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, prospectus supplement and prospectus. Any representation to the contrary is a criminal
offense.
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. 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 and the accompanying product
supplement, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal,
tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is 1665650, and
JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us” and “our”
refer to JPMorgan Financial.
100 × [1 + (EUR
Return × 30%) + (JPY Return × 15%) + (CAD Return × 10%) + (GBP Return × 10%) + (MXN Return × 10%) + (AUD
Return × 5%) + (CHF Return × 5%) + (CNH Return × 5%) + (KRW Return × 5%) + (INR Return × 5%)]
The EUR Return, JPY Return, CAD Return, GBP
Return, MXN Return, AUD Return, CHF Return, CNH Return, KRW Return and INR Return are the Reference Currency Returns of the European Union
euro, the Japanese yen, the Canadian dollar, the British pound sterling, the Mexican peso, the Australian dollar, the Swiss franc, the
offshore Chinese renminbi, the South Korean won and the Indian rupee, respectively, on the Observation Date.
With respect to the European Union euro,
the British pound sterling and the Australian dollar, the Reference Currency Return on any day is calculated as follows:
With respect to the Japanese yen, the Canadian
dollar, the Mexican peso, the Swiss franc, the offshore Chinese renminbi, the South Korean won and the Indian rupee, the Reference Currency
Return is calculated as follows:
With respect to the Japanese yen, the Canadian
dollar, the Mexican peso, the Swiss franc, the offshore Chinese renminbi, the South Korean won and the Indian rupee, the Spot Rate on
any relevant day is expressed as a number of units of the applicable Reference Currency per one U.S. dollar as reported by Refinitiv on
the applicable Refinitiv page at approximately the applicable time specified below.
How Do Exchange Rates Work?
Exchange rates reflect the amount of one currency that can be exchanged
for a unit of another currency.
European Union Euro, British Pound Sterling and Australian Dollar
With respect to each of the European Union euro, the British pound
sterling and the Australian dollar, the Spot Rate is expressed as a number of U.S. dollars per one unit of the applicable Reference Currency.
|
·
|
As a result, an increase in the Spot Rate from the
Starting Spot Rate to the Ending Spot Rate means that the applicable Reference Currency has appreciated / strengthened relative
to the U.S. dollar from the Starting Spot Rate to the Ending Spot Rate. This means that it would take more U.S. dollars to purchase one
unit of the applicable Reference Currency on the Observation Date than it did on the Pricing Date. Viewed another way, one U.S. dollar
could purchase fewer units of the applicable Reference Currency on the Observation Date than it could on the Pricing Date.
|
|
·
|
Conversely, a decrease in the Spot Rate from the
Starting Spot Rate to the Ending Spot Rate means that the applicable Reference Currency has depreciated / weakened relative to
the U.S. dollar from the Starting Spot Rate to the Ending Spot Rate. This means that one U.S. dollar could purchase more units of the
applicable Reference Currency on the Observation Date than it could on the Pricing Date. Viewed another way, it would take fewer U.S.
dollars to purchase one unit of the applicable Reference Currency Rate on the Observation Date than it did on the Pricing Date.
|
Japanese Yen, Canadian Dollar, Mexican Peso, Swiss Franc, Offshore
Chinese Renminbi, South Korean Won and Indian Rupee
With respect to each of the Japanese yen, the Canadian dollar, the
Mexican peso, the Swiss franc, the offshore Chinese renminbi, the South Korean won and the Indian rupee, the Spot Rate is expressed as
a number of units of the applicable Reference Currency per one U.S. dollar.
|
·
|
As a result, a decrease in the Spot Rate from the
Starting Spot Rate to the Ending Spot Rate means that the applicable Reference Currency has appreciated / strengthened relative
to the U.S. dollar from the Starting Spot Rate to the Ending Spot Rate. This means that one unit of the applicable Reference Currency
could purchase more U.S. dollars on the Observation Date than it could on the Pricing Date. Viewed another way, it would take fewer units
of the applicable Reference Currency to purchase one U.S. dollar on the Observation Date than it did on the Pricing Date.
|
JPMorgan Structured Investments —
|
PS-2
|
Return Notes Linked to the Performance of an Unequally Weighted Basket of Ten Currencies Relative to the U.S. Dollar
|
|
|
·
|
Conversely, an increase in the Spot Rate from the
Starting Spot Rate to the Ending Spot Rate means that the applicable Reference Currency has depreciated / weakened relative to
the U.S. dollar from the Starting Spot Rate to the Ending Spot Rate. This means that it would take more units of the applicable Reference
Currency to purchase one U.S. dollar on the Observation Date than it did on the Pricing Date. Viewed another way, one unit of the applicable
Reference Currency could purchase fewer U.S. dollars on the Observation Date than it could on the Pricing Date.
|
How Do the Reference Currency Return Formulas
Work?
Each Reference Currency Return reflects the return of the applicable
Reference Currency relative to the U.S. dollar from the Starting Spot Rate to the Ending Spot Rate, calculated using the applicable formula
set forth above under “Additional Key Terms — Reference Currency Return.” While each Reference Currency Return for purposes
of the notes is determined using the applicable formula set forth above under “Additional Key Terms — Reference Currency Return,”
there are other reasonable ways to determine the return of a Reference Currency relative to the U.S. dollar that would provide different
results. For example, another way to calculate the return of a Reference Currency relative to the U.S. dollar would be to calculate the
return that would be achieved by converting U.S. dollar into that Reference Currency at the Starting Spot Rate on the Pricing Date and
then, on the Observation Date, converting back into U.S. dollar at the applicable Ending Spot Rate. In this pricing supplement, we refer
to the return of a Reference Currency relative to the U.S. dollar calculated using that method, which is not used for purposes of the
notes, as a “conversion return.”
As demonstrated by the examples below, under the Reference Currency
Return formulas, any appreciation of a Reference Currency relative to the U.S. dollar will be diminished, as compared to a conversion
return, while any depreciation of a Reference Currency relative to the U.S. dollar will be magnified, as compared to a conversion return.
In addition, the diminishing effect on any appreciation of a Reference Currency relative to the U.S. dollar increases as the applicable
Reference Currency Return increases, and the magnifying effect on any depreciation of a Reference Currency relative to the U.S. dollar
increases as the applicable Reference Currency Return decreases. Accordingly, your payment at maturity may be less than if you had invested
in similar notes that reflected conversion returns.
