Additional
Information about JPMorgan Financial, JPMorgan Chase & Co. and the Securities
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You may revoke your offer to purchase the Securities at any time prior
to the time at which we accept such offer by notifying the agent. We reserve the right to change the terms of, or reject any offer to
purchase, the Securities prior to their issuance. In the event of any changes to the terms of the Securities, we will notify you and you
will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes, in which case we may
reject your offer to purchase.
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 Securities
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 Securities 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 Securities involve risks not associated with conventional debt securities.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is 1665650, and
JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, the “Issuer,” “JPMorgan Financial,”
“we,” “us” and “our” refer to JPMorgan Chase Financial Company LLC.
Supplemental
Terms of the Securities
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For purposes of the accompanying product supplement, the Energy Select
Sector SPDR® Fund is a “Fund.”
Investor
Suitability
The Securities may be suitable for you if, among other considerations:
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You fully understand the risks inherent in an investment in the Securities,
including the risk of loss of your entire principal amount.
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You can tolerate a loss of all or a substantial portion of your investment
and are willing to make an investment that has the same downside market risk as a hypothetical investment in the Underlying.
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You believe the price of the Underlying will increase over the term of the
Securities and that the appreciation is unlikely to exceed an amount equal to the Maximum Gain indicated on the cover hereof (the actual
Maximum Gain will be finalized on the Trade Date and provided in the pricing supplement and will not be less than the bottom of the range
indicated on the cover hereof).
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You understand and accept that your potential return is limited by the Maximum
Gain and you would be willing to invest in the Securities if the Maximum Gain were set equal to the bottom of the range indicated on the
cover hereof.
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You can tolerate fluctuations in the price of the Securities prior to maturity
that may be similar to or exceed the downside price fluctuations of the Underlying.
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You do not seek current income from your investment and are willing to forgo
dividends paid on the Underlying.
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You are willing and able to hold the Securities to maturity.
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You accept that there may be little or no secondary market for the Securities
and that any secondary market will depend in large part on the price, if any, at which J.P. Morgan Securities LLC, which we refer to as
JPMS, is willing to trade the Securities.
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You understand and accept the risks associated with the Underlying.
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You are willing to assume the credit risks of JPMorgan Financial and JPMorgan
Chase & Co. for all payments under the Securities, and understand that if JPMorgan Financial and JPMorgan Chase & Co. default
on their obligations, you may not receive any amounts due to you including any repayment of principal.
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The Securities may not be suitable for you if, among other considerations:
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You do not fully understand the risks inherent in an investment in the Securities,
including the risk of loss of your entire principal amount.
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You require an investment designed to provide a full return of principal at
maturity.
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You cannot tolerate a loss of all or a substantial portion of your investment,
or you are not willing to make an investment that has the same downside market risk as a hypothetical investment in the Underlying.
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You believe the price of the Underlying will decline over the term of the
Securities, or you believe the Underlying will appreciate over the term of the Securities by more than the Maximum Gain indicated on the
cover hereof (the actual Maximum Gain will be finalized on the Trade Date and provided in the pricing supplement and will not be less
than the bottom of the range indicated on the cover hereof).
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You seek an investment that has unlimited return potential without a cap on
appreciation.
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You would be unwilling to invest in the Securities if the Maximum Gain were
set equal to the bottom of the range indicated on the cover hereof.
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You cannot tolerate fluctuations in the price of the Securities prior to maturity
that may be similar to or exceed the downside price fluctuations of the Underlying.
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You seek current income from your investment or prefer not to forgo dividends
paid on the Underlying.
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You are unwilling or unable to hold the Securities to maturity or seek an
investment for which there will be an active secondary market.
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You do not understand or accept the risks associated with the Underlying.
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You are not willing to assume the credit risks of JPMorgan Financial and JPMorgan
Chase & Co. for all payments under the Securities, including any repayment of principal.
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The suitability considerations identified above are not exhaustive.
Whether or not the Securities are a suitable investment for you will depend on your individual circumstances, and you should reach an
investment decision only after you and your investment, legal, tax, accounting and other advisers have carefully considered the suitability
of an investment in the Securities in light of your particular circumstances. You should also review carefully the “Key Risks”
section of this pricing supplement and the “Risk Factors” sections of the accompanying prospectus supplement, the accompanying
product supplement and the accompanying underlying supplement for risks related to an investment in the Securities. For more information
on the Underlying, please see the section titled “The Underlying” below.
Issuer:
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JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
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Guarantor:
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JPMorgan Chase & Co.
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Issue Price:
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$10.00 per Security (subject to a minimum purchase of 100 Securities or $1,000)
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Principal Amount:
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$10.00 per Security. The payment at maturity will be based on the principal amount.
