 1, 2023 that do not have a delta of one with respect to
underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”).
Based on certain determinations made by us, our special tax counsel is of the opinion that Section 871(m) should not apply to the notes
with regard to Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section
871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other transactions
with respect to an Underlying Security. You should consult your tax adviser regarding the potential application of Section 871(m) to the
notes.
The Estimated
Value of the Notes
The estimated value of the notes set forth on the
cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component
with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing to
buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated
value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by
JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’ view of
the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison
to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based on certain
market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement funding
rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms
of the notes and any secondary market prices of the notes. For additional information, see “Selected Risk Considerations —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Derived by
Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives underlying
the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as
the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which
can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments.
Accordingly, the estimated value of the notes is determined when the terms of the notes are set based on market conditions and other relevant
factors and assumptions existing at that time.
The estimated value of the notes does not represent
future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide valuations
for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant factors
in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly
based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements
and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market
transactions.
The estimated value of the notes is lower than the
original issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original
issue price of the notes. These costs include the selling commissions, paid to JPMS and other affiliated or unaffiliated dealers, the
projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes
and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced
by market forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss.
A portion of the profits, if any, realized in hedging our obligations under the notes may be allowed to other affiliated or unaffiliated
dealers, and we or one or more of our affiliates will retain any remaining hedging profits. See “Selected Risk Considerations —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Lower Than
the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
PS-8
| Structured Investments
Auto Callable Buffered Digital Notes Linked to the Russell 2000®
Index
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Secondary
Market Prices of the Notes
For information about factors that will impact any secondary
market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
— Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
In addition, we generally expect that some of the costs included in the original issue price of the notes will be partially paid back
to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period.
These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and
our internal secondary market funding rates for structured debt issuances. This initial predetermined time period is intended to be the
shorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects the structure of the
notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the notes
and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations — Risks Relating to
the Estimated Value and Secondary Market Prices of the Notes — The Value of the Notes as Published by JPMS (and Which May Be Reflected
on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this
pricing supplement.
Supplemental
Use of Proceeds
The notes are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the notes. See “How the Notes Work” and “Note Payout
Scenarios” in this pricing supplement for an illustration of the risk-return profile of the notes and “The Index” in
this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the
estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus) the
projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes,
plus the estimated cost of hedging our obligations under the notes.
Validity
of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as special
products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by this pricing supplement have been executed
and issued by JPMorgan Financial and authenticated by the trustee pursuant to the indenture, and delivered against payment as contemplated
herein, such notes will be valid and binding obligations of JPMorgan Financial and the related guarantee will constitute a valid and binding
obligation of JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar
laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability (including,
without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion
as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed
above or (ii) any provision of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar
provision of applicable law by limiting the amount of JPMorgan Chase & Co.’s obligation under the related guarantee. This opinion
is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware
and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustee’s
authorization, execution and delivery of the indenture and its authentication of the notes and the validity, binding nature and enforceability
of the indenture with respect to the trustee, all as stated in the letter of such counsel dated February 26, 2020, which was filed as
an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 26, 2020.
Additional
Terms Specific to the Notes
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which
these notes are a part, and the more detailed information contained in the accompanying product supplement and the accompanying underlying
supplement. This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all other
prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence,
trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You should
carefully consider, among other things, the matters set forth in the “Risk Factors” sections of the accompanying prospectus
supplement, the accompanying product supplement and the accompanying underlying supplement, as the notes involve risks not associated
with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest
in the notes.
PS-9
| Structured Investments
Auto Callable Buffered Digital Notes Linked to the Russell 2000®
Index
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You may access these documents on the SEC website
at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is
1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us” and
“our” refer to JPMorgan Financial.
PS-10
| Structured Investments
Auto Callable Buffered Digital Notes Linked to the Russell 2000®
Index
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