Neither the Securities and Exchange Commission
(the “SEC”) nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the
adequacy of this pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus.
Any representation to the contrary is a criminal offense.
(1) See “Supplemental Use of Proceeds” in this pricing supplement
for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting as
agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to other affiliated or unaffiliated dealers.
These selling commissions will vary and will be up to $7.50 per $1,000 principal amount of SX5E Notes, NDX Notes, RTY Notes, SPX Notes
and EEM Notes, respectively. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.
Pricing supplement to product supplement no. 4-II dated
November 4, 2020, underlying supplement no. 1-II dated November 4, 2020
and the prospectus and prospectus supplement, each dated April 8, 2020
General Key Terms
Issuer:
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan
Chase & Co.
Underlying:
As specified on the cover of this pricing supplement
We
refer to the EURO STOXX 50® Index,
the NASDAQ-100 Index®, the Russell
2000® Index and the S&P 500®
Index as each, an “Index” and collectively,
the “Indices.” We refer to the iShares® MSCI
Emerging Markets ETF as the “Fund.” We refer to the Indices and the Fund as each, an “Underlying” and collectively,
the “Underlyings.”
Upside Leverage
Factor: 2.00
Maximum Return:
As specified on the cover of this pricing supplement
Buffer Amount:
10.00%
Pricing Date:
July 30, 2021
Original Issue Date
(Settlement Date): On or about August 4, 2021
Observation Date*:
July 26, 2023
Maturity Date*:
July 31, 2023
* Subject to postponement in the event of a market disruption event and as described
under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying — Notes
Linked to a Single Underlying (Other Than a Commodity Index)” and “General Terms of Notes — Postponement of a Payment
Date” in the accompanying product supplement
|
|
Payment at Maturity:
If the Final Value is greater than the Initial Value, your payment at maturity per $1,000 principal amount note will be calculated as
follows:
$1,000 + ($1,000 × Underlying Return × Upside Leverage
Factor),subject to the Maximum Return
If the Final Value is equal to the Initial Value or is less than the Initial Value
by up to the Buffer Amount, you will receive the principal amount of your notes at maturity.
If the Final Value is less than the Initial Value by more than the Buffer Amount,
your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + [$1,000
× (Underlying Return + Buffer Amount)]
If the Final Value is less than the Initial Value by more than the Buffer Amount,
you will lose some or most of your principal amount at maturity.
Underlying Return:
With respect to each Underlying,
(Final Value – Initial Value)
Initial Value
Initial Value:
With respect to each Underlying, the closing value of that Underlying on the Pricing Date, as specified on the cover of this pricing supplement
Final Value:
With respect to each Underlying, the closing value of that Underlying on the Observation Date
Share Adjustment
Factor: The Share Adjustment Factor is referenced in determining the closing value of the Fund and is set equal to 1.0 on the
Pricing Date. The Share Adjustment Factor is subject to adjustment upon the occurrence of certain events affecting the Fund. See “The
Underlyings – Funds – Anti-Dilution Adjustments” in the accompanying product supplement for further information.
|
PS-1
| Structured Investments
Capped Buffered Return Enhanced Notes
|
|
Hypothetical Payout
Profile
The following table illustrates the hypothetical total return at
maturity on hypothetical notes linked to a hypothetical Underlying and may not reflect the actual terms of any note offered by this pricing
supplement. See the cover of this pricing supplement and “General Key Terms” in this pricing supplement for the actual terms
of each note offered by this pricing supplement. The “total return” as used in this pricing supplement is the number, expressed
as a percentage, that results from comparing the payment at maturity per $1,000 principal amount note to $1,000. The hypothetical total
returns set forth below assume the following:
|
●
|
an Initial Value of 100.00;
|
|
●
|
an Upside Leverage Factor of 2.00;
|
|
●
|
a Maximum Return of 15.00%; and
|
|
●
|
a Buffer Amount of 10.00%.
|
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 is the closing value of the Underlying on the
Pricing Date and is specified on the cover of this pricing supplement. For historical data regarding the actual closing values of the
Underlying, please see the historical information set forth under “The Underlyings” in this pricing supplement.
