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 S&P 500® Index (Bloomberg ticker: SPX) and the Dow Jones Industrial AverageTM
(Bloomberg ticker: INDU) (each of the S&P 500® Index and the Dow Jones Industrial AverageTM, an “Index”
and collectively, the “Indices”) and the ARK Innovation ETF (Bloomberg ticker: ARKK) (the “Fund”) (each of the
Indices and the Fund, an “Underlying” and collectively, the “Underlyings”)
Interest
Payments: If the notes have not been automatically called, you will receive on each Interest Payment Date for each $1,000 principal
amount note an Interest Payment equal to at least $7.7083 (equivalent to an Interest Rate of at least 9.25% per annum, payable at a rate
of at least 0.77083% per month) (to be provided in the pricing supplement).
Interest
Rate: At least 9.25% per annum, payable at a rate of at least 0.77083% per month (to be provided
in the pricing supplement)
Trigger Value: With respect
to each Underlying, 62.00% of its Initial Value
Pricing
Date: On or about December 22, 2021
Original
Issue Date (Settlement Date): On or about December 28, 2021
Review
Dates*: June 22, 2022, September 22, 2022, December 22, 2022 and March 22, 2023 (final Review Date)
Interest
Payment Dates*: January 27, 2022, February 25, 2022, March 25, 2022, April 27, 2022, May 26, 2022, June 27, 2022, July 27,
2022, August 25, 2022, September 27, 2022, October 27, 2022, November 28, 2022, December 28, 2022, January 26, 2023, February 27, 2023
and the Maturity Date
Maturity
Date*: March 27, 2023
Call Settlement Date*:
If the notes are automatically called on any Review Date (other than the final Review Date), the first Interest Payment Date immediately
following that Review Date
* Subject to postponement in the event of a market disruption
event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple
Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
|
Automatic Call:
If the closing value of each Underlying on any Review Date (other than
the final Review Date) is greater than or equal to its Initial Value, the notes will be automatically called for a cash payment, for each
$1,000 principal amount note, equal to (a) $1,000 plus (b) the Interest Payment for the Interest Payment Date occurring on the
applicable Call Settlement Date, payable on that Call Settlement Date. No further payments will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called and (i) the Final Value of
each Underlying is greater than or equal to its Initial Value or (ii) a Trigger Event has not occurred, you will receive a cash payment
at maturity, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Interest Payment applicable to the Maturity
Date.
If the notes have not been automatically called and (i) the Final Value of
any Underlying is less than its Initial Value and (ii) a Trigger Event has occurred, your payment at maturity per $1,000 principal amount
note, in addition to the Interest Payment applicable to the Maturity Date, will be calculated as follows:
$1,000 + ($1,000 × Least Performing Underlying
Return)
If the notes have not been automatically called and (i) the Final Value
of any Underlying is less than its Initial Value and (ii) a Trigger Event has occurred, you will lose some or all of your principal amount
at maturity.
Trigger Event: A Trigger Event
occurs if, on any day during the Monitoring Period, the closing value of any Underlying is less than its Trigger Value.
Monitoring Period: The period
from but excluding the Pricing Date to and including the final Review Date
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 of the Fund 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 Yield Notes Linked to the Least Performing of
the S&P 500® Index, the Dow Jones Industrial AverageTM and the ARK Innovation ETF
|
|
How the
Notes Work
Payments in Connection with Review Dates Preceding
the Final Review Date
Payment at Maturity If the Notes
Have Not Been Automatically Called
PS-2
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the S&P 500® Index, the Dow Jones Industrial AverageTM and the ARK Innovation ETF
|
|
Total Interest Payments
The table below illustrates the hypothetical total Interest
Payments per $1,000 principal amount note over the term of the notes based on a hypothetical Interest Rate of 9.25% per annum, depending
on how many Interest Payments are made prior to automatic call or maturity. If the notes have not been automatically called, the hypothetical
total Interest Payments per $1,000 principal amount note over the term of the notes will be equal to the maximum amount shown in the table
below. The actual Interest Rate will be provided in the pricing supplement and will be at least 9.25% per annum.
Number of Interest
Payments
|
Total Interest Payments
|
15
|
$115.625
|
12
|
$92.500
|
9
|
$69.375
|
6
|
$46.250
|
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.
