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.
Pricing supplement to product supplement no. 4-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.
Basket: The notes are linked
to an equally weighted basket consisting of four Reference Stocks, as specified under “Key Terms Relating to the Reference Stocks”
in this pricing supplement.
Stock Weight:
With respect to each Reference Stock, as specified under “Key Terms Relating to the Reference Stocks”
in this pricing supplement
Contingent
Interest Payments: If the notes have not been automatically called and the closing level of the Basket on any Review Date is
greater than or equal to the Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal amount
note a Contingent Interest Payment equal to at least $8.75 (equivalent to a Contingent Interest Rate of at least 10.50% per annum, payable
at a rate of at least 0.875% per month) (to be provided in the pricing supplement).
If the closing level of the Basket on any Review Date is less than
the Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date.
Contingent
Interest Rate: At least 10.50% per annum, payable at a rate of at least 0.875% per month (to
be provided in the pricing supplement)
Interest Barrier: 70.00%
of the Initial Basket Value, which is 70.00
Trigger Value: 60.00% of
the Initial Basket Value, which is 60.00
Pricing
Date: On or about September 22, 2021
Original
Issue Date (Settlement Date): On or about September 27, 2021
Review
Dates*: October 22, 2021, November 22, 2021, December 22, 2021, January 24, 2022, February
22, 2022, March 22, 2022, April 22, 2022, May 23, 2022, June 22, 2022, July 22, 2022, August 22, 2022, September 22, 2022, October 24,
2022, November 22, 2022, December 22, 2022, January 23, 2023, February 22, 2023, March 22, 2023, April 24, 2023, May 22, 2023, June 22,
2023, July 24, 2023, August 22, 2023, September 22, 2023, October 23, 2023, November 22, 2023, December 22, 2023, January 22, 2024, February
22, 2024, March 22, 2024, April 22, 2024, May 22, 2024 and June 24, 2024 (final Review Date)
Interest
Payment Dates*: October 27, 2021, November 26, 2021, December 28, 2021, January 27, 2022, February 25, 2022, March 25, 2022,
April 27, 2022, May 26, 2022, June 27, 2022, July 27, 2022, August 25, 2022, September 27, 2022, October 27, 2022, November 28, 2022,
December 28, 2022, January 26, 2023, February 27, 2023, March 27, 2023, April 27, 2023, May 25, 2023, June 27, 2023, July 27, 2023, August
25, 2023, September 27, 2023, October 26, 2023, November 28, 2023, December 28, 2023, January 25, 2024, February 27, 2024, March 27, 2024,
April 25, 2024, May 28, 2024 and the Maturity Date
Maturity
Date*: June 27, 2024
Call Settlement Date*:
If the notes are automatically called on any Review Date (other than the first through fifth and final Review Dates), the first
Interest Payment Date immediately following that Review Date
* Subject to postponement in the event of a market disruption
event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple
Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
|
Automatic Call:
If the closing level of the Basket on any Review Date (other than the
first through fifth and final Review Dates) is greater than or equal to the Initial Basket Value, the notes will be automatically called
for a cash payment, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable
to that Review Date, payable on the applicable Call Settlement Date. No further payments will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final Basket Value
is greater than or equal to the Trigger Value, 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, if any, applicable to the final Review Date.
If the notes have not been automatically called and the Final Basket Value
is less than the Trigger Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Basket Return)
If the notes have not been automatically called and the Final Basket Value
is less than the Trigger Value, you will lose more than 40.00% of your principal amount at maturity and could lose all of your principal
amount at maturity.