Each hypothetical total return or hypothetical payment at maturity
set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable to a purchaser
of the notes. The numbers appearing in the following table have been rounded for ease of analysis.
Final Value
|
Underlying Return
|
Total Return on the Notes
|
Payment at Maturity
|
180.00
|
80.00%
|
15.00%
|
$1,150.00
|
165.00
|
65.00%
|
15.00%
|
$1,150.00
|
150.00
|
50.00%
|
15.00%
|
$1,150.00
|
140.00
|
40.00%
|
15.00%
|
$1,150.00
|
130.00
|
30.00%
|
15.00%
|
$1,150.00
|
120.00
|
20.00%
|
15.00%
|
$1,150.00
|
115.00
|
15.00%
|
15.00%
|
$1,150.00
|
110.00
|
10.00%
|
15.00%
|
$1,150.00
|
105.00
|
5.00%
|
10.00%
|
$1,100.00
|
101.00
|
1.00%
|
2.00%
|
$1,020.00
|
100.00
|
0.00%
|
0.00%
|
$1,000.00
|
95.00
|
-5.00%
|
0.00%
|
$1,000.00
|
90.00
|
-10.00%
|
0.00%
|
$1,000.00
|
85.00
|
-15.00%
|
-5.00%
|
$950.00
|
80.00
|
-20.00%
|
-10.00%
|
$900.00
|
70.00
|
-30.00%
|
-20.00%
|
$800.00
|
60.00
|
-40.00%
|
-30.00%
|
$700.00
|
50.00
|
-50.00%
|
-40.00%
|
$600.00
|
40.00
|
-60.00%
|
-50.00%
|
$500.00
|
30.00
|
-70.00%
|
-60.00%
|
$400.00
|
20.00
|
-80.00%
|
-70.00%
|
$300.00
|
10.00
|
-90.00%
|
-80.00%
|
$200.00
|
0.00
|
-100.00%
|
-90.00%
|
$100.00
|
PS-2
| Structured Investments
Capped Buffered Return Enhanced Notes
|
|
How the Notes Work
Upside Scenario:
If the Final Value is greater than the Initial Value, investors will
receive at maturity the $1,000 principal amount plus a return equal to the Underlying Return times the Upside Leverage Factor
of 2.00, up to the Maximum Return. Assuming a hypothetical Maximum Return of 15.00%:
|
●
|
if the closing value of the Underlying increases 5.00%, investors will receive at maturity a return of 10.00%, or $1,100.00 per $1,000
principal amount note; or
|
|
●
|
if the closing value of the Underlying increases 30.00%, investors will receive at maturity a return equal to the 15.00% Maximum Return,
or $1,150.00 per $1,000 principal amount note, which is the maximum payment at maturity.
|
Par Scenario:
If the Final Value is equal to the Initial Value or is less than
the Initial Value by up to the Buffer Amount of 10.00%,
investors will receive at maturity the principal amount of their notes.
Downside Scenario:
If the Final Value is less than the Initial Value by more than the
Buffer Amount of 10.00%, investors will lose 1%
of the principal amount of their notes for every 1% that the Final Value is less than the Initial Value by more than the Buffer Amount.
|
●
|
For example, if the closing value of the Underlying declines 50.00%, investors will lose 40.00%
of their principal amount and receive only $600.00
per $1,000 principal amount note at maturity, calculated as follows:
|
$1,000 + [$1,000 × (-50.00% + 10.00%)]
= $600.00
The hypothetical returns and hypothetical payments on the notes shown
above apply only if you hold the notes for their entire term. These hypotheticals do not reflect the fees or expenses that would
be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns and hypothetical
payments shown above would likely be lower.
Selected
Risk Considerations
An investment in the notes involves significant
risks. These risks are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement,
product supplement and underlying supplement.
Risks Relating to the Notes Generally
|
●
|
YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
The notes do not guarantee any return of principal. If the Final Value is less than the Initial Value by more than 10.00%,
you will lose 1% of the principal amount of your notes for every 1% that the Final Value is less than the Initial Value by more than 10.00%.