In addition, the hypothetical payments set forth below
assume the following:
|
·
|
an Initial Value for the Least Performing Underlying of 100.00;
|
|
·
|
a Trigger Value for the Least Performing Underlying of 62.00 (equal to 62.00% of its hypothetical Initial Value); and
|
|
·
|
an Interest Rate of 9.25% per annum (payable at a rate of 0.77083% per month).
|
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 first Review Date.
Date
|
Closing Value of Least
Performing Underlying
|
|
First Review Date
|
105.00
|
Notes are automatically called
|
|
Total Payment
|
$1,046.25 (4.625% return)
|
Because the closing value of each Underlying on the
first Review Date is greater than or equal to its Initial Value, the notes will be automatically called for a cash payment, for each $1,000
principal amount note, of $1,007.7083 (or $1,000 plus the Interest Payment applicable to the corresponding Interest Payment Date),
payable on the applicable Call Settlement Date. When added to the Interest Payments received with respect to the prior Interest Payment
Dates, the total amount paid, for each $1,000 principal amount note, is $1,046.25. No further payments will be made on the notes.
Example 2 — Notes have NOT been automatically
called, the Final Value of the Least Performing Underlying is greater than or equal to its Initial Value and a Trigger Event has occurred.
Date
|
Closing Value of Least
Performing Underlying
|
|
First Review Date
|
95.00
|
Notes NOT automatically called
|
Second Review Date
|
90.00
|
Notes NOT automatically called
|
Third Review Date
|
50.00
|
Notes NOT automatically called
|
Final Review Date
|
105.00
|
Final Value of Least Performing Underlying is greater than its
Initial Value
|
|
Total Payment
|
$1,115.625 (11.5625% return)
|
PS-3
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the S&P 500® Index, the Dow Jones Industrial AverageTM and the ARK Innovation ETF
|
|
Because the notes have not been automatically called
and the Final Value of the Least Performing Underlying is greater than or equal to its Initial Value, even though a Trigger Event has
occurred, the payment at maturity, for each $1,000 principal amount note, will be $1,007.7083 (or $1,000 plus the Interest Payment
applicable to the Maturity Date). When added to the Interest Payments received with respect to the prior Interest Payment Dates, the total
amount paid, for each $1,000 principal amount note, is $1,115.625.
Example 3 — Notes have NOT been automatically
called, the Final Value of the Least Performing Underlying is less than its Initial Value and a Trigger Event has NOT occurred.
Date
|
Closing Value of Least
Performing Underlying
|
|
First Review Date
|
85.00
|
Notes NOT automatically called
|
Second Review Date
|
75.00
|
Notes NOT automatically called
|
Third Review Date
|
90.00
|
Notes NOT automatically called
|
Final Review Date
|
80.00
|
Final Value of Least Performing Underlying is less than its Initial
Value
|
|
Total Payment
|
$1,115.625 (11.5625% return)
|
Because the notes have not been automatically called
and a Trigger Event has not occurred, even though the Final Value of the Least Performing Underlying is less than its Initial Value, the
payment at maturity, for each $1,000 principal amount note, will be $1,007.7083 (or $1,000 plus the Interest Payment applicable
to the Maturity Date). When added to the Interest Payments received with respect to the prior Interest Payment Dates, the total amount
paid, for each $1,000 principal amount note, is $1,115.625.
Example
4 — Notes have NOT been automatically called, the Final Value of the Least Performing Underlying is less than its Initial Value
and a Trigger Event has occurred.
Date
|
Closing Value of Least
Performing Underlying
|
|
First Review Date
|
40.00
|
Notes NOT automatically called
|
Second Review Date
|
45.00
|
Notes NOT automatically called
|
Third Review Date
|
55.00
|
Notes NOT automatically called
|
Final Review Date
|
50.00
|
Final Value of Least Performing Underlying is less than its
Trigger Value
|
|
Total Payment
|
$615.625 (-38.4375% return)
|
Because the notes have not been automatically called,
the Final Value of the Least Performing Underlying is less than its Initial Value, a Trigger Event has occurred and the Least Performing
Underlying Return is -50.00%, the payment at maturity will be $507.7083 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)] + $7.7083 = $507.7083
When added to the Interest Payments received with respect
to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $615.625.
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 (i) the Final Value of any Underlying is less than its Initial Value and (ii) a Trigger
Event has occurred, 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 some or all of your principal amount at maturity.
