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, prospectus supplement and prospectus. Any representation to the contrary is a criminal
offense.
The notes are not bank deposits, are not insured by the Federal Deposit
Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
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. 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” section of the accompanying product 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.
The following table and examples illustrate the hypothetical
total return and the hypothetical payment at maturity on the notes. The “total return” as used in this pricing supplement
is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount note to $1,000.
Each hypothetical total return or payment at maturity set forth below reflects the Maximum Return of at least 17.30%, the Contingent Buffer
Amount of 15.00% and the Starting Basket Level of 100. The actual Maximum Return will be provided in the pricing supplement and will not
be less than 17.30%. Each hypothetical total return or payment at maturity set forth below is for illustrative purposes only and may not
be the actual total return or payment at maturity applicable to a purchaser of the notes. The numbers appearing in the following table
and in the examples below have been rounded for ease of analysis.
Ending
Basket Level
|
Basket
Return
|
Total Return
|
|
180.00
|
80.00%
|
17.30%
|
|
170.00
|
70.00%
|
17.30%
|
|
160.00
|
60.00%
|
17.30%
|
|
150.00
|
50.00%
|
17.30%
|
|
140.00
|
40.00%
|
17.30%
|
|
130.00
|
30.00%
|
17.30%
|
|
120.00
|
20.00%
|
17.30%
|
|
117.30
|
17.30%
|
17.30%
|
|
110.00
|
10.00%
|
10.00%
|
|
105.00
|
5.00%
|
5.00%
|
|
102.50
|
2.50%
|
2.50%
|
|
100.00
|
0.00%
|
0.00%
|
|
97.50
|
-2.50%
|
0.00%
|
|
95.00
|
-5.00%
|
0.00%
|
|
90.00
|
-10.00%
|
0.00%
|
|
85.00
|
-15.00%
|
0.00%
|
|
84.99
|
-15.01%
|
-15.01%
|
|
80.00
|
-20.00%
|
-20.00%
|
|
70.00
|
-30.00%
|
-30.00%
|
|
60.00
|
-40.00%
|
-40.00%
|
|
50.00
|
-50.00%
|
-50.00%
|
|
40.00
|
-60.00%
|
-60.00%
|
|
30.00
|
-70.00%
|
-70.00%
|
|
20.00
|
-80.00%
|
-80.00%
|
|
10.00
|
-90.00%
|
-90.00%
|
|
0.00
|
-100.00%
|
-100.00%
|
|
JPMorgan Structured Investments —
|
PS-2
|
|
Capped Buffered Equity Notes Linked to an Equally Weighted Basket of 7 Reference Stocks
|
|
Hypothetical Examples of Amount
Payable at Maturity
The following examples illustrate how the total payment
at maturity in different hypothetical scenarios is calculated.
Example 1: The level of the Basket increases from
the Starting Basket Level of 100.00 to an Ending Basket Level of 105.00.
Because the Ending Basket Level of 105.00 is greater
than the Starting Basket Level of 100.00 and the Basket Return is 5.00%, which does not exceed the Maximum Return of 17.30%, the investor
receives a payment at maturity of $1,050.00 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × 5.00%)
= $1,050.00
Example 2: The level of the Basket decreases from
the Starting Basket Level of 100.00 to an Ending Basket Level 85.00.
Although the Basket Return is negative, because the
Ending Basket Level of 85.00 is less than the Starting Basket Level of 100.00 by up to the Contingent Buffer Amount of 15.00%, the investor
receives a payment at maturity of $1,000.00 per $1,000 principal amount note.
Example 3: The level of the Basket increases from
the Starting Basket Level of 100.00 to an Ending Basket Level of 140.00.
Because the Ending Basket Level of 140.00 is greater
than the Starting Basket Level of 100.00 and the Basket Return of 40.00% exceeds the Maximum Return of 17.30%, the investor receives a
payment at maturity of $1,173.00 per $1,000 principal amount note, the maximum payment at maturity.
Example 4: The level of the Basket decreases from
the Starting Basket Level of 100.00 to an Ending Basket Level 60.00.
