June 18, 2021
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Registration Statement Nos. 333-236659 and 333-236659-01; Rule 424(b)(2)
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JPMorgan Chase Financial Company LLC
Structured Investments
$2,386,000
Uncapped Accelerated Barrier Notes Linked to the Lesser Performing
of the EURO STOXX 50® Index and the STOXX® Europe 600 Index due June 23, 2026
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
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The notes are designed for investors who seek an uncapped return of 2.35 times any appreciation of the lesser performing of the EURO
STOXX 50® Index and the STOXX® Europe 600 Index, which we refer to as the Indices, at maturity.
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Investors should be willing to forgo interest and dividend payments and be willing to lose some or all of their principal amount at
maturity.
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The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial,
the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes is subject to the
credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor of the notes.
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Payments on the notes are not linked to a basket composed of the Indices. Payments on the notes are linked to the performance of each
of the Indices individually, as described below.
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Minimum denominations of $1,000 and integral multiples thereof
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The notes priced on June 18, 2021 and are expected to settle on or about June 23, 2021.
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Investing in the notes involves a number of risks. See “Risk Factors”
beginning on page S-2 of the accompanying prospectus supplement, “Risk Factors” beginning on page PS-12 of the accompanying
product supplement, “Risk Factors” beginning on page US-3 of the accompanying underlying supplement and “Selected Risk
Considerations” beginning on page PS-3 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”) nor any
state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing supplement
or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation to the contrary
is a criminal offense.
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Price to Public (1)
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Fees and Commissions (2)(3)
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Proceeds to Issuer
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Per note
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$1,000
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—
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$1,000
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Total
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$2,386,000
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—
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$2,386,000
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(1) See “Supplemental Use of Proceeds” in this pricing supplement
for information about the components of the price to public of the notes.
(2) All sales of the notes will
be made to certain fee-based advisory accounts for which an affiliated or unaffiliated broker-dealer is an investment adviser. These broker-dealers
will forgo any commissions related to these sales. See “Plan of Distribution (Conflicts of Interest)” in the accompanying
product supplement.
(3) J.P. Morgan Securities LLC, which we refer to as JPMS, will pay a
referral fee of $5.00 per $1,000 principal amount note to an affiliated or unaffiliated dealer and, with respect to $2,137,000 aggregate
principal amount of notes, a structuring fee of $4.00 per $1,000 principal amount note to other affiliated or unaffiliated dealers. These
dealers will forgo any structuring fee with respect to the remaining notes.
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The estimated value of the notes, when the terms of the notes were set, was $949.60
per $1,000 principal amount note. See “The Estimated Value of the Notes” in this pricing supplement for additional information.
The notes are not bank deposits, are not insured by the Federal Deposit Insurance
Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Pricing supplement to product supplement no. 4-II dated November
4, 2020, underlying supplement no. 1-II dated November 4, 2020
and the prospectus and prospectus supplement, each dated April 8, 2020
Key Terms
Issuer:
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase &
Co.
Guarantor:
JPMorgan Chase & Co.
Indices:
The EURO STOXX 50® Index (Bloomberg ticker: SX5E) and the STOXX® Europe
600 Index (Bloomberg ticker: SXXP)
Upside
Leverage Factor: 2.35
Barrier Amount: With respect to each
Index, 70.00% of its Initial Value, which is 2,858.359 for the EURO STOXX 50® Index and 316.435 for the STOXX®
Europe 600 Index
Pricing Date:
June 18, 2021
Original
Issue Date (Settlement Date): On or about June 23, 2021
Observation Date*:
June 18, 2026
Maturity Date*:
June 23, 2026
* Subject to postponement in the event of a market disruption event and
as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple Underlyings”
and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
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Payment at Maturity:
If the Final Value of each Index is greater than its Initial Value, your payment at maturity
per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing Index Return ×
Upside Leverage Factor)
If the Final Value of either Index is equal to or less than its Initial Value but
the Final Value of each Index is greater than or equal to its Barrier Amount, you will receive the principal amount of your notes at maturity.
