September 10, 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
$2,379,000
Review Notes Linked to the Least Performing of the Dow Jones Industrial AverageTM, the Russell 2000® Index and
the NASDAQ-100 Index® due September 15, 2026
Fully and Unconditionally Guaranteed by JPMorgan Chase &
Co.
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·
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The notes are designed for investors who seek early exit prior to maturity at a premium if, on any Review Date, the closing level
of each of the Dow Jones Industrial AverageTM, the Russell 2000® Index and the NASDAQ-100 Index®,
which we refer to as the Indices, is at or above its Call Value.
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The earliest date on which an automatic call may be initiated is September 13, 2022.
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Investors should be willing to forgo interest and dividend payments and be willing to accept the risk of losing 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 September 10, 2021 and are expected to settle on or about September 15, 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-4 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”) nor any
state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing supplement
or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation to the contrary
is a criminal offense.
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Price to Public (1)
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Fees and Commissions (2)
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Proceeds to Issuer
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Per note
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$1,000
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$10.0170
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$989.9830
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Total
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$2,379,000
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$23,830.50
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$2,355,169.50
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(1) See “Supplemental Use of Proceeds” in this pricing
supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting
as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to other affiliated
or unaffiliated dealers. These selling commissions will vary and will be up to $10.75 per $1,000 principal amount note. See “Plan
of Distribution (Conflicts of Interest)” in the accompanying product supplement.
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The estimated value of the notes, when the terms of the notes were set, was
$949.50 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
Dow Jones Industrial AverageTM (Bloomberg ticker: INDU), the Russell 2000® Index (Bloomberg ticker: RTY) and
the NASDAQ-100 Index® (Bloomberg ticker: NDX)
Call Premium Amount: The Call Premium Amount with respect to each Review
Date is set forth below:
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first Review Date:
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10.25% × $1,000
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second Review Date:
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20.50% × $1,000
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third Review Date:
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30.75% × $1,000
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fourth Review Date:
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41.00% × $1,000
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final Review Date:
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51.25% × $1,000
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Call Value: With
respect to each Index, 100.00% of its Initial Value
Barrier Amount: With
respect to each Index, 70.00% of its Initial Value, which is 24,225.404 for the Dow Jones Industrial AverageTM, 1,559.2822
for the Russell 2000® Index and 10,808.525 for the NASDAQ-100 Index®
Pricing
Date: September 10, 2021
Original Issue Date (Settlement
Date): On or about September 15, 2021
Review Dates*: September
13, 2022, September 11, 2023, September 10, 2024, September 10, 2025 and September 10, 2026 (final Review Date)
Call Settlement Dates*: September
16, 2022, September 14, 2023, September 13, 2024, September 15, 2025 and the Maturity Date
Maturity Date*: September
15, 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
Automatic Call:
If the closing level of each Index on any Review Date is greater than or equal to
its Call Value, the notes will be automatically called for a cash payment, for each $1,000 principal amount note, equal to (a) $1,000
plus (b) the Call Premium Amount applicable to that Review Date, payable on the applicable Call Settlement Date. No further payments
will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called and 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 notes have not been automatically called and the Final Value of any 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 × Least Performing Index Return)
If the notes have not been automatically called
and the Final Value of any 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.
Least Performing Index:
The Index with the Least Performing Index Return
Least Performing Index Return:
The lowest 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 34,607.72 for the Dow Jones Industrial AverageTM,
2,227.546 for the Russell 2000® Index and 15,440.75 for the NASDAQ-100 Index®
Final Value: With
respect to each Index, the closing level of that Index on the final Review Date
PS-1
| Structured Investments
Review Notes Linked to the Least Performing of the Dow Jones Industrial
AverageTM, the Russell 2000® Index and the NASDAQ-100 Index®
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How the Notes Work
Payment upon an Automatic Call
Payment at Maturity If the Notes Have Not Been Automatically
Called
Call Premium Amount
The table below illustrates the Call Premium Amount per $1,000 principal
amount note for each Review Date based on the Call Premium Amounts set forth under “Key Terms — Call Premium Amount”
above.