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Underlying:
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Energy Select Sector SPDR® Fund
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Term1:
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14 months
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Payment at Maturity (per $10 principal amount Security):
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If the Underlying
Return is positive, JPMorgan Financial will pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00 + ($10.00 × Underlying Return ×
Upside Gearing)
provided, however, that in no event will JPMorgan Financial
pay you at maturity an amount greater than:
$10.00 + ($10.00 × Maximum Gain)
If the Underlying
Return is zero, JPMorgan Financial will pay you a cash payment at maturity of $10.00 per $10 principal amount Security.
If the Underlying
Return is negative, JPMorgan Financial will pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00 + ($10.00 × Underlying Return)
In this scenario, you will be exposed to the decline of the Underlying
and you will lose some or all of your principal amount in an amount proportionate to the negative Underlying Return.
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Underlying Return:
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(Final Value – Initial Value)
Initial Value
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Upside Gearing:
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3.00
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Maximum Gain:
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Between 27.00% and 28.50%. The actual Maximum Gain will be finalized on the Trade Date and provided in the pricing supplement and will not be less than 27.00%. In no event will the return on the Principal Amount be greater than the Maximum Gain.
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Initial Value:
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The closing price of one share of the Underlying on the Trade Date
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Final Value:
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The closing price2 of one share of the Underlying on the Final Valuation Date
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Share Adjustment
Factor2:
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The Share Adjustment Factor is referenced in determining the closing price of one share of the Underlying. The Share Adjustment Factor is set initially at 1.0 on the Trade Date.
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1 See footnote 1 under “Key Dates” on the front cover
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2 The closing price and the Share Adjustment Factor of the Underlying are subject to adjustments in the case of certain events described in the accompanying product supplement under “The Underlyings — Funds — Anti-Dilution Adjustments.”
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Trade Date
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The Initial Value is observed. The Maximum Gain is determined.
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Maturity Date
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The Final Value and the Underlying Return are determined.
If the Underlying
Return is positive, JPMorgan Financial will pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00 + ($10.00 × Underlying Return ×
Upside Gearing)
provided, however, that in no event will you receive at maturity
an amount greater than:
$10.00 + ($10.00 × Maximum Gain)
If the Underlying
Return is zero, JPMorgan Financial will pay you a cash payment at maturity of $10.00 per $10 principal amount Security.
If the Underlying
Return is negative, JPMorgan Financial will pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00 + ($10.00 × Underlying Return)
Under these circumstances, you will be exposed to the decline of the
Underlying and you will lose some or all of your principal amount.
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INVESTING IN THE SECURITIES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE SOME
OR ALL OF YOUR PRINCIPAL AMOUNT. ANY PAYMENT ON THE SECURITIES, INCLUDING ANY REPAYMENT OF PRINCIPAL, IS SUBJECT TO THE CREDITWORTHINESS
OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. IF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. WERE TO DEFAULT ON THEIR PAYMENT
OBLIGATIONS, YOU MAY NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE SECURITIES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.
What
Are the Tax Consequences of the Securities?
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You should review carefully the section entitled “Material U.S.
Federal Income Tax Consequences” in the accompanying product supplement no. UBS-1-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 Securities.
Based on current market conditions, in the opinion of our special tax
counsel it is reasonable to treat the Securities 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, subject to the possible application of the “constructive ownership” rules, the gain or loss on your
Securities should be treated as long-term capital gain or loss if you hold your Securities for more than a year, whether or not you are
an initial purchaser of Securities at the issue price. The Securities could be treated as “constructive ownership transactions”
within the meaning of Section 1260 of the Code, in which case any gain recognized in respect of the Securities that would otherwise be
long-term capital gain and that was in excess of the “net underlying long-term capital gain” (as defined in Section 1260)
would be treated as ordinary income, and a notional interest charge would apply as if that income had accrued for tax purposes at a constant
yield over your holding period for the Securities. Our special tax counsel has not expressed an opinion with respect to whether the constructive
ownership rules apply to the Securities. Accordingly, U.S. Holders should consult their tax advisers regarding the potential application
of the constructive ownership rules.
The IRS or a court may not respect
the treatment of the Securities described above, in which case the timing and character of any income or loss on your Securities 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 described above. 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 Securities, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income
tax consequences of an investment in the Securities, including the potential application of the constructive ownership rules, 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, we expect that Section 871(m) will not apply to the Securities 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. If necessary, further information
regarding the potential application of Section 871(m) will be provided in the pricing supplement for the Securities. You should consult
your tax adviser regarding the potential application of Section 871(m) to the Securities.
An investment in the Securities involves significant risks. Investing
in the Securities is not equivalent to investing directly in the Underlying. These risks are explained in more detail in the “Risk
Factors” sections of the accompanying prospectus supplement, the accompanying product supplement and the accompanying underlying
supplement. We also urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the Securities.
Risks Relating to the Securities Generally
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Your Investment in the Securities May Result in a Loss — The
Securities differ from ordinary debt securities in that we will not necessarily repay the full principal amount of the Securities. We
will pay you the principal amount of your Securities in cash only if the Final Value has not declined below the Initial Value. If the
Underlying Return is negative, you will lose some or all of your principal amount in an amount proportionate to the negative Underlying
Return. Accordingly, you could lose up to your entire principal amount.