Basket Return:
(Final Basket Value – Initial Basket Value)
Initial Basket Value
Initial Basket Value:
Set equal to 100 on the Pricing Date
Final Basket Value:
The closing level of the Basket on the Observation Date
Closing Level of the Basket:
On any relevant day,
100 × [1 + sum of (Stock Return of each Reference Stock ×
Stock Weight of that Reference Stock)]
Stock Return:
With respect to each Reference Stock, on any relevant day,
(Final Value – Initial Value)
Initial Value
Initial Value: With respect
to each Reference Stock, the closing price of one share of that Reference Stock on the Pricing Date, as specified under “Key Terms
Relating to the Reference Stocks” in this pricing supplement
Final Value: With respect
to each Reference Stock, on any relevant day, the closing price of one share of that Reference Stock on that day
Stock
Adjustment Factor: With respect to each Reference Stock, the Stock Adjustment Factor is referenced in determining the closing
price of one share of that Reference Stock and is set equal to 1.0 on the Pricing Date. The Stock Adjustment Factor of each Reference
Stock is subject to adjustment upon the occurrence of certain corporate events affecting that Reference Stock. See “The Underlyings
— Reference Stocks — Anti-Dilution Adjustments” and “The Underlyings — Reference Stocks — Reorganization
Events” in the accompanying product supplement for further information.
|
PS-1
| Structured Investments
Auto Callable Contingent Interest Notes Linked to an Equally
Weighted Basket of Four Reference Stocks
|
|
Key Terms Relating
to the Reference Stocks
Reference Stock
|
Bloomberg
Ticker Symbol
|
Stock Weight
|
Initial Value
|
Common stock of Las Vegas Sands Corp., par value $0.001 per share
|
LVS
|
25.00%
|
$
|
Common stock of Wynn Resorts, Limited, par value $0.01 per share
|
WYNN
|
25.00%
|
$
|
Common stock of Caesars Entertainment, Inc., par value $0.00001 per share
|
CZR
|
25.00%
|
$
|
Class A common stock of DraftKings Inc., par value $0.0001 per share
|
DKNG
|
25.00%
|
$
|
PS-2
| Structured Investments
Auto Callable Contingent Interest Notes Linked to an Equally
Weighted Basket of Four Reference Stocks
|
|
Payment in Connection with the
First through Fifth Review Dates
Payments in Connection with Review Dates (Other
than the First through Fifth and Final Review Dates)
PS-3
| Structured Investments
Auto Callable Contingent Interest Notes Linked to an Equally
Weighted Basket of Four Reference Stocks
|
|
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 a hypothetical Contingent Interest Rate of 10.50%
per annum, depending on how many Contingent Interest Payments are made prior to automatic call or maturity. The actual Contingent Interest
Rate will be provided in the pricing supplement and will be at least 10.50% per annum.
Number of Contingent
Interest Payments
|
Total Contingent Interest
Payments
|
33
|
$288.75
|
32
|
$280.00
|
31
|
$271.25
|
30
|
$262.50
|
29
|
$253.75
|
28
|
$245.00
|
27
|
$236.25
|
26
|
$227.50
|
25
|
$218.75
|
24
|
$210.00
|
23
|
$201.25
|
22
|
$192.50
|
21
|
$183.75
|
20
|
$175.00
|
19
|
$166.25
|
18
|
$157.50
|
17
|
$148.75
|
16
|
$140.00
|
15
|
$131.25
|
14
|
$122.50
|
PS-4
| Structured Investments
Auto Callable Contingent Interest Notes Linked to an Equally
Weighted Basket of Four Reference Stocks
|
|
13
|
$113.75
|
12
|
$105.00
|
11
|
$96.25
|
10
|
$87.50
|
9
|
$78.75
|
8
|
$70.00
|
7
|
$61.25
|
6
|
$52.50
|
5
|
$43.75
|
4
|
$35.00
|
3
|
$26.25
|
2
|
$17.50
|
1
|
$8.75
|
0
|
$0.00
|
PS-5
| Structured Investments
Auto Callable Contingent Interest Notes Linked to an Equally
Weighted Basket of Four Reference Stocks
|
|
Hypothetical Payout Examples
The following examples illustrate payments on the notes,
assuming a range of performances for the Basket on the Review Dates. The hypothetical payments set forth below assume the following:
|
·
|
an Initial Basket Value of 100.00;
|
|
·
|
an Interest Barrier of 70.00 (equal to 70.00% of the Initial Basket Value);
|
|
·
|
a Trigger Value of 60.00 (equal to 60.00% of the Initial Basket Value); and
|
|
·
|
a Contingent Interest Rate of 10.50% per annum (payable at a rate of 0.875% per month).
|
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 sixth Review Date.