PS-2
| Structured Investments
Review Notes Linked to the Least Performing of the Dow Jones Industrial
AverageTM, the Russell 2000® Index and the NASDAQ-100 Index®
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Review Date
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Call Premium Amount
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First
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$102.50
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Second
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$205.00
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Third
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$307.50
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Fourth
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$410.00
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Final
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$512.50
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Hypothetical Payout
Examples
The following examples illustrate payments on the notes linked to
three hypothetical Indices, assuming a range of performances for the hypothetical Least Performing Index on the Review Dates. Each
hypothetical payment set forth below assumes that the closing level of each Index that is not the Least Performing Index on each Review
Date is greater than or equal to its Call Value (and therefore its Barrier Amount).
In addition, the hypothetical payments set forth below assume the
following:
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an Initial Value for the Least Performing Index of 100.00;
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a Call Value for the Least Performing Index of 100.00 (equal to 100.00% of its hypothetical Initial Value);
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a Barrier Amount for the Least Performing Index of 70.00 (equal to 70.00% of its hypothetical Initial Value); and
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the Call Premium Amounts set forth under “Key Terms — Call Premium Amount” above.
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The hypothetical Initial Value of the Least Performing Index of 100.00
has been chosen for illustrative purposes only and does not represent the actual Initial Value of any 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 payment set forth below is for illustrative purposes
only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing in the following examples have been
rounded for ease of analysis.
Example 1 — Notes are automatically called on the first
Review Date.
Date
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Closing Level of Least Performing Index
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First Review Date
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105.00
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Notes are automatically called
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Total Payment
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$1,102.50 (10.25% return)
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Because the closing level of each Index on the first Review Date
is greater than or equal to its Call Value, the notes will be automatically called for a cash payment, for each $1,000 principal amount
note, of $1,102.50 (or $1,000 plus the Call Premium Amount applicable to the first Review Date), payable on the applicable Call
Settlement Date. No further payments will be made on the notes.
Example 2 — Notes are automatically called on the final
Review Date.
Date
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Closing Level of Least Performing Index
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First Review Date
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90.00
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Notes NOT automatically called
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Second Review Date
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75.00
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Notes NOT automatically called
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Third through Fourth Review Dates
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85.00
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Notes NOT automatically called
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Final Review Date
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160.00
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Notes are automatically called
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Total Payment
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$1,512.50 (51.25% return)
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Because the closing level of each Index on the final Review Date
is greater than or equal to its Call Value, the notes will be automatically called for a cash payment, for each $1,000 principal amount
note, of $1,512.50 (or $1,000 plus the Call Premium Amount applicable to the final Review Date), payable on the applicable Call
Settlement Date, which is the Maturity Date.
PS-3
| Structured Investments
Review Notes Linked to the Least Performing of the Dow Jones Industrial
AverageTM, the Russell 2000® Index and the NASDAQ-100 Index®
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Example 3 — Notes have NOT been automatically called
and the Final Value of the Least Performing Index is greater than or equal to its Barrier Amount.
Date
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Closing Level of Least Performing Index
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First Review Date
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80.00
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Notes NOT automatically called
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Second Review Date
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75.00
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Notes NOT automatically called
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Third through Fourth Review Dates
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85.00
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Notes NOT automatically called
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Final Review Date
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70.00
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Notes NOT automatically called; Final Value of Least Performing Index is greater than or equal to Barrier Amount
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Total Payment
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$1,000.00 (0.00% return)
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Because the notes have not been automatically called and the Final
Value of the Least Performing Index is greater than or equal to its Barrier Amount, the payment at maturity, for each $1,000 principal
amount note, will be $1,000.00.
Example 4 — Notes have NOT been automatically called
and the Final Value of the Least Performing Index is less than its Barrier Amount.