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Credit Risks of JPMorgan Financial and JPMorgan Chase & Co. —
The Securities are unsecured and unsubordinated debt obligations of the Issuer, JPMorgan Chase Financial Company LLC, the payment on which
is fully and unconditionally guaranteed by JPMorgan Chase & Co. The Securities will rank pari passu with all of our other unsecured
and unsubordinated obligations, and the related guarantee JPMorgan Chase & Co. will rank pari passu with all of JPMorgan Chase
& Co.’s other unsecured and unsubordinated obligations. The Securities and related guarantees are not, either directly or indirectly,
an obligation of any third party. Any payment to be made on the Securities, including any repayment of principal, depends on the ability
of JPMorgan Financial and JPMorgan Chase & Co. to satisfy their obligations as they come due. As a result, the actual and perceived
creditworthiness of JPMorgan Financial and JPMorgan Chase & Co. may affect the market value of the Securities and, in the event JPMorgan
Financial and JPMorgan Chase & Co. were to default on their obligations, you may not receive any amounts owed to you under the terms
of the Securities and you could lose your entire investment.
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As a Finance Subsidiary, JPMorgan Financial Has No Independent Operations
and Limited Assets — As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance
and administration of our securities. Aside from the initial capital contribution from JPMorgan Chase & Co., substantially all of
our assets relate to obligations of our affiliates to make payments under loans made by us or other intercompany agreements. As a result,
we are dependent upon payments from our affiliates to meet our obligations under the Securities. If these affiliates do not make payments
to us and we fail to make payments on the Securities, 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 Securities Is Limited by the Maximum
Gain — The appreciation potential of the Securities is limited by the Maximum Gain. The Maximum Gain will be finalized on the
Trade Date and provided in the pricing supplement and will not be less than the bottom of the range indicated on the front cover of this
pricing supplement. Accordingly, the appreciation potential of the Securities will be limited by the Maximum Gain even if the Underlying
Return times the Upside Gearing is greater than the Maximum Gain.
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The Upside Gearing Applies Only If You Hold the Securities to Maturity
— You should be willing to hold your Securities to maturity. If you are able to sell your
Securities prior to maturity in the secondary market, if any, the price you receive likely will not reflect the full economic value of
the Upside Gearing or the Securities themselves, and the return you realize may be less than the product of the performance of the Underlying
and the Upside Gearing and may be less than the Underlying’s return, even if that return is positive and does not exceed the Maximum
Gain. You can receive the full benefit of the Upside Gearing, subject to the Maximum Gain, only if you hold your Securities to maturity.
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No Interest Payments — JPMorgan Financial will not make any interest
payments to you with respect to the Securities.
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The Probability That the Final Value Will Fall Below the Initial Value
on the Final Valuation Date Will Depend on the Volatility of the Underlying — “Volatility” refers to the frequency
and magnitude of changes in the price of the Underlying. Greater expected volatility with respect to the Underlying reflects a higher
expectation as of the Trade Date that the Underlying could close below the Initial Value on the Final Valuation Date of the Securities,
resulting in the loss of some or all of your investment. However, the Underlying’s volatility can change significantly over the
term of the Securities. The price of the Underlying could fall sharply, which could result in a significant loss of principal.
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Investing in the Securities Is Not Equivalent to Investing in the Underlying
or the Equity Securities Held by the Underlying — Investing in the Securities is not equivalent to investing in the Underlying
or the equity securities held by the Underlying. As an investor in the Securities, you will not have any ownership interest or rights
in the Underlying or the equity securities held by the Underlying, such as voting rights, dividend payments or other distributions.
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Your Return on the Securities Will Not Reflect Dividends on the Underlying
or the Equity Securities Held by the Underlying — Your return on the Securities will not reflect the return you would realize
if you actually owned the Underlying or the equity securities held by the Underlying and received the dividends on the Underlying or those
equity securities. This is because the calculation agent will calculate the amount payable to you at maturity of the Securities by reference
to the Final Value, which reflects the closing price of one share of the Underlying on the Final Valuation Date without taking into consideration
the value of dividends on the Underlying or the equity securities held by the Underlying.
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Lack of Liquidity — The Securities will not be listed on any
securities exchange. JPMS intends to offer to purchase the Securities in the secondary market, but is not required to do so. Even if there
is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Securities easily. Because other dealers
are not likely to make a secondary market for the Securities, the price at which you may be able to trade your Securities is likely to
depend on the price, if any, at which JPMS is willing to buy the Securities.
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Tax Treatment — Significant aspects of the tax treatment of the
Securities are uncertain. You should consult your tax adviser about your tax situation.