Because the Ending Basket Level of 60.00 is less than
the Starting Basket Level of 100.00 by more than the Contingent Buffer Amount of 15.00% and the Basket Return is -40.00%, the investor
receives a payment at maturity of $600.00 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × -40.00%)
= $600.00
The hypothetical returns and hypothetical payments on
the notes shown above apply only if you hold the notes 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.
|
JPMorgan Structured Investments —
|
PS-3
|
|
Capped Buffered Equity Notes Linked to an Equally Weighted Basket of 7 Reference Stocks
|
|
Selected Purchase Considerations
|
|
·
|
CAPPED APPRECIATION POTENTIAL — The notes provide
the opportunity to earn an unleveraged return equal to any positive Basket Return, up to the Maximum Return of at least 17.30%. Accordingly,
assuming a Maximum Return of 17.30%, the maximum payment at maturity is $1,173.00 per $1,000 principal amount note. The Maximum Return
will be provided in the pricing supplement and will not be less than 17.30%, and accordingly, the maximum payment at maturity will not
be less than $1,173.00 per $1,000 principal amount note. Because the notes are our unsecured and unsubordinated obligations, the payment
of which is fully and unconditionally guaranteed by JPMorgan Chase & Co., payment of any amount on the notes is subject to our ability
to pay our obligations as they become due and JPMorgan Chase & Co.’s ability to pay its obligations as they become due.
|
|
|
·
|
LOSS OF PRINCIPAL BEYOND BUFFER AMOUNT — We
will pay you your principal back at maturity if the Ending Basket Level is equal to or less than the Starting Basket Level by up to the
Contingent Buffer Amount of 15.00%. If the Ending Basket Level is less than the Starting Basket Level by more than the Contingent Buffer
Amount, for every 1% that the Ending Basket Level is less than the Starting Basket Level you will lose an amount equal to 1% of the principal
amount of your notes. Under these circumstances, you will lose more than 15.00% of your principal amount at maturity and may lose all
of your principal amount at maturity.
|
|
|
·
|
RETURN LINKED TO AN EQUALLY WEIGHTED BASKET OF 7 REFERENCE
STOCKS — The return on the notes is linked to the performance of an equally weighted Basket that consists of 7 Reference Stocks
as set forth under “Key Terms - The Basket” in this pricing supplement.
|
|
|
·
|
TAX TREATMENT — You should review carefully
the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-II. The
following discussion, when read in combination with that section, constitutes the full opinion of our special tax counsel, Latham &
Watkins LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes.
|
Based on current market conditions, in the
opinion of our special tax counsel it is reasonable to treat the notes 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, the gain or loss on your notes should be treated as long-term capital gain or loss if you hold your
notes for more than a year, whether or not you are an initial purchaser of notes at the issue price. However, the IRS or a court may not
respect this treatment, in which case the timing and character of any income or loss on the notes 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,
which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge.
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 notes, possibly
with retroactive effect. 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 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 (such an index, a “Qualified
Index”). 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 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. If necessary, further information regarding the potential application of Section 871(m) will be
provided in the pricing supplement for the notes. You should consult your tax adviser regarding the potential application of Section 871(m)
to the notes.
Withholding under legislation commonly referred
to as “FATCA” may (if the notes are recharacterized as debt instruments) apply to amounts treated as interest paid with respect
to the notes, as well as to payments of gross proceeds of a taxable disposition, including redemption at maturity, of a note, although
under recently proposed regulations (the preamble to which specifies that taxpayers are permitted to rely on them pending finalization),
no withholding will apply to payments of gross proceeds (other than any amount treated as interest). You should consult your tax adviser
regarding the potential application of FATCA to the notes.
|
JPMorgan Structured Investments —
|
PS-4
|
|
Capped Buffered Equity Notes Linked to an Equally Weighted Basket of 7 Reference Stocks
|
|
Selected Risk Considerations
An investment in the notes involves significant risks.
Investing in the notes is not equivalent to investing directly in the Basket or the Reference Stocks. These risks are explained in more
detail in the “Risk Factors” section of the accompanying product 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. The return on the notes
at maturity is linked to the performance of the Basket and will depend on whether, and the extent to which, the Basket Return is positive
or negative. If the Ending Basket Level is less than the Starting Basket Level by more than the Contingent Buffer Amount, you will lose
1% of the principal amount of the notes for every 1% that the Ending Basket Level is less than the Starting Basket Level. Under these
circumstances, you will lose more than 15.00% of your principal amount at maturity and may lose all of your principal amount at maturity.
|
|
|
·
|
YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE MAXIMUM
RETURN — If the Ending Basket Level is greater than the Starting Basket Level, for each $1,000 principal amount note, you will
receive at maturity $1,000 plus an additional return that will not exceed the Maximum Return of at least 17.30%, regardless of
the appreciation in the Basket, which may be significant.
|
|
|
·
|
CREDIT
RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. — The notes are subject to our and JPMorgan Chase & Co.’s
credit risks, and our and JPMorgan Chase & Co.’s credit ratings and credit spreads may adversely affect the market value of
the notes. 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 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 BENEFIT PROVIDED BY THE CONTINGENT BUFFER AMOUNT
MAY TERMINATE ON THE FINAL ENDING AVERAGING DATE — If the Ending Basket Level is less than the Starting Basket Level by more
than the Contingent Buffer Amount, the benefit provided by the Contingent Buffer Amount will terminate and you will be fully exposed to
any depreciation of the Basket from the Starting Basket Level to the Ending Basket Level.