Date
|
Closing Level of the Basket
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
105.00
|
$8.75
|
Second Review Date
|
115.00
|
$8.75
|
Third through Fifth Review Dates
|
Greater than Initial Basket Value
|
$8.75
|
Sixth Review Date
|
110.00
|
1,008.75
|
|
Total Payment
|
$1,052.50 (5.25% return)
|
Because the closing level of the Basket on the sixth
Review Date is greater than or equal to the Initial Basket Value, the notes will be automatically called for a cash payment, for each
$1,000 principal amount note, of $1,008.75 (or $1,000 plus the Contingent Interest Payment applicable to the sixth Review Date),
payable on the applicable Call Settlement Date. The notes are not automatically callable before the sixth Review Date, even though the
closing level of the Basket on each of the first through fifth Review Dates is greater than the Initial Basket Value. When added to the
Contingent Interest Payments received with respect to the prior Review Dates, the total amount paid, for each $1,000 principal amount
note, is $1,052.50. No further payments will be made on the notes.
Example 2 — Notes have NOT been automatically
called and the Final Basket Value is greater than or equal to the Trigger Value and the Interest Barrier.
Date
|
Closing Level of the Basket
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
95.00
|
$8.75
|
Second Review Date
|
85.00
|
$8.75
|
Third through Thirty-Second Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
90.00
|
$1,008.75
|
|
Total Payment
|
$1,026.25 (2.625% return)
|
Because the notes have not been automatically called
and the Final Basket Value is greater than or equal to the Trigger Value and the Interest Barrier, the payment at maturity, for each $1,000
principal amount note, will be $1,008.75 (or $1,000 plus the Contingent Interest Payment applicable to the final Review Date).
When added to the Contingent Interest Payments received with respect to the prior Review Dates, the total amount paid, for each $1,000
principal amount note, is $1,026.25.
PS-6
| Structured Investments
Auto Callable Contingent Interest Notes Linked to an Equally
Weighted Basket of Four Reference Stocks
|
|
Example 3 — Notes have NOT been automatically
called and the Final Basket Value is less than the Interest Barrier but is greater than or equal to the Trigger Value.
Date
|
Closing Level of the Basket
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
95.00
|
$8.75
|
Second Review Date
|
80.00
|
$8.75
|
Third through Thirty-Second Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
65.00
|
$1,000.00
|
|
Total Payment
|
$1,017.50 (1.75% return)
|
Because the notes have not been automatically called
and the Final Basket Value is less than the Interest Barrier but is greater than or equal to the Trigger Value, the payment at maturity,
for each $1,000 principal amount note, will be $1,000.00. When added to the Contingent Interest Payments received with respect to the
prior Review Dates, the total amount paid, for each $1,000 principal amount note, is $1,017.50.
Example
4 — Notes have NOT been automatically called and the Final Basket Value is less than the Trigger Value.
Date
|
Closing Level of the Basket
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
40.00
|
$0
|
Second Review Date
|
45.00
|
$0
|
Third through Thirty-Second Review Dates
|
Less than Interest Barrier
|
$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 Basket Value is less than the Trigger Value and the Basket 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 and 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.
If the notes have not been automatically called and the Final Basket Value is less than the Trigger Value, you will lose 1% of the principal
amount of your notes for every 1% that the Final Basket Value is less than the Initial Basket Value. Accordingly, under these circumstances,
you will lose more than 40.00% of your principal amount at maturity and could lose 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 the Basket on that Review Date is
greater than or equal to the Interest Barrier. If the closing level of the Basket on that Review Date is less than the Interest Barrier,
no Contingent Interest Payment will be made with respect to that Review Date. Accordingly, if the closing level of the Basket on each
Review Date is less than the 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
PS-7
| Structured Investments
Auto Callable Contingent Interest Notes Linked to an Equally
Weighted Basket of Four Reference Stocks
|
|
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 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 the Basket,
which may be significant. You will not participate in any appreciation of the Basket.
