Neither the Securities and Exchange Commission (the “SEC”) nor any
state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing supplement
or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation to the contrary
is a criminal offense.
Pricing supplement to product supplement no. 4-II dated November
4, 2020, underlying supplement no. 1-II dated November 4, 2020
and the prospectus and prospectus supplement, each dated April 8, 2020
Key Terms
Issuer:
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase &
Co.
Guarantor:
JPMorgan Chase & Co.
Underlyings:
The EURO STOXX 50® Index (Bloomberg ticker: SX5E) and
the NASDAQ-100 Index® (Bloomberg ticker: NDX) (each of the EURO
STOXX 50® Index and the NASDAQ-100 Index®,
an “Index” and collectively, the “Indices”) and the iShares® Russell 2000 Value ETF (Bloomberg
ticker: IWN) (the “Fund”) (each of the Indices and the Fund, an “Underlying” and collectively, the “Underlyings”)
Contingent Interest
Payments: If the notes have not been automatically called and the closing value of each Underlying 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 at least $17.50 (equivalent to a Contingent Interest Rate of at least 7.00% per annum, payable
at a rate of at least 1.75% per quarter) (to be provided in the pricing supplement).
If the closing value of any Underlying 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: At least 7.00% per annum, payable at a rate of at least 1.75% per quarter (to
be provided in the pricing supplement)
Interest Barrier / Trigger Value:
With respect to each Underlying, 70.00% of its Initial Value
Pricing Date:
On or about December 13, 2021
Original
Issue Date (Settlement Date): On or about December 16, 2021
Review Dates*:
March 14, 2022, June 13, 2022, September 13, 2022, December 13, 2022, March 13, 2023, June 13, 2023, September 13, 2023, December 13,
2023, March 13, 2024 and June 13, 2024 (final Review Date)
Interest Payment
Dates*: March 17, 2022, June 16, 2022, September 16, 2022, December 16, 2022, March 16, 2023, June 16, 2023, September 18,
2023, December 18, 2023, March 18, 2024 and the Maturity Date
Maturity Date*:
June 18, 2024
Call Settlement Date*: If the
notes are automatically called on any Review Date (other than the first 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 value of each Underlying on any Review Date (other than the first
and final Review Dates) is greater than or equal to its Initial Value, the notes will be automatically called for a cash payment, for
each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to that Review Date,
payable on the applicable Call Settlement Date. No further payments will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final Value of each Underlying
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 Underlying
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 Underlying Return)
If the notes have not been automatically called and the Final Value of any Underlying
is less than its Trigger Value, you will lose more than 30.00% of your principal amount at maturity and could lose all of your principal
amount at maturity.
Least Performing Underlying: The
Underlying with the Least Performing Underlying Return
Least Performing Underlying Return: The
lowest of the Underlying Returns of the Underlyings
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
Final
Value: With respect to each Underlying, the closing value of that Underlying on the final Review
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
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the EURO STOXX 50® Index, the NASDAQ-100 Index® and the iShares® Russell 2000 Value ETF
|
|
How the Notes Work
Payment in Connection with the First Review Date
Payments in Connection with Review Dates (Other than the First
and Final Review Dates)
PS-2
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the EURO STOXX 50® Index, the NASDAQ-100 Index® and the iShares® Russell 2000 Value ETF
|
|
Payment at Maturity If the Notes Have Not Been Automatically
Called
PS-3
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the EURO STOXX 50® Index, the NASDAQ-100 Index® and the iShares® Russell 2000 Value ETF
|
|
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 a hypothetical Contingent Interest Rate of 7.00% per annum,
depending on how many Contingent Interest Payments are made prior to automatic call or maturity. The actual Contingent Interest Rate will
be provided in the pricing supplement and will be at least 7.00% per annum.
Number of Contingent
Interest Payments
|
Total Contingent
Interest Payments
|
10
|
$175.00
|
9
|
$157.50
|
8
|
$140.00
|
7
|
$122.50
|
6
|
$105.00
|
5
|
$87.50
|
4
|
$70.00
|
3
|
$52.50
|
2
|
$35.00
|
1
|
$17.50
|
0
|
$0.00
|
Hypothetical Payout Examples
The following examples illustrate payments on the notes linked
to three hypothetical Underlyings, assuming a range of performances for the hypothetical Least Performing Underlying on the Review Dates.