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The Final Terms and Valuation of the Securities
Will Be Finalized on the Trade Date and Provided in the Pricing Supplement — The final terms of the Securities will be based
on relevant market conditions when the terms of the Securities are set and will be finalized on the Trade Date and provided in the pricing
supplement. In particular, each of the estimated value of the Securities and the Maximum Gain will be finalized on the Trade Date and
provided in the pricing supplement, and each may be as low as the applicable minimum set forth on the cover of this pricing supplement.
Accordingly, you should consider your potential investment in the Securities based on the minimums for the estimated value of the Securities
and the Maximum Gain.
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Risks Relating to Conflicts of Interest
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Potential Conflicts — We and our affiliates play a variety of
roles in connection with the issuance of the Securities, including acting as calculation agent and hedging our obligations under the Securities
and making the assumptions used to determine the pricing of the Securities and the estimated value of the Securities when the terms of
the Securities are set, which we refer to as the estimated value of the Securities. In performing these duties, our and JPMorgan Chase
& Co.’s economic interests and the economic interests of the calculation agent and other affiliates of ours are potentially
adverse to your interests as an investor in the Securities. In addition, our and JPMorgan Chase & Co.’s business activities,
including hedging and trading activities, could cause our and JPMorgan Chase & Co.’s economic interests to be adverse to yours
and could adversely affect any payment on the Securities and the value of the Securities. It is possible that hedging or trading activities
of ours or our affiliates in connection with the Securities could result in substantial returns for us or our affiliates while the value
of the Securities declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying
product supplement for additional information about these risks.
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Potentially Inconsistent Research, Opinions or Recommendations by JPMS,
UBS or Their Affiliates — JPMS, UBS or their affiliates may publish research, express opinions or provide recommendations that
are inconsistent with investing in or holding the Securities, and that may be revised at any time. Any such research, opinions or recommendations
may or may not recommend that investors buy or hold investments linked to the Underlying and could affect the value of the Underlying,
and therefore the market value of the Securities.
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Potential JPMorgan Financial Impact on the Market Price of the Underlying
— Trading or transactions by JPMorgan Financial or its affiliates in the Underlying or in futures, options or other derivative products
on the Underlying may adversely affect the market value of the Underlying and, therefore, the market value of the Securities.
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Risks Relating to the Estimated Value and Secondary Market Prices
of the Securities
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The Estimated Value of the Securities Will Be Lower Than the Original Issue
Price (Price to Public) of the Securities — The estimated value of the Securities is only an estimate determined by reference
to several factors. The original issue price of the Securities will exceed the estimated value of the Securities because costs associated
with selling, structuring and hedging the Securities are included in the original issue price of the Securities. 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 Securities and the estimated cost of hedging our obligations under the Securities. See “The Estimated Value of the Securities”
in this pricing supplement.
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The Estimated Value of the Securities Does Not Represent Future Values
of the Securities and May Differ from Others’ Estimates — The estimated value of the Securities is determined by reference
to internal pricing models of our affiliates when the terms of the Securities are set. This estimated value of the Securities is based
on market conditions and other relevant factors existing at that time and assumptions about market parameters, which can include volatility,
dividend rates, interest rates and other factors. Different pricing models and assumptions could provide valuations for the Securities
that are greater than or less than the estimated value of the Securities. 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 Securities 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 Securities from you in secondary
market transactions. See “The Estimated Value of the Securities” in this pricing supplement.
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The Estimated Value of the Securities Is Derived by Reference to an Internal
Funding Rate — The internal funding rate used in the determination of the estimated value of the Securities 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 Securities as well
as the higher issuance, operational and ongoing liability management costs of the Securities 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 Securities. The use of
an internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the Securities and any secondary
market prices of the Securities. See “The Estimated Value of the Securities” in this pricing supplement.
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The
Value of the Securities as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current
Estimated Value of the Securities for a Limited Time Period — We generally expect that some of the costs included in the original
issue price of the Securities will be partially paid back to you in connection with any repurchases of your Securities 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. See “Secondary Market Prices of the Securities” in this pricing supplement for additional information relating
to this initial period. Accordingly, the estimated value of your Securities during this initial period may be lower than the value of
the Securities as published by JPMS (and which may be shown on your customer account statements).
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Secondary Market Prices of the Securities Will Likely Be Lower Than the
Original Issue Price of the Securities — Any secondary market prices of the Securities will likely be lower than the original
issue price of the Securities because, among other things,
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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 Securities. As a result, the price, if any, at
which JPMS will be willing to buy Securities from you in secondary market transactions, if at all, is likely to be lower than the original
issue price. Any sale by you prior to the Maturity Date could result in a substantial loss to you. See the immediately following risk
factor for information about additional factors that will impact any secondary market prices of the Securities.
The Securities are not designed to be short-term
trading instruments. Accordingly, you should be able and willing to hold your Securities to maturity. See “— Risks Relating
to the Securities Generally — Lack of Liquidity” above.