|
·
|
THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE —
|
If the Final Basket Value is less than the Trigger
Value 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 Basket.
|
·
|
THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
|
If your notes are automatically called, the
term of the notes may be reduced to as short as approximately six months and you will not receive any Contingent Interest Payments after
the applicable Call Settlement Date. There is no guarantee that you would be able to reinvest the proceeds from an investment in the notes
at a comparable return and/or with a comparable interest rate for a similar level of risk. Even in cases where the notes are called before
maturity, you are not entitled to any fees and commissions described on the front cover of this pricing supplement.
|
·
|
CORRELATION (OR LACK OF CORRELATION) OF THE REFERENCE STOCKS —
|
The notes are linked to an equally weighted Basket
composed of four Reference Stocks. In calculating the Final Basket Value, an increase in the price of one share of one of the Reference
Stocks may be moderated, or more than offset, by lesser increases or declines in the prices of one share of the other Reference Stocks.
In addition, high correlation of movements in the prices of one share of the Reference Stocks during periods of negative returns among
the Reference Stocks could have an adverse effect on the return on the notes.
|
·
|
YOU WILL NOT RECEIVE DIVIDENDS ON ANY REFERENCE STOCK OR HAVE ANY RIGHTS WITH RESPECT TO ANY REFERENCE STOCK.
|
|
·
|
THE RISK OF THE CLOSING LEVEL OF THE BASKET FALLING BELOW THE INTEREST BARRIER OR TRIGGER VALUE IS GREATER IF THE LEVEL OF THE
BASKET 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.
|
·
|
THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT —
|
You should consider your potential investment
in the notes based on the minimums for the estimated value of the notes and the Contingent Interest Rate.
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.
PS-8
| Structured Investments
Auto Callable Contingent Interest Notes Linked to an Equally
Weighted Basket of Four Reference Stocks
|
|
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 —
|
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 level of the Basket. 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.
PS-9
| Structured Investments
Auto Callable Contingent Interest Notes Linked to an Equally
Weighted Basket of Four Reference Stocks
|
|
Risks Relating to
the Basket
|
·
|
NO AFFILIATION WITH ANY REFERENCE STOCK ISSUER —
|
We have not independently verified any of the
information about any Reference Stock issuer contained in this pricing supplement. You should undertake your own investigation into each
Reference Stock and its issuer. We are not responsible for any Reference Stock issuer’s public disclosure of information, whether
contained in SEC filings or otherwise.
|
·
|
THE REFERENCE STOCKS ARE CONCENTRATED IN THE GAMING INDUSTRY —
|
Each Reference Stock has been issued by a company
whose business is associated with the gaming industry. 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 that industry. 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 that industry than a different investment linked to securities of a more broadly diversified group of
issuers.
|
·
|
LIMITED TRADING HISTORY WITH RESPECT TO THE CLASS A COMMON STOCK OF DRAFTKINGS INC. —
|
The Class A common stock of DraftKings Inc.
commenced trading on The NASDAQ Stock Market on April 24, 2020 following a merger with a special purpose acquisition company and therefore
has limited historical performance. Accordingly, historical information for the Class A common stock of DraftKings Inc. is available
only since that date. Past performance should not be considered indicative of future performance.
|
·
|
THE ANTI-DILUTION PROTECTION FOR EACH REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY —
|
The calculation agent will not make an adjustment
in response to all events that could affect any Reference Stock. 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 Basket
The return on the notes is linked to an equally weighted
basket consisting of four Reference Stocks.
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.
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 the Bloomberg Professional® service
(“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.