European Union Euro, British Pound Sterling and Australian Dollar
(expressed as a number of U.S. dollars per one unit of the applicable Reference Currency)
The following examples assume a Starting Spot Rate of 1.20 for the
European Union euro relative to the U.S. dollar.
|
·
|
Example 1: The European Union euro strengthens from the
Starting Spot Rate of 1.20 to the Ending Spot Rate of 1.32.
|
The Reference Currency Return is equal to 9.09%, calculated as follows:
(1.32 – 1.20) / 1.32 = 9.09%
By contrast, if the return on the European Union euro were determined
using a conversion return, the return would be 10.00%.
|
·
|
Example 2: The European Union euro strengthens from the
Starting Spot Rate of 1.20 to the Ending Spot Rate of 120.
|
The Reference Currency Return is equal to 99.00%, which demonstrates
the effective cap of approximately 100% on the Reference Currency Return, calculated as follows:
(120 – 1.20) / 120 = 99.00%
By contrast, if the return on the European Union euro were determined
using a conversion return, which would not be subject to the effective cap of approximately 100%, the return would be 9,900.00%.
As Examples 1 and 2 above demonstrate, the diminishing effect on
any appreciation of a Reference Currency relative to the Base Currency increases as the applicable Reference Currency Return increases.
|
·
|
Example 3: The European Union euro weakens from the Starting
Spot Rate of 1.20 to the Ending Spot Rate of 1.08.
|
The Reference Currency Return is equal to -11.11%, calculated as
follows:
(1.08 – 1.20) / 1.08 = -11.11%
By contrast, if the return on the European Union euro were determined
using a conversion return, the return would be -10.00%.
|
·
|
Example 4: The European Union euro weakens from the Starting
Spot Rate of 1.20 to the Ending Spot Rate of 0.30.
|
The Reference Currency Return is equal to -300.00%, which demonstrates
that there is no limit on the downside for the Reference Currency Return, calculated as follows:
(0.30 – 1.20) / 0.30 = -300.00%
By contrast, if the return on the European Union euro were determined
using a conversion return, the return would be -75.00%.
As Examples 3 and 4 above demonstrate, the magnifying effect on any
depreciation of a Reference Currency relative to the Base Currency increases as the applicable Reference Currency Return decreases.
JPMorgan Structured Investments —
|
PS-3
|
Return Notes Linked to the Performance of an Unequally Weighted Basket of Ten Currencies Relative to the U.S. Dollar
|
|
Japanese Yen, Canadian Dollar, Mexican Peso, Swiss Franc, Offshore
Chinese Renminbi, South Korean Won and Indian Rupee (expressed as a number of units of the applicable Reference Currency per one U.S.
dollar)
The following examples assume a Starting Spot Rate of 109 for the
Japanese yen relative to the U.S. dollar.
|
·
|
Example 1: The Japanese yen strengthens from the Starting
Spot Rate of 109 to the Ending Spot Rate of 98.10.
|
The Reference Currency Return is equal to 10.00%, calculated as follows:
(109 – 98.10) / 109 = 10.00%
By contrast, if the return on the Japanese yen were determined using
a conversion return, the return would be 11.11%.
|
·
|
Example 2: The Japanese yen strengthens from the Starting
Spot Rate of 109 to the Ending Spot Rate of 1.09.
|
The Reference Currency Return is equal to 99.00%, which demonstrates
the effective cap of approximately 100% on the Reference Currency Return, calculated as follows:
(109 – 1.09) / 109 = 99.00%
By contrast, if the return on the Japanese yen were determined using
a conversion return, which would not be subject to the effective cap of approximately 100%, the return would be 9,900.00%.
As Examples 1 and 2 above demonstrate, the diminishing effect on
any appreciation of a Reference Currency relative to the Base Currency increases as the applicable Reference Currency Return increases.
|
·
|
Example 3: The Japanese yen weakens from the Starting
Spot Rate of 109 to the Ending Spot Rate of 119.90.
|
The Reference Currency Return is equal to -10.00%, calculated as
follows:
(109 – 119.90) / 109 = -10.00%
By contrast, if the return on the Japanese yen were determined using
a conversion return, the return would be
-9.09%.
|
·
|
Example 4: The Japanese yen weakens from the Starting
Spot Rate of 109 to the Ending Spot Rate of 436.
|
The Reference Currency Return is equal to -300.00%, which demonstrates
that there is no limit on the downside for the Reference Currency Return, calculated as follows:
(109 – 436) / 109 = -300.00%
By contrast, if the return on the Japanese yen were determined using
a conversion return, the return would be -75.00%.
As Examples 3 and 4 above demonstrate, the magnifying effect on any
depreciation of a Reference Currency relative to the Base Currency increases as the applicable Reference Currency Return decreases.
The hypothetical Starting Spot Rate, Ending Spot Rates and Reference
Currency Returns set forth above are for illustrative purposes only and have been rounded for ease of analysis.
JPMorgan Structured Investments —
|
PS-4
|
Return Notes Linked to the Performance of an Unequally Weighted Basket of Ten Currencies Relative to the U.S. Dollar
|
|
What Is the Payment at Maturity on the Notes, Assuming
a Range of Performances for the Basket?
The following table and examples illustrate the hypothetical total
return and the hypothetical payment at maturity on the notes. 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. Each
hypothetical total return or payment at maturity set forth below and assumes a Basket Adjustment Factor of 100.05%. The actual Basket
Adjustment Factor will be provided in the pricing supplement and will not be less than 100.05%. Each hypothetical total return or payment
at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable
to a purchaser of the notes. The numbers appearing in the following table and in the examples below have been rounded for ease of analysis.
