Additional
Information about JPMorgan Financial, JPMorgan Chase & Co. and 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. 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.
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, the “Issuer,” “JPMorgan Financial,”
“we,” “us” and “our” refer to JPMorgan Chase Financial Company LLC.
For purposes of the accompanying product supplement, the common
stock of General Motors Company is an “Underlying Stock.”
Investor
Suitability
The Notes may be suitable for you if, among other considerations:
t You
fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
t You
can tolerate a loss of all or a substantial portion of your investment and are willing to make an investment that may have the same downside
market risk as an investment in the Underlying.
t You
believe the Underlying will close at or above the Initial Value on one of the specified Observation Dates or will close at or above the
Downside Threshold on the Final Valuation Date.
t You
understand and accept that you will not participate in any appreciation of the Underlying and that your potential return is limited to
the applicable Call Return or, if the Notes have not been called, to the Contingent Absolute Return (as limited by the Downside Threshold).
t You
can tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside price fluctuations
of the Underlying.
t You
are willing to invest in the Notes based on the Call Return Rate indicated on the cover hereof
t You
do not seek current income from this investment and are willing to forgo dividends paid on the Underlying.
t You
are able and willing to invest in Notes that may be called early and you are otherwise able and willing to hold the Notes to maturity.
t You
accept that there may be little or no secondary market for the Notes and that any secondary market will depend in large part on the price,
if any, at which J.P. Morgan Securities LLC, which we refer to as JPMS, is willing to trade the Notes.
t You
understand and accept the single stock risk associated with the Notes and the risks associated with the Underlying.
t You
are willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Notes, and understand
that if JPMorgan Financial and JPMorgan Chase & Co. default on their obligations, you may not receive any amounts due to you including
any repayment of principal.
|
|
The Notes may not be suitable for you if, among other considerations:
t You
do not fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
t You
cannot tolerate a loss of all or a substantial portion of your investment or are unwilling to make an investment that may have the same
downside market risk as an investment in the Underlying.
t You
require an investment designed to provide a full return of principal at maturity.
t You
believe that the price of one share of the Underlying will decline during the term of the Notes and is likely to close below the Downside
Threshold on the Final Valuation Date exposing you to the full negative Underlying Return at maturity.
t You
seek an investment that participates in the full appreciation of the Underlying or that has unlimited return potential.
t You
cannot tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside price fluctuations
of the Underlying.
t You
are not willing to invest in the Notes based on the Call Return Rate indicated on the cover hereof.
t You
prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable maturities and
credit ratings.
t You
seek current income from this investment or prefer to receive the dividends paid on the Underlying.
t You
are unable or unwilling to invest in Notes that may be called early, or you are otherwise unable or unwilling to hold the Notes to maturity,
or you seek an investment for which there will be an active secondary market.
t You
do not understand or accept the single stock risk associated with the Notes or the risks associated with the Underlying.
t You
are not willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Notes, including
any repayment of principal.
|
The suitability considerations identified above are not exhaustive.
Whether or not the Notes are a suitable investment for you will depend on your individual circumstances, and you should reach an investment
decision only after you and your investment, legal, tax, accounting and other advisers have carefully considered the suitability of an
investment in the Notes in light of your particular circumstances. You should also review carefully the “Key Risks” section
of this pricing supplement and the “Risk Factors” section of the accompanying prospectus supplement and the accompanying product
supplement for risks related to an investment in the Notes. For more information on the Underlying, please see the section titled “The
Underlying” below.
Final
Terms
|
Issuer
|
|
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
|
Guarantor
|
|
JPMorgan Chase & Co.
|
Issue Price
|
|
$10.00 per Note
|
Underlying
|
|
Common stock of General Motors Company
|
Principal Amount
|
|
$10 per Note (subject to a minimum purchase of 100 Notes or $1,000)
|
Term
|
|
Approximately 2 years, unless called earlier
|
Call Feature
|
|
The Notes will be called if the closing price1 of one share of the Underlying on any Observation Date is equal to or greater than the Initial Value. If the Notes are called, JPMorgan Financial will pay you on the applicable Call Settlement Date a cash payment per Note equal to the applicable Call Price for the applicable Observation Date.