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Many Economic and Market Factors Will Impact the Value of the Securities
— As described under “The Estimated Value of the Securities” in this pricing supplement, the Securities can be thought
of as securities that combine a fixed-income debt component with one or more derivatives. As a result, the factors that influence the
values of fixed-income debt and derivative instruments will also influence the terms of the Securities at issuance and their value in
the secondary market. Accordingly, the secondary market price of the Securities 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 price of one share of the Underlying, including:
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any actual or potential change in our or JPMorgan Chase & Co.’s
creditworthiness or credit spreads;
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customary bid-ask spreads for similarly sized trades;
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our internal secondary market funding rates for structured debt issuances;
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the actual and expected volatility in the price of one share of the Underlying;
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the time to maturity of the Securities;
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the dividend rates on the Underlying and the equity securities held by the
Underlying;
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the occurrence of certain events affecting the Underlying that may or may
not require an adjustment to the closing price and the Share Adjustment Factor of the Underlying;
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interest and yield rates in the market generally; and
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a variety of other economic, financial, political, regulatory and judicial
events.
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Additionally, independent pricing vendors
and/or third party broker-dealers may publish a price for the Securities, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the Securities, if any, at which JPMS may be willing to purchase your
Securities in the secondary market.
Risks Relating to the Underlying
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No Affiliation with the Underlying or the Issuers of the Equity Securities
Held by the Underlying — We are not affiliated with the Underlying or, to our knowledge, the issuers of the equity securities
held by the Underlying. We have not independently verified the information about the Underlying or the issuers of the equity securities
held by the Underlying contained in this pricing supplement. You should make your own investigation into the Underlying and the issuers
of the equity securities held by the Underlying. We are not responsible for the public disclosure of information by the Underlying or
the issuers of the equity securities held by the Underlying, whether contained in SEC filings or otherwise.
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There Are Risks Associated with the Underlying
— Although shares of the Underlying are listed for trading on a securities
exchange and a number of similar products have been trading on a securities exchange for varying periods of time, there is no assurance
that an active trading market will continue for the shares of the Underlying or that there will be liquidity in the trading market.
The Underlying is subject to management risk, which is the risk that the investment strategies of the Underlying’s investment adviser,
the implementation of which is subject to a number of constraints, may not produce the intended results. These constraints could
adversely affect the market price of the shares of the Underlying, and consequently, the value of the Securities.
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The Performance and Market Value of the Underlying,
Particularly During Periods of Market Volatility, May Not Correlate with the Performance of the Underlying’s Underlying Index as
well as the Net Asset Value per Share — The Underlying does not
fully replicate its Underlying Index (as defined under “The Underlying” below) and may hold securities different from those
included in its Underlying Index. In addition, the performance of the Underlying will reflect additional transaction costs and fees
that are not included in the calculation of its Underlying Index. All of these factors may lead to a lack of correlation between
the performance of the Underlying and its Underlying Index. In addition, corporate actions with respect to the equity securities
underlying the Underlying (such as mergers and spin-offs) may impact the variance between the performances of the Underlying and its Underlying
Index. Finally, because the shares of the Underlying are traded on a securities exchange and are subject to market supply and investor
demand, the market value of one share of the Underlying may differ from the net asset value per share of the Underlying.
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During periods of market volatility,
securities underlying the Underlying may be unavailable in the secondary market, market participants may be unable to calculate
accurately the net asset value per share of the Underlying and the liquidity of the Underlying may be adversely affected. This
kind of market volatility may also disrupt the ability of market participants to create and redeem shares of the Underlying.
Further, market volatility may adversely affect, sometimes materially, the prices at which market participants are willing to
buy and sell shares of the Underlying. As a result, under these circumstances, the market value of shares of the Underlying
may vary substantially from the net asset value per share of the Underlying. For all of the foregoing reasons, the performance
of the Underlying may not correlate with the performance of its Underlying Index as well as the net asset value per share of the
Underlying, which could materially and adversely affect the value of the Securities in the secondary market and/or reduce any
payment on the Securities.
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t
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Risks Associated with the Energy Sector —
All or substantially all of the equity securities held by the Underlying are issued by companies whose primary line of business is directly
associated with the energy sector. As a result, the value of the Securities may be subject to greater volatility and be more adversely
affected by a single economic, political or regulatory occurrence affecting this sector than a different investment linked to securities
of a more broadly diversified group of issuers. Issuers in energy-related industries can be significantly affected by fluctuations in
energy prices and supply and demand of energy fuels. Markets for various energy-related commodities can have significant volatility,
and are subject to control or manipulation by large producers or purchasers. Companies in the energy sector may need to make substantial
expenditures, and to incur significant amounts of debt, in order to maintain or expand their reserves. Oil and gas exploration and
production can be significantly affected by natural disasters as well as changes in exchange rates, interest rates, government regulation,
world events and economic conditions. These companies may be at risk for environmental damage claims. These factors could affect
the energy sector and could affect the value of the equity securities held by the Underlying and the price of the Underlying during the
term of the Securities, which may adversely affect the value of your Securities.
