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.
Funds:
The SPDR® S&P 500® ETF Trust (Bloomberg ticker: SPY) and the iShares®
Russell 2000 ETF (Bloomberg ticker: IWM)
Maximum
Upside Return: At least 14.10% (corresponding to a maximum payment at maturity if the Lesser
Performing Fund Return is positive of at least $1,141.00 per $1,000 principal amount note) (to be provided in the pricing supplement)
Buffer Amount: 20.00%
Pricing Date:
On or about November 30, 2021
Original
Issue Date (Settlement Date): On or about December 3, 2021
Observation Date*:
May 30, 2024
Maturity Date*:
June 4, 2024
* 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
|
Payment at Maturity:
If the Final Value of each Fund is greater than its Initial Value, your payment at maturity
per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing Fund Return), subject
to the Maximum Upside Return
If (i) the Final Value of one Fund is greater than its Initial Value and the Final
Value of the other Fund is equal to its Initial Value or is less than its Initial Value by up to the Buffer Amount or (ii) the Final Value
of each Fund is equal to its Initial Value or is less than its Initial Value by up to the Buffer Amount, your payment at maturity per
$1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Absolute Fund Return of the Lesser
Performing Fund)
This payout formula results in an effective cap of 20.00% on your return at
maturity if the Lesser Performing Fund Return is negative. Under these limited circumstances, your maximum payment at maturity is $1,200.00
per $1,000 principal amount note.
If the Final Value of either Fund is less than its Initial Value by more than the
Buffer Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + [$1,000 × (Lesser Performing Fund Return + Buffer
Amount)]
If the Final Value of either Fund is less than its Initial Value by more than
the Buffer Amount, you will lose some or most of your principal amount at maturity.
Absolute Fund Return:
With respect to each Fund, the absolute value of its Fund Return. For example, if the Fund Return of a Fund is -5%, its Absolute Fund
Return will equal 5%.
Lesser Performing Fund: The
Fund with the Lesser Performing Fund Return
Lesser Performing Fund Return: The
lower of the Fund Returns of the Funds
Fund Return:
With respect to each Fund,
(Final Value – Initial Value)
Initial Value
Initial
Value: With respect to each Fund, the closing price
of one share of that Fund on the Pricing Date
Final
Value: With respect to each Fund, the closing price of one share of that Fund on the Observation
Date
Share Adjustment
Factor: With respect to each Fund, the Share Adjustment Factor is referenced in determining the closing price of one share
of that Fund and is set equal to 1.0 on the Pricing Date. The Share Adjustment Factor of each Fund is subject to adjustment upon the occurrence
of certain events affecting that Fund. See “The Underlyings — Funds — Anti-Dilution Adjustments” in the accompanying
product supplement for further information.
|
PS-1
| Structured Investments
Capped Dual Directional Buffered Equity Notes Linked to the Lesser Performing
of the SPDR® S&P 500® ETF Trust and the iShares® Russell 2000 ETF
|
|
Hypothetical Payout Profile
The following table and graph illustrate the hypothetical total
return and payment at maturity on the notes linked to two hypothetical Funds. The “total return” as used in this pricing supplement
is the number, expressed as a percentage that results from comparing the payment at maturity per $1,000 principal amount note to $1,000.
The hypothetical total returns and payments set forth below assume the following:
|
·
|
an Initial Value for the Lesser Performing Fund of $100.00;
|
|
·
|
a Maximum Upside Return of 14.10%; and
|
|
·
|
a Buffer Amount of 20.00%.
|
The hypothetical Initial Value of the Lesser Performing Fund of
$100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial Value of either Fund. The actual
Initial Value of each Fund will be the closing value of that Fund on the Pricing Date and will be provided in the pricing supplement.
For historical data regarding the actual closing prices of one share of each Fund, please see the historical information set forth under
“The Funds” in this pricing supplement.
Each hypothetical total return or hypothetical payment at maturity
set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable to a purchaser
of the notes. The numbers appearing in the following table and graph have been rounded for ease of analysis.