Each hypothetical payment set forth below assumes that the closing value of each Underlying that is not the Least Performing Underlying
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 Underlying of 100.00;
|
|
·
|
an Interest Barrier and a Trigger Value for the Least Performing Underlying of 70.00 (equal to 70.00% of its hypothetical Initial
Value); and
|
|
·
|
a Contingent Interest Rate of 7.00% per annum (payable at a rate of 1.75% per quarter).
|
The hypothetical Initial Value of the Least Performing Underlying
of 100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial Value of any Underlying. The actual
Initial Value of each Underlying will be the closing value of that Underlying on the Pricing Date and will be provided in the pricing
supplement. For historical data regarding the actual closing values of each Underlying, please see the historical information set forth
under “The Underlyings” 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
second Review Date.
Date
|
Closing Value of Least
Performing Underlying
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
105.00
|
$17.50
|
Second Review Date
|
115.00
|
$1,017.50
|
|
Total Payment
|
$1,035.00 (3.50% return)
|
Because the closing value of each Underlying on the second Review
Date is greater than or equal to its Initial Value, the notes will be automatically called for a cash payment, for each $1,000 principal
amount note, of $1,017.50 (or $1,000 plus the Contingent Interest Payment applicable to the second Review Date), payable on the
applicable Call Settlement Date. The notes are not automatically callable before the second Review Date, even though the closing value
of each Underlying on the first Review Date is greater than its Initial Value. When added to the Contingent Interest Payment received
with respect to the prior Review Date, the total amount paid, for each $1,000 principal amount note, is $1,035.00. No further payments
will be made on the notes.
PS-4
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the EURO STOXX 50® Index, the NASDAQ-100 Index® and the iShares® Russell 2000 Value ETF
|
|
Example 2 — Notes have NOT been automatically called and
the Final Value of the Least Performing Underlying is greater than or equal to its Trigger Value.
Date
|
Closing Value of Least
Performing Underlying
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
95.00
|
$17.50
|
Second Review Date
|
85.00
|
$17.50
|
Third through Ninth Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
90.00
|
$1,017.50
|
|
Total Payment
|
$1,052.50 (5.25% return)
|
Because the notes have not been automatically called and the Final
Value of the Least Performing Underlying is greater than or equal to its Trigger Value, the payment at maturity, for each $1,000 principal
amount note, will be $1,017.50 (or $1,000 plus the Contingent Interest Payment applicable to the final Review Date). When added
to the Contingent Interest Payments received with respect to the prior Review Dates, the total amount paid, for each $1,000 principal
amount note, is $1,052.50.
Example
3 — Notes have NOT been automatically called and the Final Value of the Least Performing Underlying is less than its Trigger Value.
Date
|
Closing Value of Least Performing Underlying
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
40.00
|
$0
|
Second Review Date
|
45.00
|
$0
|
Third through Ninth 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 Underlying is less than its Trigger Value and the Least Performing Underlying Return is -50.00%, the payment
at maturity will be $500.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)] = $500.00
The hypothetical returns and hypothetical payments on the notes
shown above apply only if you hold the notes for their entire term or until automatically called. These hypotheticals do not reflect
the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical
returns and hypothetical payments shown above would likely be lower.
Selected Risk Considerations
An investment in the notes involves significant risks. These risks
are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement, product supplement
and underlying supplement.
Risks Relating to the Notes Generally
|
·
|
YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
|
The notes do not guarantee any return of principal. If the
notes have not been automatically called and the Final Value of any Underlying 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 Underlying is less than its Initial Value. Accordingly,
under these circumstances, you will lose more than 30.00% of your principal amount at maturity and could lose all of your principal amount
at maturity.
|
·
|
THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL —
|
If the notes have not been automatically called, we will make
a Contingent Interest Payment with respect to a Review Date only if the closing value of each Underlying on that Review Date is greater
than or equal to its Interest Barrier. If the closing value of any Underlying 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 value of any Underlying on each
Review Date is less than its Interest Barrier, you will not receive any interest payments over the term of the notes.
