Neither the Securities and Exchange Commission (the “SEC”) nor any
state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing supplement
or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation to the contrary
is a criminal offense.
Pricing supplement to product supplement no. 4-II dated November
4, 2020, underlying supplement no. 1-II dated November 4, 2020
and the prospectus and prospectus supplement, each dated April 8, 2020
Key Terms
Issuer:
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase &
Co.
Guarantor:
JPMorgan Chase & Co.
Funds:
The Energy Select Sector SPDR® Fund (Bloomberg ticker: XLE) and the Financial Select Sector
SPDR® Fund (Bloomberg ticker: XLF)
Contingent Interest
Payments: If the notes have not been automatically called and the closing price of one share of each Fund 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 $19.50 (equivalent to a Contingent Interest Rate of 7.80% per annum, payable at a rate of
1.95% per quarter).
If the closing price of one share of either Fund on any Review Date is less
than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date.
Contingent
Interest Rate: 7.80% per annum, payable at a rate of 1.95% per quarter
Interest Barrier / Trigger Value: With
respect to each Fund, 70.00% of its Initial Value, which is $39.172 for the Energy Select Sector SPDR® Fund and $27.027
for the Financial Select Sector SPDR® Fund
Pricing Date:
December 6, 2021
Original
Issue Date (Settlement Date): On or about December 9, 2021
Review Dates*:
March 7, 2022, June 6, 2022, September 6, 2022, December 6, 2022, March 6, 2023 and June 6, 2023 (final Review Date)
Interest Payment
Dates*: March 10, 2022, June 9, 2022, September 9, 2022, December 9, 2022, March 9, 2023 and the Maturity Date
Maturity Date*:
June 9, 2023
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 Multiple Underlyings”
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 each Fund on any Review Date (other than the final
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 the Final Value of each Fund is greater
than or equal to its 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 applicable to the final Review Date.
If the notes have not been automatically called and the Final Value of either Fund is
less than its Trigger Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing Fund Return)
If the notes have not been automatically called and the Final Value of either Fund
is less than its Trigger Value, you will lose more than 30.00% of your principal amount at maturity and could lose all of your principal
amount at maturity.
Lesser Performing Fund: The
Fund with the Lesser Performing Fund Return
Lesser Performing Fund Return: The
lower of the Fund Returns of the Funds
Fund Return:
With respect to each Fund,
(Final Value – Initial Value)
Initial Value
Initial Value:
With respect to each Fund, the closing price of one share of that Fund on the Pricing Date, which was $55.96 for the Energy Select Sector
SPDR® Fund and $38.61 for the Financial Select Sector SPDR® Fund
Final
Value: With respect to each Fund, the closing price of one share of that Fund on the final
Review Date
Share Adjustment Factor:
With respect to each Fund, the Share Adjustment Factor is referenced in determining the closing price of one share of that Fund and is
set equal to 1.0 on the Pricing Date. The Share Adjustment Factor of each Fund is subject to adjustment upon the occurrence of certain
events affecting that Fund. See “The Underlyings — Funds — Anti-Dilution Adjustments” in the accompanying product
supplement for further information.
|
PS-1
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing
of the Energy Select Sector SPDR® Fund and the Financial Select Sector SPDR® Fund
|
|
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 Contingent Interest Notes Linked to the Lesser Performing
of the Energy Select Sector SPDR® Fund and the Financial Select Sector SPDR® Fund
|
|
Total Contingent Interest Payments
The table below illustrates the hypothetical total Contingent Interest
Payments per $1,000 principal amount note over the term of the notes based on the Contingent Interest Rate of 7.80% per annum, depending
on how many Contingent Interest Payments are made prior to automatic call or maturity.
Number of Contingent Interest Payments
|
Total Contingent Interest Payments
|
6
|
$117.00
|
5
|
$97.50
|
4
|
$78.00
|
3
|
$58.50
|
2
|
$39.00
|
1
|
$19.50
|
0
|
$0.00
|
Hypothetical Payout Examples
The following examples illustrate payments on the notes linked
to two hypothetical Funds, assuming a range of performances for the hypothetical Lesser Performing Fund on the Review Dates. Each hypothetical
payment set forth below assumes that the closing price of one share of the Fund that is not the Lesser Performing Fund 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 Lesser Performing Fund of $100.00;
|
|
·
|
an Interest Barrier and a Trigger Value for the Lesser Performing Fund of $70.00 (equal to 70.00% of its hypothetical Initial Value);
and
|
|
·
|
a Contingent Interest Rate of 7.80% per annum (payable at a rate of 1.95% per quarter).
|
The hypothetical Initial Value of the Lesser Performing
Fund of $100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value of either Fund. The actual
Initial Value of each Fund is the closing price of one share of that Fund on the Pricing Date and is specified under “Key Terms
— Initial Value” in this pricing supplement. For historical data regarding the actual
closing prices of one share of each Fund, please see the historical information set forth under “The Funds” 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 of One Share of Lesser Performing Fund
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
$105.00
|
$1,019.50
|
|
Total Payment
|
$1,019.50 (1.95% return)
|
Because the closing price of one share of each Fund 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 $1,019.50 (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.