Ending Basket
Level
|
Basket Return
|
Total Return
|
199.99999
|
99.99999% (1)
|
100.1000%
|
190.00000
|
90.00000%
|
90.0950%
|
180.00000
|
80.00000%
|
80.0900%
|
165.00000
|
65.00000%
|
65.0825%
|
150.00000
|
50.00000%
|
50.0750%
|
140.00000
|
40.00000%
|
40.0700%
|
130.00000
|
30.00000%
|
30.0650%
|
120.00000
|
20.00000%
|
20.0600%
|
110.00000
|
10.00000%
|
10.0550%
|
105.00000
|
5.00000%
|
5.0525%
|
101.00000
|
1.00000%
|
1.0505%
|
100.00000
|
0.00000%
|
0.0500%
|
99.99000
|
-0.01000%
|
0.0400%
|
99.95003
|
-0.04997%
|
-0.0000%
|
90.00000
|
-10.00000%
|
-9.9550%
|
80.00000
|
-20.00000%
|
-19.9600%
|
70.00000
|
-30.00000%
|
-29.9650%
|
60.00000
|
-40.00000%
|
-39.9700%
|
50.00000
|
-50.00000%
|
-49.9750%
|
40.00000
|
-60.00000%
|
-59.9800%
|
30.00000
|
-70.00000%
|
-69.9850%
|
20.00000
|
-80.00000%
|
-79.9900%
|
10.00000
|
-90.00000%
|
-89.9950%
|
0.00000
|
-100.00000%
|
-100.0000%
|
-10.00000
|
-110.00000%
|
-100.0000% (2)
|
(1) Because each Reference Currency Return is subject to an embedded
maximum of approximately 100%, the maximum Basket Return is less than 100%.
(2) The payment at maturity will not be less than $0.
Hypothetical Examples of Amount Payable at Maturity
The following examples illustrate how the payment at maturity in
different hypothetical scenarios is calculated.
Example 1: The level of the Basket increases from the Starting Basket
Level of 100 to an Ending Basket Level of 105. Because the Ending Basket Level of 105 is greater than the Starting Basket Level of
100 and the Basket Return is 5%, the investor receives a payment at maturity of $1,050.525 per $1,000 principal amount note, calculated
as follows:
$1,000 × (1 + 5%) × 100.05% = $1,050.525
Example 2: The level of the Basket decreases from the Starting
Basket Level of 100 to an Ending Basket Level of 99.99. Although the Ending Basket Level of 99.99 is less than the Starting Basket
Level of 100 and the Basket Return is
-0.01%, because of the positive effect of the Basket Adjustment Factor, the investor receives a payment at maturity of $1,000.40 per $1,000
principal amount note, calculated as follows:
$1,000 × (1 - 0.01%) × 100.05% =
$1,000.40
Example 3: The level of the Basket decreases from the Starting
Basket Level of 100 to an Ending Basket Level of 50. Because the Ending Basket Level of 50 is less than the Starting Basket Level
of 100 and the Basket Return is -50%, the investor receives a payment at maturity of $500.25 per $1,000 principal amount note, calculated
as follows:
$1,000 × (1 + -50%) × 100.05% = $500.25
JPMorgan Structured Investments —
|
PS-5
|
Return Notes Linked to the Performance of an Unequally Weighted Basket of Ten Currencies Relative to the U.S. Dollar
|
|
The hypothetical returns and hypothetical payments on the notes shown
above apply only if you hold the notes for their entire term. These hypotheticals do not reflect 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.
JPMorgan Structured Investments —
|
PS-6
|
Return Notes Linked to the Performance of an Unequally Weighted Basket of Ten Currencies Relative to the U.S. Dollar
|
|
What Is the Basket Return, Assuming a Range of
Performances for the Reference Currencies?
The examples below illustrate hypothetical Basket
Returns, assuming a range of performances for the Reference Currencies. The hypothetical Basket Returns set forth below assume Starting
Spot Rates of 1.20, 109.00, 1.30, 1.40, 20.00, 0.76, 0.90, 6.60, 1,117.00 and 75.00 for the European Union euro, the Japanese yen, the
Canadian dollar, the British pound sterling, the Mexican peso, the Australian dollar, the Swiss franc, the offshore Chinese renminbi,
the South Korean won and the Indian rupee, respectively, relative to the U.S. dollar. The Basket Returns set forth below are for illustrative
purposes only and may not be the actual Basket Returns applicable to the notes. You should consider carefully whether the notes are suitable
to your investment goals. The numbers appearing in the examples below have been rounded for ease of analysis.
Example 1
Reference Currency
|
Reference
Currency
Weight
|
Hypothetical
Starting
Spot Rate
|
Hypothetical
Ending Spot
Rate
|
Reference
Currency
Return
|
European Union euro
|
30%
|
1.20
|
1.50
|
20.00%
|
Japanese yen
|
15%
|
109.00
|
98.10
|
10.00%
|
Canadian dollar
|
10%
|
1.30
|
1.04
|
20.00%
|
British pound sterling
|
10%
|
1.40
|
1.60
|
12.50%
|
Mexican peso
|
10%
|
20.00
|
18.00
|
10.00%
|
Australian dollar
|
5%
|
0.76
|
0.95
|
20.00%
|
Swiss franc
|
5%
|
0.90
|
0.81
|
10.00%
|
Offshore Chinese renminbi
|
5%
|
6.60
|
5.28
|
20.00%
|
South Korean won
|
5%
|
1,117.00
|
1,005.30
|
10.00%
|
Indian rupee
|
5%
|
75.00
|
67.50
|
20.00%
|
|
|
Basket Return:
|
15.75%
|
In this example, each of the Reference Currencies appreciated in value relative to the U.S. dollar, resulting in Reference Currency Returns
for each Reference Currency relative to the U.S. dollar of 20%, 10%, 20%, 12.50%, 10%, 20%, 10%, 20%, 10% and 20%. Accordingly, the Basket
Return is 15.75%.
Example 2
Reference Currency
|
Reference
Currency
Weight
|
Hypothetical
Starting
Spot Rate
|
Hypothetical
Ending Spot
Rate
|
Reference
Currency
Return
|
European Union euro
|
30%
|
1.20
|
1.00
|
-20.00%
|
Japanese yen
|
15%
|
109.00
|
119.90
|
-10.00%
|
Canadian dollar
|
10%
|
1.30
|
1.56
|
-20.00%
|
British pound sterling
|
10%
|
1.40
|
1.25
|
-12.00%
|
Mexican peso
|
10%
|
20.00
|
24.00
|
-20.00%
|
Australian dollar
|
5%
|
0.76
|
0.608
|
-25.00%
|
Swiss franc
|
5%
|
0.90
|
0.99
|
-10.00%
|
Offshore Chinese renminbi
|
5%
|
6.60
|
7.26
|
-10.00%
|
South Korean won
|
5%
|
1,117.00
|
1,228.70
|
-10.00%
|
Indian rupee
|
5%
|
75.00
|
82.50
|
-20.00%
|
|
|
Basket Return:
|
-16.45%
|
In this example, each of the Reference Currencies depreciated in value relative to the U.S. dollar, resulting in Reference Currency Returns
for each Reference Currency relative to the U.S. dollar of -20.00%, -10.00%, -20.00%, -12.00%, -20.00%, -25.00%, -10.00%, -10.00%, -10.00%
and -20.00%. Accordingly, the Basket Return is -16.45%.
