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.
Reference
Stock: The common stock of Microsoft Corporation, par value $0.00000625 per share (Bloomberg
ticker: MSFT). We refer to Microsoft Company as “Microsoft.”
Interest Payments:
If the notes have not been automatically called, you will receive on each Interest Payment Date for each $1,000 principal amount note
an Interest Payment equal to at least $4.7083 (equivalent to an Interest Rate of at least 5.65% per annum, payable at a rate of at least
0.47083% per month) (to be provided in the pricing supplement).
Interest
Rate: At least 5.65% per annum, payable at a rate of at least 0.47083% per month (to be provided
in the pricing supplement)
Trigger Value: 81.00% of the Initial
Value
Pricing Date:
On or about September 27, 2021
Original
Issue Date (Settlement Date): On or about September 30, 2021
Review Dates*:
March 28, 2022, April 27, 2022, May 27, 2022, June 27, 2022, July 27, 2022, August 29, 2022, September 27, 2022 and October 27, 2022 (final
Review Date)
Interest Payment
Dates*: November 1, 2021, December 2, 2021, December 30, 2021, February 1, 2022, March 3, 2022, March 31, 2022, May 2, 2022,
June 2, 2022, June 30, 2022, August 1, 2022, September 1, 2022, September 30, 2022 and the Maturity Date
Maturity Date*:
November 1, 2022
Call Settlement Date*: If the notes
are automatically called on any Review Date (other than the final 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 a Single Underlying
— Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General Terms of Notes — Postponement
of a Payment Date” in the accompanying product supplement
|
Automatic Call:
If the closing price of one share of the Reference Stock on any Review Date (other
than the final Review Date) is greater than or equal to the 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 Interest Payment for the Interest Payment Date occurring
on the applicable Call Settlement Date, payable on that Call Settlement Date. No further payments will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final Value 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 Interest Payment applicable to the Maturity Date.
If the notes have not been automatically called and the Final Value is less than the
Trigger Value, your payment at maturity per $1,000 principal amount note, in addition to the Interest Payment applicable to the Maturity
Date, will be calculated as follows:
$1,000 + ($1,000 × Stock Return)
If the notes have not been automatically called and the Final Value is less than the
Trigger Value, you will lose more than 19.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
Stock Return:
(Final Value – Initial Value)
Initial Value
Initial
Value: The closing price of one share of the Reference Stock on the Pricing Date
Final
Value: The closing price of one share of the Reference Stock on the final Review Date
Stock Adjustment Factor:
The Stock Adjustment Factor is referenced in determining the closing price of one share of the Reference Stock and is set equal to 1.0
on the Pricing Date. The Stock Adjustment Factor is subject to adjustment upon the occurrence of certain corporate events affecting the
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 Yield Notes Linked to the Common Stock of Microsoft Corporation
|
|
How the Notes Work
Payments in Connection with Review Dates Preceding the Final Review
Date
Payment at Maturity If the Notes Have Not
Been Automatically Called
PS-2
| Structured Investments
Auto Callable Yield Notes Linked to the Common Stock of Microsoft Corporation
|
|
Total Interest Payments
The table below illustrates the hypothetical total Interest Payments
per $1,000 principal amount note over the term of the notes based on a hypothetical Interest Rate of 5.65% per annum, depending on how
many Interest Payments are made prior to automatic call or maturity. If the notes have not been automatically called, the hypothetical
total Interest Payments per $1,000 principal amount note over the term of the notes will be equal to the maximum amount shown in the table
below. The actual Interest Rate will be provided in the pricing supplement and will be at least 5.65% per annum.
Number of Interest Payments
|
Total Interest Payments
|
13
|
$61.2083
|
12
|
$56.5000
|
11
|
$51.7917
|
10
|
$47.0833
|
9
|
$42.3750
|
8
|
$37.6667
|
7
|
$32.9583
|
6
|
$28.2500
|
Hypothetical Payout Examples
The following examples illustrate payments on the notes linked
to a hypothetical Reference Stock, assuming a range of performances for the hypothetical Reference Stock on the Review Dates.
