Form 424B2 JPMORGAN CHASE & CO
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Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-236659 and 333-236659-01
Pricing Supplement to the
Prospectus and Prospectus Supplement, each dated April 8, 2020, the
Underlying Supplement No. 1-II dated November 4, 2020 and the
Product Supplement No. 4-II dated November 4, 2020
JPMorgan Chase
Financial Company LLC
Medium-Term
Notes, Series A
$7,668,000
Capped Buffered Enhanced Participation Basket-Linked Notes due 2023
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
The notes do not bear interest. The amount that you will be
paid on your notes on the stated maturity date (September 21, 2023, subject to adjustment) is based on the performance of an unequally
weighted basket (which we refer to as the basket) consisting of the EURO STOXX 50® Index (36.00% initial weight), the TOPIX®
Index (29.00% initial weight), the FTSE® 100 Index (16.00% initial weight), the Swiss Market Index (11.00% initial weight)
and the S&P/ASX 200 Index (8.00% initial weight) as measured from and including the trade date (May 14, 2021) to and including the
determination date (September 19, 2023, subject to adjustment). The initial basket level is 100 and the final basket level will equal
the sum of the products, as calculated for each basket underlier, of: (i) the closing level on the determination date divided
by the initial basket underlier level multiplied by (ii) the applicable initial weighted value for such basket underlier. If the
final basket level on the determination date is greater than the initial basket level, the return on your notes will be positive, subject
to the maximum settlement amount of $1,268.80 for each $1,000 principal amount note. If the basket declines by up to 12.50% from the initial
basket level to the final basket level, you will receive the principal amount of your notes. If the basket declines by more than 12.50%
from the initial basket level to the final basket level, the return on your notes will be negative. You could lose your entire investment
in the notes. Any payment on the notes is subject to the credit risk of JPMorgan Chase Financial Company LLC (“JPMorgan Financial”),
as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor of the notes.
To determine your payment at maturity, we will calculate the basket
return, which is the percentage increase or decrease in the final basket level from the initial basket level. On the stated maturity date,
for each $1,000 principal amount note, you will receive an amount in cash equal to:
| · | if the basket return is positive (the final basket level is greater than the initial basket level), the sum of (i) $1,000 plus (ii) the product of (a) $1,000 times (b) 1.40 times (c) the basket return, subject to the maximum settlement amount; |
| · | if the basket return is zero or negative but not below -12.50% (the final basket level is equal to or less than the initial basket level but not by more than 12.50%), $1,000; or |
| · | if the basket return is negative and is below -12.50% (the final basket level is less than the initial basket level by more than 12.50%), the sum of (i) $1,000 plus (ii) the product of (a) $1,000 times (b) approximately 1.1429 times (c) the sum of the basket return plus 12.50%. You will receive less than $1,000. |
A decrease in the level of one or more basket underliers may offset
increases in the levels of the other basket underliers. Due to the unequal weightings of the basket underliers, the performances of the
EURO STOXX 50® Index, the TOPIX® Index and the FTSE® 100 Index will have a significantly
larger impact on your return on the notes than the performance of the Swiss Market Index or the S&P/ASX 200 Index.
Your investment in the notes involves certain risks, including,
among other things, our credit risk. See “Risk Factors” on page S-2 of the…
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