PS-3
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing
of the Energy Select Sector SPDR® Fund and the Financial Select Sector SPDR® Fund
|
|
Example 2 — Notes have NOT been automatically called and
the Final Value of the Lesser Performing Fund is greater than or equal to its Trigger Value.
Date
|
Closing Price of One Share of Lesser Performing Fund
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
$95.00
|
$19.50
|
Second Review Date
|
$85.00
|
$19.50
|
Third through Fifth Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
$90.00
|
$1,019.50
|
|
Total Payment
|
$1,058.50 (5.85% return)
|
Because the notes have not been automatically called and the Final
Value of the Lesser Performing Fund is greater than or equal to its Trigger Value, the payment at maturity, for each $1,000 principal
amount note, will be $1,019.50 (or $1,000 plus the Contingent Interest Payment applicable to the final Review Date). When added
to the Contingent Interest Payments received with respect to the prior Review Dates, the total amount paid, for each $1,000 principal
amount note, is $1,058.50.
Example 3 —
Notes have NOT been automatically called and the Final Value of the Lesser Performing Fund is less than its Trigger Value.
Date
|
Closing Price of One Share of Lesser Performing Fund
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
$40.00
|
$0
|
Second Review Date
|
$45.00
|
$0
|
Third through Fifth 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
Value of the Lesser Performing Fund is less than its Trigger Value and the Lesser Performing Fund 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 the Final Value of either Fund is less than its Trigger Value, you will lose 1% of the principal
amount of your notes for every 1% that the Final Value of the Lesser Performing Fund is less than its Initial Value. Accordingly, under
these circumstances, you will lose more than 30.00% 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 price of one share of each Fund on that Review Date
is greater than or equal to its Interest Barrier. If the closing price of one share of either Fund 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 price of one
share of either Fund on each Review Date is less than its Interest Barrier, you will not receive any interest payments over the term of
the notes.
PS-4
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing
of the Energy Select Sector SPDR® Fund and the Financial Select Sector SPDR® Fund
|
|
|
·
|
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.
|
·
|
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 either Fund, which may
be significant. You will not participate in any appreciation of either Fund.
|
·
|
YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE PRICE OF ONE SHARE OF EACH FUND —
|
Payments on the notes are not linked to a basket composed
of the Funds and are contingent upon the performance of each individual Fund. Poor performance by either of the Funds 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 the other Fund.
|
·
|
YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LESSER PERFORMING FUND.
|
|
·
|
THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE —
|
If the Final Value of either Fund is less than its 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 Lesser Performing Fund.
|
·
|
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 EITHER FUND OR THE SECURITIES HELD BY EITHER FUND OR HAVE ANY RIGHTS WITH RESPECT TO THE FUNDS
OR THOSE SECURITIES.
|
|
·
|
THE RISK OF THE CLOSING PRICE OF ONE SHARE OF A FUND FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS GREATER IF THE PRICE
OF ONE SHARE OF THAT FUND 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.
PS-5
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing
of the Energy Select Sector SPDR® Fund and the Financial Select Sector SPDR® Fund
|
|
Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes
|
·
|
THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES —
|
The estimated value of the notes is only an estimate determined
by reference to several factors. The original issue price of the notes exceeds the estimated value of the notes because costs associated
with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include the selling
commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes and the estimated cost of hedging our obligations under the notes. See “The Estimated Value of the Notes”
in this pricing supplement.
|
·
|
THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES —
|
See “The Estimated Value of the Notes” in this
pricing supplement.
|
·
|
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 prices of one share of the Funds. 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-6
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing
of the Energy Select Sector SPDR® Fund and the Financial Select Sector SPDR® Fund
|
|
Risks Relating to the Funds
|
·
|
JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE FINANCIAL SELECT SECTOR SPDR® FUND AND
ITS UNDERLYING INDEX,
|
but JPMorgan Chase & Co. will not have any obligation
to consider your interests in taking any corporate action that might affect the price of the Financial Select Sector SPDR®
Fund or the level of its Underlying Index (as defined under “The Funds” below).