Reference Stock
|
Bloomberg Ticker
Symbol
|
Relevant
Exchange
|
SEC File
Number
|
Closing Price on
September 15, 2021
|
Common stock of Las Vegas Sands Corp., par value $0.001 per share
|
LVS
|
New York Stock Exchange
|
001-32373
|
$38.05
|
Common stock of Wynn Resorts, Limited, par value $0.01 per share
|
WYNN
|
The NASDAQ Stock Market
|
000-50028
|
$86.44
|
Common stock of Caesars Entertainment, Inc., par value $0.00001 per share
|
CZR
|
The NASDAQ Stock Market
|
001-36629
|
$107.33
|
Class A common stock of DraftKings Inc., par value $0.0001 per share
|
DKNG
|
The NASDAQ Stock Market
|
001-38908
|
$59.84
|
According to publicly available filings of the relevant
Reference Stock issuer with the SEC:
|
·
|
Las Vegas Sands Corp. is a developer of destination properties that feature accommodations, gaming, entertainment
and retail malls, convention and exhibition facilities, restaurants and other amenities.
|
|
·
|
Wynn Resorts is a designer, developer and operator of integrated resorts featuring hotel rooms, retail
space, dining and entertainment options, meeting and convention facilities and gaming.
|
PS-10
| Structured Investments
Auto Callable Contingent Interest Notes Linked to an Equally
Weighted Basket of Four Reference Stocks
|
|
|
·
|
Caesars Entertainment, Inc. is a gaming and hospitality company whose primary source of revenue is generated
by gaming operations and that utilizes its hotels, restaurants, bars, entertainment, racing, sportsbook offerings, retail shops and other
services to attract customers to its properties.
|
|
·
|
DraftKings Inc. is a digital sports entertainment and gaming company that provides users with daily fantasy
sports, sports betting and online casino opportunities and that is also involved in the design, development and licensing of sports betting
and casino gaming software for online and retail sportsbook and casino gaming products.
|
Historical Information
The first graph sets forth the historical performance
of the Basket as a whole based on the weekly historical closing prices of one share of each Reference Stock from April 24, 2020 through
September 10, 2021. The graph of the historical performance of the Basket assumes that the closing level of the Basket on January 8, 2016
was 100 and that the Stock Weights of the Reference Stocks were as specified under “Key Terms Relating to the Reference Stocks”
in this pricing supplement on that date. The other graphs below set forth the historical performance of each Reference Stock (other than
the Class A common stock of DraftKings Inc.) based on the weekly historical closing prices of one share of that Reference Stock from January
8, 2016 through September 10, 2021 and the historical performance of the Class A common stock of DraftKings Inc. based on the weekly historical
closing prices of one share of that Reference Stock from April 24, 2020 through September 10, 2021. The Class A common stock of DrafKings
Inc. commenced trading on The NASDAQ Stock Market on April 24, 2020 following a merger with a special purpose acquisition company and
therefore has limited historical performance.
The historical closing levels of the Basket and the
historical closing prices of one share of each Reference Stock should not be taken as an indication of future performance, and no assurance
can be given as to the closing level of the Basket on the Observation Date or the closing prices of one share of any Reference Stock on
the Pricing Date or the Observation Date. There can be no assurance that the performance of the Basket will result in the return of any
of your principal amount.
PS-11
| Structured Investments
Auto Callable Contingent Interest Notes Linked to an Equally
Weighted Basket of Four Reference Stocks
|
|
PS-12
| Structured Investments
Auto Callable Contingent Interest Notes Linked to an Equally
Weighted Basket of Four Reference Stocks
|
|
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.
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, 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
PS-13
| Structured Investments
Auto Callable Contingent Interest Notes Linked to an Equally
Weighted Basket of Four Reference Stocks
|
|
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.
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 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. A portion
of the profits, if any, realized in hedging our obligations under the notes may be allowed to other affiliated or unaffiliated dealers,
and we or one or more of our affiliates will retain any remaining hedging profits. See “Selected Risk Considerations — Risks
Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Will Be 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
PS-14
| Structured Investments
Auto Callable Contingent Interest Notes Linked to an Equally
Weighted Basket of Four Reference Stocks
|
|
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 Basket”
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.
Additional
Terms Specific to the Notes
You may revoke your offer to purchase the notes at
any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of,
or reject any offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes, we will notify
you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes, in which
case we may reject your offer to purchase.
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” sections of the accompanying prospectus supplement and 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.
PS-15
| Structured Investments
Auto Callable Contingent Interest Notes Linked to an Equally
Weighted Basket of Four Reference Stocks
|
|
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