$15,250,000 Auto Callable Return Enhanced Notes Linked to the Lesser Performing of the iShares Global Clean Energy ETF and the Invesco WilderHill Clean Energy ETF due March 15, 2024, priced on March 12, 2021, were issued by JPMorgan Chase Financial Company LLC. The pricing supplement for this note (CUSIP: 48132TCL8) can be found here.

The notes had a $1,000 face value and only paid a fixed amount when the notes are called before maturity. No intermediate coupon was paid before they were called or matured.

If not previously called, at maturity, the notes returned $1,000 in principal plus a fixed coupon or an income linked to the performance of the underlying if Invesco WilderHill Clean Energy ETF and iShares Global Clean Energy ETF all closed on the final determination date on March 12, 2024 and above 0% of their March 12, 2021 closing prices. If on March 12, 2024 Invesco WilderHill Clean Energy ETF and iShares Global Clean Energy ETF closed below 0% of their March 12, 2021 closing prices, the notes paid reduced principal euqal to $1,000 multiplied by the lowest ratio of Invesco WilderHill Clean Energy ETF and iShares Global Clean Energy ETF March 12, 2024 closing prices to their March 12, 2021 closing prices.

The notes have matured. They paid $201.17 in principal repayment per $1,000 note. Investors thus suffered capital losses of $798.83.^† In the aggregate, investors in this note suffered $12,182,228 in capital losses. See Table 1 and Figure 1.

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† SLCG estimated these losses based on publicly available information. The issuer ultimately determines the amounts paid which may differ from our estimates. Our reference to capital loss and net loss does not imply SLCG's view of how these losses are treated for tax purposes.

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