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.
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.
Underlyings:
The iShares® MSCI EAFE ETF (Bloomberg ticker: EFA) and the iShares® MSCI
Emerging Markets ETF (Bloomberg ticker: EEM) (each of the iShares® MSCI EAFE ETF and the iShares® MSCI Emerging
Markets ETF, a “Fund” and collectively, the “Funds”) and the EURO STOXX 50® Index (Bloomberg ticker:
SX5E) (the “Index”) (each of the Funds and the Index, an “Underlying” and collectively, the “Underlyings”)
Contingent
Interest Payments: If the notes have not been automatically called and the closing value of each Underlying on any Review Date
is greater than or equal to its Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal amount
note a Contingent Interest Payment equal to $17.50 (equivalent to a Contingent Interest Rate of 7.00% per annum, payable at a rate of
1.75% per quarter).
If the closing value of any Underlying on any Review Date is less
than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date.
Contingent
Interest Rate: 7.00% per annum, payable at a rate of 1.75% per quarter
Interest Barrier / Buffer Threshold:
With respect to each Underlying, 80.00% of its Initial Value, which is $62.832 for the iShares® MSCI EAFE ETF, $40.928
for the iShares® MSCI Emerging Markets ETF and 3,266.624 for the Index
Buffer Amount: 20.00%
Pricing
Date: October 13, 2021
Original
Issue Date (Settlement Date): On or about October 18, 2021
Review
Dates*: January 12, 2022, April 12, 2022, July 12, 2022, October 12, 2022, January 12, 2023, April 12, 2023, July 12, 2023,
October 12, 2023, January 12, 2024, April 12, 2024, July 12, 2024, October 14, 2024, January 13, 2025, April 14, 2025, July 14, 2025 and
October 13, 2025 (final Review Date)
Interest
Payment Dates*: January 18, 2022, April 18, 2022, July 15, 2022, October 17, 2022, January 18, 2023, April 17, 2023, July 17,
2023, October 17, 2023, January 18, 2024, April 17, 2024, July 17, 2024, October 17, 2024, January 16, 2025, April 17, 2025, July 17,
2025 and the Maturity Date
Maturity
Date*: October 16, 2025
Call Settlement Date*: If
the notes are automatically called on any Review Date (other than the first and final Review Dates), the first Interest Payment Date immediately
following that Review Date
* 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 value of each Underlying on any Review Date (other than
the first and final Review Dates) is greater than or equal to its Initial 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 Contingent Interest Payment 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
Underlying is greater than or equal to its Buffer Threshold, you will receive a cash payment at maturity, for each $1,000 principal amount
note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to the final Review Date.
If the notes have not been automatically called and the Final Value of any
Underlying is less than its Buffer Threshold, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + [$1,000 × (Least Performing Underlying
Return + Buffer Amount)]
If the notes have not been automatically called and the Final Value of
any Underlying is less than its Buffer Threshold, you will lose some or most of your principal amount at maturity.
Least Performing Underlying: The
Underlying with the Least Performing Underlying Return
Least Performing Underlying Return: The
lowest of the Underlying Returns of the Underlyings
Underlying Return:
With respect to each Underlying,
(Final Value – Initial Value)
Initial Value
Initial
Value: With respect to each Underlying, the closing
value of that Underlying on the Pricing Date, which was $78.54 for the iShares® MSCI EAFE ETF, $51.16 for the iShares®
MSCI Emerging Markets ETF and 4,083.28 for the Index Emerging Markets ETF
Final
Value: With respect to each Underlying, the closing value of that Underlying on the final Review
Date
Share Adjustment Factor: With
respect to each Fund, the Share Adjustment Factor is referenced in determining the closing value of that Fund and is set equal to 1.0
on the Pricing Date. The Share Adjustment Factor of each Fund is subject to adjustment upon the occurrence of certain events affecting
that Fund. See “The Underlyings — Funds — Anti-Dilution Adjustments” in the accompanying product supplement for
further information.
|
PS-1
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the iShares® MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the EURO STOXX 50®
Index
|
|
How the
Notes Work
Payment in Connection with the First Review Date
Payments in Connection with Review Dates (Other than
the First and Final Review Dates)
PS-2
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the iShares® MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the EURO STOXX 50®
Index
|
|
Payment at Maturity If the Notes
Have Not Been Automatically Called
Total Contingent Interest Payments
The table below illustrates the hypothetical total Contingent
Interest Payments per $1,000 principal amount note over the term of the notes based on the Contingent Interest Rate of 7.00% per annum,
depending on how many Contingent Interest Payments are made prior to automatic call or maturity.
