Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing
supplement or the accompanying product supplement, prospectus supplement and prospectus. Any representation to the contrary is a criminal
offense.
Pricing supplement to product supplement no. 4-II dated
November 4, 2020
and the prospectus and prospectus supplement, each dated April 8, 2020
Key Terms
Issuer:
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase &
Co.
Guarantor:
JPMorgan Chase & Co.
Reference
Stocks: As specified under “Key Terms Relating to the Reference Stocks” in this
pricing supplement
Contingent
Interest Payments: If the notes have not been automatically called and the closing price of one share of each Reference Stock
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 $19.1667 (equivalent to a Contingent Interest Rate of 23.00% per annum,
payable at a rate of 1.91667% per month).
If the closing price of one share of any Reference Stock 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: 23.00% per annum, payable at a rate of 1.91667% per month
Interest Barrier / Trigger Value:
With respect to each Reference Stock, 60.00% of its Initial Value, as specified under “Key Terms Relating to the Reference Stocks”
in this pricing supplement
Call
Value: With respect to each Reference Stock, 90.00% of its Initial Value
Pricing
Date: September 22, 2021
Original
Issue Date (Settlement Date): On or about September 27, 2021
Review
Dates*: October 22, 2021, November 22, 2021, December 22, 2021, January 24, 2022, February
22, 2022, March 22, 2022, April 22, 2022, May 23, 2022, June 22, 2022, July 22, 2022, August 22, 2022, September 22, 2022, October 24,
2022, November 22, 2022, December 22, 2022, January 23, 2023, February 22, 2023, March 22, 2023, April 24, 2023, May 22, 2023, June 22,
2023, July 24, 2023, August 22, 2023, September 22, 2023, October 23, 2023, November 22, 2023, December 22, 2023, January 22, 2024, February
22, 2024, March 22, 2024, April 22, 2024, May 22, 2024, June 24, 2024, July 22, 2024, August 22, 2024 and September 23, 2024 (final Review
Date)
Interest
Payment Dates*: October 27, 2021, November 26, 2021, December 28, 2021, January 27, 2022, February 25, 2022, March 25, 2022,
April 27, 2022, May 26, 2022, June 27, 2022, July 27, 2022, August 25, 2022, September 27, 2022, October 27, 2022, November 28, 2022,
December 28, 2022, January 26, 2023, February 27, 2023, March 27, 2023, April 27, 2023, May 25, 2023, June 27, 2023, July 27, 2023, August
25, 2023, September 27, 2023, October 26, 2023, November 28, 2023, December 28, 2023, January 25, 2024, February 27, 2024, March 27, 2024,
April 25, 2024, May 28, 2024, June 27, 2024, July 25, 2024, August 27, 2024 and the Maturity Date
Maturity
Date*: September 26, 2024
Call Settlement Date*:
If the notes are automatically called on any Review Date (other than the first, second and final Review Dates), the first Interest
Payment Date immediately following that Review Date
* Subject to postponement in the event of a market disruption
event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple
Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
|
Automatic Call:
If the closing price of one share of each Reference Stock on any Review
Date (other than the first, second and final Review Dates) is greater than or equal to its Call 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
Reference Stock 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 any
Reference Stock 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 × Least Performing Stock Return)
If the notes have not been automatically called and the Final Value of
any Reference Stock is less than its Trigger Value, you will lose more than 40.00% of your principal amount at maturity and could lose
all of your principal amount at maturity.
Least Performing Reference Stock: The
Reference Stock with the Least Performing Stock Return
Least Performing Stock Return: The
lowest of the Stock Returns of the Reference Stocks
Stock Return:
With respect to each Reference Stock,
(Final Value – Initial Value)
Initial Value
Initial
Value: With respect to each Reference Stock, the closing
price of one share of that Reference Stock on the Pricing Date, as specified under “Key Terms Relating to the Reference Stocks”
in this pricing supplement
Final
Value: With respect to each Reference Stock, the closing price of one share of that Reference
Stock on the final Review Date
Stock
Adjustment Factor: With respect to each Reference Stock, the Stock Adjustment Factor is referenced in determining the closing
price of one share of that Reference Stock and is set equal to 1.0 on the Pricing Date. The Stock Adjustment Factor of each Reference
Stock is subject to adjustment upon the occurrence of certain corporate events affecting that Reference Stock. See “The Underlyings
— Reference Stocks — Anti-Dilution Adjustments” and “The Underlyings — Reference Stocks — Reorganization
Events” in the accompanying product supplement for further information.