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Anti-Dilution Protection Is Limited —
Although the calculation agent will adjust the closing price of one share of the Underlying for certain events affecting the Underlying,
the calculation agent is not required to make an adjustment for every event that can affect the Underlying. If an event occurs that
does not require the calculation agent to adjust the closing price of one share of the Underlying, the market value of your Securities
and any payment on the Securities may be materially and adversely affected.
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Hypothetical
Examples and Return Table
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Hypothetical terms only. Actual terms may vary.
See the cover page for actual offering terms.
The following table and hypothetical examples below illustrate the
payment at maturity per $10.00 principal amount Security for a hypothetical range of Underlying Returns from -100.00% to +100.00% on an
offering of the Securities linked to a hypothetical Underlying, and assume a hypothetical Initial Value of $100, a hypothetical Upside
Gearing of 1.50 and a hypothetical Maximum Gain of 12.00%. The hypothetical Initial Value of $100 has been chosen for illustrative purposes
only and may not represent a likely actual Initial Value. The actual Initial Value will be based on the closing price of one share of
the Underlying on the Trade Date and will be provided in the pricing supplement. For historical data regarding the actual closing prices
of one share of the Underlying, please see the historical information set forth under “The Underlying” in this pricing supplement.
The actual Upside Gearing is specified on the cover of this pricing supplement. The actual Maximum Gain will be finalized on the Trade
Date and provided in the pricing supplement. The hypothetical payment at maturity examples set forth below are for illustrative purposes
only and may not be the actual returns applicable to a purchaser of the Securities. The actual payment at maturity may be more or less
than the amounts displayed below and will be determined based on the actual terms of the Securities, including the Upside Gearing, the
Initial Value and the Maximum Gain to be finalized on the Trade Date and provided in the pricing supplement and the Final Value on the
Final Valuation Date. You should consider carefully whether the Securities are suitable to your investment goals. The numbers appearing
in the table below have been rounded for ease of analysis.
Final Value
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Underlying Return (%)
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Payment at Maturity ($)
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Return at Maturity per
$10.00 issue price (%)
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$200.00
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100.00%
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$11.20
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12.00%
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$190.00
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90.00%
|
$11.20
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12.00%
|
$180.00
|
80.00%
|
$11.20
|
12.00%
|
$170.00
|
70.00%
|
$11.20
|
12.00%
|
$160.00
|
60.00%
|
$11.20
|
12.00%
|
$150.00
|
50.00%
|
$11.20
|
12.00%
|
$140.00
|
40.00%
|
$11.20
|
12.00%
|
$130.00
|
30.00%
|
$11.20
|
12.00%
|
$120.00
|
20.00%
|
$11.20
|
12.00%
|
$110.00
|
10.00%
|
$11.20
|
12.00%
|
$108.00
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8.00%
|
$11.20
|
12.00%
|
$106.00
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6.00%
|
$10.90
|
9.00%
|
$104.00
|
4.00%
|
$10.60
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6.00%
|
$102.00
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2.00%
|
$10.30
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3.00%
|
$100.00
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0.00%
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$10.00
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0.00%
|
$95.00
|
-5.00%
|
$9.50
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-5.00%
|
$90.00
|
-10.00%
|
$9.00
|
-10.00%
|
$80.00
|
-20.00%
|
$8.00
|
-20.00%
|
$70.00
|
-30.00%
|
$7.00
|
-30.00%
|
$60.00
|
-40.00%
|
$6.00
|
-40.00%
|
$50.00
|
-50.00%
|
$5.00
|
-50.00%
|
$40.00
|
-60.00%
|
$4.00
|
-60.00%
|
$30.00
|
-70.00%
|
$3.00
|
-70.00%
|
$20.00
|
-80.00%
|
$2.00
|
-80.00%
|
$10.00
|
-90.00%
|
$1.00
|
-90.00%
|
$0.00
|
-100.00%
|
$0.00
|
-100.00%
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Example 1 — The price of the Underlying increases by 2% from
the Initial Value of $100 to the Final Value of $102.
Because the Upside Gearing of 1.50 times the Underlying Return of 2%
is less than the Maximum Gain of 12.00%, JPMorgan Financial will pay you your principal amount plus a return equal to the Underlying
Return times the Upside Gearing, resulting in a payment at maturity of $10.30 per $10 principal amount Security, calculated as
follows:
$10.00 + ($10.00 × Underlying Return ×
Upside Gearing)
$10.00 + ($10.00 × 2% × 1.50) = $10.30
Example 2 — The price of the Underlying increases by 10% from
the Initial Value of $100 to the Final Value of $110.