|
|
|
·
|
CORRELATION (OR LACK OF CORRELATION) OF THE REFERENCE
STOCKS — The notes are linked to an equally weighted Basket consisting of 7 Reference Stocks. Price movements of the Reference
Stocks may or may not be correlated with each other. At a time when the value of one or more of the Reference Stocks increases, the value
of the other Reference Stocks may not increase as much or may even decline. Therefore, in calculating the Ending Basket Level, increases
in the value of one or more of the Reference Stocks may be moderated, or more than offset, by the lesser increases or declines in the
values of the other Reference Stocks. In addition, high correlation of movements in the values of the Reference Stocks during periods
of negative returns among the Reference Stocks could have an adverse effect on the payment at maturity on the notes. There can be no assurance
that the Ending Basket Level will be higher than the Starting Basket Level.
|
|
|
·
|
NO OWNERSHIP OR DIVIDEND RIGHTS IN THE REFERENCE STOCKS
— As a holder of the notes, you will not have any ownership interest or rights in any of the Reference Stocks, such as voting rights
or dividend payments. In addition, the issuers of the Reference Stocks will not have any obligation to consider your interests as a holder
of the notes in taking any corporate action that might affect the value of the relevant Reference Stocks and the notes.
|
|
|
·
|
NO AFFILIATION WITH THE REFERENCE STOCK ISSUERS —
We are not affiliated with the issuers of the Reference Stocks. We assume no responsibility for the adequacy of the information about
the Reference Stock issuers contained in this pricing supplement. You should undertake your own investigation into the Reference Stocks
and their issuers. We are not responsible for the Reference Stock issuers’ public disclosure of information, whether contained in
SEC filings or otherwise.
|
|
|
·
|
NO INTEREST PAYMENTS — As a holder of the notes,
you will not receive any interest payments.
|
|
|
·
|
LACK OF LIQUIDITY — The notes will not be listed
on any securities exchange. JPMS intends to offer to purchase the notes 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 notes easily. Because other dealers
are not likely to make a secondary market for the notes, 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.
|
|
|
·
|
THE
FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT — The final terms of the notes will be based
on relevant market conditions when the terms of the notes are set and will
|
|
JPMorgan Structured Investments —
|
PS-5
|
|
Capped Buffered Equity Notes Linked to an Equally Weighted Basket of 7 Reference Stocks
|
|
be provided in the pricing supplement. In
particular, the estimated value of the notes and the Maximum Return will be provided in the pricing supplement and may be as low as the
minimum for the estimated value of the notes set forth on the cover of this pricing supplement. Accordingly, you should consider your
potential investment in the notes based on the minimum for the estimated value of the notes and the Maximum Return.
Risks Relating to Conflicts of Interest
|
|
·
|
POTENTIAL CONFLICTS — We and our affiliates
play a variety of roles in connection with the issuance of the notes, including acting as calculation agent and as an agent of the offering
of the notes, hedging our obligations under the notes and making the assumptions used to determine the pricing of the notes and the estimated
value of the notes when the terms of the notes are set, which we refer to as the estimated value of the notes. 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 notes. 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 notes and the value of 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 for additional information about these risks.
|
We and/or our affiliates may also currently
or from time to time engage in business with the Reference Stock issuers, including extending loans to, or making equity investments in,
the Reference Stock issuers or providing advisory services to the Reference Stock issuers. In addition, one or more of our affiliates
may publish research reports or otherwise express opinions with respect to the Reference Stock issuers, and these reports may or may not
recommend that investors buy or hold the Reference Stocks. As a prospective purchaser of the notes, you should undertake an independent
investigation of the Reference Stock issuers that in your judgment is appropriate to make an informed decision with respect to an investment
in the notes.
Risks Relating to the Estimated Value
and Secondary Market Prices of the Notes
|
|
·
|
THE ESTIMATED VALUE OF THE NOTES WILL BE 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 will exceed 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 — The estimated value of the notes is determined by reference
to internal pricing models of our affiliates when the terms of the notes are set. This estimated value of the notes 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 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. See
“The Estimated Value of the Notes” in this pricing supplement.
|
|
|
·
|
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.