If the Final Value of either Index is less than its Barrier Amount, your payment
at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing Index Return)
If the Final Value of either Index is less than its Barrier Amount, you will
lose more than 30.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
Lesser Performing Index: The
Index with the Lesser Performing Index Return
Lesser Performing Index Return: The
lower of the Index Returns of the Indices
Index Return:
With respect to each Index,
(Final Value – Initial Value)
Initial Value
Initial
Value: With respect to each Index, the closing level
of that Index on the Pricing Date, which was 4,083.37 for the EURO STOXX 50® Index and 452.05 for the STOXX®
Europe 600 Index
Final
Value: With respect to each Index, the closing level of that Index on the Observation Date
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PS-1
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to the Lesser Performing of the
EURO STOXX 50® Index and the STOXX® Europe 600 Index
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Hypothetical Payout Profile
The following table and graph illustrate the hypothetical total
return and payment at maturity on the notes linked to two hypothetical Indices. The “total return” as used in this pricing
supplement is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount note
to $1,000. The hypothetical total returns and payments set forth below assume the following:
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an Initial Value for the Lesser Performing Index of 100.00;
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an Upside Leverage Factor of 2.35; and
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a Barrier Amount for the Lesser Performing Index of 70.00 (equal to 70.00% of its hypothetical Initial Value).
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The hypothetical Initial Value of the Lesser Performing Index of
100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value of either Index. The actual Initial
Value of each Index is the closing level of that Index on the Pricing Date and is specified under “Key Terms — Initial Value”
in this pricing supplement. For historical data regarding the actual closing levels of each Index, please see the historical information
set forth under “The Indices” in this pricing supplement.
Each hypothetical total return or hypothetical payment at maturity
set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable to a purchaser
of the notes. The numbers appearing in the following table and graph have been rounded for ease of analysis.
Final Value of the
Lesser Performing
Index
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Lesser Performing Index
Return
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Total Return on the Notes
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Payment at Maturity
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165.00
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65.00%
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152.75%
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$2,527.50
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150.00
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50.00%
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117.50%
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$2,175.00
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140.00
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40.00%
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94.00%
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$1,940.00
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130.00
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30.00%
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70.50%
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$1,705.00
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120.00
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20.00%
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47.00%
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$1,470.00
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110.00
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10.00%
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23.50%
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$1,235.00
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105.00
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5.00%
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11.75%
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$1,117.50
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101.00
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1.00%
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2.35%
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$1,023.50
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100.00
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0.00%
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0.00%
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$1,000.00
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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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0.00%
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$1,000.00
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70.00
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-30.00%
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0.00%
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$1,000.00
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69.99
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-30.01%
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-30.01%
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$699.90
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60.00
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-40.00%
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-40.00%
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$600.00
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50.00
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-50.00%
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-50.00%
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$500.00
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40.00
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-60.00%
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-60.00%
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$400.00
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30.00
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-70.00%
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-70.00%
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$300.00
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20.00
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-80.00%
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-80.00%
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$200.00
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10.00
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-90.00%
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-90.00%
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$100.00
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0.00
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-100.00%
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-100.00%
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$0.00
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PS-2
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to the Lesser Performing of the
EURO STOXX 50® Index and the STOXX® Europe 600 Index
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The following graph demonstrates the hypothetical payments at maturity
on the notes for a sub-set of Lesser Performing Index Returns detailed in the table above (-80% to 50%). There can be no assurance that
the performance of the Lesser Performing Index will result in the return of any of your principal amount.
How the Notes Work
Upside Scenario:
If the Final Value of each Index is greater than its Initial Value,
investors will receive at maturity the $1,000 principal amount plus a return equal to the Lesser Performing Index Return times
the Upside Leverage Factor of 2.35.
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If the closing level of the Lesser Performing Index increases 10.00%, investors will receive at maturity a 23.50% return, or $1,235.00
per $1,000 principal amount note.
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Par Scenario:
If the Final Value of either Index is equal to or less than its Initial
Value but the Final Value of each Index is greater than or equal to its Barrier Amount of 70.00% of its Initial Value, investors will
receive at maturity the principal amount of their notes.