PS-4
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the S&P 500® Index, the Dow Jones Industrial AverageTM and the ARK Innovation 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 THE INTEREST PAYMENTS 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 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 ANY DAY DURING THE MONITORING PERIOD —
|
If, on any day during the Monitoring Period,
the closing value of any Underlying is less than its Trigger Value (i.e., a Trigger Event occurs) 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. You will be subject to this potential loss of principal even if that Underlying subsequently recovers such that the closing
value of that Underlying is greater than or equal to its Trigger Value.
|
·
|
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 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 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 Interest Rate.
PS-5
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the S&P 500® Index, the Dow Jones Industrial AverageTM and the ARK Innovation 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-6
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the S&P 500® Index, the Dow Jones Industrial AverageTM and the ARK Innovation 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
|
·
|
JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE INDICES,
|
but JPMorgan Chase & Co. will not have any
obligation to consider your interests in taking any corporate action that might affect the value of either Index.
|
·
|
AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH ACTIVELY MANAGED FUNDS WITH RESPECT TO THE FUND —
|
The Fund is actively managed. Unlike a passively
managed fund, an actively managed fund does not attempt to track an index or other benchmark, and the investment decisions for an actively
managed fund are instead made by its investment adviser. The investment adviser of an actively managed fund may adopt a strategy or strategies
that are significantly higher risk than the indexing strategy that would have been employed by a passively managed fund. As an actively
managed fund, the Fund is subject to management risk. In managing an actively managed fund, the investment adviser of a fund applies investment
strategies, techniques and analyses in making investment decisions for that fund, but there can be no guarantee that these actions will
produce the intended results. The ability of the Fund’s investment adviser to successfully implement the Fund’s investment
strategy will significantly influence 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 NET ASSET VALUE PER SHARE —
|
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 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.
|
·
|
RISKS ASSOCIATED WITH DISRUPTIVE INNOVATION COMPANIES WITH RESPECT TO THE FUND —
|
The Fund’s investment strategy involves
exposure to companies that the investment adviser believes are capitalizing on disruptive innovation and developing technologies to displace
older technologies or create new markets (“disruptive innovation companies”). However, the companies selected by the investment
adviser may not in fact do so. Companies that initially develop a novel technology may not be able to capitalize on the technology. Companies
that develop disruptive technologies may face political or legal attacks from competitors, industry groups or local and national governments.
These companies may also be exposed to risks applicable to sectors other than the disruptive innovation theme for which they are chosen,
and the securities issued by these companies may underperform the securities of other companies that are primarily focused on a particular
theme. The Fund may invest in companies that do not currently derive any revenue from disruptive innovations or technologies, and there
is no assurance that any company will derive any revenue from disruptive innovations or technologies in the future. A disruptive innovation
or technology may constitute a small portion of any company’s overall business. As a result, the success of a disruptive innovation
or technology may not affect the value of the equity securities issued by that company.
|
·
|
THE NOTES ARE SUBJECT TO RISKS RELATING TO CRYPTOCURRENCIES AND RELATED INVESTMENTS WITH RESPECT TO THE FUND —
|
The Fund may have exposure to cryptocurrencies,
such as bitcoin, indirectly through investment funds, including through an investment in the Grayscale Bitcoin Trust (“GBTC”),
a privately offered, open-end investment vehicle. Cryptocurrencies are digital assets designed to act as a medium of exchange and
do not represent legal tender. Cryptocurrency generally operates without central authority or banks and is not backed by any government.
Cryptocurrencies are susceptible to theft, loss, destruction and fraud. Cryptocurrency is an emerging asset class, and regulation
in the United States is still developing, including with respect to market integrity, anti-fraud, anti-manipulation, cybersecurity, surveillance
and anti-money laundering. Federal, state and/or foreign governments may restrict the use and exchange of cryptocurrencies.
The market prices of bitcoin and other cryptocurrencies have been subject to extreme fluctuations. Even when held indirectly, investment
vehicles like GBTC may be affected by the high volatility associated with cryptocurrency exposure. Holding a privately offered investment
vehicle in its portfolio may cause the
PS-7
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the S&P 500® Index, the Dow Jones Industrial AverageTM and the ARK Innovation ETF
|
|
Fund to trade at a discount to its net asset
value. If cryptocurrency markets continue to be subject to sharp fluctuations, the Fund and the notes may be adversely affected.