Final Value of the Lesser Performing Fund
|
Lesser Performing Fund Return
|
Absolute Fund Return of the Lesser Performing Fund
|
Total Return on the Notes
|
Payment at Maturity
|
$180.00
|
80.00%
|
N/A
|
14.10%
|
$1,141.00
|
$165.00
|
65.00%
|
N/A
|
14.10%
|
$1,141.00
|
$150.00
|
50.00%
|
N/A
|
14.10%
|
$1,141.00
|
$140.00
|
40.00%
|
N/A
|
14.10%
|
$1,141.00
|
$130.00
|
30.00%
|
N/A
|
14.10%
|
$1,141.00
|
$120.00
|
20.00%
|
N/A
|
14.10%
|
$1,141.00
|
$114.10
|
14.10%
|
N/A
|
14.10%
|
$1,141.00
|
$110.00
|
10.00%
|
N/A
|
10.00%
|
$1,100.00
|
$105.00
|
5.00%
|
N/A
|
5.00%
|
$1,050.00
|
$101.00
|
1.00%
|
N/A
|
1.00%
|
$1,010.00
|
$100.00
|
0.00%
|
0.00%
|
0.00%
|
$1,000.00
|
$95.00
|
-5.00%
|
5.00%
|
5.00%
|
$1,050.00
|
$90.00
|
-10.00%
|
10.00%
|
10.00%
|
$1,100.00
|
$85.00
|
-15.00%
|
15.00%
|
15.00%
|
$1,150.00
|
$80.00
|
-20.00%
|
20.00%
|
20.00%
|
$1,200.00
|
$70.00
|
-30.00%
|
N/A
|
-10.00%
|
$900.00
|
$60.00
|
-40.00%
|
N/A
|
-20.00%
|
$800.00
|
$50.00
|
-50.00%
|
N/A
|
-30.00%
|
$700.00
|
$40.00
|
-60.00%
|
N/A
|
-40.00%
|
$600.00
|
$30.00
|
-70.00%
|
N/A
|
-50.00%
|
$500.00
|
$20.00
|
-80.00%
|
N/A
|
-60.00%
|
$400.00
|
$10.00
|
-90.00%
|
N/A
|
-70.00%
|
$300.00
|
$0.00
|
-100.00%
|
N/A
|
-80.00%
|
$200.00
|
PS-2
| Structured Investments
Capped Dual Directional Buffered Equity Notes Linked to the Lesser Performing
of the SPDR® S&P 500® ETF Trust and the iShares® Russell 2000 ETF
|
|
The following graph demonstrates the hypothetical payments at maturity
on the notes for a sub-set of Lesser Performing Fund Returns detailed in the table above (-50% to 50%). There can be no assurance that
the performance of the Lesser Performing Fund will result in the return of any of your principal amount in excess of $200.00 per $1,000
principal amount note, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
How the Notes Work
Fund Appreciation Upside Scenario:
If the Final Value of each Fund is greater than its Initial Value,
investors will receive at maturity the $1,000 principal amount plus a return equal to the Lesser Performing Fund Return, subject
to the Maximum Upside Return of at least 14.10%. Assuming a hypothetical Maximum Upside Return of 14.10%, an investor will realize the
maximum upside payment at maturity at a Final Value of the Lesser Performing Fund of 114.10% or more of its Initial Value.
|
·
|
If the closing price of one share of the Lesser Performing Fund increases 5.00%, investors will receive at maturity a 5.00% return,
or $1,050.00 per $1,000 principal amount note.
|
|
·
|
Assuming a hypothetical Maximum Upside Return of 14.10%, if the closing price of one share of the Lesser Performing Fund increases
50.00%, investors will receive at maturity a return equal to the 14.10% Maximum Upside Return, or $1,141.00 per $1,000 principal amount
note, which is the maximum payment at maturity if the Lesser Performing Fund Return is positive.