|
Observation Dates2
|
|
March 3, 2022
June 3, 2022
September 6, 2022
December 7, 2022
March 3, 2023
June 5, 2023
September 5, 2023
December 4, 2023 (Final Valuation Date)
|
Call Settlement Dates2
|
|
As specified under the “Call Settlement Dates” column of the table under “Call Returns/Call Prices” below
|
Call Return
|
|
The Call Return increases the longer the Notes are outstanding and is based upon a rate of 18.35% per annum. See “Call Returns/Call Prices.”
|
Call Price
|
|
The Call Price equals the principal amount per Note plus the Call Return.
|
Payment at Maturity (per $10 Note)
|
|
If the Notes are not automatically called and the Final Value is equal
to or greater than the Downside Threshold, we will pay you a cash payment at maturity per $10 principal amount Note equal to:
$10 × (1 + Contingent Absolute Return)
If the Notes are not automatically called and the Final Value is
less than the Downside Threshold, we will pay you a cash payment at maturity that is less than $10 per $10 principal amount Note,
equal to:
$10 × (1 + Underlying Return)
In this scenario, the Contingent Absolute Return does not apply,
you will be exposed to the decline of the Underlying and you will lose some or all of your principal at maturity in an amount proportionate
to the negative Underlying Return.
|
Underlying Return
|
|
Final Value – Initial Value
Initial Value
|
Contingent Absolute Return
|
|
The absolute value of the Underlying Return. For example, if the Underlying Return is -5%, the Contingent Absolute Return will equal 5%.
|
Initial Value
|
|
The closing price of one share of the Underlying on December 3, 2021, as
specified on the cover of this pricing supplement.
The Initial Value is not the closing price of one share of the Underlying
on the Trade Date.
|
Final Value
|
|
The closing price1 of one share of the Underlying on the Final Valuation Date
|
Downside Threshold
|
|
A percentage of the Initial Value, as specified on the cover of this pricing supplement
|
Stock Adjustment Factor1
|
|
The Stock Adjustment Factor is referenced in determining the closing price of the Underlying. The Stock Adjustment Factor is set initially at 1.0 on December 3, 2021.
|
|
1
|
The closing price and the Stock Adjustment Factor of the Underlying are subject to adjustments, in
the sole discretion of the calculation agent, in the case of certain corporate events described in the accompanying product supplement
under “The Underlyings — Underlying Stocks — Anti-Dilution Adjustments” and “The Underlyings — Underlying
Stocks — Reorganization Events.”
|
|
2
|
See footnote 2 under “Key Dates” on the front cover
|
Investment
Timeline
|
December 3,
2021
|
|
The closing price of one share of the Underlying (Initial Value) is observed and the Downside Threshold is determined.
|
|
|
|
|
|
|
|
|
|
|
|
|
Trade Date
(December 6,
2021)
|
|
The Call Return Rate is finalized.
|
|
|
|
Quarterly
|
|
The Notes will be called if the closing price of one share of the Underlying
on any Observation Date is equal to or greater than the Initial Value.
If the Notes are called, JPMorgan Financial will pay the applicable
Call Price for the applicable Observation Date: equal to the principal amount plus an amount based on the Call Return Rate.
|
|
|
|
|
|
|
|
|
Maturity Date
|
|
If the Notes are not automatically called and the Final Value is equal
to or greater than the Downside Threshold, we will pay you a cash payment at maturity per $10 principal amount Note equal to:
$10 × (1 + Contingent Absolute Return)
If the Notes are not automatically called and the Final Value is
less than the Downside Threshold, we will pay you a cash payment at maturity that is less than $10 per $10 principal amount Note,
equal to:
$10 × (1 + Underlying Return)
In this scenario, the Contingent Absolute Return does not apply,
you will be exposed to the decline of the Underlying and you will lose some or all of your principal at maturity in an amount proportionate
to the negative Underlying Return.
|
|
|
|
|
|
|
INVESTING IN THE NOTES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE SOME OR ALL OF YOUR PRINCIPAL AMOUNT. ANY PAYMENT ON THE NOTES, INCLUDING ANY REPAYMENT OF PRINCIPAL, IS SUBJECT TO THE CREDITWORTHINESS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. IF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. WERE TO DEFAULT ON THEIR PAYMENT OBLIGATIONS, YOU MAY NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE NOTES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.