Number of Contingent
Interest Payments
|
Total Contingent Interest
Payments
|
16
|
$280.00
|
15
|
$262.50
|
14
|
$245.00
|
13
|
$227.50
|
12
|
$210.00
|
11
|
$192.50
|
10
|
$175.00
|
9
|
$157.50
|
8
|
$140.00
|
7
|
$122.50
|
6
|
$105.00
|
5
|
$87.50
|
4
|
$70.00
|
3
|
$52.50
|
2
|
$35.00
|
1
|
$17.50
|
0
|
$0.00
|
Hypothetical
Payout Examples
The following examples illustrate payments on the
notes linked to three hypothetical Underlyings, assuming a range of performances for the hypothetical Least Performing Underlying on
the Review Dates. Each hypothetical payment set forth below assumes that the closing value of each Underlying that is not the Least
Performing Underlying on each Review Date is greater than or equal to its Initial Value (and therefore its Interest Barrier and Buffer
Threshold).
PS-3
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the iShares® MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the EURO STOXX 50®
Index
|
|
In addition, the hypothetical payments set forth below
assume the following:
|
·
|
an Initial Value for the Least Performing Underlying of 100.00;
|
|
·
|
an Interest Barrier and a Buffer Threshold for the Least Performing Underlying of 80.00 (equal to 80.00% of its hypothetical Initial
Value);
|
|
·
|
a Buffer Amount of 20.00%; and
|
|
·
|
a Contingent Interest Rate of 7.00% per annum (payable at a rate of 1.75% per quarter).
|
The hypothetical Initial Value of the Least Performing
Underlying of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value of any Underlying.
The actual Initial Value of each Underlying is the closing value of that Underlying on the Pricing Date and is specified under “Key
Terms — Initial Value” in this pricing supplement. For historical data regarding the actual closing values of each Underlying,
please see the historical information set forth under “The Underlyings” 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 second Review Date.
Date
|
Closing Value of Least
Performing Underlying
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
105.00
|
$17.50
|
Second Review Date
|
115.00
|
$1,017.50
|
|
Total Payment
|
$1,035.00 (3.50% return)
|
Because the closing value of each Underlying on the
second Review Date is greater than or equal to its Initial Value, the notes will be automatically called for a cash payment, for each
$1,000 principal amount note, of $1,017.50 (or $1,000 plus the Contingent Interest Payment applicable to the second Review Date),
payable on the applicable Call Settlement Date. The notes are not automatically callable before the second Review Date, even though the
closing value of each Underlying on the first Review Date is greater than its Initial Value. When added to the Contingent Interest Payment
received with respect to the prior Review Date, the total amount paid, for each $1,000 principal amount note, is $1,035.00. No further
payments will be made on the notes.
Example 2 — Notes have NOT been automatically
called and the Final Value of the Least Performing Underlying is greater than or equal to its Buffer Threshold.
Date
|
Closing Value of Least
Performing Underlying
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
95.00
|
$17.50
|
Second Review Date
|
90.00
|
$17.50
|
Third through Fifteenth
Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
90.00
|
$1,017.50
|
|
Total Payment
|
$1,052.50 (5.25% return)
|
Because the notes have not been automatically called
and the Final Value of the Least Performing Underlying is greater than or equal to its Buffer Threshold, the payment at maturity, for
each $1,000 principal amount note, will be $1,017.50 (or $1,000 plus the Contingent Interest Payment applicable to the final Review
Date). When added to the Contingent Interest Payments received with respect to the prior Review Dates, the total amount paid, for each
$1,000 principal amount note, is $1,052.50.
PS-4
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the iShares® MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the EURO STOXX 50®
Index
|
|
Example 3 — Notes have NOT been automatically
called and the Final Value of the Least Performing Underlying is less than its Buffer Threshold.
Date
|
Closing Value of Least
Performing Underlying
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
40.00
|
$0
|
Second Review Date
|
45.00
|
$0
|
Third through Fifteenth
Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
50.00
|
$700.00
|
|
Total Payment
|
$700.00 (-30.00% return)
|
Because the notes have not been automatically called,
the Final Value of the Least Performing Underlying is less than its Buffer Threshold and the Least Performing Underlying Return is -50.00%,
the payment at maturity will be $700.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00% + 20.00%)] = $700.00
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
|
·
|
YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
|
The notes do not guarantee any return of principal.