|
Fund Par or Fund Depreciation Upside Scenario:
If (i) the Final Value of one Fund is greater than its Initial Value
and the Final Value of the other Fund is equal to its Initial Value or is less than its Initial Value by up to the Buffer Amount of 20.00%
or (ii) the Final Value of each Fund is equal to its Initial Value or is less than its Initial Value by up to the Buffer Amount of 20.00%,
investors will receive at maturity the $1,000 principal amount plus a return equal to the Absolute Fund Return of the Lesser Performing
Fund.
|
·
|
For example, if the closing price of one share of the Lesser Performing Fund declines 10.00%, investors will receive at maturity a
10.00% return, or $1,100.00 per $1,000 principal amount note.
|
Downside Scenario:
If the Final Value of either Fund is less than its Initial Value
by more than the Buffer Amount of 20.00%, investors will lose 1% of the principal amount of their notes for every 1% that the Final Value
of the Lesser Performing Fund is less than its Initial Value by more than the Buffer Amount.
|
·
|
For example, if the closing price of one share of the Lesser Performing Fund declines 60.00%, investors will lose 40.00% of their
principal amount and receive only $600.00 per $1,000 principal amount note at maturity, calculated as follows:
|
$1,000 + [$1,000 ×
(-60.00% + 20.00%)] = $600.00
The hypothetical returns and hypothetical payments on the notes
shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect the fees or expenses that
would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns and hypothetical
payments shown above would likely be lower.
PS-3
| Structured Investments
Capped Dual Directional Buffered Equity Notes Linked to the Lesser Performing
of the SPDR® S&P 500® ETF Trust and the iShares® Russell 2000 ETF
|
|
Selected Risk Considerations
An investment in the notes involves significant risks. These risks
are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement, product supplement
and underlying supplement.
Risks Relating to the Notes Generally
|
·
|
YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
|
The notes do not guarantee any return of principal. If the
Final Value of either Fund is less than its Initial Value by more than 20.00%, you will lose 1% of the principal amount of your notes
for every 1% that the Final Value of the Lesser Performing Fund is less than its Initial Value by more than 20.00%. Accordingly, under
these circumstances, you will lose up to 80.00% of your principal amount at maturity.
|
·
|
YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE MAXIMUM UPSIDE RETURN IF THE LESSER PERFORMING FUND RETURN IS POSITIVE,
|
regardless of any appreciation of either Fund, which may
be significant.
|
·
|
YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE BUFFER AMOUNT IF THE LESSER PERFORMING FUND RETURN IS NEGATIVE —
|
Because the payment at maturity will not reflect the Absolute
Fund Return of the Lesser Performing Fund if its Final Value is less than its Initial Value by more than the Buffer Amount, the Buffer
Amount is effectively a cap on your return at maturity if the Lesser Performing Fund Return is negative. The maximum payment at maturity
if the Lesser Performing Fund Return is negative is $1,200.00 per $1,000 principal amount note.
|
·
|
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.
|
·
|
YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE PRICE OF ONE SHARE OF EACH FUND —
|
Payments on the notes are not linked to a basket composed
of the Funds and are contingent upon the performance of each individual Fund. Poor performance by either of the Funds over the term of
the notes may negatively affect your payment at maturity and will not be offset or mitigated by positive performance by the other Fund.
|
·
|
YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LESSER PERFORMING FUND.
|
|
·
|
THE NOTES DO NOT PAY INTEREST.
|
|
·
|
YOU WILL NOT RECEIVE DIVIDENDS ON EITHER FUND OR THE SECURITIES HELD BY EITHER FUND OR HAVE ANY RIGHTS WITH RESPECT TO EITHER FUND
OR THOSE SECURITIES.
|
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.
PS-4
| Structured Investments
Capped Dual Directional Buffered Equity Notes Linked to the Lesser Performing
of the SPDR® S&P 500® ETF Trust and the iShares® Russell 2000 ETF
|
|
|
·
|
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 Maximum Upside Return.