Accordingly, under these circumstances, you will lose up to 90.00%
of your principal amount at maturity.
|
|
●
|
YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE MAXIMUM RETURN,
regardless of the appreciation of the Underlying, which may be significant.
|
|
●
|
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
Investors are dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential
change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads, as determined by the market for taking that credit
risk, is likely to adversely affect the value of the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations,
you may not receive any amounts owed to you under the notes and you could lose your entire investment.
|
|
●
|
AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS —
As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of our securities.
Aside from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our
affiliates to make payments under loans made by us or other intercompany agreements. As a result, we are dependent upon payments from
our affiliates to meet our obligations under the notes. If these affiliates do not make payments to us and we fail to make payments on
the notes, you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank pari
passu with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
|
PS-3
| Structured Investments
Capped Buffered Return Enhanced Notes
|
|
|
●
|
POTENTIAL CONFLICTS —
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.
|
|
●
|
THE NOTES DO NOT PAY INTEREST.
|
|
●
|
YOU WILL NOT RECEIVE DIVIDENDS ON THE FUND OR THE SECURITIES INCLUDED IN OR HELD BY ANY UNDERLYING OR HAVE ANY RIGHTS WITH RESPECT
TO THE FUND OR THOSE SECURITIES.
|
|
●
|
LACK OF LIQUIDITY —
The notes will not be listed on any securities exchange. Accordingly, the price at which you may be able to trade your notes is likely
to depend on the price, if any, at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are not designed
to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
|
|
●
|
THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES —
The estimated value of the notes is only an estimate determined by reference to several factors. The original issue price of the notes
exceeds the estimated value of the notes because costs associated with selling, structuring and hedging the notes are included in the
original issue price of the notes. These costs include the selling commissions, the projected profits, if any, that our affiliates expect
to realize for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under
the notes. See “The Estimated Value of the Notes” in this pricing supplement.
|
|
●
|
THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES —
See “The Estimated Value of the Notes” in this pricing supplement.
|
|
●
|
THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
The internal funding rate used in the determination of the estimated value of the notes may differ from the market-implied funding rate
for vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be
based on, among other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance, operational
and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed income instruments of JPMorgan
Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is
intended to approximate the prevailing market replacement funding rate for the notes. The use of an internal funding rate and any potential
changes to that rate may have an adverse effect on the terms of the notes and any secondary market prices of the notes. See “The
Estimated Value of the Notes” in this pricing supplement.
|
|
●
|
THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE
THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
We generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you in connection
with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period. See “Secondary
Market Prices of the Notes” in this pricing supplement for additional information relating to this initial period. Accordingly,
the estimated value of your notes during this initial period may be lower than the value of the notes as published by JPMS (and which
may be shown on your customer account statements).
|
|
●
|
SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
Any secondary market prices of the notes will likely be lower than the original issue price of the notes because, among other things,
secondary market prices take into account our internal secondary market funding rates for structured debt issuances and, also, because
secondary market prices may exclude selling commissions, projected hedging profits, if any, and estimated hedging costs that are included
in the original issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy the notes from you in secondary
market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the Maturity Date could
result in a substantial loss to you.
|
PS-4
| Structured Investments
Capped Buffered Return Enhanced Notes
|
|
|
●
|
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 value
of the Underlying. 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 Individual Offerings
|
●
|
WITH RESPECT TO THE SPX NOTES, JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500®
INDEX,
but JPMorgan Chase & Co. will not have any obligation to consider your interests in taking any corporate action that might affect
the value of the S&P 500® Index.
|
|
●
|
THE RTY NOTES ARE SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS —
Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative to larger
companies. Small capitalization companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could
be a factor that limits downward stock price pressure under adverse market conditions.
|
|
●
|
THE SX5E NOTES, THE NDX NOTES AND THE EEM NOTES ARE SUBJECT TO NON-U.S. SECURITIES RISK —
Some or all of the equity securities held by the Fund and included in the EURO STOXX 50® Index and the NASDAQ-100 Index®
have been issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity securities involve
risks associated with the home countries and/or the securities markets in the home countries of the issuers of those non-U.S. equity securities.