|
Call
Returns/Call Prices
Observation Dates†
|
Call Settlement Dates†
|
Call Return (numbers below reflect
the rate of 18.35% per annum)
|
Call Price (per $10)
|
March 3, 2022
|
March 8, 2022
|
4.588%
|
$10.4588
|
June 3, 2022
|
June 8, 2022
|
9.175%
|
$10.9175
|
September 6, 2022
|
September 9, 2022
|
13.763%
|
$11.3763
|
December 7, 2022
|
December 12, 2022
|
18.350%
|
$11.8350
|
March 3, 2023
|
March 8, 2023
|
22.938%
|
$12.9380
|
June 5, 2023
|
June 8, 2023
|
27.525%
|
$12.7525
|
September 5, 2023
|
September 8, 2023
|
32.113%
|
$13.2113
|
December 4, 2023 (the Final Valuation Date)
|
December 7, 2023 (the Maturity Date)
|
36.700%
|
$13.6700
|
†
|
See footnote 2 under “Key Dates” on the cover
|
|
|
|
|
|
What
Are the Tax Consequences of the Notes?
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. UBS-1-II. The following discussion, when read in
combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding the material
U.S. federal income tax consequences of owning and disposing of Notes.
Based on current market conditions, in the opinion of our special
tax counsel it is reasonable to treat the Notes as “open transactions” that are not debt instruments for U.S. federal income
tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders
— Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement. Assuming this
treatment is respected, the gain or loss on your Notes should be treated as short-term capital gain or loss unless you hold your Notes
for more than a year, in which case the gain or loss should be long-term capital gain or loss, whether or not you are an initial purchaser
of Notes at the issue price. However, the IRS or a court may not respect this treatment, in which case the timing and character of any
income or loss on the Notes could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting
comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses
in particular on whether to require investors in these instruments to accrue income over the term of their investment. It also asks for
comments on a number of related topics, including the character of income or loss with respect to these instruments; the relevance of
factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including
any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should
be subject to the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term capital
gain as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate transition rules and
effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely
affect the tax consequences of an investment in the Notes, possibly with retroactive effect. You should consult your tax adviser regarding
the U.S. federal income tax consequences of an investment in the Notes, including possible alternative treatments and the issues presented
by this notice.
Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on dividend equivalents
paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include
U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked to certain broad-based
indices that meet requirements set forth in the applicable Treasury regulations. 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.
Key
Risks
An investment in the Notes involves significant risks. Investing in
the Notes is not equivalent to investing directly in the Underlying. These risks are explained in more detail in the “Risk Factors”
sections of the accompanying prospectus supplement and the accompanying product supplement. We also urge you to consult your investment,
legal, tax, accounting and other advisers before you invest in the Notes.
Risks Relating to the Notes Generally
|
t
|
Your Investment in the Notes May Result in a Loss — The Notes differ from ordinary debt securities in that JPMorgan Financial
will not necessarily repay the full principal amount of the Notes. If the Notes are not called and the closing price of one share of the
Underlying has declined below the Downside Threshold on the Final Valuation Date, you will be fully exposed to any depreciation of the
Underlying from the Initial Value to the Final Value. In this case, JPMorgan Financial will repay less than the full principal amount
at maturity, resulting in a loss of principal that is proportionate to the negative Underlying Return. Under these circumstances, the
Contingent Absolute Return will not apply and you will lose 1% of your principal for every 1% that the Final Value is less than the Initial
Value. Accordingly, you could lose up to your entire principal amount.
|
|
t
|
Credit Risks of JPMorgan Financial and JPMorgan Chase & Co. — The Notes are unsecured and unsubordinated debt obligations
of the Issuer, JPMorgan Chase Financial Company LLC, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase &
Co. The Notes will rank pari passu with all of our other unsecured and unsubordinated obligations, and the related guarantee JPMorgan
Chase & Co. will rank pari passu with all of JPMorgan Chase & Co.’s other unsecured and unsubordinated obligations.