PS-5
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the EURO STOXX 50® Index, the NASDAQ-100 Index® and the iShares® Russell 2000 Value ETF
|
|
|
·
|
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
|
Investors are dependent on our and JPMorgan Chase & Co.’s
ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness
or credit spreads, as determined by the market for taking that credit risk, is likely to adversely affect the value of the notes. If we
and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed to you under the notes and
you could lose your entire investment.
|
·
|
AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS —
|
As a finance subsidiary of JPMorgan Chase & Co., we have
no independent operations beyond the issuance and administration of our securities. Aside from the initial capital contribution from JPMorgan
Chase & Co., substantially all of our assets relate to obligations of our affiliates to make payments under loans made by us or other
intercompany agreements. As a result, we are dependent upon payments from our affiliates to meet our obligations under the notes. If these
affiliates do not make payments to us and we fail to make payments on the notes, you may have to seek payment under the related guarantee
by JPMorgan Chase & Co., and that guarantee will rank pari passu with all other unsecured and unsubordinated obligations of
JPMorgan Chase & Co.
|
·
|
THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS THAT MAY BE PAID OVER THE TERM
OF THE NOTES,
|
regardless of any appreciation of any Underlying, which may
be significant. You will not participate in any appreciation of any Underlying.
|
·
|
YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE VALUE OF EACH UNDERLYING —
|
Payments on the notes are not linked to a basket composed
of the Underlyings and are contingent upon the performance of each individual Underlying. Poor performance by any of the Underlyings 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 Underlying.
|
·
|
YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING UNDERLYING.
|
|
·
|
THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE —
|
If the Final Value of any Underlying 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 Underlying.
|
·
|
THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
|
If your notes are automatically called, the term of the notes
may be reduced to as short as approximately six months and you will not receive any 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 THE FUND OR THE SECURITIES INCLUDED IN OR HELD BY ANY UNDERLYING OR HAVE ANY RIGHTS WITH RESPECT
TO THE FUND OR THOSE SECURITIES.
|
|
·
|
THE RISK OF THE CLOSING VALUE OF AN UNDERLYING FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS GREATER IF THE VALUE OF THAT
UNDERLYING IS VOLATILE.
|
The notes will not be listed on any securities exchange. Accordingly,
the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS is willing to buy the notes.
You may not be able to sell your notes. The notes are not designed to be short-term trading instruments. Accordingly, you should be able
and willing to hold your notes to maturity.
|
·
|
THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT —
|
You should consider your potential investment in the notes
based on the minimums for the estimated value of the notes and the Contingent Interest Rate.
PS-6
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the EURO STOXX 50® Index, the NASDAQ-100 Index® and the iShares® Russell 2000 Value ETF
|
|
Risks Relating to Conflicts of Interest
We and our affiliates play a variety of roles in connection
with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests are potentially adverse to your
interests as an investor in the notes. It is possible that hedging or trading activities of ours or our affiliates in connection with
the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer to “Risk
Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement.
Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes
|
·
|
THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES —
|
The estimated value of the notes is only an estimate determined
by reference to several factors. The original issue price of the notes will exceed the estimated value of the notes because costs associated
with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include the selling
commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes and the estimated cost of hedging our obligations under the notes. See “The Estimated Value of the Notes”
in this pricing supplement.
|
·
|
THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES —
|
See “The Estimated Value of the Notes” in this
pricing supplement.
|
·
|
THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
|
The internal funding rate used in the determination of the
estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity
issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based
on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement
funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the
terms of the notes and any secondary market prices of the notes. See “The Estimated Value of the Notes” in this pricing supplement.
|
·
|
THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE
THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
|
We generally expect that some of the costs included in the
original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount
that will decline to zero over an initial predetermined period. See “Secondary Market Prices of the Notes” in this pricing
supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes during this initial
period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account statements).
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
|
Any secondary market prices of the notes will likely be lower
than the original issue price of the notes because, among other things, secondary market prices take into account our internal secondary
market funding rates for structured debt issuances and, also, because secondary market prices may exclude selling commissions, projected
hedging profits, if any, and estimated hedging costs that are included in the original issue price of the notes. As a result, the price,
if any, at which JPMS will be willing to buy the notes from you in secondary market transactions, if at all, is likely to be lower than
the original issue price. Any sale by you prior to the Maturity Date could result in a substantial loss to you.