The hypothetical payments set forth below assume the following:
|
·
|
an Initial Value of $100.00;
|
|
·
|
a Trigger Value of $81.00 (equal to 81.00% of the hypothetical Initial Value); and
|
|
·
|
an Interest Rate of 5.65% per annum (payable at a rate of 0.47083% per month).
|
The hypothetical Initial Value of $100.00 has been chosen for illustrative
purposes only and may not represent a likely actual Initial Value. The actual Initial Value will be the closing price of one share of
the Reference Stock on the Pricing Date and will be provided in the pricing supplement. For historical data regarding the actual closing
prices of one share of the Reference Stock, please see the historical information set forth under “The Reference Stock” 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 Price
|
|
First Review Date
|
$105.00
|
Notes are automatically called
|
|
Total Payment
|
$1,028.25 (2.825% return)
|
Because the closing price of one share of the Reference Stock on
the first Review Date is greater than or equal to the Initial Value, the notes will be automatically called for a cash payment, for each
$1,000 principal amount note, of $1,004.7083 (or $1,000 plus the Interest Payment applicable to the corresponding Interest Payment
Date), payable on the applicable Call Settlement Date. When added to the Interest Payments received with respect to the prior Interest
Payment Dates, the total amount paid, for each $1,000 principal amount note, is $1,028.25. No further payments will be made on the notes.
PS-3
| Structured Investments
Auto Callable Yield Notes Linked to the Common Stock of Microsoft Corporation
|
|
Example 2 — Notes have NOT been automatically called and
the Final Value is greater than or equal to the Trigger Value.
Date
|
Closing Price
|
|
First Review Date
|
$95.00
|
Notes NOT automatically called
|
Second Review Date
|
$85.00
|
Notes NOT automatically called
|
Third through Seventh Review Dates
|
Less than Initial Value
|
Notes NOT automatically called
|
Final Review Date
|
$90.00
|
Notes NOT automatically called
|
|
Total Payment
|
$1,061.2083 (6.12083% return)
|
Because the notes have not been automatically called and the Final
Value is greater than or equal to the Trigger Value, the payment at maturity, for each $1,000 principal amount note, will be $1,004.7083
(or $1,000 plus the Interest Payment applicable to the Maturity Date). When added to the Interest Payments received with respect
to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $1,061.2083.
Example 3 —
Notes have NOT been automatically called and the Final Value is less than the Initial Value and the Trigger Value.
Date
|
Closing Price
|
|
First Review Date
|
$40.00
|
Notes NOT automatically called
|
Second Review Date
|
$45.00
|
Notes NOT automatically called
|
Third through Seventh Review Dates
|
Less than Initial Value
|
Notes NOT automatically called
|
Final Review Date
|
$50.00
|
Notes NOT automatically called
|
|
Total Payment
|
$561.2083 (-43.87917% return)
|
Because the notes have not been automatically called, the Final
Value is less than the Trigger Value and the Stock Return is -50.00%, the payment at maturity will be $504.7083 per $1,000 principal amount
note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)] + $4.7083 = $504.7083
When added to the Interest Payments received with respect to the
prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $561.2083.
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 Value is less than the Trigger Value, you will lose 1% of the principal amount
of your notes for every 1% that the Final Value is less than the Initial Value. Accordingly, under these circumstances, you will lose
more than 19.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
|
·
|
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.
PS-4
| Structured Investments
Auto Callable Yield Notes Linked to the Common Stock of Microsoft Corporation
|
|
|
·
|
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 THE INTEREST PAYMENTS PAID OVER THE TERM OF THE NOTES,
|
regardless of any appreciation of the Reference Stock, which
may be significant. You will not participate in any appreciation of the Reference Stock.
|
·
|
THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE —
|
If the Final 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 Reference Stock.
|
·
|
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 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 REFERENCE STOCK OR HAVE ANY RIGHTS WITH RESPECT TO THE REFERENCE STOCK.
|
|
·
|
THE RISK OF THE CLOSING PRICE OF ONE SHARE OF THE REFERENCE STOCK FALLING BELOW THE TRIGGER VALUE IS GREATER IF THE PRICE OF ONE
SHARE OF THE REFERENCE STOCK 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 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.
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
PS-5
| Structured Investments
Auto Callable Yield Notes Linked to the Common Stock of Microsoft Corporation
|
|
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 price of one share of the Reference Stock. Additionally, independent
pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes
in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
— Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
Risks Relating to the Reference Stock
|
·
|
NO AFFILIATION WITH THE REFERENCE STOCK ISSUER —
|
We have not independently verified any of the information
about the Reference Stock issuer contained in this pricing supplement. You should undertake your own investigation into the Reference
Stock and its issuer. We are not responsible for the Reference Stock issuer’s public disclosure of information, whether contained
in SEC filings or otherwise.
|
·
|
THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY —
|
The calculation agent will not make an adjustment in response
to all events that could affect the 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.