JPMorgan Structured Investments —
|
PS-7
|
Return Notes Linked to the Performance of an Unequally Weighted Basket of Ten Currencies Relative to the U.S. Dollar
|
|
Example 3
Reference Currency
|
Reference
Currency
Weight
|
Hypothetical
Starting
Spot Rate
|
Hypothetical
Ending Spot
Rate
|
Reference
Currency
Return
|
European Union euro
|
30%
|
1.20
|
0.60
|
-100.00%
|
Japanese yen
|
15%
|
109.00
|
98.10
|
10.00%
|
Canadian dollar
|
10%
|
1.30
|
1.04
|
20.00%
|
British pound sterling
|
10%
|
1.40
|
1.60
|
12.50%
|
Mexican peso
|
10%
|
20.00
|
18.00
|
10.00%
|
Australian dollar
|
5%
|
0.76
|
0.95
|
20.00%
|
Swiss franc
|
5%
|
0.90
|
0.81
|
10.00%
|
Offshore Chinese renminbi
|
5%
|
6.60
|
5.28
|
20.00%
|
South Korean won
|
5%
|
1,117.00
|
1,005.30
|
10.00%
|
Indian rupee
|
5%
|
75.00
|
67.50
|
20.00%
|
|
|
Basket Return:
|
-20.25%
|
In this example, the Japanese yen, the Canadian dollar, the British pound sterling, the Mexican peso, the Australian dollar, the Swiss
franc, the offshore Chinese renminbi, the South Korean won and the Indian rupee each appreciated in value relative to the U.S. dollar,
resulting in Reference Currency Returns for each Reference Currency relative to the U.S. dollar of 10%, 20%, 12.50%, 10%, 20%, 10%, 20%,
10% and 20%, and the European Union euro depreciated in value relative to the U.S. dollar, resulting in a Reference Currency Return for
the European Union euro of -100%. Accordingly, the Basket Return is -20.25%. This example demonstrates that, because the European Union
euro makes up 30.00% of the Basket, depreciation of the European Union euro relative to the U.S. dollar can more than offset appreciation
of the other Reference Currencies relative to the U.S. dollar.
Example 4
Reference Currency
|
Reference
Currency
Weight
|
Hypothetical
Starting
Spot Rate
|
Hypothetical
Ending Spot
Rate
|
Reference
Currency
Return
|
European Union euro
|
30%
|
1.20
|
120.60
|
99.00%
|
Japanese yen
|
15%
|
109.00
|
981.00
|
-800.00%
|
Canadian dollar
|
10%
|
1.30
|
0.01
|
99.00%
|
British pound sterling
|
10%
|
1.40
|
140.00
|
99.00%
|
Mexican peso
|
10%
|
20.00
|
0.20
|
99.00%
|
Australian dollar
|
5%
|
0.76
|
76.00
|
99.00%
|
Swiss franc
|
5%
|
0.90
|
0.01
|
99.00%
|
Offshore Chinese renminbi
|
5%
|
6.60
|
0.07
|
99.00%
|
South Korean won
|
5%
|
1,117.00
|
11.17
|
99.00%
|
Indian rupee
|
5%
|
75.00
|
0.75
|
99.00%
|
|
|
Basket Return:
|
-35.85%
|
In this example, the European Union euro,
the Canadian dollar, the British pound sterling, the Mexican peso, the Australian dollar, the Swiss franc, the offshore Chinese renminbi,
the South Korean won and the Indian rupee each appreciated in value relative to the U.S. dollar, resulting in Reference Currency Returns
for each of those Reference Currencies of 99%, and the Japanese yen depreciated in value relative to the U.S. dollar, resulting in a Reference
Currency Return for the Japanese yen of -800%. Accordingly, the Basket Return is -35.85%. This example demonstrates that (a) no Reference
Currency Return will be greater than approximately 100% and (b) depreciation by one Reference Currency relative to the U.S. dollar can
result in a loss of some or all of your principal amount at maturity, even when the other Reference Currencies appreciate significantly
relative to the U.S. dollar.
JPMorgan Structured Investments —
|
PS-8
|
Return Notes Linked to the Performance of an Unequally Weighted Basket of Ten Currencies Relative to the U.S. Dollar
|
|
Selected Purchase Considerations
|
·
|
CAPPED INVESTMENT EXPOSURE TO THE PERFORMANCE OF THE
BASKET — The notes provide capped
exposure to the performance of the Basket, as increased by the Basket Adjustment Factor. Assuming a Basket Adjustment Factor of 100.05%,
due to the embedded cap on each Reference Currency Return of approximately 100%, the return on the notes at maturity is effectively capped
at approximately 100.10%. See “How Do the Reference Currency Return Formulas Work?”, “Selected Risk Considerations —
Risks Relating to the Notes Generally — Your Notes Are Subject to an Embedded Maximum Payment at Maturity” and “What
is the Basket Return, Assuming a Range of Performances for the Reference Currencies?” in this pricing supplement for more information.
Because the notes are our unsecured and unsubordinated obligations, the payment of which is fully and unconditionally guaranteed by
JPMorgan Chase & Co., payment of any amount on the notes is subject to our ability to pay our obligations as they become due and JPMorgan
Chase & Co.’s ability to pay its obligations as they become due.
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EXPOSURE TO THE REFERENCE CURRENCIES VERSUS THE U.S.