The Notes and related guarantees are not, either directly or indirectly, an obligation of any third party. Any payment to be made on the
Notes, including any repayment of principal, depends on the ability of JPMorgan Financial and JPMorgan Chase & Co. to satisfy their
obligations as they come due. As a result, the actual and perceived creditworthiness of JPMorgan Financial and JPMorgan Chase & Co.
may affect the market value of the Notes and, in the event JPMorgan Financial and JPMorgan Chase & Co. were to default on their obligations,
you may not receive any amounts owed to you under the terms of the Notes and you could lose your entire investment.
|
|
t
|
As a Finance Subsidiary, JPMorgan Financial Has No Independent Operations and 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.
|
|
t
|
The Contingent Absolute Return Applies Only If You Hold the Notes to Maturity — You should be willing to hold your Notes
to maturity. If you are able to sell your Notes in the secondary market, if any, prior to maturity, you may have to sell them at a loss
relative to your initial investment even if the closing price of one share of the Underlying is above the Downside Threshold. If by maturity
the Notes have not been called, JPMorgan Financial will repay you your principal amount plus the Contingent Absolute Return, unless
the Final Value is below the Downside Threshold. However, if by maturity the Note have not been called and the Final Value is less than
the Downside Threshold, the Contingent Absolute Return will not apply and JPMorgan Financial will repay less than the principal amount,
if anything, resulting in a loss that is proportionate to the decline in the price of the Underlying from the Initial Value to the Final
Value. The Contingent Absolute Return and any contingent repayment of principal based on whether the Final Value is below the Downside
Threshold apply only if you hold your Notes to maturity.
|
|
t
|
Limited Return on the Notes — If the Notes are called, your potential gain on the Notes will be limited to the applicable
Call Return regardless of the appreciation in the closing price of one share of the Underlying, which may be significant. Because the
Call Return increases the longer the Notes have been outstanding and your Notes can be called as early as the first quarterly Observation
Date, the term of the Notes could be cut short and the return on the Notes would be less than if the Notes were called at a later date.
In addition, if the Notes are not called, any positive return on the Notes will be limited by the Downside Threshold because JPMorgan
Financial will pay you the principal amount plus the Contingent Absolute Return at maturity only when the Notes are not called
and only if the Final Value is greater than or equal to the Downside Threshold. You will not receive a Contingent Absolute Return and
will lose some or all of your investment if the Final Value is below the Downside Threshold. Furthermore, because the closing price of
one share of the Underlying at various times during the term of the Notes could be higher than on the Observation Dates and on the Final
Valuation Date, you may receive a lower payment if the Notes are automatically called or at maturity, as the case may be, than you would
have if you had invested directly in the Underlying. Even though you will not participate in any potential appreciation of the Underlying,
you may be exposed to the Underlying’s downside market risk if the Notes are not automatically called.
|
|
t
|
The Probability That the Final Value Will Fall Below the Downside Threshold on the Final Valuation Date Will Depend on the Volatility
of the Underlying — “Volatility” refers to the frequency and magnitude of changes in the price of one share of the
Underlying. Greater expected volatility with respect to the Underlying reflects a higher expectation as of the Trade Date that the price
of one share of that Underlying could close below its Downside Threshold on the Final Valuation Date, resulting in the loss of some or
all of your investment. In addition, the Call Return Rate is a fixed amount and depends in part on this expected volatility. A higher
Call Return Rate is generally associated with greater expected volatility. However, the Underlying’s volatility can change significantly
over the term of the Notes. The price of one share of the Underlying for your Notes could fall sharply, which could result in a significant
loss of principal.
|
|
t
|
Reinvestment Risk — If your Notes are called early, the holding period over which you would have the opportunity to receive
the Call Return Rate could be as short as approximately three months. There is no guarantee that you would be able to reinvest
|
the proceeds from an investment in the Notes at
a comparable rate of return for a similar level of risk in the event the Notes are called prior to the Maturity Date.
|
t
|
No Periodic Interest Payments — You will not receive any periodic interest payments on the Notes.
|
|
t
|
No Dividend Payments or Voting Rights or Other Ownership Rights in the Underlying — As a holder of the Notes, you will
not have any ownership interest or rights in the Underlying, such as voting rights or rights to receive cash dividends or other distributions.
In addition, the issuer of the Underlying will not have any obligation to consider your interests as a holder of the Notes in taking any
corporate action that might affect the value of the Underlying and the Notes.
|
|
t
|
No Assurances That the Investment View Implicit in the Notes Will Be Successful — While the Notes are structured to provide
potentially enhanced returns in a flat or bullish environment or potential absolute returns in a negative environment above the Downside
Threshold, we cannot assure you of the economic environment during the term or at maturity of your Notes and you may lose some or all
of your investment at maturity.
|
|
t
|
Lack of Liquidity — The Notes will not be listed on any securities exchange. JPMS intends to offer to purchase the Notes
in the secondary market, but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow
you to trade or sell the Notes easily. Because other dealers are not likely to make a secondary market for the Notes, the price at which
you may be able to trade your Notes is likely to depend on the price, if any, at which JPMS is willing to buy the Notes.