|
PS-1
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Common Stock of United States Steel Corporation, the Common Stock of Moderna, Inc. and the Common Stock of Royal Caribbean
Cruises Ltd.
|
|
Key Terms Relating
to the Reference Stocks
Reference Stock
|
Bloomberg
Ticker Symbol
|
Initial Value
|
Interest Barrier
/ Trigger Value
|
Common stock of United States Steel Corporation, par value $1.00 per share
|
X
|
$21.49
|
$12.894
|
Common stock of Moderna, Inc., par value $0.0001 per share
|
MRNA
|
$440.72
|
$264.432
|
Common stock of Royal Caribbean Cruises Ltd., par value $0.01 per share
|
RCL
|
$85.33
|
$51.198
|
How the
Notes Work
Payments in Connection with the First
and Second Review Dates
Payments in Connection with Review Dates (Other
than the First, Second and Final Review Dates)
PS-2
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Common Stock of United States Steel Corporation, the Common Stock of Moderna, Inc. and the Common Stock of Royal Caribbean
Cruises Ltd.
|
|
Payment at Maturity If the Notes Have Not Been Automatically Called
Total Contingent Interest Payments
The table below illustrates the hypothetical total Contingent
Interest Payments per $1,000 principal amount note over the term of the notes based on the Contingent Interest Rate of 23.00% per annum,
depending on how many Contingent Interest Payments are made prior to automatic call or maturity.
PS-3
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Common Stock of United States Steel Corporation, the Common Stock of Moderna, Inc. and the Common Stock of Royal Caribbean
Cruises Ltd.
|
|
Number of Contingent
Interest Payments
|
Total Contingent Interest
Payments
|
36
|
$690.0000
|
35
|
$670.8333
|
34
|
$651.6667
|
33
|
$632.5000
|
32
|
$613.3333
|
31
|
$594.1667
|
30
|
$575.0000
|
29
|
$555.8333
|
28
|
$536.6667
|
27
|
$517.5000
|
26
|
$498.3333
|
25
|
$479.1667
|
24
|
$460.0000
|
23
|
$440.8333
|
22
|
$421.6667
|
21
|
$402.5000
|
20
|
$383.3333
|
19
|
$364.1667
|
18
|
$345.0000
|
17
|
$325.8333
|
16
|
$306.6667
|
15
|
$287.5000
|
14
|
$268.3333
|
13
|
$249.1667
|
12
|
$230.0000
|
11
|
$210.8333
|
10
|
$191.6667
|
9
|
$172.5000
|
8
|
$153.3333
|
7
|
$134.1667
|
6
|
$115.0000
|
5
|
$95.8333
|
4
|
$76.6667
|
3
|
$57.5000
|
2
|
$38.3333
|
1
|
$19.1667
|
0
|
0.0000
|
PS-4
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Common Stock of United States Steel Corporation, the Common Stock of Moderna, Inc. and the Common Stock of Royal Caribbean
Cruises Ltd.
|
|
Hypothetical
Payout Examples
The following examples illustrate payments on the notes
linked to three hypothetical Reference Stocks, assuming a range of performances for the hypothetical Least Performing Reference Stock
on the Review Dates. Each hypothetical payment set forth below assumes that the closing price of one share of each Reference Stock
that is not the Least Performing Reference Stock on each Review Date is greater than or equal to its Initial Value (and therefore its
Interest Barrier and Trigger Value).
In addition, the hypothetical payments set forth below
assume the following:
|
·
|
an Initial Value for the Least Performing Reference Stock of $100.00;
|
|
·
|
a Call Value for the Least Performing Reference Stock of $90.00 (equal to 90.00% of its hypothetical Initial Value);
|
|
·
|
an Interest Barrier and a Trigger Value for the Least Performing Reference Stock of $60.00 (equal to 60.00% of its hypothetical Initial
Value); and
|
|
·
|
a Contingent Interest Rate of 23.00% per annum (payable at a rate of 1.91667% per month).
|
The hypothetical Initial Value of the Least Performing
Reference Stock of $100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value of any Reference
Stock. The actual Initial Value of each Reference Stock is the closing price of one share of that Reference Stock on the Pricing Date
and is specified under “Key Terms Relating to the Reference Stocks” in this pricing supplement. For historical data regarding
the actual closing prices of one share of each Reference Stock, please see the historical information set forth under “The Reference
Stocks” 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 third Review Date.