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
|
The secondary market price of the notes during their term
will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the selling commissions,
projected hedging profits, if any, estimated hedging costs and the values of the Underlyings. 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)
PS-7
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the EURO STOXX 50® Index, the NASDAQ-100 Index® and the iShares® Russell 2000 Value ETF
|
|
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 Underlyings
|
·
|
NON-U.S. SECURITIES RISK WITH RESPECT TO THE EURO STOXX 50® INDEX AND THE
NASDAQ-100 INDEX® —
|
Some or all of the equity
securities 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.
|
·
|
NO DIRECT EXPOSURE TO FLUCTUATIONS IN FOREIGN EXCHANGE RATES WITH RESPECT TO THE EURO STOXX
50® INDEX —
|
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.
|
·
|
THERE ARE 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.
|
·
|
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 payment on the notes.
|
·
|
AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS
WITH RESPECT TO THE FUND —
|
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 INVESTMENT STRATEGY REPRESENTED BY THE FUND MAY NOT BE SUCCESSFUL —
|
The Fund seeks to track
the investment results, before fees and expenses, of an index composed of small capitalization U.S. equities that exhibit value characteristics,
which is currently the Russell 2000® Value Index. The Russell 2000® Value Index measures the capitalization-weighted
price performance of the stocks included in the Russell 2000® Index that are determined by FTSE Russell to be value oriented,
with lower price-to-book ratios and lower forecasted growth values. A “value” investment strategy is premised on the goal
of investing in stocks that are determined to be relatively cheap or “undervalued” under the assumption that the value of
those stocks will increase over time as the market comes to reflect the “fair” market value of those stocks. However, the
value characteristics referenced by the Russell 2000® Value Index may not be accurate predictors of
PS-8
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the EURO STOXX 50® Index, the NASDAQ-100 Index® and the iShares® Russell 2000 Value ETF
|
|
undervalued stocks, and there is no guarantee that undervalued stocks will
appreciate. In addition, the Russell 2000® Value Index’s selection methodology includes a significant bias against
stocks with strong growth characteristics, and stocks with strong growth characteristics may outperform stocks with weak growth characteristics.
There is no assurance that the Fund will outperform any other index, exchange-traded fund or strategy that tracks U.S. stocks selected
using other criteria and may underperform the Russell 2000® Index as a whole. It is possible that the stock selection methodology
of the Russell 2000® Value Index will adversely affect its return and, consequently, the level of the Russell 2000®
Value Index, the price of one share of the Fund and the value and return of the
notes.
|
·
|
THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED —
|
The calculation agent
will make adjustments to the Share Adjustment Factor 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.
PS-9
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least Performing of
the EURO STOXX 50® Index, the NASDAQ-100 Index® and the iShares® Russell 2000 Value ETF
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The EURO STOXX 50®
Index consists of 50 component stocks of market sector leaders from within the Eurozone. The EURO STOXX 50® 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 EURO STOXX 50® 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 Fund is an exchange-traded
fund of iShares® Trust, a registered investment company, that seeks to track the investment results, before fees and expenses,
of an index composed of small capitalization U.S. equities that exhibit value characteristics, which we refer to as the Underlying Index
with respect to the Fund. The Underlying Index for the Fund is currently the Russell 2000® Value Index. The Russell 2000®
Value Index measures the capitalization-weighted price performance of the stocks included in the Russell 2000® Index that
are determined by FTSE Russell to be value oriented, with lower price-to-book ratios and lower forecasted growth values. For additional
information about the Fund, see “Fund Descriptions — The iShares® ETFs” in the accompanying underlying
supplement. For purposes of the accompanying underlying supplement, the Fund is an “iShares® ETF.” For additional
information about the Russell 2000® Value Index, see Annex A in this pricing supplement.
Historical Information
The following graphs set forth
the historical performance of each Underlying based on the weekly historical closing values from January 8, 2016 through December 3, 2021.
The closing value of the EURO STOXX 50® Index on December 6, 2021 was 4,137.11. The closing value of the NASDAQ-100 Index®
on December 6, 2021 was 15,846.16. The closing value of the Fund on December 6, 2021 was $163.55. We obtained the closing values above
and below from the Bloomberg Professional® service (“Bloomberg”), without independent verification. The closing
values of the Fund above and below 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 Pricing
Date or any Review Date. There can be no assurance that the performance of the Underlyings will result in the return of any of your principal
amount or the payment of any interest.
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Tax Treatment
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-II. In determining our reporting responsibilities
we intend to treat (i) the notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent coupons
and (ii) any Contingent Interest Payments as ordinary income, as described in the section entitled “Material U.S. Federal Income
Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated Contingent
Coupons” in the accompanying product supplement. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel,
we believe that this is a reasonable treatment, but that there are other reasonable treatments that the IRS or a court may adopt, in which
case the timing and character of any income or loss on the notes could be materially affected. In addition, in 2007 Treasury and the IRS
released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar
instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their
investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments
and the relevance of factors such as the nature of the underlying property to which the instruments are linked. While the notice requests
comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration
of these issues could materially affect the tax consequences of an investment in the notes, possibly with retroactive effect. The discussions
above and in the accompanying product supplement do not address the consequences to taxpayers subject to special tax accounting rules
under Section 451(b) of the Code. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment
in the notes, including possible alternative treatments and the issues presented by the notice described above.