|
|
t
|
Tax Treatment — Significant aspects of the tax treatment of the Notes are uncertain. You should consult your tax adviser
about your tax situation.
|
Risks Relating to Conflicts of Interest
|
t
|
Potential Conflicts — We and our affiliates play a variety of roles in connection with the issuance of the Notes, including
acting as calculation agent and hedging our obligations under the Notes and making the assumptions used to determine the pricing of the
Notes and the estimated value of the Notes when the terms of the Notes are set, which we refer to as the estimated value of the Notes.
In performing these duties, our and JPMorgan Chase & Co.’s economic interests and the economic interests of the calculation
agent and other affiliates of ours are potentially adverse to your interests as an investor in the Notes. In addition, our and JPMorgan
Chase & Co.’s business activities, including hedging and trading activities, could cause our and JPMorgan Chase & Co.’s
economic interests to be adverse to yours and could adversely affect any payment on the Notes and the value of the Notes. It is possible
that hedging or trading activities of ours or our affiliates in connection with the Notes could result in substantial returns for us or
our affiliates while the value of the Notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest”
in the accompanying product supplement for additional information about these risks. We and/or our affiliates may also currently or from
time to time engage in business with the issuer of the Underlying, including extending loans to, or making equity investments in, the
issuer of the Underlying or providing advisory services to the issuer of the Underlying. As a prospective purchaser of the Notes, you
should undertake an independent investigation of the issuer of the Underlying as in your judgment is appropriate to make an informed decision
with respect to an investment in the Notes.
|
|
t
|
Potentially Inconsistent Research, Opinions or Recommendations by JPMS, UBS or Their Affiliates — JPMS, UBS or their
affiliates may publish research, express opinions or provide recommendations (for example, with respect to the issuer of the Underlying)
that are inconsistent with investing in or holding the Notes, and that may be revised at any time. Any such research, opinions or recommendations
may or may not recommend that investors buy or hold the Underlying and could affect the value of the Underlying, and therefore the market
value of the Notes.
|
|
t
|
Potential JPMorgan Financial Impact on the Market Price of the Underlying — Trading or transactions by JPMorgan Financial
or its affiliates in the Underlying and/or over-the-counter options, futures or other instruments with returns linked to the performance
of the Underlying may adversely affect the market price of the Underlying and, therefore, the market value of the Notes.
|
Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes
|
t
|
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.
|
|
t
|
The Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ from Others’ Estimates
— The estimated value of the Notes is determined by reference to internal pricing models of our affiliates when the terms of the
Notes are set. This estimated value of the Notes is based on market conditions and other relevant factors existing at that time and assumptions
about market parameters, which can include volatility, dividend rates, interest rates and other factors. Different pricing models and
assumptions could provide valuations for the Notes that are greater than or less than the estimated value of the Notes. In addition, market
conditions and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value
of the Notes could change significantly based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s
creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing
to buy Notes from you in secondary market transactions. See “The Estimated Value of the Notes” in this pricing supplement.
|
|
t
|
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.
|
t
|
The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the
Then-Current Estimated Value of the Notes for a Limited Time Period — We generally expect that some of the costs included in
the original issue price of the Notes will be partially paid back to you in connection with any repurchases of your Notes by JPMS in an
amount that will decline to zero over an initial predetermined period. These costs can include selling commissions, projected hedging
profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates for structured debt
issuances. See “Secondary Market Prices of the Notes” in this pricing supplement for additional information relating to this
initial period. Accordingly, the estimated value of your Notes during this initial period may be lower than the value of the Notes as
published by JPMS (and which may be shown on your customer account statements).
|
|
t
|
Secondary Market Prices of the Notes Will Likely Be Lower Than the Original Issue Price of the Notes — Any secondary
market prices of the Notes will likely be lower than the original issue price of the Notes because, among other things, secondary market
prices take into account our internal secondary market funding rates for structured debt issuances and, also, because secondary market
prices may exclude selling commissions, projected hedging profits, if any, and estimated hedging costs that are included in the original
issue price of the Notes. As a result, the price, if any, at which JPMS will be willing to buy Notes from you in secondary market transactions,
if at all, is likely to be lower than the original issue price. Any sale by you prior to the Maturity Date could result in a substantial
loss to you. See the immediately following risk factor for information about additional factors that will impact any secondary market
prices of the Notes.