In addition, the share prices of GBTC and other similar investment vehicles that are not listed on a national securities exchange may
be more volatile than listed securities because there is generally less liquidity in these securities and there may be less publicly available
information about them or their issuers. Cryptocurrency exchanges and other trading venues on which cryptocurrencies trade are relatively
new and, in most cases, largely unregulated and may therefore be more exposed to fraud and failure than established, regulated exchanges
for securities, derivatives and other currencies. Cryptocurrency exchanges may stop operating or permanently shut down due to fraud,
technical glitches, hackers or malware, which may also affect the prices of cryptocurrencies. Events that negatively affect cryptocurrencies
may negatively affect the performance of the Fund and the notes.
|
·
|
AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH MID-SIZE, SMALL AND MICRO-CAPITALIZATION STOCKS WITH RESPECT TO
THE FUND —
|
Some of the equity securities held by the
Fund have been issued by mid-size, small or micro-capitalization companies. Mid-size, small and micro-capitalization companies may be
less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Mid-size, small and micro-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.
|
·
|
NON-U.S. SECURITIES RISK —
|
Some of the equity securities held by the Fund
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 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.
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·
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EMERGING MARKETS RISK WITH RESPECT TO THE FUND —
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Some of the equity securities held by the Fund
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.
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·
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THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK WITH RESPECT TO THE FUND —
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Because the prices of the non-U.S. 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 non-U.S. 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.
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·
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RECENT EXECUTIVE ORDERS MAY ADVERSELY AFFECT THE PERFORMANCE OF THE FUND —
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Pursuant to recent executive orders, U.S. persons
are prohibited from engaging in transactions in, or possession of, publicly traded securities of certain companies that are determined
to be linked to the People’s Republic of China military, intelligence and security apparatus, or securities that are derivative
of, or are designed to provide investment exposure to, those securities. If the issuer of any of the equity securities held by the Fund
is in the future designated as such a prohibited company, the value of that company may be adversely affected, perhaps significantly,
which would adversely affect the performance of the Fund. In addition, under these circumstances, the Fund is expected to remove the equity
securities of that company from the Fund. Any changes to the composition of the Fund in response to these executive orders could adversely
affect the performance of the Fund.
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·
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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-8
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the S&P 500® Index, the Dow Jones Industrial AverageTM and the ARK Innovation ETF
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The Underlyings
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 Dow Jones Industrial AverageTM consists
of 30 common stocks chosen as representative of the broad market of U.S. industry. For additional information about the Dow Jones Industrial
AverageTM, see “Equity Index Descriptions — The Dow Jones Industrial AverageTM” in the accompanying
underlying supplement.
The Fund is an actively-managed exchange-traded fund of ARK
ETF Trust, a registered investment company, with an investment objective of long-term growth of capital, that primarily invests in equity
securities of U.S. and non-U.S. companies relevant to the Fund’s investment theme of disruptive innovation. For additional information
about the Fund, 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 November 19, 2021. The closing value of
the S&P 500® Index on November 23, 2021 was 4,690.70. The closing value of the Dow Jones Industrial AverageTM
on November 23, 2021 was 35,813.80. The closing value of the Fund on November 23, 2021 was $105.96. 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, any Review Date or any day during the Monitoring Period. There can be no assurance that the performance of the Underlyings
will result in the return of any of your principal amount.
PS-9
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the S&P 500® Index, the Dow Jones Industrial AverageTM and the ARK Innovation ETF
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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. Based on the advice
of Davis Polk & Wardwell LLP, our special tax counsel, and on current market conditions, in determining our reporting responsibilities
we intend to treat the notes for U.S. federal income tax purposes as units each comprising: (x) a cash-settled Put Option written by you
that is terminated if an automatic call occurs and that, if not terminated, in circumstances where the payment due at maturity is less
than the principal amount (excluding accrued but unpaid interest), requires you to pay us an amount equal to the principal amount multiplied
by the absolute value of the Least Performing Underlying Return and (y) a Deposit of $1,000 per $1,000 principal amount note to secure
your potential obligation under the Put Option, as more fully described in “Material U.S. Federal Income Tax Consequences —
Tax Consequences to U.S. Holders — Notes Treated as Units Each Comprising a Put Option and a Deposit” in the accompanying
product supplement, and in particular in the subsection thereof entitled “— Notes with a Term of More than One Year.”