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.
PS-5
| Structured Investments
Capped Dual Directional Buffered Equity Notes Linked to the Lesser Performing
of the SPDR® S&P 500® ETF Trust and the iShares® Russell 2000 ETF
|
|
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
|
The secondary market price of the notes during their term
will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the selling commissions,
projected hedging profits, if any, estimated hedging costs and the prices of one share of the Funds. Additionally, independent pricing
vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes
in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
— Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
Risks Relating to the Funds
|
·
|
JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE SPDR®
S&P 500® ETF TRUST AND ITS UNDERLYING INDEX,
|
but JPMorgan Chase
& Co. will not have any obligation to consider your interests in taking any corporate action that might affect the price of one share
of the SPDR® S&P 500® ETF Trust or the level of its Underlying Index (as defined under “The Funds”
below).
|
·
|
THERE ARE RISKS ASSOCIATED WITH THE FUNDS —
|
The Funds are subject
to management risk, which is the risk that the investment strategies of the applicable 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
prices of the shares of the Funds and, consequently, the value of the notes.
|
·
|
THE PERFORMANCE AND MARKET VALUE OF EACH FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY,
MAY NOT CORRELATE WITH THE PERFORMANCE OF THAT FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE —
|
Each Fund does not
fully replicate its Underlying Index (as defined under “The Funds” below) and may hold securities different from those included
in its Underlying Index. In addition, the performance of each 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 each Fund
and its Underlying Index. In addition, corporate actions with respect to the equity securities underlying a Fund (such as mergers and
spin-offs) may impact the variance between the performances of that Fund and its Underlying Index. Finally, because the shares of each
Fund are traded on a securities exchange and are subject to market supply and investor demand, the market value of one share of each Fund
may differ from the net asset value per share of that Fund.
During periods of
market volatility, securities underlying each Fund may be unavailable in the secondary market, market participants may be unable to calculate
accurately the net asset value per share of that Fund and the liquidity of that Fund may be adversely affected. This kind of market volatility
may also disrupt the ability of market participants to create and redeem shares of a Fund. Further, market volatility may adversely affect,
sometimes materially, the prices at which market participants are willing to buy and sell shares of a Fund. As a result, under these circumstances,
the market value of shares of a Fund may vary substantially from the net asset value per share of that Fund. For all of the foregoing
reasons, the performance of each Fund may not correlate with the performance of its Underlying Index as well as the net asset value per
share of that 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 iSHARES® RUSSELL 2000 ETF —
|
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 ANTI-DILUTION PROTECTION FOR THE FUNDS IS LIMITED —
|
The calculation agent
will make adjustments to the Share Adjustment Factor for each Fund for certain events affecting the shares of that Fund. However, the
calculation agent will not make an adjustment in response to all events that could affect the shares of the Funds. 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-6
| Structured Investments
Capped Dual Directional Buffered Equity Notes Linked to the Lesser Performing
of the SPDR® S&P 500® ETF Trust and the iShares® Russell 2000 ETF
|
|
The SPDR®
S&P 500® ETF Trust is a registered investment company whose trust units represent an undivided ownership interest in
a portfolio of all, or substantially all, of the common stocks of the S&P 500® Index. The Fund seeks to provide investment
results that, before expenses, generally correspond to the price and yield performance of the S&P 500® Index, which
we refer to as the Underlying Index with respect to the Fund. 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 SPDR® S&P
500® ETF Trust, see “Fund Descriptions — The SPDR® S&P 500® ETF Trust”
in the accompanying underlying supplement.
The iShares® Russell 2000 ETF 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, which we refer to as the Underlying Index with respect to the iShares®
Russell 2000 ETF. The Underlying Index for the iShares® Russell 2000 ETF is currently the Russell 2000®
Index. The Russell 2000® Index is designed to track the performance of the small capitalization segment of the U.S. equity
market. For additional information about the iShares® Russell 2000 ETF, see “Fund Descriptions — The iShares®
ETFs” in the accompanying underlying supplement.