|
The Notes are not designed to be short-term
trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity. See “— Risks Relating to
the Notes Generally — Lack of Liquidity” above.
|
t
|
Many Economic and Market Factors Will Impact the Value of the Notes — As described under “The Estimated Value of
the Notes” in this pricing supplement, the Notes can be thought of as securities that combine a fixed-income debt component with
one or more derivatives. As a result, the factors that influence the values of fixed-income debt and derivative instruments will
also influence the terms of the Notes at issuance and their value in the secondary market. Accordingly, 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 the Underlying, including:
|
|
t
|
any actual or potential change in our or JPMorgan Chase &
Co.’s creditworthiness or credit spreads;
|
|
t
|
customary bid-ask spreads for similarly sized trades;
|
|
t
|
our internal secondary market funding rates for structured debt
issuances;
|
|
t
|
the actual and expected volatility in the closing price of one
share of the Underlying;
|
|
t
|
the time to maturity of the Notes;
|
|
t
|
the likelihood of an automatic call being triggered;
|
|
t
|
the dividend rate on the Underlying;
|
|
t
|
the occurrence of certain events affecting the issuer of the Underlying that may or may not require an adjustment to the closing price
and the Stock Adjustment Factor of the Underlying, including a merger or acquisition;
|
|
t
|
interest and yield rates in the market generally; and
|
|
t
|
a variety of other economic, financial, political, regulatory
and judicial events.
|
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.
Risks Relating to the Underlying
|
t
|
Single Stock Risk — The price of the Underlying can rise or fall sharply due to factors specific to the Underlying and
its issuer, such as stock price volatility, earnings, financial conditions, corporate, industry and regulatory developments, management
changes and decisions and other events, as well as general market factors, such as general stock market volatility and levels, interest
rates and economic and political conditions. For additional information regarding the Underlying and its issuer, please see “The
Underlying” in this pricing supplement and the issuer’s SEC filings referred to in that section. We urge you to review financial
and other information filed periodically with the SEC by the Underlying issuer.
|
|
t
|
No Affiliation with the Underlying Issuer — We are not affiliated with the issuer of the Underlying. We have not independently
verified any of the information about the Underlying issuer contained in this pricing supplement. You should make your own investigation
into the Underlying and its issuer. We are not responsible for the Underlying issuer’s public disclosure of information, whether
contained in SEC filings or otherwise.
|
|
t
|
Anti-Dilution Protection Is Limited and May Be Discretionary — Although the calculation agent will adjust the closing
price and the Stock Adjustment Factor of the Underlying for certain corporate events (such as stock splits and stock dividends) affecting
the Underlying, the calculation agent is not required to make an adjustment for every corporate event that can affect the Underlying.
If an event occurs that does not require the calculation agent to make these adjustments, the market value of your Notes and the payment
at maturity if not previously called may be materially and adversely affected. You should also be aware that the calculation agent may
make any such adjustment, determination or calculation in a manner that differs from what is
|
described in the accompanying product supplement
as it deems necessary to ensure an equitable result. Subject to the foregoing, the calculation agent is under
no obligation to consider your interests as a holder of the Notes in making these determinations.
Hypothetical
Examples
Hypothetical terms only. Actual terms may vary.
See the cover page for actual offering terms.
The examples below illustrate the hypothetical payment upon a call or
at maturity under different hypothetical scenarios for a $10.00 Note on an offering of the Notes linked to a hypothetical Underlying and
assume an Initial Value of $100.00, a Downside Threshold of $90.00 (which is 90.00% of the hypothetical Initial Value) and a Call Return
Rate of 5.00% per annum. The hypothetical Initial Value of $100.00 has been chosen for illustrative purposes only and does not represent
the actual Initial Value. The actual Initial Value and the resulting Downside Threshold are based on the closing price of one share of
the Underlying on December 3, 2021 and are specified on the cover of this pricing supplement. For historical data regarding the actual
closing prices of one share of the Underlying, please see the historical information set forth under “The Underlying” in this
pricing supplement. The actual Call Return Rate is specified on the cover of this pricing supplement. The hypothetical payments on the
Notes set forth in the examples below are for illustrative purposes only and may not be the actual returns applicable to a purchaser of
the Notes. The actual payment on the Notes may be more or less than the amounts displayed below and will be determined based on the actual
terms of the Notes, including the Initial Value, the Downside Threshold, the Call Return Rate and the Final Value on the Final Valuation
Date. You should consider carefully whether the Notes are suitable to your investment goals. The numbers appearing in the examples below
have been rounded for ease of analysis.