DOLLAR — The return on the notes is linked to the performance of a basket of currencies, which we refer to as the Reference
Currencies, relative to the U.S. dollar, and will enable you to participate in potential increases in the value of the Basket relative
to the U.S. dollar, from the Starting Basket Level to the Ending Basket Level. The Basket derives its value from an unequally weighted
group of currencies consisting of the European Union euro, the Japanese yen, the Canadian dollar, the British pound sterling, the Mexican
peso, the Australian dollar, the Swiss franc, the offshore Chinese renminbi, the South Korean won and the Indian rupee, each measured
relative to the U.S. dollar. The Reference Currency Return with respect to each Reference Currency is effectively capped at approximately
100%, with no limit on the downside. See “How Do the Reference Currency Return Formulas Work?”, “Selected Risk Considerations
— Risks Relating to the Notes Generally — Your Notes Are Subject to an Embedded Maximum Payment at Maturity” and “What
Is the Basket Return, Assuming a Range of Performances for the Reference Currencies?” in this pricing supplement for more information.
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TAX
TREATMENT — In determining our reporting responsibilities, we intend to treat the notes for U.S. federal income tax purposes
as “open transactions” that are not debt instruments, as described in the section entitled “Material U.S. Federal Income
Tax Consequences – Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement
no. 2-II. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel, we believe that this is a reasonable treatment,
but that there are other reasonable treatments that the IRS or a court may adopt, in which case the timing and character of any income
or loss on the notes could be materially and adversely affected.
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No statutory, judicial or administrative
authority directly addresses the characterization of the notes (or similar instruments) for U.S. federal income tax purposes, and no ruling
is being requested from the IRS with respect to their proper characterization and treatment. Assuming that “open transaction”
treatment is respected, the gain or loss on your notes will generally be ordinary foreign currency income or loss under Section 988 of
the Code. Ordinary foreign currency losses are potentially subject to certain reporting requirements. However, investors in certain forward
contracts, futures contracts or option contracts generally are entitled to make an election to treat foreign currency gain or loss as
capital gain or loss (a “Section 988 Election”). Due to the lack of authority directly addressing the availability of the
Section 988 Election for instruments such as these, it is unclear whether the Section 988 Election is available. If the Section 988 Election
is available and you make this election before the close of the day on which you acquire a note, all gain or loss you recognize on a sale
or exchange of that note should be treated as capital gain or loss, and as long-term capital gain or loss if you have held the note for
more than one year at that time. A Section 988 Election with respect to a note is made by (a) clearly identifying the note on your books
and records, on the date you acquire it, as being subject to this election and filing the relevant statement verifying this election with
your U.S. federal income tax return or (b) obtaining independent verification under procedures set forth in the Treasury regulations under
Section 988. You should consult your tax adviser regarding the advisability, availability, mechanics and consequences of a Section 988
Election, as well as the special reporting requirements that apply to foreign currency losses in excess of specified thresholds.
The IRS or a court may not respect the
treatment of the notes as “open transactions,” in which case the timing and character of any income or loss on the notes could
be materially and adversely affected. For instance, the notes could be treated as contingent payment debt instruments, in which case you
would be required to accrue original issue discount on your notes in each taxable year at the “comparable yield,” as determined
by us, although we will not make any payment with respect to the notes until maturity, and no Section 988 Election would be available.
In particular, in 2007 the IRS issued a revenue ruling holding that a financial instrument with some similarity to the notes is properly
treated as a debt instrument denominated in a foreign currency. The notes are distinguishable in some respects from the instrument described
in the revenue ruling. If the revenue ruling were applied to the notes, it could materially and adversely affect the tax consequences
of an investment in the notes for U.S. Holders, possibly with retroactive effect.
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
JPMorgan Structured Investments —
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PS-9
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Return Notes Linked to the Performance of an Unequally Weighted Basket of Ten Currencies Relative to the U.S. Dollar
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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 review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement and consult your tax adviser regarding
the U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments and the issues presented
by this notice.
Selected Risk Considerations
An investment in the notes involves significant risks. Investing
in the notes is not equivalent to investing directly in the Reference Currencies, the U.S. dollar or the respective exchange rates between
the Reference Currencies and the U.S. dollar or any contracts related to the Reference Currencies, the U.S. dollar or the respective exchange
rates between the Reference Currencies and the U.S. dollar. These risks are explained in more detail in the “Risk Factors”
sections of the accompanying prospectus supplement and product supplement and below.
Risks Relating to the
Notes Generally
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YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS
— The notes do not guarantee any return of your principal. The amount payable at maturity, if any, will reflect the performance
of the Basket, as increased by the Basket Adjustment Factor. Assuming a Basket Adjustment Factor of 100.05%, if the Ending Basket Level
declines from the Starting Basket Level by more than approximately 0.04997%, you will lose some or all of your principal amount at maturity.
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YOUR NOTES ARE SUBJECT TO AN EMBEDDED MAXIMUM PAYMENT
AT MATURITY — Because the Reference Currency Returns are expressed either as the Ending Spot Rate minus the Starting
Spot Rate, divided by the Ending Spot Rate, or as the Starting Spot Rate minus the Ending Spot Rate, divided by the
Starting Spot Rate, the Reference Currency Return with respect to each Reference Currency is effectively capped at approximately 100%,
with no limit on the downside. As a result, the Basket Return is also effectively capped at approximately 100%. Assuming a Basket Adjustment
Factor of 100.05%, due to the embedded cap on each Reference Currency Return, the return on the notes at maturity is effectively capped
at approximately 100.10%.
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CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE
& CO. — The notes are subject to our and JPMorgan Chase & Co.’s credit risks, and our and JPMorgan Chase &
Co.’s credit ratings and credit spreads may adversely affect the market value of the notes. Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.’s
creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely affect the value of
the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed to you
under the notes and you could lose your entire investment.
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AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT
OPERATIONS AND HAS LIMITED ASSETS — 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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NO INTEREST PAYMENTS — As a holder of the notes,
you will not receive interest payments.
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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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THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED
IN THE PRICING SUPPLEMENT — The final terms of the notes will be based on relevant market conditions when the terms of the notes
are set and will be provided in the pricing supplement. In particular, each of the estimated value of the notes and the Basket Adjustment
Factor will be provided in the pricing supplement and each may be as low as the applicable minimum set forth on the cover of this pricing
supplement. Accordingly, you should consider your potential investment in the notes based on the minimums for the estimated value of the
notes and the Basket Adjustment Factor.