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 Notes” in this
pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes during this
initial
|
|
JPMorgan Structured Investments —
|
PS-6
|
|
Capped Buffered Equity Notes Linked to an Equally Weighted Basket of 7 Reference Stocks
|
|
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 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. See the immediately following risk consideration
for information about additional factors that will impact any secondary market prices of the 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. See “— Lack of Liquidity”
below.
|
|
·
|
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 price of one share of each Reference Stock.
|
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 Basket
|
|
·
|
THE
ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCKS IS LIMITED AND MAY BE DISCRETIONARY — The calculation agent will make adjustments
to the Stock Adjustment Factor for each Reference Stock for certain corporate events affecting that Reference Stock. However, the calculation
agent will not make an adjustment in response to all events that could affect each Reference Stock. 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. You should also
be aware that the calculation agent may make adjustments in response to events that are not described in the accompanying product supplement
to account for any diluting or concentrative effect, but the calculation agent is under no obligation to do so or to consider your interests
as a holder of the notes in making these determinations.
|
|
|
·
|
THE INVESTMENT STRATEGY REPRESENTED BY THE BASKET MAY
NOT BE SUCCESSFUL — The Basket is comprised of the Reference Stocks of 7 U.S.-listed companies that may benefit from positive
performance of the technology sector during the term of the note. You should undertake your own investigation into each Reference Stock
and its issuer, and you should make your own determination as to the potential performance of the Basket of Reference Stocks during the
term of the note. There can be no assurance that the Basket Return will be positive during the term of the notes. It is possible that
the investment strategy represented by the Basket will not be successful and that the level of the Basket and the Basket Return will be
adversely affected. Moreover, there can be no assurance that the Reference Stocks will outperform other U.S.-listed companies that may
benefit from positive performance of the technology sector.
|
|
|
·
|
THE REFERENCE STOCKS ARE CONCENTRATED IN THE TECHNOLOGY
SECTOR — All of the Reference Stocks has been issued by companies whose business is associated with the technology sector. Because
the value of the notes is determined by the performance of the Basket consisting of the Reference Stocks, an investment in these notes
will be concentrated in this sector. As a result, the value of the notes may be subject to greater volatility and be more adversely affected
by a single positive or negative economic, political or regulatory occurrence affecting this sector than a different investment linked
to securities of a more broadly diversified group of issuers.
|
|
|
·
|
IN SOME CIRCUMSTANCES, THE PAYMENT YOU RECEIVE ON THE
NOTES MAY BE BASED ON THE VALUE OF CASH, SECURITIES (INCLUDING SECURITIES OF OTHER ISSUERS) OR OTHER PROPERTY DISTRIBUTED TO HOLDERS OF
A REFERENCE STOCK UPON THE OCCURRENCE OF A REORGANIZATION EVENT — Following certain corporate events relating to a Reference
Stock where its issuer is not the surviving entity, a liquidation of a Reference Stock issuer or other reorganization events affect a
Reference Stock issuer as described in the accompanying product supplement, a portion of any payment on the notes may be based on the
common stock (or other security) of a successor to that Reference Stock issuer or any cash or any other assets distributed to holders
of that Reference Stock in the relevant corporate event. The occurrence of these corporate events and the consequent adjustments may materially
and adversely affect the value of the notes. The specific corporate events that can lead to these adjustments and the procedures for selecting
the Exchange Property (as defined in the accompanying product supplement) are described in the accompanying product supplement.
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JPMorgan Structured Investments —
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PS-7
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Capped Buffered Equity Notes Linked to an Equally Weighted Basket of 7 Reference Stocks
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The Basket and the Reference
Stocks
Public Information
All information contained in this pricing supplement on the Reference
Stocks and on the Reference Stock issuers is derived from publicly available sources, without independent verification. The table below
sets forth the Reference Stocks included in the Basket in alphabetical order by ticker symbol. Each Reference Stock is registered under
the Securities Exchange Act of 1934, as amended, which we refer to as the “Exchange Act”, and is listed on the exchange provided
in the table below, which we refer to as the relevant exchange for purposes of that Reference Stock in the accompanying product supplement.
Information provided to or filed with the SEC by a Reference Stock issuer pursuant to the Exchange Act can be located by reference to
the SEC file number provided in the table below, and can be accessed through www.sec.gov.
We do not make any representation that these publicly available documents
are accurate or complete. We obtained the closing prices below from Bloomberg, without independent verification. The closing prices below
may have been adjusted by Bloomberg for corporate actions, such as stock splits, public offerings, mergers and acquisitions, spin-offs,
delistings and bankruptcy.