Principal Amount:
|
$10.00
|
Term:
|
Approximately 2 years (unless earlier called)
|
Hypothetical Initial Value:
|
$100.00
|
Hypothetical Call Return Rate:
|
5.00% per annum (or 1.25% per quarter)
|
Observation Dates:
|
Quarterly
|
Hypothetical Downside Threshold:
|
$90.00 (which is 90.00% of the hypothetical Initial Value)
|
The examples below are purely hypothetical and are intended to illustrate
how the value of any payment on the Notes will depend on the closing price on the Observation Dates.
Example 1 — Notes Are Called on the First Observation Date
Closing Price at first Observation Date:
|
$110.00 (at or above Initial Value, Notes are called)
|
Call Price (per Note):
|
$10.125
|
Because the Notes are called on the first Observation Date, we will
pay you on the applicable Call Settlement Date a total Call Price of $10.125 per $10.00 principal amount (1.25% return on the Notes).
No further amounts will be owed on the Notes.
Example 2 — Notes Are Called on the Final Valuation Date
Closing Price at first Observation Date:
|
$90.00 (below Initial Value, Notes NOT called)
|
Closing Price at second Observation Date:
|
$80.00 (below Initial Value, Notes NOT called)
|
Closing Price at third through seventh
Observation Dates:
|
Various (all below Initial Value, Notes NOT called)
|
Closing Price at Final Valuation Date:
|
$105.00 (at or above Initial Value, Notes are called)
|
|
|
Call Price (per Note):
|
$11.00
|
Because the Notes are called on the Final Valuation Date, we will pay
you on the applicable Call Settlement Date (which coincides with the Maturity Date in this example) a total Call Price of $11.00 per $10.00
principal amount (10.00% return on the Notes).
Example 3 — Notes Are NOT Called and the Final Value Is Above
the Downside Threshold
Closing Price at first Observation Date:
|
$90.00 (below Initial Value, Notes NOT called)
|
Closing Price at second Observation Date:
|
$80.00 (below Initial Value, Notes NOT called)
|
Closing Price at third through seventh
Observation Dates:
|
Various (all below Initial Value, Notes NOT called)
|
Closing Price at Final Valuation Date:
|
$95.00 (below Initial Value, but at or above Downside Threshold, Notes NOT called)
|
|
|
Settlement Amount (per Note):
|
$10.00 × (1 + Contingent Absolute Return)
$10.00 × (1 + 5%)
$10.50
|
Because the Notes are not called and the Underlying Return is -5%,
but the Final Value is above or equal to the Downside Threshold, at maturity we will pay you a total of $10.50 per $10.00 principal amount
(a 5% return on the Notes).
Example 4 — Notes Are NOT Called and the Final Value Is Below
the Downside Threshold
Closing Price at first Observation Date:
|
$90.00 (below Initial Value, Notes NOT called)
|
Closing Price at second Observation Date:
|
$80.00 (below Initial Value, Notes NOT called)
|
Closing Price at third through seventh
Observation Dates:
|
Various (all below Initial Value, Notes NOT called)
|
Closing Price at Final Valuation Date:
|
$50.00 (below Initial Value and Downside Threshold, Notes NOT called)
|
|
|
Settlement Amount (per Note):
|
$10.00 × (1 + Underlying Return)
$10.00 × (1 + -50%)
$5.00
|
Because the Notes are not called, the Final Value is below the Downside
Threshold and the Underlying Return -50%, at maturity we will pay you a total of $5.00 per $10.00 principal amount (a 50% loss
on the Notes).
The hypothetical returns and hypothetical payments on the Notes shown
above apply only if you hold the Notes for their entire term or until called. These hypotheticals do not reflect fees or expenses
that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns and
hypothetical payments shown above would likely be lower.
The
Underlying
According to its publicly available filings with the SEC, General Motors
Company, which we refer to as GM, designs, builds and sells trucks, crossovers, cars and automobile parts worldwide and also provides
automotive financing services through General Motors Financial Company, Inc. The common stock of GM, par value $0.01 per share (Bloomberg
ticker: GM), is listed on the New York Stock Exchange, which we refer to as the relevant exchange for purposes of GM in the accompanying
product supplement. GM’s SEC file number is 001-34960.