Also, there is generally less publicly available information about companies in some of these jurisdictions than there is about U.S. companies
that are subject to the reporting requirements of the SEC.
|
|
●
|
THE EEM NOTES ARE SUBJECT TO EMERGING MARKETS RISK —
The equity securities held by the iShares® MSCI Emerging Markets ETF have been issued by non-U.S. companies located in
emerging markets countries. Countries with emerging markets may have relatively unstable governments, may present the risks of nationalization
of businesses, restrictions on foreign ownership and prohibitions on the repatriation of assets, and may have less protection of property
rights than more developed countries. The economies of countries with emerging markets may be based on only a few industries, may be highly
vulnerable to changes in local or global trade conditions, and may suffer from extreme and volatile debt burdens or inflation rates. Local
securities markets may trade a small number of securities and may be unable to respond effectively to increases in trading volume, potentially
making prompt liquidation of holdings difficult or impossible at times.
|
|
●
|
THE SX5E NOTES PROVIDE NO DIRECT EXPOSURE TO FLUCTUATIONS IN FOREIGN EXCHANGE RATES —
The value of your notes will not be adjusted for exchange rate fluctuations between the U.S. dollar and the currencies upon which the
equity securities included in the EURO STOXX 50® Index are based, although any currency fluctuations could affect the performance
of the EURO STOXX 50® Index.
|
|
●
|
THE EFA NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK —
Because the prices of the equity securities held by the Fund are converted into U.S. dollars for purposes of calculating the net asset
value of the Fund, holders of the notes will be exposed to currency exchange rate risk with respect to each of the currencies in which
the equity securities held by the Fund trade. Your net exposure will depend on the extent to which those currencies strengthen or weaken
against the U.S. dollar and the relative weight of equity securities held by the Fund denominated in each of those currencies. If, taking
into account the relevant weighting, the U.S. dollar strengthens against those currencies, the price of the Fund will be adversely affected
and any payment on the notes may be reduced.
|
|
●
|
THE EFA NOTES ARE SUBJECT TO RISKS ASSOCIATED WITH THE FUND —
The Fund is subject to management risk, which is the risk that the investment strategies of the Fund’s investment adviser, the implementation
of which is subject to a number of constraints, may not produce the intended results. These constraints could adversely affect the market
price of the shares of the Fund and, consequently, the value of the notes.
|
PS-5
| Structured Investments
Capped Buffered Return Enhanced Notes
|
|
|
●
|
WITH RESPECT TO THE EFA NOTES, THE PERFORMANCE AND MARKET VALUE OF THE FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY,
MAY NOT CORRELATE WITH THE PERFORMANCE OF THE FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE —
The Fund does not fully replicate its Underlying Index (as defined under “The Underlyings” below) and may hold securities
different from those included in its Underlying Index. In addition, the performance of the Fund will reflect additional transaction costs
and fees that are not included in the calculation of its Underlying Index. All of these factors may lead to a lack of correlation between
the performance of the Fund and its Underlying Index. In addition, corporate actions with respect to the equity securities underlying
the Fund (such as mergers and spin-offs) may impact the variance between the performances of the Fund and its Underlying Index. Finally,
because the shares of the Fund are traded on a securities exchange and are subject to market supply and investor demand, the market value
of one share of the Fund may differ from the net asset value per share of the Fund.
During periods of market volatility, securities underlying the Fund may be unavailable in the secondary market, market participants may
be unable to calculate accurately the net asset value per share of the Fund and the liquidity of the Fund may be adversely affected. This
kind of market volatility may also disrupt the ability of market participants to create and redeem shares of the Fund. Further, market
volatility may adversely affect, sometimes materially, the prices at which market participants are willing to buy and sell shares of the
Fund. As a result, under these circumstances, the market value of shares of the Fund may vary substantially from the net asset value per
share of the Fund. For all of the foregoing reasons, the performance of the Fund may not correlate with the performance of its Underlying
Index as well as the net asset value per share of the Fund, which could materially and adversely affect the value of the notes in the
secondary market and/or reduce any payments on the notes.
|
|
●
|
WITH RESPECT TO THE EFA NOTES, THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED —
The calculation agent will make adjustments to the Share Adjustment Factor for the Fund for certain events affecting the shares of the
Fund. However, the calculation agent will not make an adjustment in response to all events that could affect the shares of the Fund. If
an event occurs that does not require the calculation agent to make an adjustment, the value of the notes may be materially and adversely
affected.