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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, we expect that Section 871(m) will not apply to the notes with regard to Non-U.S. Holders. Our determination is not binding
on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend on your particular
circumstances, including whether you enter into other transactions with respect to an Underlying Security. If necessary, further information
regarding the potential application of Section 871(m) will be provided in the pricing supplement for the notes. You should consult your
tax adviser regarding the potential application of Section 871(m) to the notes.
In the event of any withholding
on the notes, we will not be required to pay any additional amounts with respect to amounts so withheld.
The Estimated Value of the Notes
The estimated value of the notes set forth on the cover of this
pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component with
the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing to
buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated
value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by
JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’ view of
the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison
to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based on certain
market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement funding
rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms
of the notes and any secondary market prices of the notes. For additional information, see “Selected Risk Considerations —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Derived by
Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives underlying the economic
terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as the traded
market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which can include
volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments. Accordingly,
the estimated value of the notes is determined when the terms of the notes are set based on market conditions and other relevant factors
and assumptions existing at that time.
The estimated value of the notes does not represent future values
of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide valuations for the notes
that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant factors in the
future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly based
on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements
and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market
transactions.
The estimated value of the notes will be lower than the original
issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue price
of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected profits,
if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated
cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market forces beyond
our control, this hedging may result in a profit that
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is more or less than expected, or it may result in a loss. A portion of the
profits, if any, realized in hedging our obligations under the notes may be allowed to other affiliated or unaffiliated dealers, and we
or one or more of our affiliates will retain any remaining hedging profits. See “Selected Risk Considerations — Risks Relating
to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Will Be Lower Than the Original
Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary Market Prices
of the Notes
For information about factors that will impact any secondary market
prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes —
Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
In addition, we generally expect that some of the costs included in the original issue price of the notes will be partially paid back
to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period.
These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and
our internal secondary market funding rates for structured debt issuances. This initial predetermined time period is intended to be the
shorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects the structure of the
notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the notes
and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations — Risks Relating to
the Estimated Value and Secondary Market Prices of the Notes — The Value of the Notes as Published by JPMS (and Which May Be Reflected
on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this
pricing supplement.
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 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.
Additional Terms Specific
to the Notes
You may revoke your offer to purchase the notes at any time prior
to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of, or reject any
offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes, we will notify you and you
will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes, in which case we may
reject your offer to purchase.
You should read this pricing supplement together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which these notes
are a part, and the more detailed information contained in the accompanying product supplement and the accompanying underlying supplement.
This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous
oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas,
structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You should carefully
consider, among other things, the matters set forth in the “Risk Factors” sections of the accompanying prospectus supplement,
the accompanying product supplement and the accompanying underlying supplement, as the notes involve risks not associated with conventional
debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC website at www.sec.gov as follows (or
if such address has changed, by reviewing our filings for the relevant date on the SEC website):
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Our Central Index Key, or CIK, on the SEC website is 1665650, and
JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us” and “our”
refer to JPMorgan Financial.
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Annex
A
The Russell 2000®
Value Index
All information contained
in this pricing supplement regarding the Russell 2000® Value Index (the “Value Index”), including, without
limitation, its make-up, method of calculation and changes in its components, has been derived from publicly available information, without
independent verification. This information reflects the policies of, and is subject to change by, FTSE Russell. The Value Index is calculated,
maintained and published by FTSE Russell. FTSE Russell has no obligation to publish, and may discontinue the publication of, the Value
Index.
The Value Index is reported
by Bloomberg under the ticker symbol “RUJ.”
The Value Index measures
the capitalization-weighted price performance of the stocks included in the Russell 2000® Index (each, a “Russell
2000 Component Stock” and collectively, the “Russell 2000 Component Stocks”) that are determined by FTSE Russell to
be value oriented, with lower price-to-book ratios and lower forecasted growth values. The Russell 2000® Index measures
the capitalization-weighted price performance of 2,000 U.S. small-capitalization stocks listed on eligible U.S. exchanges. For more information
about the Russell 2000® Index, see “Equity Index Descriptions — The Russell Indices” in the accompanying
underlying supplement.
