September 14, 2021
|
Registration Statement Nos. 333-236659 and 333-236659-01; Rule 424(b)(2)
|
JPMorgan Chase Financial Company LLC
Structured Investments
$250,000
Auto Callable Contingent Interest Notes Linked to the Least Performing of the S&P 500® Index, the NASDAQ-100 Index®
and the Russell 2000® Index due March 17, 2022
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
|
·
|
The notes are designed for investors who seek a Contingent Interest Payment with respect to each Review Date for which the closing
level of each of the S&P 500® Index, the NASDAQ-100 Index® and the Russell 2000® Index,
which we refer to as the Indices, is greater than or equal to 65.00% of its Initial Value, which we refer to as an Interest Barrier.
|
|
·
|
The notes will be automatically called if the closing level of each Index on the first Review Date is greater than or equal to its
Initial Value.
|
|
·
|
The earliest date on which an automatic call may be initiated is December 14, 2021.
|
|
·
|
Investors should be willing to accept the risk of losing some or all of their principal and the risk that no Contingent Interest Payment
may be made with respect to some or all Review Dates.
|
|
·
|
Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive Contingent
Interest Payments.
|
|
·
|
The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial,
the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes is subject to the
credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor of the notes.
|
|
·
|
Payments on the notes are not linked to a basket composed of the Indices. Payments on the notes are linked to the performance of each
of the Indices individually, as described below.
|
|
·
|
Minimum denominations of $1,000 and integral multiples thereof
|
|
·
|
The notes priced on September 14, 2021 and are expected to settle on or about September 17, 2021.
|
Investing in the notes involves a number of risks. See “Risk Factors”
beginning on page S-2 of the accompanying prospectus supplement, “Risk Factors” beginning on page PS-12 of the accompanying
product supplement, “Risk Factors” beginning on page US-3 of the accompanying underlying supplement and “Selected Risk
Considerations” beginning on page PS-4 of this pricing supplement.
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.
|
Price to Public (1)
|
Fees and Commissions (2)
|
Proceeds to Issuer
|
Per note
|
$1,000
|
$6
|
$994
|
Total
|
$250,000
|
$1,500
|
$248,500
|
(1) See “Supplemental Use of Proceeds” in this pricing supplement
for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting
as agent for JPMorgan Financial, will pay all of the selling commissions of $6.00 per $1,000 principal amount note it receives from us
to other affiliated or unaffiliated dealers. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product
supplement.
|
The estimated value of the notes, when the terms of the notes were set, was $973.60
per $1,000 principal amount note. See “The Estimated Value of the Notes” in this pricing supplement for additional information.
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.
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.
Indices:
The S&P 500® Index (Bloomberg ticker: SPX),
the NASDAQ-100 Index® (Bloomberg ticker: NDX) and the Russell
2000® Index (Bloomberg ticker: RTY)
Contingent Interest
Payments: If the notes have not been automatically called and the closing level of each Index 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 $10.00 (equivalent to a Contingent Interest Rate of 2.00% over the term of the notes, payable at
a rate of 1.00% per quarter).
If the closing level of any Index 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: 2.00% over the term of the notes, payable at a rate of 1.00% per quarter
Interest Barrier / Trigger Value: With
respect to each Index, 65.00% of its Initial Value, which is 2,887.9825 for the S&P 500®
Index, 9,998.885 for the NASDAQ-100 Index® and 1,436.49025 for the Russell 2000®
Index
Pricing Date:
September 14, 2021
Original
Issue Date (Settlement Date): On or about September 17, 2021
Review Dates*:
December 14, 2021 and March 14, 2022 (final Review Date)
Interest Payment
Dates*: December 17, 2021 and the Maturity Date
Maturity Date*:
March 17, 2022
Call Settlement Date*: If the
notes are automatically called on the first Review Date, 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 level of each Index on the first 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, 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 (i) the Final Level of each Index
is greater than or equal to its Initial Value or (ii) a Trigger Event has not occurred, 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 (i) the Final Value of any Index
is less than its Initial Value and (ii) a Trigger Event has occurred, your payment at maturity per $1,000 principal amount note, in addition
to any Contingent Interest Payment, will be calculated as follows:
$1,000 + ($1,000 × Least Performing Index Return)
If the notes have not been automatically called and (i) the Final Value of any Index
is less than its Initial Value and (ii) a Trigger Event has occurred, you will lose some or all of your principal amount at maturity.
Trigger Event: A Trigger Event occurs
if, on any day during the Monitoring Period, the closing level of any Index is less than its Trigger Value.