Date
|
Closing Price of One Share of
Least Performing Reference
Stock
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
$105.00
|
$19.1667
|
Second Review Date
|
$115.00
|
$19.1667
|
Third Review Date
|
$90.00
|
$1,019.1667
|
|
Total Payment
|
$1,057.50 (5.75% return)
|
Because the closing price of one share of each Reference
Stock on the third Review Date is greater than or equal to its Call Value, the notes will be automatically called for a cash payment,
for each $1,000 principal amount note, of $1,019.1667 (or $1,000 plus the Contingent Interest Payment applicable to the third Review
Date), payable on the applicable Call Settlement Date. The notes are not automatically callable before the third Review Date, even though
the closing price of one share of each Reference Stock on each of the first and second Review Dates is greater than its Call Value. When
added to the Contingent Interest Payments received with respect to the prior Review Dates, the total amount paid, for each $1,000 principal
amount note, is $1,057.50. No further payments will be made on the notes.
Example 2 — Notes have NOT been automatically
called and the Final Value of the Least Performing Reference Stock is greater than or equal to its Trigger Value.
Date
|
Closing Price of One Share of
Least Performing Reference
Stock
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
$95.00
|
$19.1667
|
Second Review Date
|
$85.00
|
$19.1667
|
Third through Thirty-Fifth Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
$90.00
|
$1,019.1667
|
|
Total Payment
|
$1,057.50 (5.75% return)
|
Because the notes have not been automatically called
and the Final Value of the Least Performing Reference Stock is greater than or equal to its Trigger Value, the payment at maturity, for
each $1,000 principal amount note, will be $1,019.1667 (or $1,000 plus the
PS-5
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Common Stock of United States Steel Corporation, the Common Stock of Moderna, Inc. and the Common Stock of Royal Caribbean
Cruises Ltd.
|
|
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 $1,057.50.
Example 3 — Notes have NOT been automatically
called and the Final Value of the Least Performing Reference Stock is less than its Trigger Value.
Date
|
Closing Price of One Share of
Least Performing Reference
Stock
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
$40.00
|
$0
|
Second Review Date
|
$45.00
|
$0
|
Third through Thirty-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 Least Performing Reference Stock is less than its Trigger Value and the Least Performing Stock Return is -50.00%,
the payment at maturity will be $500.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)] = $500.00
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term or until automatically called. These hypotheticals
do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included,
the hypothetical returns and hypothetical payments shown above would likely be lower.
Selected
Risk Considerations
An investment in the notes involves significant risks.
These risks are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement and product
supplement.
Risks Relating to the Notes Generally
|
·
|
YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
|
The notes do not guarantee any return of principal.
If the notes have not been automatically called and the Final Value of any Reference Stock 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 Least Performing Reference Stock is less than its Initial
Value. Accordingly, under these circumstances, you will lose more than 40.00% of your principal amount at maturity and could lose all
of your principal amount at maturity.
|
·
|
THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL —
|
If the notes have not been automatically called,
we will make a Contingent Interest Payment with respect to a Review Date only if the closing price of one share of each Reference Stock
on that Review Date is greater than or equal to its Interest Barrier. If the closing price of one share of any Reference Stock 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 any Reference Stock on each Review Date is less than its Interest Barrier, you will not receive any
interest payments over the term of the notes.
|
·
|
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
|
Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.’s
creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely affect the value of
the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed to you
under the notes and you could lose your entire investment.
|
·
|
AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS —
|
As a finance subsidiary of JPMorgan Chase &
Co., we have no independent operations beyond the issuance and administration of our securities. Aside from the initial capital contribution
from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates to make payments under loans made
by us or other intercompany agreements. As a result, we are dependent upon payments from our affiliates to meet our obligations under
the notes. If these affiliates do not make payments to
PS-6
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Common Stock of United States Steel Corporation, the Common Stock of Moderna, Inc. and the Common Stock of Royal Caribbean
Cruises Ltd.
|
|
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 any Reference
Stock, which may be significant. You will not participate in any appreciation of any Reference Stock.