Historical Information
The following table sets forth the quarterly high and low closing prices
of one share of the Underlying based on daily closing prices on the primary exchange for the Underlying, as reported by the Bloomberg
Professional® service (“Bloomberg”), without independent verification. The information given below is for the
four calendar quarters in each of 2016, 2017, 2018, 2019 and 2020 and the first, second and third calendar quarters of 2021. Partial data
is provided for the fourth calendar quarter of 2021. The closing price of one share of the Underlying on December 6, 2021 was $59.84.
We obtained the closing prices above and below from Bloomberg, without independent verification. The closing prices may have been adjusted
by Bloomberg for corporate actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
Since its inception, the price of one share of the Underlying has experienced
significant fluctuations. The historical performance of the Underlying should not be taken as an indication of future performance, and
no assurance can be given as to the closing prices of one share of the Underlying during the term of the Notes. There can be no assurance
that the performance of the Underlying will result in the return of any of your principal amount.
Quarter Begin
|
Quarter End
|
Quarterly Closing High
|
Quarterly Closing Low
|
Close
|
1/1/2016
|
3/31/2016
|
$33.31
|
$26.90
|
$31.43
|
4/1/2016
|
6/30/2016
|
$32.66
|
$27.51
|
$28.30
|
7/1/2016
|
9/30/2016
|
$32.39
|
$28.17
|
$31.77
|
10/1/2016
|
12/31/2016
|
$37.66
|
$30.96
|
$34.84
|
1/1/2017
|
3/31/2017
|
$38.28
|
$34.26
|
$35.36
|
4/1/2017
|
6/30/2017
|
$34.93
|
$32.42
|
$34.93
|
7/1/2017
|
9/30/2017
|
$40.58
|
$34.76
|
$40.38
|
10/1/2017
|
12/31/2017
|
$46.48
|
$40.81
|
$40.99
|
1/1/2018
|
3/31/2018
|
$44.22
|
$34.87
|
$36.34
|
4/1/2018
|
6/30/2018
|
$44.85
|
$35.76
|
$39.40
|
7/1/2018
|
9/30/2018
|
$40.09
|
$33.55
|
$33.67
|
10/1/2018
|
12/31/2018
|
$38.45
|
$30.56
|
$33.45
|
1/1/2019
|
3/31/2019
|
$40.14
|
$32.25
|
$37.10
|
4/1/2019
|
6/30/2019
|
$40.30
|
$33.34
|
$38.53
|
7/1/2019
|
9/30/2019
|
$40.88
|
$35.89
|
$37.48
|
10/1/2019
|
12/31/2019
|
$38.72
|
$33.88
|
$36.60
|
1/1/2020
|
3/31/2020
|
$37.38
|
$16.80
|
$20.78
|
4/1/2020
|
6/30/2020
|
$30.68
|
$18.04
|
$25.30
|
7/1/2020
|
9/30/2020
|
$32.38
|
$23.42
|
$29.59
|
10/1/2020
|
12/31/2020
|
$46.46
|
$30.38
|
$41.64
|
1/1/2021
|
3/31/2021
|
$60.05
|
$40.51
|
$57.46
|
4/1/2021
|
6/30/2021
|
$63.92
|
$53.76
|
$59.17
|
7/1/2021
|
9/30/2021
|
$59.11
|
$48.18
|
$52.71
|
10/1/2021
|
12/6/2021*
|
$64.61
|
$53.13
|
$59.84
|
*
|
As of the date of this pricing supplement, available information for the fourth calendar quarter of 2021 includes data for the period from October 1, 2021 through December 6, 2021. Accordingly, the “Quarterly Closing High,” “Quarterly Closing Low” and “Close” data indicated are for this shortened period only and do not reflect complete data for the fourth calendar quarter of 2021.
|
|
|
|
|
|
|
The graph below illustrates the daily performance of the Underlying
from January 3, 2011 through December 6, 2021, based on information from Bloomberg, without independent verification. The dotted line
represents the Downside Threshold of $41.80, equal to 70.00% of the closing price of one share of the Underlying on December 3, 2021.
Past performance of the Underlying is not indicative of the future
performance of the Underlying.