If the notes have not been automatically called and the Final Value of any Underlying is less than its Buffer Threshold, you will lose
1% of the principal amount of your notes for every 1% that the Final Value of the Least Performing Underlying is less than its Initial
Value by more than 20.00%. Accordingly, under these circumstances, you will lose up to 80.00% of your principal amount at maturity.
|
·
|
THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL —
|
If the notes have not been automatically called,
we will make a Contingent Interest Payment with respect to a Review Date only if the closing value of each Underlying on that Review Date
is greater than or equal to its Interest Barrier. If the closing value of any Underlying on that Review Date is less than its Interest
Barrier, no Contingent Interest Payment will be made with respect to that Review Date. Accordingly, if the closing value of any Underlying
on each Review Date is less than its Interest Barrier, you will not receive any interest payments over the term of the notes.
|
·
|
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
|
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.
|
·
|
AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS 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 notes. If these affiliates do not make payments to
PS-5
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the iShares® MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the EURO STOXX 50®
Index
|
|
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.
|
·
|
THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS THAT MAY BE PAID OVER THE TERM
OF THE NOTES,
|
regardless of any appreciation of any Underlying,
which may be significant. You will not participate in any appreciation of any Underlying.
|
·
|
YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE VALUE OF EACH UNDERLYING —
|
Payments on the notes are not linked to a basket
composed of the Underlyings and are contingent upon the performance of each individual Underlying. Poor performance by any of the Underlyings
over the term of the notes may result in the notes not being automatically called on a Review Date, may negatively affect whether you
will receive a Contingent Interest Payment on any Interest Payment Date and your payment at maturity and will not be offset or mitigated
by positive performance by any other Underlying.
|
·
|
YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING UNDERLYING.
|
|
·
|
THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
|
If your notes are automatically called, the
term of the notes may be reduced to as short as approximately six months and you will not receive any Contingent Interest Payments after
the applicable Call Settlement Date. There is no guarantee that you would be able to reinvest the proceeds from an investment in the notes
at a comparable return and/or with a comparable interest rate 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.
|
·
|
YOU WILL NOT RECEIVE DIVIDENDS ON THE FUNDS OR THE SECURITIES INCLUDED IN OR HELD BY ANY UNDERLYING OR HAVE ANY RIGHTS WITH RESPECT
TO THE FUNDS OR THOSE SECURITIES.
|
|
·
|
THE RISK OF THE CLOSING VALUE OF AN UNDERLYING FALLING BELOW ITS INTEREST BARRIER OR BUFFER THRESHOLD IS GREATER IF THE VALUE OF
THAT UNDERLYING IS VOLATILE.
|
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.
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 —
|
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.
|
·
|
THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES —
|
See “The Estimated Value of the Notes”
in this pricing supplement.
PS-6
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the iShares® MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the EURO STOXX 50®
Index
|
|
|
·
|
THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
|
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.
|
·
|
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 —
|
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).
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
|
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.
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
|
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 values of the Underlyings. 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.
Risks Relating to the Underlyings
|
·
|
NON-U.S. SECURITIES RISK—
|
The equity
securities included in or held by the Underlyings 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 securities markets in the home countries of the issuers of those
non-U.S. equity securities. Also, there is generally less publicly available information about companies in some of these jurisdictions
than there is about U.S. companies that are subject to the reporting requirements of the SEC.
|
·
|
THERE ARE RISKS ASSOCIATED WITH THE FUNDS —
|
The Funds are subject to management risk, which
is the risk that the investment strategies of the applicable Fund’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 prices of the shares
of the Funds and, consequently, the value of the notes.
|
·
|
THE PERFORMANCE AND MARKET VALUE OF EACH FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE
OF THAT FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE —
|
Each Fund does not fully replicate its Underlying
Index (as defined under “The Underlyings” below) and may hold securities different from those included in its Underlying Index.
In addition, the performance of each Fund will reflect additional transaction
PS-7
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the iShares® MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the EURO STOXX 50®
Index
|
|
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 each Fund and its
Underlying Index. In addition, corporate actions with respect to the equity securities underlying a Fund (such as mergers and spin-offs)
may impact the variance between the performances of that Fund and its Underlying Index. Finally, because the shares of each Fund are traded
on a securities exchange and are subject to market supply and investor demand, the market value of one share of each Fund may differ from
the net asset value per share of that Fund.