|
·
|
YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE PRICE OF ONE SHARE OF EACH REFERENCE STOCK —
|
Payments on the notes are not linked to a basket
composed of the Reference Stocks and are contingent upon the performance of each individual Reference Stock. Poor performance by any of
the Reference Stocks over the term of the notes may result in the notes not being automatically called on a Review Date, may negatively
affect whether you will receive a Contingent Interest Payment on any Interest Payment Date and your payment at maturity and will not be
offset or mitigated by positive performance by any other Reference Stock.
|
·
|
YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING REFERENCE STOCK.
|
|
·
|
THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE —
|
If the Final Value of any Reference Stock 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 Least Performing Reference Stock.
|
·
|
THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
|
If your notes are automatically called, the
term of the notes may be reduced to as short as approximately 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 ANY REFERENCE STOCK OR HAVE ANY RIGHTS WITH RESPECT TO ANY REFERENCE STOCK.
|
|
·
|
THE RISK OF THE CLOSING PRICE OF ONE SHARE OF A REFERENCE STOCK FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS GREATER
IF THE PRICE OF ONE SHARE OF THAT REFERENCE STOCK IS VOLATILE.
|
The notes will not be listed on any securities
exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS
is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your notes to maturity.
Risks Relating to Conflicts of Interest
We and our affiliates play a variety of roles
in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests are potentially
adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours or our affiliates in
connection with the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer
to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement.
Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes
|
·
|
THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES —
|
The estimated value of the notes is only an
estimate determined by reference to several factors. The original issue price of the notes exceeds the estimated value of the notes because
costs associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include
the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our
obligations under the notes and the estimated cost of hedging our obligations under the notes. See “The Estimated Value of the Notes”
in this pricing supplement.
PS-7
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Common Stock of United States Steel Corporation, the Common Stock of Moderna, Inc. and the Common Stock of Royal Caribbean
Cruises Ltd.
|
|
|
·
|
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 Reference Stocks. Additionally,
independent pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer
account statements. This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to
purchase your notes in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying
product supplement.
Risks Relating to
the Reference Stocks
|
·
|
NO AFFILIATION WITH ANY REFERENCE STOCK ISSUER —
|
We have not independently verified any of the
information about any Reference Stock issuer contained in this pricing supplement. You should undertake your own investigation into each
Reference Stock and its issuer. We are not responsible for any Reference Stock issuer’s public disclosure of information, whether
contained in SEC filings or otherwise.
PS-8
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Common Stock of United States Steel Corporation, the Common Stock of Moderna, Inc. and the Common Stock of Royal Caribbean
Cruises Ltd.
|
|
|
·
|
RISKS ASSOCIATED WITH NON-U.S. COMPANIES WITH RESPECT TO THE COMMON STOCK OF ROYAL CARIBBEAN CRUISES LTD. —
|
The common stock of Royal Caribbean Cruises
Ltd. has been issued by a non-U.S. company. Investments in securities linked to the value of such non-U.S. equity securities involve
risks associated with the home countries of the issuers of those non-U.S. equity securities.
|
·
|
LIMITED TRADING HISTORY WITH RESPECT TO THE COMMON STOCK OF MODERNA, INC. —
|
The common stock of Moderna, Inc. commenced
trading on The NASDAQ Stock Market on December 7, 2018 and therefore has limited historical performance. Accordingly, historical
information for the common stock of Moderna, Inc. is available only since that date. Past performance should not be considered indicative
of future performance.
|
·
|
THE ANTI-DILUTION PROTECTION FOR EACH REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY —
|
The calculation agent will not make an adjustment
in response to all events that could affect a Reference Stock. The calculation agent may make adjustments in response to events that are
not described in the accompanying product supplement to account for any diluting or concentrative effect, but the calculation agent is
under no obligation to do so or to consider your interests as a holder of the notes in making these determinations.