Historical Information
The following graphs set
forth the historical performance of each Fund based on the weekly historical closing prices of one share of each Fund from January 8,
2016 through November 19, 2021. The closing price of one share of the SPDR® S&P 500® ETF Trust on November
23, 2021 was $468.19. The closing price of one share of the iShares® Russell 2000 ETF on November 23, 2021 was $231.33.
We obtained the closing prices above and below from the Bloomberg Professional® service (“Bloomberg”), without
independent verification. The closing prices above and below may have been adjusted by Bloomberg for actions taken by the Funds, such
as stock splits.
The historical closing prices of one share of each Fund should
not be taken as an indication of future performance, and no assurance can be given as to the closing price of one share of either Fund
on the Pricing Date or the Observation Date. There can be no assurance that the performance of the Funds will result in the return of
any of your principal amount in excess of $200.00 per $1,000 principal amount note, subject to the credit risks of JPMorgan Financial
and JPMorgan Chase & Co.
PS-7
| Structured Investments
Capped Dual Directional Buffered Equity Notes Linked to the Lesser Performing
of the SPDR® S&P 500® ETF Trust and the iShares® Russell 2000 ETF
|
|
Tax Treatment
You
should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement
no. 4-II. The following discussion, when read in combination with that section, constitutes the full opinion of our special tax counsel,
Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes.
Based on current market
conditions, in the opinion of our special tax counsel it is reasonable to treat the notes as “open transactions” that are
not debt instruments for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences—Tax
Consequences to U.S. Holders—Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product
supplement. Assuming this treatment is respected, subject to the possible application of the “constructive ownership”
rules, the gain or loss on your notes should be treated as long-term capital gain or loss if you hold your notes for more than a year,
whether or not you are an initial purchaser of notes at the issue price. The notes could be treated as “constructive ownership
transactions” within the meaning of Section 1260 of the Code, in which case any gain recognized in respect of the notes that would
otherwise be long-term capital gain and that was in excess of the “net underlying long-term capital gain” (as defined in Section
1260) would be treated as ordinary income, and a notional interest charge would apply as if that income had accrued for tax purposes at
a constant yield over your holding period for the notes. Our special tax counsel has not expressed an opinion with respect to whether
the constructive ownership rules apply to the notes. Accordingly, U.S. Holders should consult their tax advisers regarding the potential
application of the constructive ownership rules.
The IRS or a court may
not respect the treatment of the notes described above, in which case the timing and character of any income or loss on your notes could
be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S.
federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular
on whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments
on a number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors such
as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated
accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject
to the constructive ownership regime described above. While the notice requests comments on appropriate transition rules and effective
dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect
the tax consequences of an investment in the notes, possibly with retroactive effect. You should consult your tax adviser regarding
the U.S. federal income tax consequences of an investment in the notes, including the potential application of the constructive ownership
rules, possible alternative treatments and the issues presented by this notice.
Section 871(m) of the Code
and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income
tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked
to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including
for instruments linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations. Additionally,
a recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2023 that do not have a delta of
one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying
Security”). Based on certain determinations made by us, we expect that Section 871(m) will
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| Structured Investments
Capped Dual Directional Buffered Equity Notes Linked to the Lesser Performing
of the SPDR® S&P 500® ETF Trust and the iShares® Russell 2000 ETF
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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 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 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
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Capped Dual Directional Buffered Equity Notes Linked to the Lesser Performing
of the SPDR® S&P 500® ETF Trust and the iShares® Russell 2000 ETF
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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 “Hypothetical Payout Profile” and “How
the Notes Work” in this pricing supplement for an illustration of the risk-return profile of the notes and “The Funds”
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):
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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| Structured Investments
Capped Dual Directional Buffered Equity Notes Linked to the Lesser Performing
of the SPDR® S&P 500® ETF Trust and the iShares® Russell 2000 ETF
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