Because the Upside Gearing of 1.50 times the Underlying Return of 10%
is greater than the Maximum Gain of 12.00%, JPMorgan Financial will pay you your principal amount plus a return equal to the Maximum
Gain of 12.00%, resulting in a payment at maturity of $11.20 per $10 principal amount Security, calculated as follows:
$10.00 + ($10.00 × Maximum Gain)
$10.00 + ($10.00 × 12.00%) = $11.20
Example 3 — The price of the Underlying increases by 40% from
the Initial Value of $100 to the Final Value of $140.
Because the Upside Gearing of 1.50 times the Underlying Return of 40%
is significantly greater than the Maximum Gain of 12.00%, JPMorgan Financial will pay you your principal amount plus a return equal
to only the Maximum Gain of 12.00%, resulting in a payment at maturity of $11.20 per $10 principal amount Security, calculated as follows:
$10.00 + ($10.00 × Maximum Gain)
$10.00 + ($10.00 × 12.00%) = $11.20
Example 4 — The price of the Underlying decreases by 40% from
the Initial Value of $100 to the Final Value of $60.
Because the Underlying Return is -40%, JPMorgan Financial will pay
you a payment at maturity of $6.00 per $10 principal amount Security, calculated as follows:
$10.00 + ($10.00 × Underlying Return)
$10.00 + ($10.00 × -40.00%) = $6.00
If the Underlying Return is negative, investors will be exposed
to the negative Underlying Return at maturity, resulting in a loss of principal that is proportionate to the Underlying’s decline
from the Initial Value to the Final Value. Investors could lose some or all of their principal amount.
The hypothetical returns and hypothetical payments on the Securities
shown above apply only if you hold the Securities for their entire term. These
hypotheticals do not reflect fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses
were included, the hypothetical returns and hypothetical payments shown above would likely be lower.
The Energy Select Sector SPDR® Fund is an exchange-traded
fund of the Select Sector SPDR® Trust, a registered investment company, that seeks to provide investment results that,
before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Energy
Select Sector Index, which we refer to as the Underlying Index with respect to the Energy Select Sector SPDR® Fund. The
Energy Select Sector Index is a modified market capitalization-based index that measures the performance of the GICS® energy
sector, which currently includes companies in the following industries: energy equipment and services; and oil, gas and consumable fuels.
For additional information about the Energy Select Sector SPDR® Fund, see “Fund Descriptions — The Select Sector
SPDR® Funds" in the accompanying underlying supplement.
Historical Information
The following table sets forth the quarterly high and low closing prices
of one share of the Underlying, based on daily closing prices of one share of the Underlying as reported by the Bloomberg Professional®
service (“Bloomberg”), without independent verification. The information given below is for the four calendar quarters in
each of 2016, 2017, 2018, 2019 and 2020 and the first and second calendar quarters of 2021. Partial data is provided for the third calendar
quarter of 2021. The closing price of one share of the Underlying on September 23, 2021 was $50.52. The actual Initial Value of the Underlying
will be the closing price of one share of the Underlying on the Trade Date. We obtained the closing prices of one share of the Underlying
above and below from Bloomberg, without independent verification. The closing prices above and below may have been adjusted by Bloomberg
for certain actions, such as stock splits. You should not take the historical prices of one share of the Underlying as an indication of
future performance.
Quarter Begin
|
Quarter End
|
Quarterly Closing High
|
Quarterly Closing Low
|
Close
|
1/1/2016
|
3/31/2016
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$63.76
|
$51.77
|
$61.89
|
4/1/2016
|
6/30/2016
|
$69.55
|
$60.20
|
$68.24
|
7/1/2016
|
9/30/2016
|
$71.84
|
$65.16
|
$70.61
|
10/1/2016
|
12/31/2016
|
$77.83
|
$67.77
|
$75.32
|
1/1/2017
|
3/31/2017
|
$76.17
|
$68.24
|
$69.90
|
4/1/2017
|
6/30/2017
|
$70.90
|
$63.95
|
$64.92
|
7/1/2017
|
9/30/2017
|
$68.49
|
$62.00
|
$68.48
|
10/1/2017
|
12/31/2017
|
$72.60
|
$67.08
|
$72.26
|
1/1/2018
|
3/31/2018
|
$78.03
|
$66.02
|
$67.41
|
4/1/2018
|
6/30/2018
|
$78.91
|
$66.06
|
$75.94
|
7/1/2018
|
9/30/2018
|
$77.37
|
$71.91
|
$75.74
|
10/1/2018
|
12/31/2018
|
$77.79
|
$53.84
|
$57.35
|
1/1/2019
|
3/31/2019
|
$67.29
|
$57.90
|
$66.12
|
4/1/2019
|
6/30/2019
|
$68.61
|
$58.77
|
$63.71
|
7/1/2019
|
9/30/2019
|
$64.44
|
$55.85
|
$59.20
|
10/1/2019
|
12/31/2019
|
$61.99
|
$55.90
|
$60.04
|
1/1/2020
|
3/31/2020
|
$60.87
|
$23.57
|
$29.06
|
4/1/2020
|
6/30/2020
|
$46.86
|
$27.62
|
$37.85
|
7/1/2020
|
9/30/2020
|
$38.58
|
$29.95
|
$29.95
|
10/1/2020
|
12/31/2020
|
$41.60
|
$27.71
|
$37.90
|
1/1/2021
|
3/31/2021
|
$53.57
|
$37.96
|
$49.06
|
4/1/2021
|
4/20/2021
|
$50.31
|
$47.07
|
$53.87
|
7/1/2021
|
9/23/2021*
|
$54.81
|
$45.79
|
$50.52
|
*As of the date of this pricing supplement, available information for the
third calendar quarter of 2021 includes data for the period from July 1, 2021 through September 23, 2021. Accordingly, the “Quarterly
Closing High,” “Quarterly Closing Low” and “Close” data indicated are for this shortened period only and
do not reflect complete data for the third calendar quarter of 2021.