PS-9
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Common Stock of United States Steel Corporation, the Common Stock of Moderna, Inc. and the Common Stock of Royal Caribbean
Cruises Ltd.
|
|
All information contained herein on the Reference Stocks
and on the Reference Stock issuers is derived from publicly available sources, without independent verification. Each Reference Stock
is registered under the Securities Exchange Act of 1934, as amended, which we refer to as the Exchange Act, and is listed on the exchange
provided in the table below, which we refer to as the relevant exchange for purposes of that Reference Stock in the accompanying product
supplement. Information provided to or filed with the SEC by a Reference Stock issuer pursuant to the Exchange Act can be located by reference
to the SEC file number provided in the table below, and can be accessed through www.sec.gov. We do not make any representation that these
publicly available documents are accurate or complete. We obtained the closing prices below from the Bloomberg Professional®
service (“Bloomberg”) without independent verification.
Reference Stock
|
Bloomberg
Ticker Symbol
|
Relevant
Exchange
|
SEC
File
Number
|
Closing
Price on
September
22, 2021
|
Common stock of United States Steel Corporation, par value $1.00 per share
|
X
|
New York Stock Exchange
|
001-16811
|
$21.49
|
Common stock of Moderna, Inc., par value $0.0001 per share
|
MRNA
|
The NASDAQ Stock Market
|
001-38753
|
$440.72
|
Common stock of Royal Caribbean Cruises Ltd., par value $0.01 per share
|
RCL
|
New York Stock Exchange
|
001-11884
|
$85.33
|
According to publicly available filings of the relevant
Reference Stock issuer with the SEC:
|
·
|
United States Steel Corporation is a steelmaker, using both integrated and mini mill steelmaking models.
|
|
·
|
Moderna, Inc. is a biotechnology company, developing medicines based on messenger RNA, including vaccines and therapeutics for infectious
diseases, immuno-oncology, rare diseases and autoimmune and cardiovascular diseases, independently and with strategic collaborators.
|
|
·
|
Royal Caribbean Cruises Ltd., a Liberian company, is a global cruise company that controls and operates
four cruise brands: Royal Caribbean International, Celebrity Cruises, Azamara and Silversea Cruises.
|
Historical Information
The following graphs set forth the historical performance
of each Reference Stock (other than the common stock of Moderna, Inc.) based on the weekly historical closing prices of one share of that
Reference Stock from January 8, 2016 through September 17, 2021 and the historical performance of the common stock of Moderna, Inc. based
on the weekly historical closing prices of one share of that Reference Stock from December 7, 2018 through September 17, 2021. The common
stock of Moderna, Inc. commenced trading on The NASDAQ Stock Market on December 7, 2018 and therefore has limited historical performance
The closing prices above and below may have been adjusted by Bloomberg for corporate actions, such as stock splits, public offerings,
mergers and acquisitions, spin-offs, delistings and bankruptcy.
The historical closing prices of one share of each
Reference Stock should not be taken as an indication of future performance, and no assurance can be given as to the closing price of one
share of any Reference Stock on any Review Date. There can be no assurance that the performance of the Reference Stocks will result in
the return of any of your principal amount or the payment of any interest.
PS-10
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Common Stock of United States Steel Corporation, the Common Stock of Moderna, Inc. and the Common Stock of Royal Caribbean
Cruises Ltd.
|
|
PS-11
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Common Stock of United States Steel Corporation, the Common Stock of Moderna, Inc. and the Common Stock of Royal Caribbean
Cruises Ltd.
|
|
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.
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.
PS-12
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Common Stock of United States Steel Corporation, the Common Stock of Moderna, Inc. and the Common Stock of Royal Caribbean
Cruises Ltd.
|
|
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.
Supplemental
Use of Proceeds
The notes are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the notes. See “How the Notes Work” and “Hypothetical
Payout Examples” in this pricing supplement for an illustration of the risk-return profile of the notes and “The Reference
Stocks” 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.
PS-13
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Common Stock of United States Steel Corporation, the Common Stock of Moderna, Inc. and the Common Stock of Royal Caribbean
Cruises Ltd.
|
|
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. This pricing supplement, together
with the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous oral statements as
well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation,
sample structures, fact sheets, brochures or other educational materials of ours. You should carefully consider, among other things, the
matters set forth in the “Risk Factors” sections of the accompanying prospectus supplement and the accompanying product supplement,
as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting
and other advisers before you invest in the notes.
You may access these documents on the SEC website at
www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website
is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us”
and “our” refer to JPMorgan Financial.
PS-14
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Common Stock of United States Steel Corporation, the Common Stock of Moderna, Inc. and the Common Stock of Royal Caribbean
Cruises Ltd.
|
|
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