Monitoring Period: The period from but
excluding the Pricing Date to and including the final Review Date
Least Performing Index: The
Index with the Least Performing Index Return
Least Performing Index Return: The
lowest of the Index Returns of the Indices
Index Return:
With respect to each Index,
(Final Value – Initial Value)
Initial Value
Initial
Value: With respect to each Index, the closing level
of that Index on the Pricing Date, which was 4,443.05 for the S&P 500® Index, 15,382.90 for the NASDAQ-100 Index®
and 2,209.985 for the Russell 2000® Index
Final
Value: With respect to each Index, the closing level of that Index on the final Review Date
|
PS-1
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the S&P 500® Index, the NASDAQ-100 Index® and the Russell 2000® Index
|
|
How the Notes Work
Payments in Connection with the First Review Date
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 2.00% over the term of the
notes, depending on how many Contingent Interest Payments are made prior to automatic call or maturity.
|
Number of Contingent Interest Payments
|
Total Contingent Interest Payments
|
|
2
|
$20.00
|
|
1
|
$10.00
|
|
0
|
$0.00
|
PS-2
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the S&P 500® Index, the NASDAQ-100 Index® and the Russell 2000® Index
|
|
Hypothetical Payout Examples
The following examples illustrate payments on the notes linked
to three hypothetical Indices, assuming a range of performances for the hypothetical Least Performing Index on the Review Dates. Each
hypothetical payment set forth below assumes that the closing level of each Index that is not the Least Performing Index on each Review
Date is greater than or equal to its Initial Value (and therefore its Interest Barrier and Trigger Value).
In addition, the hypothetical payments set forth below assume the
following:
|
·
|
an Initial Value for the Least Performing Index of 100.00;
|
|
·
|
an Interest Barrier and a Trigger Value for the Least Performing Index of 65.00 (equal to 65.00% of its hypothetical Initial Value);
and
|
|
·
|
a Contingent Interest Rate of 2.00% over the term of the notes (payable at a rate of 1.00% per quarter).
|
The hypothetical Initial Value of the Least Performing Index of
100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value of any Index. The actual Initial
Value of each Index is the closing level of that Index on the Pricing Date and is specified under “Key Terms — Initial Value”
in this pricing supplement. For historical data regarding the actual closing levels of each Index, please see the historical information
set forth under “The Indices” 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 first
Review Date.
Date
|
Closing Level of Least Performing Index
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
105.00
|
$1,010.00
|
|
Total Payment
|
$1,010.00 (1.00% return)
|
Because the closing level of each Index on the first 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 $1,010.00 (or $1,000 plus the Contingent Interest Payment applicable to the first Review Date), payable on the applicable
Call Settlement Date. No further payments will be made on the notes.
Example 2 — Notes have NOT been automatically called,
the Final Value of the Least Performing Index is greater than or equal to its Initial Value and a Trigger Event has occurred.
Date
|
Closing Level of Least Performing Index
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
95.00
|
$10.00
|
Final Review Date
|
105.00
|
$1,010.00
|
|
Total Payment
|
$1,020.00 (2.00% return)
|
Because the notes have not been automatically called and the Final
Value of the Least Performing Index is greater than or equal to its Initial Value (and, therefore, its Interest Barrier), even though
a Trigger Event has occurred, the payment at maturity, for each $1,000 principal amount note, will be $1,010.00 (or $1,000 plus
the Contingent Interest Payment applicable to the final Review Date). 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 $1,020.00.
Example 3 — Notes have NOT been automatically called,
the Final Value of the Least Performing Index is less than its Initial Value and a Trigger Event has NOT occurred.
Date
|
Closing Level of Least Performing Index
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
90.00
|
$10.00
|
Final Review Date
|
70.00
|
$1,010.00
|
|
Total Payment
|
$1,020.00 (2.00% return)
|
Because the notes have not been automatically called, the Final
Value of the Least Performing Index is greater than or equal to its Interest Barrier and a Trigger Event has not occurred, even though
the Final Value of the Least Performing Index is less than its Initial Value, the payment at maturity, for each $1,000 principal amount
note, will be $1,010.00 (or $1,000 plus the Contingent Interest
PS-3
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the S&P 500® Index, the NASDAQ-100 Index® and the Russell 2000® Index
|
|
Payment applicable to the final Review Date). 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 $1,020.00.
Example
4 — Notes have NOT been automatically called, the Final Value of the Least Performing Index is less than its Initial Value and its
Interest Barrier and a Trigger Event has occurred.
Date
|
Closing Level of Least Performing Index
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
40.00
|
$0
|
Final Review Date
|
50.00
|
$500.00
|
|
Total Payment
|
$500.00 (-50.00% return)
|
Because the notes have not been automatically called, the Final
Value of the Least Performing Index is less than its Initial Value and its Interest Barrier, a Trigger Event has occurred and the Least
Performing Index Return is -50.00%, the payment at maturity will be $500.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)] = $500.00
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 (i) the Final Value of any Index is less than its Initial Value and (ii) a Trigger Event
has occurred, you will lose 1% of the principal amount of your notes for every 1% that the Final Value of the Least Performing Index is
less than its Initial Value. Accordingly, under these circumstances, you will lose some or all 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 level of each Index on that Review Date is greater
than or equal to its Interest Barrier. If the closing level of any Index 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 level of any Index 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 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.