|
·
|
THERE ARE RISKS ASSOCIATED WITH THE FUNDS —
|
The Funds are subject to management risk, which is the risk
that the investment strategies of the applicable Fund’s investment adviser, the implementation of which is subject to a number of
constraints, may not produce the intended results. These constraints could adversely affect the market prices of the shares of the Funds
and, consequently, the value of the notes.
|
·
|
THE PERFORMANCE AND MARKET VALUE OF EACH FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE
OF THAT FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE —
|
Each Fund does not fully replicate its Underlying Index
(as defined under “The Funds” below) and may hold securities different from those included in its Underlying Index. In addition,
the performance of each Fund will reflect additional transaction costs and fees that are not included in the calculation of its Underlying
Index. All of these factors may lead to a lack of correlation between the performance of each Fund and its Underlying Index. In addition,
corporate actions with respect to the equity securities underlying a Fund (such as mergers and spin-offs) may impact the variance between
the performances of that Fund and its Underlying Index. Finally, because the shares of each Fund are traded on a securities exchange and
are subject to market supply and investor demand, the market value of one share of each Fund may differ from the net asset value per share
of that Fund.
During periods of market volatility, securities underlying
each Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately the net asset value per
share of that Fund and the liquidity of that Fund may be adversely affected. This kind of market volatility may also disrupt the ability
of market participants to create and redeem shares of a Fund. Further, market volatility may adversely affect, sometimes materially, the
prices at which market participants are willing to buy and sell shares of a Fund. As a result, under these circumstances, the market value
of shares of a Fund may vary substantially from the net asset value per share of that Fund. For all of the foregoing reasons, the performance
of each Fund may not correlate with the performance of its Underlying Index as well as the net asset value per share of that Fund, which
could materially and adversely affect the value of the notes in the secondary market and/or reduce any payment on the notes.
|
·
|
RISKS ASSOCIATED WITH THE ENERGY SECTOR WITH RESPECT TO THE ENERGY SELECT SECTOR SPDR® FUND —
|
All or substantially all of the equity securities held by
the Energy Select Sector SPDR® Fund are issued by companies whose primary line of business is directly associated with
the energy sector. As a result, the value of the notes may be subject to greater volatility and be more adversely affected by a single
economic, political or regulatory occurrence affecting this sector than a different investment linked to securities of a more broadly
diversified group of issuers. Issuers in energy-related industries can be significantly affected by fluctuations in energy prices and
supply and demand of energy fuels. Markets for various energy-related commodities can have significant volatility, and are subject to
control or manipulation by large producers or purchasers. Companies in the energy sector may need to make substantial expenditures, and
to incur significant amounts of debt, in order to maintain or expand their reserves. Oil and gas exploration and production can be significantly
affected by natural disasters as well as changes in exchange rates, interest rates, government regulation, world events and economic conditions.
These companies may be at risk for environmental damage claims. These factors could affect the energy sector and could affect the value
of the equity securities held by the Energy Select Sector SPDR® Fund and the price of the Energy Select Sector SPDR®
Fund during the term of the notes, which may adversely affect the value of your notes.
|
·
|
RISKS ASSOCIATED WITH THE FINANCIAL SECTOR WITH RESPECT TO THE FINANCIAL SELECT SECTOR SPDR® FUND —
|
All or substantially all of the equity securities held by
the Financial Select Sector SPDR® Fund are issued by companies whose primary line of business is directly associated with
the financial sector. As a result, the value of the notes may be subject to greater volatility and be more adversely affected by
a single economic, political or regulatory occurrence affecting this sector than a different investment linked to securities of a more
broadly diversified group of issuers. Financial services companies are subject to extensive government regulation, which may
limit both the amounts and types of loans and other financial commitments they can make, the interest rates and fees they can charge,
the scope of their activities, the prices they can charge and the amount of capital they must maintain. Profitability is largely
dependent on the availability and cost of capital funds and can fluctuate significantly when interest rates change or due to increased
competition. In addition, deterioration of the credit markets generally
PS-7
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing
of the Energy Select Sector SPDR® Fund and the Financial Select Sector SPDR® Fund
|
|
may cause an adverse impact in a broad range of markets, including U.S.
and international credit and interbank money markets generally, thereby affecting a wide range of financial institutions and markets.