Downside Scenario:
If the Final Value of either Index is less than its Barrier Amount
of 70.00% of its Initial Value, investors will lose 1% of the principal amount of their notes for every 1% that the Final Value of the
Lesser Performing Index is less than its Initial Value.
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For example, if the closing level of the Lesser Performing Index declines 60.00%, investors will lose 60.00% of their principal amount
and receive only $400.00 per $1,000 principal amount note at maturity.
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The hypothetical returns and hypothetical payments on the notes
shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect the fees or expenses that
would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns and hypothetical
payments shown above would likely be lower.
Selected Risk Considerations
An investment in the notes involves significant risks. These risks
are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement, product supplement
and underlying supplement.
Risks Relating to the Notes Generally
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YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
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The notes do not guarantee any return of principal. If the
Final Value of either Index is less than its Barrier Amount, you will lose 1% of the principal amount of your notes for every 1% that
the Final Value of the Lesser Performing Index is less than its Initial Value. Accordingly, under these circumstances, you will lose more
than 30.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
PS-3
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to the Lesser Performing of the
EURO STOXX 50® Index and the STOXX® Europe 600 Index
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CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
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Investors are dependent on our and JPMorgan Chase &
Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness
or credit spreads, as determined by the market for taking that credit risk, is likely to adversely affect the value of the notes. If we
and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed to you under the notes and
you could lose your entire investment.
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AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS —
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As a finance subsidiary of JPMorgan Chase & Co., we
have no independent operations beyond the issuance and administration of our securities. Aside from the initial capital contribution from
JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates to make payments under loans made by
us or other intercompany agreements. As a result, we are dependent upon payments from our affiliates to meet our obligations under the
notes. If these affiliates do not make payments to us and we fail to make payments on the notes, you may have to seek payment under the
related guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu with all other unsecured and unsubordinated
obligations of JPMorgan Chase & Co.
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YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX —
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Payments on the notes are not linked to a basket composed
of the Indices and are contingent upon the performance of each individual Index. Poor performance by either of the Indices over the term
of the notes may negatively affect your payment at maturity and will not be offset or mitigated by positive performance by the other Index.
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YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LESSER PERFORMING INDEX.
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THE BENEFIT PROVIDED BY THE BARRIER AMOUNT MAY TERMINATE ON THE OBSERVATION DATE —
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If the Final Value of either Index is less than its Barrier
Amount, the benefit provided by the Barrier Amount will terminate and you will be fully exposed to any depreciation of the Lesser Performing
Index.
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THE NOTES DO NOT PAY INTEREST.
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YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN EITHER INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES.
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THE RISK OF THE CLOSING LEVEL OF AN INDEX FALLING BELOW ITS BARRIER AMOUNT IS GREATER IF THE LEVEL OF THAT INDEX IS VOLATILE.
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The notes will not be listed on any securities exchange.
Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS is willing
to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments. Accordingly,
you should be able and willing to hold your notes to maturity.
Risks Relating to Conflicts of Interest
We and our affiliates play a variety of roles in connection
with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests are potentially adverse to your
interests as an investor in the notes. It is possible that hedging or trading activities of ours or our affiliates in connection with
the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer to “Risk
Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement.
Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes
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THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES —
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The estimated value of the notes is only an estimate determined
by reference to several factors. The original issue price of the notes exceeds the estimated value of the notes because costs associated
with structuring and hedging the notes are included in the original issue price of the notes. These costs include the referral fee, the
structuring fee, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes and the estimated cost of hedging our obligations under the notes. See “The Estimated Value of the Notes”
in this pricing supplement.
PS-4
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to the Lesser Performing of the
EURO STOXX 50® Index and the STOXX® Europe 600 Index
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THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES —
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See “The Estimated Value of the Notes” in this
pricing supplement.
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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 (a) exclude the referral fee and the structuring
fee 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 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 referral fee,
structuring fee, projected hedging profits, if any, estimated hedging costs and the levels of the Indices. Additionally, independent pricing
vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes
in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
— Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
Risks Relating to the Indices
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NON-U.S. SECURITIES RISK —
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The equity securities included in the Indices have been issued
by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity securities involve risks associated
with the securities markets in the home countries of the issuers of those non-U.S. equity securities. Also, there is generally less
publicly available information about companies in some of these jurisdictions than there is about U.S. companies that are subject to the
reporting requirements of the SEC.