The graph below illustrates the daily performance of the Underlying from
January 3, 2011 through September 23, 2021, based on information from Bloomberg, without independent verification.
Past performance of the Underlying is not indicative of the future
performance of the Underlying.
The historical performance of the Underlying should not be taken
as an indication of future performance, and no assurance can be given as to the closing price of one share of the Underlying on the Trade
Date or the Final Valuation Date. There can be no assurance that the performance of the Underlying will result in the return of any of
your principal amount.
Supplemental
Plan of Distribution
|
We and JPMorgan Chase & Co. have agreed to indemnify UBS and JPMS
against liabilities under the Securities Act of 1933, as amended, or to contribute to payments that UBS may be required to make relating
to these liabilities as described in the prospectus supplement and the prospectus. We will agree that UBS may sell all or a part of the
Securities that it purchases from us to the public or its affiliates at the price to public indicated on the cover hereof.
Subject to regulatory constraints, JPMS intends to offer to purchase
the Securities in the secondary market, but it is not required to do so.
We or our affiliates may enter into swap agreements or related hedge
transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the Securities, and JPMS and/or
an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions. See “Supplemental
Use of Proceeds” in this pricing supplement and “Use of Proceeds and Hedging” in the accompanying product supplement.
We expect that delivery of the Securities will be made against payment
for the Securities 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 Trade Date of the Securities (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 Securities 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.
The
Estimated Value of the Securities
|
The estimated value of the Securities 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 Securities, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the Securities. The estimated value of the Securities does not represent a minimum price at which JPMS would be
willing to buy your Securities in any secondary market (if any exists) at any time. The internal funding rate used in the determination
of the estimated value of the Securities may differ from the market-implied funding rate for vanilla fixed income instruments of a similar
maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding values of the Securities as well as the higher issuance, operational and ongoing liability management costs of the
Securities 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 Securities. The use of an internal funding rate and any potential changes to that rate may have
an adverse effect on the terms of the Securities and any secondary market prices of the Securities. For additional information, see “Key
Risks — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities — The Estimated Value of the
Securities 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 Securities 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 Securities is determined when the terms of the Securities are set based
on market conditions and other relevant factors and assumptions existing at that time. See “Key Risks — Risks Relating to
the Estimated Value and Secondary Market Prices of the Securities — The Estimated Value of the Securities Does Not Represent Future
Values of the Securities and May Differ from Others’ Estimates” in this pricing supplement.
The estimated value of the Securities will be lower than the original
issue price of the Securities because costs associated with selling, structuring and hedging the Securities are included in the original
issue price of the Securities. These costs include the selling commissions paid to UBS, the projected profits, if any, that our affiliates
expect to realize for assuming risks inherent in hedging our obligations under the Securities and the estimated cost of hedging our obligations
under the Securities. Because hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging
may result in a profit that is more or less than expected, or it may result in a loss. We or one or more of our affiliates will retain
any profits realized in hedging our obligations under the Securities. See “Key Risks — Risks Relating to the Estimated Value
and Secondary Market Prices of the Securities — The Estimated Value of the Securities Will Be Lower Than the Original Issue Price
(Price to Public) of the Securities” in this pricing supplement.
Secondary
Market Prices of the Securities
|
For information about factors that will impact any secondary market
prices of the Securities, see “Key Risks — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities
— Secondary Market Prices of the Securities Will Be Impacted by Many Economic and Market Factors” in this pricing supplement.
In addition, we generally expect that some of the costs included in the original issue price of the Securities will be partially paid
back to you in connection with any repurchases of your Securities by JPMS in an amount that will decline to zero over an initial predetermined
period that is intended to be up to seven months. The length of any such initial period reflects secondary market volumes for the Securities,
the structure of the Securities, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated
costs of hedging the Securities and when these costs are incurred, as determined by our affiliates. See “Key Risks — Risks
Relating to the Estimated Value and Secondary Market Prices of the Securities — The Value of the Securities as Published by JPMS
(and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Securities for
a Limited Time Period” in this pricing supplement.