Date
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Closing Level of Least Performing Index
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First Review Date
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80.00
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Notes NOT automatically called
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Second Review Date
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70.00
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Notes NOT automatically called
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Third through Fourth Review Dates
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60.00
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Notes NOT automatically called
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Final Review Date
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50.00
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Notes NOT automatically called; Final Value of Least Performing Index is less than Barrier Amount
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Total Payment
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$500.00 (-50.00% return)
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Because the notes have not been automatically called, the Final Value
of the Least Performing Index is less than its Barrier Amount and the Least Performing Index Return is -50.00%, the payment at maturity
will be $500.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)] = $500.00
The hypothetical returns and hypothetical payments on the notes shown
above apply only if you hold the notes for their entire term or until automatically called. These hypotheticals do not reflect
the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical
returns and hypothetical payments shown above would likely be lower.
Selected Risk Considerations
An investment in the notes involves significant risks. These risks
are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement, product supplement
and underlying supplement.
Risks Relating to the Notes Generally
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YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
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The notes do not guarantee any return of principal. If
the notes have not been automatically called and the Final Value of any 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 Least 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-4
| Structured Investments
Review Notes Linked to the Least Performing of the Dow Jones Industrial
AverageTM, the Russell 2000® Index and the NASDAQ-100 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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THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO ANY CALL PREMIUM AMOUNT PAID ON THE NOTES,
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regardless of any appreciation of any Index, which may
be significant. You will not participate in any appreciation of any Index.
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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 any of the Indices over the term
of the notes may result in the notes not being automatically called on a Review Date, may negatively affect your payment at maturity and
will not be offset or mitigated by positive performance by any other Index.
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YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING INDEX.
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THE BENEFIT PROVIDED BY THE BARRIER AMOUNT MAY TERMINATE ON THE FINAL REVIEW DATE —
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If the Final Value of any Index is less than its Barrier
Amount and the notes have not been automatically called, the benefit provided by the Barrier Amount will terminate and you will be fully
exposed to any depreciation of the Least Performing Index.
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THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
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If your notes are automatically called, the term of the
notes may be reduced to as short as approximately one year. There is no guarantee that you would be able to reinvest the proceeds from
an investment in the notes at a comparable return for a similar level of risk. Even in cases where the notes are called before maturity,
you are not entitled to any fees and commissions described on the front cover of this pricing supplement.
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THE NOTES DO NOT PAY INTEREST.
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YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN ANY 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.
PS-5
| Structured Investments
Review Notes Linked to the Least Performing of the Dow Jones Industrial
AverageTM, the Russell 2000® Index and the NASDAQ-100 Index®
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Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes
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THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES
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The estimated value of the notes is only an estimate determined
by reference to several factors. The original issue price of the notes exceeds the estimated value of the notes because costs associated
with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include the selling
commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes and the estimated cost of hedging our obligations under the notes. See “The Estimated Value of the Notes”
in this pricing supplement.
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THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’
ESTIMATES —
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See “The Estimated Value of the Notes” in
this pricing supplement.
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THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
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The internal funding rate used in the determination of
the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity
issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based
on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement
funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the
terms of the notes and any secondary market prices of the notes. See “The Estimated Value of the Notes” in this pricing supplement.
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THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS)
MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
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We generally expect that some of the costs included in
the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an
amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices of the Notes” in this
pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes during this
initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account statements).
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SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES
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Any secondary market prices of the notes will likely be
lower than the original issue price of the notes because, among other things, secondary market prices take into account our internal secondary
market funding rates for structured debt issuances and, also, because secondary market prices may exclude selling commissions, projected
hedging profits, if any, and estimated hedging costs that are included in the original issue price of the notes. As a result, the price,
if any, at which JPMS will be willing to buy the notes from you in secondary market transactions, if at all, is likely to be lower than
the original issue price. Any sale by you prior to the Maturity Date could result in a substantial loss to you.