PS-5
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to the Lesser Performing of the
EURO STOXX 50® Index and the STOXX® Europe 600 Index
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NO DIRECT EXPOSURE TO FLUCTUATIONS IN FOREIGN EXCHANGE RATES WITH RESPECT TO THE EURO STOXX 50®
INDEX —
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The value of your notes will not be adjusted for exchange
rate fluctuations between the U.S. dollar and the currencies upon which the equity securities included in the EURO STOXX 50®
Index are based, although any currency fluctuations could affect the performance of the EURO STOXX 50® Index.
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THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK WITH RESPECT TO THE STOXX®
EUROPE 600 INDEX —
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Because the prices of the equity securities included in the
STOXX® Europe 600 Index are converted into European Union euros for purposes of calculating the level of the STOXX®
Europe 600 Index, holders of the notes will be exposed to currency exchange rate risk with respect to each of the currencies in which
the equity securities included in the STOXX® Europe 600 Index trade. Your net exposure will depend on the extent
to which those currencies strengthen or weaken against the European Union euro and the relative weight of equity securities included in
the STOXX® Europe 600 Index denominated in each of those currencies. If, taking into account the relevant weighting,
the European Union euro strengthens against those currencies, the level of the STOXX® Europe 600 Index will be adversely
affected and any payment on the notes may be reduced.
PS-6
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to the Lesser Performing of the
EURO STOXX 50® Index and the STOXX® Europe 600 Index
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The Indices
The EURO STOXX 50® Index consists of 50 component stocks
of market sector leaders from within the Eurozone. The EURO STOXX 50® Index and STOXX are the intellectual property (including
registered trademarks) of STOXX Limited, Zurich, Switzerland and/or its licensors (the “Licensors”), which are used under
license. The notes based on the EURO STOXX 50® Index are in no way sponsored, endorsed, sold or promoted by STOXX Limited
and its Licensors and neither STOXX Limited nor any of its Licensors shall have any liability with respect thereto. For additional information
about the EURO STOXX 50® Index, see “Equity Index Descriptions — The STOXX Benchmark Indices” in the
accompanying underlying supplement.
The STOXX® Europe 600 Index consists of 600 of the largest
stocks in terms of free-float market capitalization traded on the major exchanges of 17 European countries: Austria, Belgium, Denmark,
Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Norway, Poland, Portugal, Spain, Sweden, Switzerland and the United
Kingdom. The STOXX® Europe 600 Index and STOXX are the intellectual property (including registered trademarks) of the STOXX
Limited, Zurich, Switzerland and/or its licensors (the “Licensors”), which are used under license. The notes based on the
STOXX® Europe 600 Index are in no way sponsored, endorsed, sold or promoted by STOXX Limited and its Licensors and neither
STOXX Limited nor any of its Licensors shall have any liability with respect thereto. For additional information about the STOXX®
Europe 600 Index, see “Equity Index Descriptions — The STOXX Benchmark Indices” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical performance of each
Index based on the weekly historical closing levels from January 8, 2016 through June 18, 2021. The closing level of the EURO STOXX 50®
Index on June 18, 2021 was 4,083.37. The closing level of the STOXX® Europe 600 Index on June 18, 2021 was 452.05. We obtained
the closing levels above and below from the Bloomberg Professional® service (“Bloomberg”), without independent
verification.
The historical closing levels of each Index should not be taken
as an indication of future performance, and no assurance can be given as to the closing level of either Index on the Observation Date.
There can be no assurance that the performance of the Indices will result in the return of any of your principal amount.
PS-7
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to the Lesser Performing of the
EURO STOXX 50® Index and the STOXX® Europe 600 Index
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Tax Treatment
You should review carefully
the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-II. The
following discussion, when read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk
& Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes.