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JPMorgan Structured Investments —
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PS-10
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Return Notes Linked to the Performance of an Unequally Weighted Basket of Ten Currencies Relative to the U.S. Dollar
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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 as an agent of the offering
of the notes, 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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Risks Relating to the
Estimated Value and Secondary Market Prices of the Notes
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THE
ESTIMATED VALUE OF THE NOTES WILL BE 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 will exceed 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 — 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, 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 is 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-rate debt of JPMorgan Chase & Co. 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 (a) exclude
selling commissions and (b) 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 consideration 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.
JPMorgan Structured Investments —
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PS-11
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Return Notes Linked to the Performance of an Unequally Weighted Basket of Ten Currencies Relative to the U.S. Dollar
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SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED
BY MANY ECONOMIC AND MARKET FACTORS — 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 Basket, 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 exchange rates and the volatility of the exchange rates
of the Reference Currencies relative to the U.S. dollar;
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suspension or disruption of market trading in the Reference
Currencies and the U.S. dollar;
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the time to maturity of the notes;
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interest and yield rates in the market generally; 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 Reference Currencies
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THE METHOD OF CALCULATING THE REFERENCE CURRENCY RETURNS
WILL DIMINISH ANY APPRECIATION OF THE REFERENCE CURRENCIES AND MAGNIFY ANY DEPRECIATION OF THE REFERENCE CURRENCIES RELATIVE TO THE U.S.
DOLLAR — Each Reference Currency Return reflects the return of a Reference Currency relative to the U.S. dollar from the Starting
Spot Rate to the Ending Spot Rate, calculated using the applicable formula set forth above under “Additional Key Terms — Reference
Currency Return.” While each Reference Currency Return for purposes of the notes is determined using the applicable formula set
forth above under “Additional Key Terms — Reference Currency Return,” there are other reasonable ways to determine the
return of a Reference Currency relative to the U.S. dollar that would provide different results. For example, another way to calculate
the return of a Reference Currency relative to the U.S. dollar would be to calculate the return that would be achieved by converting U.S.
dollar into that Reference Currency at the Starting Spot Rate on the Pricing Date and then, on the Observation Date, converting back into
U.S. dollar at the Ending Spot Rate. In this pricing supplement, we refer to the return of a Reference Currency relative to the U.S. dollar
calculated using that method, which is not used for purposes of the notes, as a “conversion return.”
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Under the Reference Currency Return formula,
any appreciation of a Reference Currency relative to the U.S. dollar will be diminished, as compared to a conversion return, while any
depreciation of a Reference Currency relative to the U.S. dollar will be magnified, as compared to a conversion return. The diminishing
effect on any appreciation of a Reference Currency relative to the U.S. dollar, which we refer to as an embedded variable decelerating
upside leverage, increases as the Reference Currency Return increases. The magnifying effect on any depreciation of a Reference Currency
relative to the U.S. dollar, which we refer to as an embedded variable downside leverage, increases as the Reference Currency Return decreases.
Accordingly, your payment at maturity may be less than if you had invested in similar notes that reflected conversion returns. See “How
Do the Reference Currency Return Formulas Work?” in this pricing supplement for more information.
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MOVEMENTS IN THE EXCHANGE RATES OF THE REFERENCE CURRENCIES
RELATIVE TO THE U.S. DOLLAR MAY BE HIGHLY CORRELATED — Because the performance of the Basket is determined by the performances
of the Reference Currencies relative to the U.S. dollar, your notes will be exposed to currency exchange rate risk with respect to the
European Union and its member countries, Japan, Canada, the United Kingdom, Mexico, Australia, Switzerland, China, South Korea and India
(the “Reference Currency Countries”) and the United States. High correlation of movements in the exchange rates of the Reference
Currencies relative to the U.S. dollar during periods of negative returns could have an adverse effect on your return on your investment
at maturity. However, the movements in the exchange rates of the Reference Currencies relative to the U.S. dollar may not be correlated.
See the immediately following risk consideration for more information.
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CHANGES IN THE VALUES OF THE REFERENCE CURRENCIES RELATIVE
TO THE U.S. DOLLAR MAY OFFSET EACH OTHER — Changes in the values of the Reference Currencies relative to the U.S. dollar may
not correlate with each other. At a time when one of the Reference Currencies appreciates relative to the U.S. dollar, one or more of
the other Reference Currencies may depreciate relative to the U.S. dollar or may not appreciate as much. Therefore, in calculating the
Ending Basket Level, appreciation by one of the Reference Currencies relative to the U.S. dollar may be moderated, or more than offset,
by depreciation or lesser appreciation of the other Reference Currencies relative to the U.S. dollar. Because each Reference Currency
Return is subject to an embedded maximum return of approximately 100%, with no limit on the downside, and because of the embedded variable
decelerating upside leverage and the embedded variable downside leverage, depreciation by one Reference Currency relative to the U.S.
dollar may result in a loss of some of all of your principal amount at maturity, even when the other Reference Currencies appreciate significantly
relative to the U.S. dollar. See “What Is the Basket Return, Assuming a Range of Performances for the Reference Currencies?”
in this pricing supplement for more information.
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THE NOTES MIGHT NOT PAY AS MUCH AS A DIRECT INVESTMENT
IN THE REFERENCE CURRENCIES — You may receive a lower payment at maturity than you would have received if you had invested directly
in the
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JPMorgan Structured Investments —
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PS-12
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Return Notes Linked to the Performance of an Unequally Weighted Basket of Ten Currencies Relative to the U.S. Dollar
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Reference Currencies individually, a combination of Reference
Currencies or contracts related to the Reference Currencies for which there is an active secondary market.
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THE NOTES ARE SUBJECT TO CURRENCY
EXCHANGE RISK — Foreign currency exchange rates
vary over time, and may vary considerably during the term of the notes. The value of a Reference Currency or the U.S. dollar is at any
moment a result of the supply and demand for that currency. Changes in foreign currency exchange rates result over time from the interaction
of many factors directly or indirectly affecting economic and political conditions in the Reference Currency Countries, the United States
and other relevant countries or regions.
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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 Reference Currency Countries
and the United States, and between each country or region and its major trading partners;
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political, civil or military unrest in the Reference Currency
Countries and the United States; and
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the extent of governmental surplus or deficit in the Reference
Currency Countries 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 Reference Currency Countries and the United States, and those of other countries
important to international trade and finance.