PS-6
| Structured Investments
Auto Callable Yield Notes Linked to the Common Stock of Microsoft Corporation
|
|
The Reference Stock
All information contained herein on the Reference Stock and on Microsoft
is derived from publicly available sources, without independent verification. According to its publicly available filings with the SEC,
Microsoft is a technology company that develops and supports software, services, devices and solutions. The common stock of Microsoft,
par value $0.00000625 per share (Bloomberg ticker: MSFT), is registered under the Securities Exchange Act of 1934, as amended, which we
refer to as the Exchange Act, and is listed on The NASDAQ Stock Market, which we refer to as the relevant exchange for purposes of Microsoft
in the accompanying product supplement. Information provided to or filed with the SEC by Microsoft pursuant to the Exchange Act can be
located by reference to the SEC file number 001-37845, and can be accessed through www.sec.gov. We do not make any representation that
these publicly available documents are accurate or complete.
Historical Information
The following graph sets forth the historical performance of the
Reference Stock based on the weekly historical closing prices of one share of the Reference Stock from January 8, 2016 through September
10, 2021. The closing price of one share of the Reference Stock on September 15, 2021 was $304.82. We obtained the closing prices above
and below from the Bloomberg Professional® service (“Bloomberg”), without independent verification. The closing
prices above and below may have been adjusted by Bloomberg for corporate actions, such as stock splits, public offerings, mergers and
acquisitions, spin-offs, delistings and bankruptcy.
The historical closing prices of one share of the Reference Stock
should not be taken as an indication of future performance, and no assurance can be given as to the closing price of one share of the
Reference Stock on the Pricing Date or any Review Date. There can be no assurance that the performance of the Reference Stock will result
in the return of any of your principal amount.
PS-7
| Structured Investments
Auto Callable Yield Notes Linked to the Common Stock of Microsoft Corporation
|
|
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-II. Based on the advice of Davis Polk &
Wardwell LLP, our special tax counsel, and on current market conditions, in determining our reporting responsibilities we intend to treat
the notes for U.S. federal income tax purposes as units each comprising: (x) a cash-settled Put Option written by you that is terminated
if an automatic call occurs and that, if not terminated, in circumstances where the payment due at maturity is less than the principal
amount (excluding accrued but unpaid interest), requires you to pay us an amount equal to the principal amount multiplied by the absolute
value of the Stock Return and (y) a Deposit of $1,000 per $1,000 principal amount note to secure your potential obligation under the Put
Option, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders —
Notes Treated as Units Each Comprising a Put Option and a Deposit” in the accompanying product supplement, and in particular in
the subsection thereof entitled “— Notes with a Term of More than One Year.” By purchasing the notes, you agree
(in the absence of an administrative determination or judicial ruling to the contrary) to follow this treatment and the allocation described
in the following paragraph. However, 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 and adversely affected. In addition, in 2007 Treasury
and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts”
and similar instruments. The notice focuses on a number of issues, the most relevant of which for investors in the notes are the
character of income or loss (including whether the Put Premium might be currently included as ordinary income) and the degree, if any,
to which income realized by non-U.S. investors should be subject to withholding tax. While it is not clear whether the notes would
be viewed as similar to the typical prepaid forward contract described in the notice, it is possible that any Treasury regulations or
other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment
in the notes, possibly with retroactive effect.
We will determine the portion of each Interest Payment on the
notes that we will allocate to interest on the Deposit and to Put Premium, respectively, and will provide that allocation in the pricing
supplement for the notes. If the notes had priced on September 15, 2021, we would have allocated approximately 4.60% of each Interest
Payment to interest on the Deposit and the remainder to Put Premium. The actual allocation that we will determine for the notes may differ
from this hypothetical allocation, and will depend upon a variety of factors, including actual market conditions and our borrowing costs
for debt instruments of comparable maturities on the Pricing Date. Assuming that the treatment of the notes as units each comprising a
Put Option and a Deposit is respected, amounts treated as interest on the Deposit will be taxed as ordinary income, while the Put Premium
will not be taken into account prior to sale or settlement, including a settlement following an automatic call.
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 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.
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 all aspects of the U.S. federal income tax consequences of an investment in the notes, including possible alternative
treatments and the issues presented by the 2007 notice. Purchasers who are not initial purchasers of notes at the issue price should also
consult their tax advisers with respect to the tax consequences of an investment in the notes, including possible alternative treatments,
as well as the allocation of the purchase price of the notes between the Deposit and the Put Option.
PS-8
| Structured Investments
Auto Callable Yield Notes Linked to the Common Stock of Microsoft Corporation
|
|
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 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.
PS-9
| Structured Investments
Auto Callable Yield Notes Linked to the Common Stock of Microsoft Corporation
|
|
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 Reference
Stock” 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-10
| Structured Investments
Auto Callable Yield Notes Linked to the Common Stock of Microsoft Corporation
|
|
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