By purchasing the notes, you agree (in the absence of an administrative determination or judicial ruling to the contrary) to follow this
treatment and the allocation described in the following paragraph. However, 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 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 on a number of issues, the most relevant of which for investors
in the notes are the character of income or loss (including whether the Put Premium might be currently included as ordinary income) and
the degree, if any, to which income realized by non-U.S. investors should be subject to withholding tax. While it is not clear whether
the notes would be viewed as similar to the typical prepaid forward contract described in
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Auto Callable Yield Notes Linked to the Least Performing of
the S&P 500® Index, the Dow Jones Industrial AverageTM and the ARK Innovation ETF
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the notice, it is possible that 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.
We will determine the portion of each Interest Payment
on the notes that we will allocate to interest on the Deposit and to Put Premium, respectively, and will provide that allocation in the
pricing supplement for the notes. If the notes had priced on November 24, 2021, we would have allocated approximately 4.00% of each
Interest Payment to interest on the Deposit and the remainder to Put Premium. The actual allocation that we will determine for the
notes may differ from this hypothetical allocation, and will depend upon a variety of factors, including actual market conditions and
our borrowing costs for debt instruments of comparable maturities on the Pricing Date. Assuming that the treatment of the notes
as units each comprising a Put Option and a Deposit is respected, amounts treated as interest on the Deposit will be taxed as ordinary
income, while the Put Premium will not be taken into account prior to sale or settlement, including a settlement following an automatic
call.
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.
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 all aspects of the U.S. federal income tax consequences of an investment in the notes, including
possible alternative treatments and the issues presented by the 2007 notice. Purchasers who are not initial purchasers of notes
at the issue price should also consult their tax advisers with respect to the tax consequences of an investment in the notes, including
possible alternative treatments, as well as the allocation of the purchase price of the notes between the Deposit and the Put Option.
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
PS-11
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the S&P 500® Index, the Dow Jones Industrial AverageTM and the ARK Innovation ETF
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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 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
PS-12
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the S&P 500® Index, the Dow Jones Industrial AverageTM and the ARK Innovation ETF
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implementation, sample structures, fact sheets, brochures
or other educational materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk Factors”
sections of the accompanying prospectus supplement, the accompanying product supplement and the accompanying underlying supplement, as
the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting
and other advisers before you invest in the notes.
You may access these documents on the SEC website at
www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website
is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us”
and “our” refer to JPMorgan Financial.
PS-13
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the S&P 500® Index, the Dow Jones Industrial AverageTM and the ARK Innovation ETF
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Annex A
The ARK Innovation ETF
All information contained in this pricing supplement
regarding the ARK Innovation ETF (the “ARKK Fund”), has been derived from publicly available information, without independent
verification. This information reflects the policies of, and is subject to change by, ARK ETF Trust (“ARK Trust”). The ARKK
Fund is an actively-managed exchange-traded fund managed by ARK Investment Management LLC (“ARK LLC”), the investment adviser
to the ARKK Fund. The ARKK Fund trades on NYSE Arca, Inc. under the ticker symbol “ARKK.”
The investment objective of the ARKK Fund is long-term
growth of capital.
As an actively-managed fund, the ARKK Fund is subject
to management risk. In managing the ARKK Fund, ARK LLC applies investment strategies, techniques and analyses in making investment decisions
for the ARKK Fund, but there can be no guarantee that these actions will produce the intended results. The ability of ARK LLC to successfully
implement the ARKK Fund’s investment strategy will significantly influence that ARKK Fund’s performance.
The ARKK Fund will invest under normal circumstances
primarily (at least 65% of its assets) in equity securities of U.S. and non-U.S. companies that are relevant to the ARKK Fund’s
investment theme of disruptive innovation. ARK LLC defines “disruptive innovation” as the introduction of a technologically
enabled new product or service that potentially changes the way the world works. ARK LLC believes that companies relevant to this theme
are those that rely on or benefit from the development of new products or services, technological improvements and advancements in scientific
research relating to the areas of genomics; innovation in automation and manufacturing, transportation, energy, artificial intelligence
and materials; the increased use of shared technology, infrastructure and services; and technologies that make financial services more
efficient. ARK LLC defines “genomics” as the study of genes and their functions, and related techniques (e.g., genomic
sequencing).
ARK Trust is a registered investment company that consists
of numerous separate investment portfolios, including the ARKK Fund. Information provided to or filed with the SEC by ARK Trust pursuant
to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by reference to SEC file
numbers 333-191019 and 811-22883, respectively, through the SEC’s website at http://www.sec.gov.
PS-14
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the S&P 500® Index, the Dow Jones Industrial AverageTM and the ARK Innovation ETF
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