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GOVERNMENTAL INTERVENTION COULD MATERIALLY AND ADVERSELY
AFFECT THE VALUE OF THE NOTES — Foreign exchange rates can be fixed by the sovereign government, allowed to float within a range
of exchange rates set by the government or left to float freely. Governments, including those of the Reference Currency Countries and
the United States, use a variety of techniques, such as intervention by their central bank or imposition of regulatory controls or taxes,
to affect the exchange rates of their respective currencies. They may also issue a new currency to replace an existing currency, fix the
exchange rate or alter the exchange rate or relative exchange characteristics by devaluation or revaluation of a currency. Thus, a special
risk in purchasing the notes is that their trading value and amount payable could be affected by the actions of sovereign governments,
fluctuations in response to other market forces and the movement of currencies across borders.
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BECAUSE FOUR OF THE REFERENCE CURRENCIES ARE EMERGING
MARKETS CURRENCIES, THE BASKET IS SUBJECT TO AN INCREASED RISK OF SIGNIFICANT ADVERSE FLUCTUATIONS — The notes are linked to
the performance of an unequally weighted Basket of ten currencies, four of which are emerging markets currencies (the Mexican dollar,
the offshore Chinese renminbi, the South Korean won and the Indian rupee), relative to the U.S. dollar. There is an increased risk of
significant adverse fluctuations in the performances of the emerging markets currencies as they are currencies of less developed and less
stable economies without a stabilizing component that could be provided by one of the major currencies. As a result, emerging markets
currencies may be subject to higher volatility than major currencies, especially in environments of risk aversion and deleveraging. With
respect to any emerging or developing nation, there is the possibility of nationalization, expropriation or confiscation, political changes,
government regulation and social instability. Currencies of emerging economies are often subject to more frequent and larger central bank
interventions than the currencies of developed countries and are also more likely to be affected by drastic changes in monetary or exchange
rate policies of the relevant countries, which may negatively affect the value of the notes. Global events, even if not directly applicable
to the Reference Currency Countries or their respective currencies, may increase volatility or adversely affect the Reference Currency
Returns and the value of your notes.
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THE NOTES ARE LINKED TO IN PART TO THE U.S. DOLLAR/“OFFSHORE”
CHINESE RENMINBI EXCHANGE RATE AND NOT THE U.S. DOLLAR/“ONSHORE” CHINESE RENMINBI EXCHANGE RATE — The notes are
linked to in part to the rate of exchange between the “offshore” Chinese renminbi (CNH) and the U.S. dollar (USD) that trades
in the interbank market in Hong Kong and is currently only deliverable in Hong Kong. This rate is not the same as the rate of exchange
between the “onshore” Chinese renminbi and the U.S. dollar that trades in, and is currently only deliverable in, China, excluding
Hong Kong, Macau and Taiwan (CNY). The USD/CNH exchange rate has differed, and will likely continue to differ, from the USD/CNY exchange
rate. Accordingly, the return on the notes may be less than the potential returns on a note with similar terms linked to CNY. In addition,
historical data of CNH is available only since August 23, 2010; therefore, in comparison with CNY, less information about its performance
is available to help you make your investment decision. Moreover, the offshore Chinese renminbi deliverable in Hong Kong has historically
not been as liquid as the onshore Chinese renminbi deliverable in China, excluding Hong Kong, Macau and Taiwan. If the lesser liquidity
of the offshore Chinese renminbi vis-a-vis the onshore Chinese renminbi continues, or if the CNH/USD exchange rate ceases to serve as
a benchmark for the performance of the offshore Chinese renminbi deliverable in Hong Kong, your return on the notes may be adversely affected.
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In addition, the “onshore” Chinese
renminbi/U.S. dollar exchange rate is managed by the Chinese government and may also be influenced by political or economic developments
in China or elsewhere and by macroeconomic factors and speculative actions. The People’s Bank of China, the monetary authority in
China, sets the spot rate of the Chinese renminbi, and may also use a variety of techniques, such as intervention by its central bank
or imposition of regulatory controls or taxes, to affect the USD/CNH exchange rate. From 1994 to 2005, the Chinese government used a managed
floating exchange rate system, under which the People’s Bank of China
JPMorgan Structured Investments —
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PS-13
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Return Notes Linked to the Performance of an Unequally Weighted Basket of Ten Currencies Relative to the U.S. Dollar
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allowed the “onshore” Chinese
renminbi/U.S. dollar exchange rate to float within a very narrow band around the central exchange rate published daily by the People’s
Bank of China. In July 2005, the People’s Bank of China revalued the renminbi by 2% and announced that in the future it would set
the value of the renminbi with reference to a basket of currencies rather than solely with reference to the U.S. dollar. In addition,
the People’s Bank of China announced that the reference basket of currencies used to set the value of the renminbi would be based
on a daily poll of “onshore” market dealers and other undisclosed factors. Movements in the “onshore” Chinese
renminbi/U.S. dollar exchange rate within the narrow band established by the People’s Bank of China result from the supply of, and
the demand for, those two currencies and fluctuations in the reference basket of currencies. However, in 2011, China adopted its 12th
Five-Year Plan, which calls for continued economic reform and market-oriented policies. Inasmuch as these policies are accepted and carried
out, the value of the Chinese renminbi could be affected. In the future, the Chinese government may also issue a new currency to replace
its existing currency or alter the exchange rate or relative exchange characteristics by devaluation or revaluation of the Chinese renminbi
in ways that may be adverse to your interests. Further, the Chinese renminbi is not fully convertible into other currencies. The exchange
rate is also influenced by political or economic developments in China, the United States or elsewhere and by macroeconomic factors and
speculative actions.