FTSE Russell uses a “non-linear
probability” method to assign stocks to the Value Index and the Russell 2000® Growth Index (the “Growth Index”),
an index that measures the capitalization-weighted price performance of the Russell 2000 Component Stocks determined by FTSE Russell to
be growth oriented, with higher price-to-book ratios and higher forecasted growth values. The term “probability” is used to
indicate the degree of certainty that a stock is value or growth based on its relative book-to-price (B/P) ratio, I/B/E/S forecast medium-term
growth (2 year) and sales per share historical growth (5 year). This method allows stocks to be represented as having both growth and
value characteristics, while preserving the additive nature of the indices.
The process for assigning
growth and value weights is applied separately to the Russell 2000 Component Stocks. The Russell 2000 Component Stocks are ranked by their
adjusted book-to-price ratio (B/P), their I/B/E/S forecast medium-term growth (2 year) and sales per share historical growth (5 year).
These rankings are converted to standardized units, where the value variable represents 50% of the score and the two growth variables
represent the remaining 50%. They are then combined to produce a Composite Value Score (“CVS”).
The Russell 2000 Component
Stocks are then ranked by their CVS, and a probability algorithm is applied to the CVS distribution to assign growth and value weights
to each stock. In general, a stock with a lower CVS is considered growth, a stock with a higher CVS is considered value, and a stock with
a CVS in the middle range is considered to have both growth and value characteristics, and is weighted proportionately in the growth and
value indices. Stocks are always fully represented by the combination of their growth and value weights (e.g., a stock that is given a
20% weight in the Value Index will have an 80% weight in the Growth Index).
Stock A, in the figure below,
is a security with 20% of its available shares assigned to the Value Index and the remaining 80% assigned to the Growth Index. Hence,
the sum of a stock’s market capitalization in the Value Index and the Growth Index will always equal its market capitalization in
the Russell 2000® Index.
In the figure above, the
quartile breaks are calculated such that approximately 25% of the available market capitalization lies in each quartile. Stocks at the
median are divided 50% in each of the Value Index and the Growth Index. Stocks below the first quartile are 100% in the Growth Index.
Stocks above the third quartile are 100% in the Value Index. Stocks falling between the first and third quartile breaks are in both the
Value Index and the Growth Index to varying degrees, depending on how far they are above or below the median and how close they are to
the first or third quartile breaks.
Roughly 70% of the available
market capitalization is classified as all growth or all value. The remaining 30% have some portion of their market value in either the
Value Index or the Growth Index, depending on their relative distance from the median value score. Note that there is a small position
cutoff rule. If a stock’s weight is more than 95% in one index, its weight is increased to 100% in that index.
In an effort to mitigate
unnecessary turnover, FTSE Russell implements a banding methodology at the CVS level of the growth and value style algorithm. If a company’s
CVS change from the previous year is greater than or equal to +/- 0.10 and if the company remains in the same core index (i.e., the Russell
2000® Index), then the CVS remains unchanged during the next reconstitution process. Keeping the CVS static for these companies
does not mean the probability (growth/value) will remain unchanged in all cases due to the relation of a CVS score to the overall index.
However, this banding methodology is intended to reduce turnover caused by smaller, less meaningful movements while continuing to allow
the larger, more meaningful changes to occur, signaling a true change in a company’s relation to the market.
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In calculating growth and
value weights, stocks with missing or negative values for B/P, or missing values for I/B/E/S growth, or missing sales per share historical
growth (6 years of quarterly numbers are required), are allocated by using the mean value score of the base index (the Russell 2000®
Index), the Russell Global Sectors (ICB) industry, subsector or sector group into which the company falls. Each missing (or negative B/P)
variable is substituted with the industry, subsector or sector group independently. An industry must have five members or the substitution
reverts to the subsector, and so forth to the sector. In addition, a weighted value score is calculated for securities with low analyst
coverage for I/B/E/S medium-term growth. For securities with coverage by a single analyst, 2/3 of the industry, subsector, or sector group
value score is weighted with 1/3 the security’s independent value score. For those securities with coverage by two analysts, 2/3
of the independent security’s value score is used and only 1/3 of the industry, subsector, or sector group is weighted. For those
securities with at least three analysts contributing to the I/B/E/S medium-term growth, 100% of the independent security’s value
score is used.
For more information about
the index calculation methodology used for the Value Index, see “Equity Index Descriptions — The Russell Indices” in
the accompanying underlying supplement. For purposes of this pricing supplement, all references to the Russell Indices contained in the
above-referenced section are deemed to include the Value Index.
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