PS-4
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the S&P 500® Index, the NASDAQ-100 Index® and the Russell 2000® Index
|
|
|
·
|
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 Index, which may be
significant. You will not participate in any appreciation of any Index.
|
·
|
YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX —
|
Payments on the notes are not linked to a basket composed
of the Indices and are contingent upon the performance of each individual Index. Poor performance by any of the Indices 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 Index.
|
·
|
YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING INDEX.
|
|
·
|
THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON ANY DAY DURING THE MONITORING PERIOD —
|
If, on any day during the Monitoring Period, the closing
level of any Index is less than its Trigger Value (i.e., a Trigger Event occurs) and the notes have not been automatically called,
the benefit provided by the Trigger Value will terminate and you will be fully exposed to any depreciation of the Least Performing Index.
You will be subject to this potential loss of principal even if that Index subsequently recovers such that the closing level of that Index
is greater than or equal to its Trigger Value.
|
·
|
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 three 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 SECURITIES INCLUDED IN ANY INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES.
|
|
·
|
THE RISK OF THE CLOSING LEVEL OF AN INDEX FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS GREATER IF THE LEVEL OF THAT INDEX
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.
PS-5
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the S&P 500® Index, the NASDAQ-100 Index® and the Russell 2000® Index
|
|
|
·
|
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.
|
·
|
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 levels of the Indices. 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 Indices
|
·
|
JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500® INDEX,
|
but JPMorgan Chase & Co. will not have any obligation
to consider your interests in taking any corporate action that might affect the level of the S&P 500® Index.
|
·
|
NON-U.S. SECURITIES RISK WITH RESPECT TO THE NASDAQ-100 INDEX® —
|
Some of the equity securities included in the NASDAQ-100
Index® 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 home countries of the issuers of those non-U.S. equity securities.
PS-6
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the S&P 500® Index, the NASDAQ-100 Index® and the Russell 2000® Index
|
|
|
·
|
AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH RESPECT TO THE RUSSELL 2000®
INDEX —
|
Small capitalization companies may be less able to withstand
adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization companies are less likely
to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock price pressure under
adverse market conditions.
PS-7
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the S&P 500® Index, the NASDAQ-100 Index® and the Russell 2000® Index
|
|
The Indices
The S&P 500® Index consists of stocks of 500
companies selected to provide a performance benchmark for the U.S. equity markets. For additional information about the S&P 500®
Index, see “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying underlying supplement.
The NASDAQ-100 Index® is a modified market capitalization-weighted
index of 100 of the largest non-financial securities listed on The NASDAQ Stock Market based on market capitalization. For additional
information about the NASDAQ-100 Index®, see “Equity Index Descriptions — The NASDAQ-100 Index®”
in the accompanying underlying supplement.
The Russell 2000® Index consists of the middle 2,000
companies included in the Russell 3000E™ Index and, as a result of the index calculation methodology, consists of the smallest 2,000
companies included in the Russell 3000® Index. The Russell 2000® Index is designed to track the performance
of the small capitalization segment of the U.S. equity market. For additional information about the Russell 2000® Index,
see “Equity Index Descriptions — The Russell Indices” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical performance of each
Index based on the weekly historical closing levels from January 8, 2016 through September 10, 2021. The closing level of the S&P
500® Index on September 14, 2021 was 4,443.05. The closing level of the NASDAQ-100 Index® on September 14,
2021 was 15,382.90. The closing level of the Russell 2000® Index on September 14, 2021 was 2,209.985. We obtained the closing
levels above and below from the Bloomberg Professional® service (“Bloomberg”), without independent verification.
The historical closing levels of each Index should not be taken
as an indication of future performance, and no assurance can be given as to the closing level of any Index on any Review Date or any day
during the Monitoring Period. There can be no assurance that the performance of the Indices will result in the return of any of your principal
amount or the payment of any interest.
PS-8
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the S&P 500® Index, the NASDAQ-100 Index® and the Russell 2000® 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 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.
PS-9
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the S&P 500® Index, the NASDAQ-100 Index® and the Russell 2000® Index
|
|
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 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
PS-10
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the S&P 500® Index, the NASDAQ-100 Index® and the Russell 2000® Index
|
|
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 Indices”
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-11
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the S&P 500® Index, the NASDAQ-100 Index® and the Russell 2000® 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-12
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the S&P 500® Index, the NASDAQ-100 Index® and the Russell 2000® Index
|
|
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Mar 2024 to Apr 2024
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Apr 2023 to Apr 2024