While the inflow and outflow of renminbi
in China has historically been tightly controlled by the People’s Bank of China, there have been signs in recent years of a nascent
but fast growing offshore renminbi market, with foreign exchange reforms implemented in 2010 serving as the catalyst. These reforms allow
the renminbi to move to Hong Kong from mainland China without restriction if it is for the purpose of international trade settlement (e.g.,
import payments). Once moved offshore, this renminbi is reclassified from “CNY” renminbi to so-called “CNH” renminbi,
which has no mainland restriction as to its end-use if it remains offshore. However, the growth of the CNH market may be impeded as China
still tightly regulates the “back flow” of CNH into the onshore mainland market, in part to protect domestic markets. This
creates a separate currency market for onshore versus offshore renminbi with different levels of exchange rates driven by capital control
measures, supply and demand and arbitrage opportunities. No assurance can be given with respect to any future changes in the policy of
China dealing with offshore renminbi trading. To the extent that management of the renminbi by the People’s Bank of China has resulted
in and currently results in trading levels that do not fully reflect market forces, any further changes in the government’s management
of “onshore” Chinese renminbi/U.S. dollar exchange rate could result in significant movement in the value of the “offshore”
Chinese renminbi/U.S. dollar exchange rate. China may regulate the “offshore” Chinese renminbi/U.S. dollar exchange rate,
or the delivery of renminbi in Hong Kong, in a manner that is adverse to your interest in the notes. Changes in the exchange rate result
over time from the interaction of many factors directly or indirectly affecting economic and political conditions in China and the United
States, including capital control measures and economic and political developments in other countries.
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·
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EVEN THOUGH THE REFERENCE
CURRENCIES AND THE U.S. Dollar TRADE AROUND-THE-CLOCK, THE NOTES WILL NOT —
Because the inter-bank market in foreign currencies is a global, around-the-clock market, the hours of trading for the notes, if any,
will not conform to the hours during which the Reference Currencies and the U.S. dollar are traded. Consequently, significant price and
rate movements may take place in the underlying foreign exchange markets that will not be reflected immediately in the price of the notes.
Additionally, there is no systematic reporting of last-sale information for foreign currencies which, combined with the limited availability
of quotations to individual investors, may make it difficult for many investors to obtain timely and accurate data regarding the state
of the underlying foreign exchange markets.
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·
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CURRENCY EXCHANGE RISKS CAN
BE EXPECTED TO HEIGHTEN IN PERIODS OF FINANCIAL TURMOIL —
In periods of financial turmoil, capital can move quickly out of regions that are perceived to be more vulnerable to the effects of the
crisis than others with sudden and severely adverse consequences to the currencies of those regions. In addition, governments around the
world, including the United States government and governments of other major world currencies, have recently made, and may be expected
to continue to make, very significant interventions in their economies, and sometimes directly in their currencies. Such interventions
affect currency exchange rates globally and, in particular, the value of the Reference Currencies relative to the U.S. dollar. Further
interventions, other government actions or suspensions of actions, as well as other changes in government economic policy or other financial
or economic events affecting the currency markets, may cause currency exchange rates to fluctuate sharply in the future, which could have
a material adverse effect on the value of the notes and your return on your investment in the notes at maturity.
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·
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CURRENCY MARKET DISRUPTIONS MAY ADVERSELY AFFECT YOUR
RETURN — The calculation agent may, in its sole discretion, determine that the currency markets have been affected in a manner
that prevents it from properly determining, among other things, the Spot Rates and the Reference Currency Returns. These events may include
disruptions or suspensions of trading in the currency markets as a whole, and could be a Convertibility Event, a Deliverability Event,
a Liquidity Event, a Taxation Event, a Discontinuity Event or a Price Source Disruption Event. See “The Underlyings — Currencies
— Market Disruption Events for a Reference Currency Relative to a Base Currency” in the accompanying product supplement for
further information on what constitutes a market disruption event.
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JPMorgan Structured Investments —
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PS-14
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Return Notes Linked to the Performance of an Unequally Weighted Basket of Ten Currencies Relative to the U.S. Dollar
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Historical Information
The graph below shows the weekly performance of the Basket from January
8, 2016 through April 9, 2021, assuming that the Basket Closing Level on January 8, 2016 was 100 and that the exchange rates (as described
below) of each Reference Currency relative to the U.S. dollar on the relevant dates were the Spot Rates on such dates.
The ten graphs below show the historical weekly performance of each
Reference Currency relative to the U.S. dollar from January 8, 2016 through April 9, 2021. The following table sets forth for each Reference
Currency relative to the U.S. dollar the Spot Rates, calculated in the manner set forth under “Additional Key Terms — Spot
Rates” in this pricing supplement, on April 9, 2021.
Reference Currency
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Spot Rate
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European Union euro (EUR)
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1.18895
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Japanese yen (JPY)
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109.590
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Canadian dollar (CAD)
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1.25535
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British pound sterling (GBP)
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1.37300
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Mexican peso (MXN)
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20.16150
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Australian dollar (AUD)
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0.76285
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Swiss franc (CHF)
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0.92525
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Offshore Chinese renminbi (CNH)
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6.55675
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South Korean won (KRW)
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1,117.20
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Indian rupee (INR)
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74.8899
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The value of the Basket, and thus the Basket Return, increases when
the individual Reference Currencies appreciate in value against the U.S. dollar.
JPMorgan Structured Investments —
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PS-15
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Return Notes Linked to the Performance of an Unequally Weighted Basket of Ten Currencies Relative to the U.S. Dollar
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JPMorgan Structured Investments —
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PS-16
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Return Notes Linked to the Performance of an Unequally Weighted Basket of Ten Currencies Relative to the U.S. Dollar
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JPMorgan Structured Investments —
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PS-17
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Return Notes Linked to the Performance of an Unequally Weighted Basket of Ten Currencies Relative to the U.S. Dollar
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We obtained the Spot Rates above from Refinitiv, without independent
verification. The historical performance of the Basket and each Reference Currency relative to the U.S. dollar should not be taken as
indications of future performance, and no assurance can be given as to the closing level of the Basket on the Observation Date or the
Spot Rate of any of the Reference Currencies on the Pricing Date or the Observation Date. There can be no assurance that the performance
of the Basket will result in the return of any of your principal amount.
JPMorgan Structured Investments —
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PS-18
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Return Notes Linked to the Performance of an Unequally Weighted Basket of Ten Currencies Relative to the U.S. Dollar
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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 is 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-rate debt of JPMorgan
Chase & Co. 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, 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 “Selected
Risk Considerations — 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 will be 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. We or one or more of
our affiliates will retain any profits realized in hedging our obligations under the notes. See “Selected Risk Considerations —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Will Be 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 “Selected Risk Considerations — 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 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.