|
The Underlyings
The EURO STOXX 50® Index consists of 50 component
stocks of market sector leaders from within the Eurozone. The Index and STOXX are the intellectual property (including registered trademarks)
of STOXX Limited, Zurich, Switzerland and/or its licensors (the “Licensors”), which are used under license. The notes based
on the Index are in no way sponsored, endorsed, sold or promoted by STOXX Limited and its Licensors and neither STOXX Limited nor any
of its Licensors shall have any liability with respect thereto. For additional information about the EURO STOXX 50® Index,
see “Equity Index Descriptions — The STOXX Benchmark Indices” in the accompanying underlying supplement.
The NASDAQ-100 Index® is a modified
market capitalization-weighted index of 100 of the largest non-financial securities listed on The NASDAQ Stock Market based on market
capitalization. For additional information about the NASDAQ-100 Index®, see “Equity Index Descriptions — The
NASDAQ-100 Index®” in the accompanying underlying supplement.
The Russell 2000® Index consists
of the middle 2,000 companies included in the Russell 3000ETM Index and, as a result of the index calculation methodology,
consists of the smallest 2,000 companies included in the Russell 3000® Index. The Russell 2000® Index is
designed to track the performance of the small capitalization segment of the U.S. equity market. For additional information about the
Russell 2000® Index, see “Equity Index Descriptions — The Russell Indices” in the accompanying underlying
supplement.
The S&P 500® Index consists
of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For additional information about the
S&P 500® Index, see “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying underlying
supplement.
The iShares® MSCI Emerging Markets
ETF is an exchange-traded fund of iShares®, Inc., a registered investment company, which seeks to track the investment
results, before fees and expenses, of an index composed of large- and mid-capitalization emerging market equities, which we refer to as
the Underlying Index with respect to the iShares® MSCI Emerging Markets ETF. The Underlying Index for the iShares®
MSCI Emerging Markets ETF is currently the MSCI Emerging Markets Index. The MSCI Emerging Markets Index is a free float -adjusted market
capitalization index that is designed to measure equity market performance of global emerging markets. For additional information
about the iShares® MSCI Emerging Markets ETF, see the information set forth under “Fund Descriptions — The
iShares® ETFs” in the accompanying underlying supplement.
PS-6
| Structured Investments
Capped Buffered Return Enhanced Notes
|
|
Historical Information
The following table sets forth the closing value of each Underlying
on July 30, 2021. The following graphs set forth the historical performance of each Underlying, based on the weekly historical closing
values from January 8, 2016 through July 30, 2021. We obtained the closing values below from the Bloomberg Professional®
service (“Bloomberg”), without independent verification. The closing values of the Fund may have been adjusted by Bloomberg
for actions taken by the Fund, such as stock splits.
The historical closing values of each Underlying
should not be taken as an indication of future performance, and no assurance can be given as to the closing value of any Underlying on
the Observation Date. There can be no assurance that the performance of the Underlying will result in the return of any of your principal
amount.
Underlying*
|
Closing Value on July 30, 2021
|
EURO STOXX 50® Index
|
4,089.30
|
NASDAQ-100 Index®
|
14,959.90
|
Russell 2000® Index
|
2,226.246
|
iShares® MSCI Emerging Markets ETF
|
$51.60
|
Historical Performance of the EURO STOXX 50®
Index
Source: Bloomberg
|
PS-7
| Structured Investments
Capped Buffered Return Enhanced Notes
|
|
Historical Performance of the NASDAQ-100 Index®
Source: Bloomberg
|
Historical Performance of the Russell 2000®
Index
Source: Bloomberg
|
PS-8
| Structured Investments
Capped Buffered Return Enhanced Notes
|
|
Historical Performance of the S&P 500®
Index
Source: Bloomberg
|
Historical Performance of the iShares®
MSCI Emerging Markets ETF
Source: Bloomberg
|
PS-9
| Structured Investments
Capped Buffered Return Enhanced Notes
|
|
Tax Treatment
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-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, subject to the possible application of the “constructive ownership” rules with respect to the EEM
Notes, as described below, the gain or loss on your notes should be treated as long-term capital gain or loss if you hold your notes for
more than a year, whether or not you are an initial purchaser of notes at the issue price. The EEM Notes could be treated as “constructive
ownership transactions” within the meaning of Section 1260 of the Code, in which case any gain recognized in respect of the EEM
Notes that would otherwise be long-term capital gain and that was in excess of the “net underlying long-term capital gain”
(as defined in Section 1260) would be treated as ordinary income, and a notional interest charge would apply as if that income had accrued
for tax purposes at a constant yield over your holding period for the EEM Notes. Our special tax counsel has not expressed an opinion
with respect to whether the constructive ownership rules apply to the EEM Notes. Accordingly, U.S. Holders should consult their tax advisers
regarding the potential application of the constructive ownership rules to the EEM Notes.
