$9,011,000 Auto Callable Contingent Interest Notes Linked to the Least Performing of the Class C Capital Stock of Zillow Group, Inc., the Class A Common Stock of Roku, Inc. and the Common Stock of Moderna, Inc. due October 31, 2024, priced on October 27, 2021, were issued by JPMorgan Chase Financial Company LLC. The pricing supplement for this note (CUSIP: 48132YJD8) can be found here.

The notes had a $1,000 face value and paid a monthly coupon of $13.54167, so long as the notes had not been called and 0, Roku and Moderna all closed above 60% of their October 27, 2021 closing prices on a determination date. If 0, Roku and Moderna closed below 60% of their October 27, 2021 closing prices on a determination date, the notes did not pay a coupon.

If not previously called, at maturity, the notes returned $1,000 in principal if 0, Roku and Moderna all closed on the final determination date on October 28, 2024 and above 60% of their October 27, 2021 closing prices. If on October 28, 2024 0, Roku and Moderna closed below 60% of their October 27, 2021 closing prices, the notes paid reduced principal euqal to $1,000 multiplied by the lowest ratio of 0, Roku and Moderna October 28, 2024 closing prices to their October 27, 2021 closing prices.

The notes have matured. They paid one coupon totaling $13.54167 and $160.76 repayment per $1,000 note. Investors thus suffered capital losses of $839.24 and net losses of $825.70.^† In the aggregate, investors in this note suffered $7,562,388 in capital losses and $7,440,364 in net 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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