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SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
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The secondary market price of the notes during their
term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the selling
commissions, projected hedging profits, if any, estimated hedging costs and the levels of the Indices. Additionally, independent pricing
vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes
in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
— Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product
supplement.
PS-6
| Structured Investments
Review Notes Linked to the Least Performing of the Dow Jones Industrial
AverageTM, the Russell 2000® Index and the NASDAQ-100 Index®
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Risks Relating to the Indices
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JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE DOW JONES INDUSTRIAL AVERAGETM,
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but JPMorgan Chase & Co. will not have any obligation
to consider your interests in taking any corporate action that might affect the level of the Dow Jones Industrial AverageTM.
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AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH RESPECT TO THE RUSSELL 2000®
INDEX —
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Small capitalization companies may be less able to withstand
adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization companies are less likely
to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock price pressure under
adverse market conditions.
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NON-U.S. SECURITIES RISK WITH RESPECT TO THE NASDAQ-100 INDEX® —
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Some of the equity securities included in the NASDAQ-100
Index® 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 home countries of the issuers of those non-U.S. equity securities.
PS-7
| Structured Investments
Review Notes Linked to the Least Performing of the Dow Jones Industrial
AverageTM, the Russell 2000® Index and the NASDAQ-100 Index®
|
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The Dow Jones Industrial AverageTM consists of 30 common
stocks chosen as representative of the broad market of U.S. industry. For additional information about the Dow Jones Industrial AverageTM,
see “Equity Index Descriptions — The Dow Jones Industrial AverageTM” in the accompanying underlying supplement.
The Russell 2000® Index consists of the middle 2,000
companies included in the Russell 3000E™ Index and, as a result of the index calculation methodology, consists of the smallest 2,000
companies included in the Russell 3000® Index. The Russell 2000® Index is designed to track the performance
of the small capitalization segment of the U.S. equity market. For additional information about the Russell 2000® Index,
see “Equity Index Descriptions — The Russell Indices” in the accompanying underlying supplement.
The NASDAQ-100 Index® is a modified market capitalization-weighted
index of 100 of the largest non-financial securities listed on The NASDAQ Stock Market based on market capitalization. For additional
information about the NASDAQ-100 Index®, see “Equity Index Descriptions — The NASDAQ-100 Index®”
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 September 10, 2021. The closing level of the Dow Jones
Industrial AverageTM on September 10, 2021 was 34,607.72. The closing level of the Russell 2000® Index on September
10, 2021 was 2,227.546. The closing level of the NASDAQ-100 Index® on September 10, 2021 was 15,440.75. 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 any Index on any Review Date. There can
be no assurance that the performance of the Indices will result in the return of any of your principal amount.
PS-8
| Structured Investments
Review Notes Linked to the Least Performing of the Dow Jones Industrial
AverageTM, the Russell 2000® Index and the NASDAQ-100 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
PS-9
| Structured Investments
Review Notes Linked to the Least Performing of the Dow Jones Industrial
AverageTM, the Russell 2000® Index and the NASDAQ-100 Index®
|
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income and impose a notional interest charge. While the notice
requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration
of these issues could materially and adversely affect the tax consequences of an investment in the notes, possibly with retroactive effect.
You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, including possible
alternative treatments and the issues presented by this notice.
Section 871(m) of the Code
and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income
tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked
to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including
for instruments linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations. Additionally,
a recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2023 that do not have a delta of
one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying
Security”). Based on certain determinations made by us, our special tax counsel is of the opinion that Section 871(m) should not
apply to the notes with regard to Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination.
Section 871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other transactions
with respect to an Underlying Security. You should consult your tax adviser regarding the potential application of Section 871(m) to the
notes..