The IRS or a court may not respect the treatment of the notes described
above, in which case the timing and character of any income or loss on your 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 described above. 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 the potential application of the constructive ownership rules, 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.
PS-10
| Structured Investments
Capped Buffered Return Enhanced Notes
|
|
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 — The Estimated
Value of the Notes Is Derived by Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives underlying the economic
terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as the traded
market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which can include
volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments. Accordingly,
the estimated value of the notes is determined when the terms of the notes are set based on market conditions and other relevant factors
and assumptions existing at that time.
The estimated value of the notes does not represent future values
of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide valuations for the notes
that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant factors in the
future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly based
on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements
and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market
transactions.
The estimated value of the notes is lower than the original issue
price of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue price of
the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected profits,
if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated
cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market forces beyond
our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. A portion of the profits,
if any, realized in hedging our obligations under the notes may be allowed to other affiliated or unaffiliated dealers, and we or one
or more of our affiliates will retain any remaining hedging profits. See “Selected Risk Considerations — 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 — The Value of the Notes
as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of
the Notes for a Limited Time Period” in this pricing supplement.
PS-11
| Structured Investments
Capped Buffered Return Enhanced Notes
|
|
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 “Hypothetical Payout Profile” and “How the Notes
Work” in this pricing supplement for an illustration of the risk-return profile of the notes and “The Underlyings” in
this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the estimated value
of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus) the projected profits
(losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes, plus the estimated
cost of hedging our obligations under the notes.
Supplemental Plan of
Distribution
We expect that delivery of the notes will be made against payment
for the notes on or about the Original Issue Date set forth on the front cover of this pricing supplement, which will be the third business
day following the Pricing Date of the notes (this settlement cycle being referred to as “T+3”). Under Rule 15c6-1 of the Securities
Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in two business days, unless the parties
to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade notes on any date prior to two business days before
delivery will be required to specify an alternate settlement cycle at the time of any such trade to prevent a failed settlement and should
consult their own advisors.
Validity of the Notes
and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as special products
counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by this pricing supplement have been executed and issued
by JPMorgan Financial and authenticated by the trustee pursuant to the indenture, and delivered against payment as contemplated herein,
such notes will be valid and binding obligations of JPMorgan Financial and the related guarantee will constitute a valid and binding obligation
of JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws
affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability (including,
without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion
as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed
above or (ii) any provision of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar
provision of applicable law by limiting the amount of JPMorgan Chase & Co.’s obligation under the related guarantee. This opinion
is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware
and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustee’s
authorization, execution and delivery of the indenture and its authentication of the notes and the validity, binding nature and enforceability
of the indenture with respect to the trustee, all as stated in the letter of such counsel dated February 26, 2020, which was filed as
an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 26, 2020.
Additional Terms Specific
to the Notes
You should read this pricing supplement together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement, relating to our Series A medium-term notes of which these notes
are a part, and the more detailed information contained in the accompanying product supplement and the accompanying underlying supplement.
This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous
oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas,
structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You should carefully
consider, among other things, the matters set forth in the “Risk Factors” sections of the accompanying prospectus supplement,
the accompanying product supplement and the accompanying underlying supplement, as the notes involve risks not associated with conventional
debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes.
PS-12
| Structured Investments
Capped Buffered Return Enhanced 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-13
| Structured Investments
Capped Buffered Return Enhanced Notes
|
|
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Mar 2024 to Apr 2024
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Apr 2023 to Apr 2024