Certain events in the financial sector may cause an unusually high degree of volatility in the financial markets, both domestic
and foreign, and cause certain financial services companies to incur large losses. Securities of financial services companies may
experience a dramatic decline in value when these companies experience substantial declines in the valuations of their assets, take action
to raise capital (such as the issuance of debt or equity securities) or cease operations. Credit losses resulting from financial difficulties
of borrowers and financial losses associated with investment activities can negatively impact the financial sector. Insurance companies
may be subject to severe price competition. Adverse economic, business or political developments could adversely affect financial
institutions engaged in mortgage finance or other lending or investing activities directly or indirectly connected to the value of real
estate. These factors could affect the financial sector and could affect the value of the equity securities held by the Financial Select
Sector SPDR® Fund and the price of the Financial Select Sector SPDR® Fund during the term of the notes,
which may adversely affect the value of your notes.
|
·
|
THE FINANCIAL SELECT SECTOR SPDR® FUND NO LONGER PROVIDES EXPOSURE TO THE REAL ESTATE SECTOR —
|
The Financial Select Sector SPDR® Fund seeks
to track the Financial Select Sector Index. In September 2016, the Financial Select Sector Index was reconstituted to eliminate
the stocks of real estate management and development companies and real estate investment trusts (“REITs”) (other than mortgage
REITs) (“real estate stocks”) and the Financial Select Sector SPDR® Fund implemented a corresponding change
to its portfolio by divesting real estate stocks representing nearly 20% of its net asset value. As a result, the Financial Select
Sector SPDR® Fund no longer holds real estate stocks. Consequently, the Financial Select Sector SPDR®
Fund is less diversified, and is more concentrated in the financial sector, than it was before this change to its portfolio. These
changes represent a significant change in the nature of the Financial Select Sector SPDR® Fund and its holdings and could
adversely affect the performance of the and, in turn, the value of the notes.
|
·
|
THE ANTI-DILUTION PROTECTION FOR THE FUNDS IS LIMITED —
|
The calculation agent will make adjustments to the Share
Adjustment Factor for each Fund for certain events affecting the shares of that Fund. However, the calculation agent will not make an
adjustment in response to all events that could affect the shares of the Funds. If an event occurs that does not require the calculation
agent to make an adjustment, the value of the notes may be materially and adversely affected.
PS-8
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing
of the Energy Select Sector SPDR® Fund and the Financial Select Sector SPDR® Fund
|
|
The Funds
The Energy Select Sector SPDR® Fund is an exchange-traded
fund of the Select Sector SPDR® Trust, a registered investment company, that seeks to provide investment results that,
before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Energy
Select Sector Index, which we refer to as the Underlying Index with respect to the Energy Select Sector SPDR® Fund. The
Energy Select Sector Index is a modified market capitalization-based index that measures the performance of the GICS® energy
sector of the S&P 500® Index, which currently includes companies in the following industries: energy equipment and
services; and oil, gas and consumable fuels. For additional information about the Energy Select Sector SPDR® Fund, see
“Fund Descriptions — The Select Sector SPDR® Funds” in the accompanying underlying supplement.
The Financial Select Sector SPDR® Fund is an exchange-traded
fund of the Select Sector SPDR® Trust, a registered investment company, that seeks to provide investment results that,
before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Financial
Select Sector Index, which we refer to as the Underlying Index with respect to the Financial Select Sector SPDR® Fund.
The Financial Select Sector Index is a modified market capitalization-based index that measures the performance of the GICS®
financial sector of the S&P 500® Index, which currently includes companies in the following industries: banks; thrifts
& mortgage finance; diversified financial services; consumer finance; capital markets; mortgage real estate investment trusts (“REITs”);
and insurance. For additional information about the Financial Select Sector SPDR® Fund, see “Fund Descriptions
— The Select Sector SPDR® Funds” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical performance of each
Fund based on the weekly historical closing prices of one share of each Fund from January 8, 2016 through December 3, 2021. The closing
price of one share of the Energy Select Sector SPDR® Fund on December 6, 2021 was $55.96. The closing price of one share
of the Financial Select Sector SPDR® Fund on December 6, 2021 was $38.61. 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 actions taken by the Funds, such as stock splits.
In September 2016, the Financial Select Sector SPDR®
Fund made a significant change to its portfolio so that it no longer holds real estate stocks. The historical performance of the Financial
Select Sector SPDR® Fund shown below might have been meaningfully different had the Financial Select Sector SPDR®
Fund not held real estate stocks prior to September 19, 2016.
The historical closing prices of one share of each Fund 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 either Fund
on any Review Date. There can be no assurance that the performance of the Funds will result in the return of any of your principal amount
or the payment of any interest.
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of the Energy Select Sector SPDR® Fund and the Financial Select Sector SPDR® Fund
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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, 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.
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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 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.
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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 Funds”
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.
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.
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| Structured Investments
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of the Energy Select Sector SPDR® Fund and the Financial Select Sector SPDR® Fund
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