The Estimated Value
of the Notes
The estimated value of the notes set forth on the cover of this
pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component with
the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing to
buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated
value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by
JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’ view of
the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison
to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based on certain
market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement funding
rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms
of the notes and any secondary market prices of the notes. For additional information, see “Selected Risk Considerations —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Derived by
Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives underlying the economic
terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as the traded
market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which can include
volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments. Accordingly,
the estimated value of the notes is determined when the terms of the notes are set based on market conditions and other relevant factors
and assumptions existing at that time.
The estimated value of the notes does not represent future values
of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide valuations for the notes
that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant factors in the
future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly based
on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements
and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market
transactions.
The estimated value of the notes is lower than the original
issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue price
of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected profits,
if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated
cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market forces beyond
our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. A portion of the profits,
if any, realized in hedging our obligations under the notes may be allowed to other affiliated or unaffiliated dealers, and we or one
or more of our affiliates will retain any remaining hedging profits. See
PS-10
| Structured Investments
Review Notes Linked to the Least Performing of the Dow Jones Industrial
AverageTM, the Russell 2000® Index and the NASDAQ-100 Index®
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“Selected Risk Considerations — Risks Relating to
the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Lower Than the Original Issue
Price (Price to Public) of the Notes” in this pricing supplement.
Secondary Market Prices
of the Notes
For information about factors that will impact any secondary market
prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes —
Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
In addition, we generally expect that some of the costs included in the original issue price of the notes will be partially paid back
to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period.
These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and
our internal secondary market funding rates for structured debt issuances. This initial predetermined time period is intended to be the
shorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects the structure of the
notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the notes
and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations — Risks Relating to
the Estimated Value and Secondary Market Prices of the Notes — The Value of the Notes as Published by JPMS (and Which May Be Reflected
on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this
pricing supplement.
Supplemental Use of
Proceeds
The notes are offered to meet investor demand for products that reflect
the risk-return profile and market exposure provided by the notes. See “How the Notes Work” and “Hypothetical Payout
Examples” in this pricing supplement for an illustration of the risk-return profile of the notes and “The Indices” in
this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the estimated
value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus) the projected
profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes, plus the
estimated cost of hedging our obligations under the notes.
Supplemental Plan of Distribution
We expect that delivery of the notes will be made against payment
for the notes on or about the Original Issue Date set forth on the front cover of this pricing supplement, which will be the third business
day following the Pricing Date of the notes (this settlement cycle being referred to as “T+3”). Under Rule 15c6-1 of the Securities
Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in two business days, unless the parties
to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade notes on any date prior to two business days before
delivery will be required to specify an alternate settlement cycle at the time of any such trade to prevent a failed settlement and should
consult their own advisors.
Validity
of the Notes and the Guarantee
In the opinion of Davis
Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by this
pricing supplement have been executed and issued by JPMorgan Financial and authenticated by the trustee pursuant to the indenture, and
delivered against payment as contemplated herein, such notes will be valid and binding obligations of JPMorgan Financial and the related
guarantee will constitute a valid and binding obligation of JPMorgan Chase & Co., enforceable in 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.
PS-11
| Structured Investments
Review Notes Linked to the Least Performing of the Dow Jones Industrial
AverageTM, the Russell 2000® Index and the NASDAQ-100 Index®
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Additional Terms Specific
to the Notes
You should read this pricing supplement together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which these notes
are a part, and the more detailed information contained in the accompanying product supplement and the accompanying underlying supplement.
This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous
oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas,
structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You should carefully
consider, among other things, the matters set forth in the “Risk Factors” sections of the accompanying prospectus supplement,
the accompanying product supplement and the accompanying underlying supplement, as the notes involve risks not associated with conventional
debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is 1665650, and
JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us” and “our”
refer to JPMorgan Financial.
PS-12
| Structured Investments
Review Notes Linked to the Least Performing of the Dow Jones Industrial
AverageTM, the Russell 2000® Index and the NASDAQ-100 Index®
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