During periods of market volatility, securities
underlying each Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately the net asset
value per share of that Fund and the liquidity of that Fund may be adversely affected. This kind of market volatility may also disrupt
the ability of market participants to create and redeem shares of a Fund. Further, market volatility may adversely affect, sometimes materially,
the prices at which market participants are willing to buy and sell shares of that Fund. As a result, under these circumstances, the market
value of shares of a Fund may vary substantially from the net asset value per share of that Fund. For all of the foregoing reasons, the
performance of each Fund may not correlate with the performance of its Underlying Index as well as the net asset value per share of that
Fund, which could materially and adversely affect the value of the notes in the secondary market and/or reduce any payment on the notes.
|
·
|
EMERGING MARKETS RISK WITH RESPECT TO THE iSHARES® MSCI EMERGING MARKETS ETF —
|
The equity securities held by the iShares®
MSCI Emerging Markets ETF have been issued by non-U.S. companies located in emerging markets countries. Countries with emerging
markets may have relatively unstable governments, may present the risks of nationalization of businesses, restrictions on foreign ownership
and prohibitions on the repatriation of assets, and may have less protection of property rights than more developed countries. The
economies of countries with emerging markets may be based on only a few industries, may be highly vulnerable to changes in local or global
trade conditions, and may suffer from extreme and volatile debt burdens or inflation rates. Local securities markets may trade a
small number of securities and may be unable to respond effectively to increases in trading volume, potentially making prompt liquidation
of holdings difficult or impossible at times.
|
·
|
THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK WITH RESPECT TO THE FUNDS —
|
Because
the prices of the equity securities held by the Funds are converted into U.S. dollars for purposes of calculating the net asset
value of the Funds, holders of the notes will be exposed to currency exchange rate risk with respect to each of the currencies in which
the equity securities held by the Funds trade. Your net exposure will depend on the extent to which those currencies strengthen or weaken
against the U.S. dollar and the relative weight of equity securities held by the Funds denominated in each of those currencies. If, taking
into account the relevant weighting, the U.S. dollar strengthens against those currencies, the price of the Fund will be adversely affected
and any payment on the notes may be reduced.
|
·
|
RECENT EXECUTIVE ORDERS MAY ADVERSELY AFFECT THE PERFORMANCE OF THE iSHARES®
MSCI EMERGING MARKETS ETF —
|
Pursuant to recent executive orders, U.S. persons
are prohibited from engaging in transactions in, or possession of, publicly traded securities of certain companies that are determined
to be linked to the People’s Republic of China military, intelligence and security apparatus, or securities that are derivative
of, or are designed to provide investment exposure to, those securities. The sponsor of the Underlying Index for the iShares®
MSCI Emerging Markets ETF has recently removed the equity securities of a small number of companies from that Underlying Index in response
to these executive orders and, as a result, these stocks have also been removed from the iShares® MSCI Emerging Markets
ETF. If the issuer of any of the equity securities held by the iShares® MSCI Emerging Markets ETF is in the future
designated as such a prohibited company, the value of that company may be adversely affected, perhaps significantly, which would adversely
affect the performance of the iShares® MSCI Emerging Markets ETF. In addition, under these circumstances, each of
the sponsor of the Underlying Index for the iShares® MSCI Emerging Markets ETF and the iShares® MSCI Emerging
Markets ETF is expected to remove the equity securities of that company from that Underlying Index and the iShares® MSCI
Emerging Markets ETF, respectively. Any changes to the composition of the iShares® MSCI Emerging Markets ETF in response
to these executive orders could adversely affect the performance of the iShares® MSCI Emerging Markets ETF.
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·
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THE ANTI-DILUTION PROTECTION FOR THE FUNDS IS LIMITED —
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The calculation agent will make adjustments
to the Share Adjustment Factor for each Fund for certain events affecting the shares of that Fund. However, the calculation agent will
not make an adjustment in response to all events that could affect the shares of the Funds. If an event occurs that does not require the
calculation agent to make an adjustment, the value of the notes may be materially and adversely affected.
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·
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NO DIRECT EXPOSURE TO FLUCTUATIONS IN FOREIGN EXCHANGE RATES WITH RESPECT TO THE INDEX —
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The value of your notes will not be adjusted
for exchange rate fluctuations between the U.S. dollar and the currencies upon which the equity securities included in the Index are based,
although any currency fluctuations could affect the performance of the Index.
PS-8
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the iShares® MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the EURO STOXX 50®
Index
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|
The Underlyings
The iShares® MSCI EAFE ETF is an exchange-traded
fund of iShares® Trust, a registered investment company, that seeks to track the investment results, before fees and expenses,
of an index composed of large- and mid-capitalization developed market equities, excluding the United States and Canada, which we refer
to as the Underlying Index with respect to the iShares® MSCI EAFE ETF. The Underlying Index with respect to the iShares®
MSCI EAFE ETF is currently the MSCI EAFE® Index. The MSCI EAFE® Index is a free float-adjusted market capitalization
index intended to measure the equity market performance of certain developed markets, excluding the United States and Canada. For additional
information about the iShares® MSCI EAFE ETF, see “Fund Descriptions — The iShares® ETFs”
in the accompanying underlying supplement.