Based on current market
conditions, in the opinion of our special tax counsel it is reasonable to treat the notes as “open transactions” that are
not debt instruments for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences
— Tax Consequences to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying
product supplement. Assuming this treatment is respected, the gain or loss on your notes should be treated as long-term capital gain or
loss if you hold your notes for more than a year, whether or not you are an initial purchaser of notes at the issue price. However, the
IRS or a court may not respect this treatment, in which case the timing and character of any income or loss on the notes could be materially
and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax
treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to require investors
in these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including
the character of income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property
to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors
should be subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership”
regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest
charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance
promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the notes,
possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment
in the notes, including possible alternative treatments and the issues presented by this notice.
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
PS-8
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to the Lesser Performing of the
EURO STOXX 50® Index and the STOXX® Europe 600 Index
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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 structuring and hedging the notes are included in the original issue price of the
notes. These costs include the referral fee paid to an affiliated or unaffiliated dealer, the structuring fee paid to other affiliated
or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our
obligations under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails
risk and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected,
or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes may be allowed to other
affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits. See “Selected
Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value
of the Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary Market Prices
of the Notes
For information about factors that will impact any secondary market
prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes —
Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
In addition, we generally expect that some of the costs included in the original issue price of the notes will be partially paid back
to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period.
These costs can include projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary
market funding rates for structured debt issuances. This initial predetermined time period is intended to be the shorter of six months
and one-half of the stated term of the notes. The length of any such initial period reflects the structure of the notes, whether our affiliates
expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the notes and when these costs are incurred,
as determined by our affiliates. See “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May
Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this pricing supplement.
Supplemental Use of Proceeds
The notes are offered to meet investor demand for products that
reflect the risk-return profile and market exposure provided by the notes. See “Hypothetical Payout Profile” and “How
the Notes Work” in this pricing supplement for an illustration of the risk-return profile of the notes and “The Indices”
in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the estimated
value of the notes plus the referral fee paid to an affiliated or unaffiliated dealer, plus the structuring fee paid to other affiliated
or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent
in hedging our obligations under the notes, plus the estimated cost of hedging our obligations under the notes.
Supplemental Plan of
Distribution
We expect that delivery of the
notes will be made against payment for the notes on or about the Original Issue Date set forth on the front cover of this pricing supplement,
which will be the third business day following the Pricing Date of the notes (this settlement cycle being referred to as “T+3”).
Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle
in two business days, unless the parties to that trade expressly agree otherwise. Accordingly,
PS-9
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to the Lesser Performing of the
EURO STOXX 50® Index and the STOXX® Europe 600 Index
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purchasers who wish to trade notes on any date prior to two
business days before delivery will be required to specify an alternate settlement cycle at the time of any such trade to prevent a failed
settlement and should consult their own advisors.
Validity of the Notes
and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as special products
counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by this pricing supplement have been executed and issued
by JPMorgan Financial and authenticated by the trustee pursuant to the indenture, and delivered against payment as contemplated herein,
such notes will be valid and binding obligations of JPMorgan Financial and the related guarantee will constitute a valid and binding obligation
of JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws
affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability (including,
without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion
as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed
above or (ii) any provision of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar
provision of applicable law by limiting the amount of JPMorgan Chase & Co.’s obligation under the related guarantee. This opinion
is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware
and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustee’s
authorization, execution and delivery of the indenture and its authentication of the notes and the validity, binding nature and enforceability
of the indenture with respect to the trustee, all as stated in the letter of such counsel dated February 26, 2020, which was filed as
an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 26, 2020.
Additional Terms Specific
to the Notes
You should read this pricing supplement together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which these notes
are a part, and the more detailed information contained in the accompanying product supplement and the accompanying underlying supplement.
This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous
oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas,
structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You should carefully
consider, among other things, the matters set forth in the “Risk Factors” sections of the accompanying prospectus supplement,
the accompanying product supplement and the accompanying underlying supplement, as the notes involve risks not associated with conventional
debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is 1665650, and
JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us” and “our”
refer to JPMorgan Financial.
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| Structured Investments
Uncapped Accelerated Barrier Notes Linked to the Lesser Performing of the
EURO STOXX 50® Index and the STOXX® Europe 600 Index
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