Bloomberg
Ticker Symbol
|
Reference Stock Issuer/Reference Stock
|
Relevant
Exchange
|
SEC File
Number
|
Closing Price on
June 21, 2021
|
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Adobe Inc.
|
Common stock, par value $0.0001 per share
|
ADBE UW
|
NASDAQ Global Select Market
|
000-15175
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$567.35
|
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Alphabet Inc.
|
Class A common stock, par value $0.001 per share
|
GOOGL UW
|
NASDAQ Global Select Market
|
001-37580
|
$2,436.25
|
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Amazon.com, Inc.
|
Common stock, par value $0.01 per share
|
AMZN UW
|
NASDAQ Global Select Market
|
000-22513
|
$3,453.96
|
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Honeywell International Inc.
|
Common stock, par value $1 per share
|
HON UW
|
New York Stock Exchange
|
001-8974
|
$216.00
|
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Lam Research Corporation
|
Common stock, par value $0.001 per share
|
LRCX UW
|
NASDAQ Global Select Market
|
000-12933
|
$618.62
|
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Microsoft Corporation
|
Common stock, par value $0.00000625 per share
|
MSFT UW
|
NASDAQ Stock Market
|
001-37845
|
$262.63
|
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salesforce.com, inc.
|
Common stock, par value $0.001 per share
|
CRM UN
|
New York Stock Exchange
|
001-32224
|
$244.48
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JPMorgan Structured Investments —
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PS-8
|
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Capped Buffered Equity Notes Linked to an Equally Weighted Basket of 7 Reference Stocks
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According to publicly available filings of the
relevant Reference Stock issuer with the SEC:
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·
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Adobe Inc. is one of the largest and most diversified software
companies in the world.
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·
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Alphabet Inc. is a collection of businesses, the largest of
which is Google Inc., which (i) offers products and platforms through which it generates revenues primarily by delivering both performance
advertising and brand advertising and (ii) provides cloud services to businesses.
|
|
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·
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Amazon.com, Inc. operates retail websites and offers programs
that enable third parties to sell products on their websites.
|
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·
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Honeywell International Inc. invents and commercializes technologies
that address some of the world’s most critical challenges around energy, safety, security, air travel, productivity and global urbanization.
|
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·
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Lam Research Corporation is a global supplier of innovative
wafer fabrication equipment and services to the semiconductor industry.
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·
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Microsoft Corporation is a technology company that develops
and supports software, services, devices and solutions.
|
|
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·
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salesforce.com, inc. is a provider of customer relationship
management technology.
|
Historical Information Regarding the Basket and
the Reference Stocks
The following graphs show the historical weekly performance of the
Basket as a whole from January 4, 2016 through June 18, 2021, as well as the Reference Stocks from January 4, 2016 through June 18, 2021.
The graph of the historical Basket performance assumes the closing level of the Basket on January 4, 2016 was 100 and the Stock Weights
were as specified under “The Basket” in this pricing supplement.
We obtained the various closing prices below from the Bloomberg Professional®
service (“Bloomberg”), without independent verification. The closing prices may have been adjusted by Bloomberg for corporate
actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
Since the commencement of trading of each Reference Stock, the price of
that Reference Stock has experienced significant fluctuations. The historical performance of each Reference Stock and the historical performance
of the Basket should not be taken as an indication of future performance, and no assurance can be given as to the closing prices of each
Reference Stock or the levels of the Basket on the Pricing Date or any Ending Averaging Date. There can be no assurance that the performance
of the Basket will result in the return of any of your principal amount.
|
JPMorgan Structured Investments —
|
PS-9
|
|
Capped Buffered Equity Notes Linked to an Equally Weighted Basket of 7 Reference Stocks
|
|
|
JPMorgan Structured Investments —
|
PS-10
|
|
Capped Buffered Equity Notes Linked to an Equally Weighted Basket of 7 Reference Stocks
|
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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 — 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. See “Selected Risk Considerations —
The Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ from Others’ Estimates” in this
pricing supplement.
The estimated value of the notes will be 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 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. We or one or more of
our affiliates will retain any profits realized in hedging our obligations under the notes. See “Selected Risk Considerations —
The Estimated Value of the Notes Will Be Lower Than the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
|
JPMorgan Structured Investments —
|
PS-11
|
|
Capped Buffered Equity Notes Linked to an Equally Weighted Basket of 7 Reference Stocks
|
|
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 — 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 “What Is the Total Return on the Notes at Maturity, Assuming
a Range of Performances for the Basket?” and “Hypothetical Examples of Amount Payable at Maturity” in this pricing supplement
for an illustration of the risk-return profile of the notes and “The Basket and the Reference Stocks” 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.
|
JPMorgan Structured Investments —
|
PS-12
|
|
Capped Buffered Equity Notes Linked to an Equally Weighted Basket of 7 Reference Stocks
|
|
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