The iShares® MSCI Emerging Markets
ETF is an exchange-traded fund of iShares®, Inc., a registered investment company, that seeks to track the investment results,
before fees and expenses, of an index composed of large- and mid-capitalization emerging market equities, which we refer to as the Underlying
Index with respect to the iShares® MSCI Emerging Markets ETF. The Underlying Index with respect to the iShares®
MSCI Emerging Markets ETF is currently the MSCI Emerging Markets Index. The MSCI Emerging Markets Index is a free float-adjusted market
capitalization index that is designed to measure the equity market performance of global emerging markets. For additional information
about the iShares® MSCI Emerging Markets ETF, see “Fund Descriptions — The iShares® ETFs”
in the accompanying underlying supplement.
The Index consists of 50 component stocks of market
sector leaders from within the Eurozone. The EURO STOXX 50® Index and STOXX are the intellectual property (including registered
trademarks) of STOXX Limited, Zurich, Switzerland and/or its licensors (the “Licensors”), which are used under license. The
notes based on the EURO STOXX 50® Index are in no way sponsored, endorsed, sold or promoted by STOXX Limited and its Licensors
and neither STOXX Limited nor any of its Licensors shall have any liability with respect thereto. For additional information about the
EURO STOXX 50® Index, see “Equity Index Descriptions — The STOXX Benchmark Indices” in the accompanying
underlying supplement.
Historical Information
The following graphs set forth the historical performance
of each Underlying based on the weekly historical closing values from January 8, 2016 through October 8, 2021. The closing value of the
iShares® MSCI EAFE ETF on October 13, 2021 was $78.54. The closing value of the iShares® MSCI Emerging Markets
ETF on October 13, 2021 was $51.16. The closing value of the Index on October 13, 2021 was 4,083.28. We obtained the closing values above
and below from the Bloomberg Professional® service (“Bloomberg”), without independent verification. The closing
values of the Funds above and below may have been adjusted by Bloomberg for actions taken by the Funds, such as stock splits.
The historical closing values of each Underlying
should not be taken as an indication of future performance, and no assurance can be given as to the closing value of any Underlying on
any Review Date. There can be no assurance that the performance of the Underlyings will result in the return of any of your principal
amount in excess of $100.00 per $1,000 principal amount note, subject to the credit risks of JPMorgan Financial and JPMorgan Chase &
Co., or the payment of any interest.
PS-9
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the iShares® MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the EURO STOXX 50®
Index
|
|
Tax Treatment
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-II. In determining our reporting
responsibilities we intend to treat (i) the notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent
coupons and (ii) any Contingent Interest Payments as ordinary income, as described in the section entitled “Material U.S. Federal
Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated Contingent
Coupons” in the accompanying product supplement. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel,
we believe that this is a reasonable treatment, but that there are other reasonable treatments that the IRS or a court may adopt, in which
case the timing and character of any income or loss on the notes could be materially 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
and the relevance of factors such as the nature of the underlying property to which the instruments are linked. 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 affect the tax consequences of an investment in the notes, possibly with retroactive effect. The discussions
above and in the accompanying product supplement do not address the consequences to taxpayers subject to special tax accounting rules
under Section 451(b) of the
PS-10
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the iShares® MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the EURO STOXX 50®
Index
|
|
Code. 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 the notice described above.
Non-U.S. Holders — Tax Considerations.
The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and although we believe it is reasonable to take a
position that Contingent Interest Payments are not subject to U.S. withholding tax (at least if an applicable Form W-8 is provided), a
withholding agent may nonetheless withhold on these payments (generally at a rate of 30%, subject to the possible reduction of that rate
under an applicable income tax treaty), unless income from your notes is effectively connected with your conduct of a trade or business
in the United States (and, if an applicable treaty so requires, attributable to a permanent establishment in the United States). If you
are not a United States person, you are urged to consult your tax adviser regarding the U.S. federal income tax consequences of an investment
in the notes in light of your particular circumstances.
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.
In
the event of any withholding on the notes, we will not be required to pay any additional amounts with respect to amounts so withheld.
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
PS-11
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the iShares® MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the EURO STOXX 50®
Index
|
|
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 “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 Underlyings”
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-12
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the iShares® MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the EURO STOXX 50®
Index
|
|
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-13
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the iShares® MSCI EAFE ETF, the iShares® MSCI Emerging Markets ETF and the EURO STOXX 50®
Index
|
|
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