The MerQube US Tech+ Vol Advantage Index (the “Index”)
was developed by MerQube (the “Index Sponsor” and “Index Calculation Agent”), in coordination with JPMS, and is
maintained by the Index Sponsor and is calculated and published by the Index Calculation Agent. The Index was established on June 22,
2021. In September 2021, an affiliate of ours purchased a 10% equity interest in the Index Sponsor, with a right to appoint an employee
of JPMS, another of our affiliates, as a member of the board of directors of the Index Sponsor.
The Index attempts to provide a dynamic rules-based exposure to an
unfunded rolling position in E-Mini Nasdaq-100 futures (the “Futures Contracts”), which reference the Nasdaq-100 Index®,
while targeting a level of implied volatility, with a maximum exposure to the Futures Contracts of 500% and a minimum exposure to the
Futures Contracts of 0%. The Index is subject to a 6.0% per annum daily deduction. The Nasdaq-100 Index® is a modified
market capitalization-weighted index of 100 of the largest non-financial securities listed on The Nasdaq Stock Market based on market
capitalization. For more information about the Futures Contracts and the Nasdaq-100 Index®, see “Background on E-Mini
Nasdaq-100 Futures” and “Background on the Nasdaq-100 Index®,” respectively, in the accompanying underlying
supplement.
On each weekly Index rebalance day, the exposure to the Futures Contracts
is set equal to (a) the 35% implied volatility target (the “target volatility”) divided by (b) the one-week implied
volatility of the Invesco QQQ TrustSM, Series 1 (the “QQQ Fund”), subject to a maximum exposure of 500%. For example,
if the implied volatility of the QQQ Fund is equal to 17.5%, the exposure to the Futures Contracts will equal 200% (or 35% / 17.5%) and
if the implied volatility of the QQQ Fund is equal to 40%, the exposure to the Futures Contracts will equal 87.5% (or 35% / 40%). The
Index’s exposure to the Futures Contracts will be greater than 100% when the implied volatility of the QQQ Fund is below 35%, and
the Index’s exposure to the Futures Contracts will be less than 100% when the implied volatility of the QQQ Fund is above 35%. In
general, the Index’s target volatility feature is expected to result in the volatility of the Index being more stable over time
than if no target volatility feature were employed. No assurance can be provided that the volatility of the Index will be stable at any
time.
The investment objective of the QQQ Fund is to seek to track the investment
results, before fees and expenses, of the Nasdaq-100 Index®. For more information about the QQQ Fund, see “Background
on the Invesco QQQ TrustSM, Series 1” in the accompanying underlying supplement. The Index uses the implied volatility
of the QQQ Fund as a proxy for the volatility of the Futures Contracts.
The 6.0% per annum daily deduction will offset any appreciation of
the Futures Contracts, will heighten any depreciation of the Futures Contracts and will generally be a drag on the performance of the
Index. The Index will trail the performance of an identical index without a deduction.
Holding the estimated value of the notes and market conditions constant,
the Contingent Interest Rate, the Interest Barrier, the Trigger Value and the other economic terms available on the notes are more favorable
to investors than the terms that would be available on a hypothetical note issued by us linked to an identical index without a daily deduction.
However, there can be no assurance that any improvement in the terms of the notes derived from the daily deduction will offset the negative
effect of the daily deduction on the performance of the Index. The return on the notes may be lower than the return on a hypothetical
note issued by us linked to an identical index without a daily deduction.
The daily deduction and the volatility of the Index (as influenced
by the Index’s target volatility feature) are two of the primary variables that affect the economic terms of the notes. Additionally,
the daily deduction and volatility of the Index are two of the inputs our affiliates’ internal pricing models use to value the derivative
or derivatives underlying the economic terms of the notes for purposes of determining the estimated value of the notes set forth on the
cover of this pricing supplement. The daily deduction will effectively reduce the value of the derivative or derivatives underlying
the economic terms of the notes. See “The Estimated Value of the Notes” and “Selected Risk Considerations —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes” in this pricing supplement.
For additional information about the Index, see “The MerQube
US Tech+ Vol Advantage Index” in the accompanying underlying supplement.
The following examples illustrate payments on the notes
linked to a hypothetical Index, assuming a range of performances for the hypothetical Index on the Review Dates. The hypothetical payments
set forth below assume the following:
The hypothetical Initial Value of 100.00 has been chosen
for illustrative purposes only and does not represent the actual Initial Value. The actual Initial Value is the closing level of the Index
on the Pricing Date and is specified under “Key Terms — Initial Value” in this pricing supplement. For historical data
regarding the actual closing levels of the Index, please see the historical information set forth under “Hypothetical Back-Tested
Data and Historical Information” 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.
PS-5
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQube
US Tech+ Vol Advantage Index
|
|
Example 1 — Notes are automatically called
on the fourth Review Date.
Date
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Closing Level
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
105.00
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$26.25
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Second Review Date
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115.00
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$26.25
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Third Review Date
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120.00
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$26.25
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Fourth Review Date
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110.00
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$1,026.25
|
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Total Payment
|
$1,105.00 (10.50% return)
|
Because the closing level of the Index on the fourth
Review Date is greater than or equal to the Initial Value, the notes will be automatically called for a cash payment, for each $1,000
principal amount note, of $1,026.25 (or $1,000 plus the Contingent Interest Payment applicable to the fourth Review Date), payable
on the applicable Call Settlement Date. The notes are not automatically callable before the fourth Review Date, even though the closing
level of the Index on each of the first, second and third Review Dates is greater than the Initial Value. When added to the Contingent
Interest Payments received with respect to the prior Review Dates, the total amount paid, for each $1,000 principal amount note, is $1,105.00.
No further payments will be made on the notes.
Example 2 — Notes have NOT been automatically
called and the Final Value is greater than or equal to the Trigger Value.
Date
|
Closing Level
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
95.00
|
$26.25
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Second Review Date
|
85.00
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$26.25
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Third through Nineteenth Review Dates
|
Less than Interest Barrier
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$0
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Final Review Date
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90.00
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$1,026.25
|
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Total Payment
|
$1,078.75 (7.875% return)
|
Because the notes have not been automatically called
and the Final Value is greater than or equal to the Trigger Value, the payment at maturity, for each $1,000 principal amount note, will
be $1,026.25 (or $1,000 plus the Contingent Interest Payment applicable to the final Review Date). When added to the Contingent
Interest Payments received with respect to the prior Review Dates, the total amount paid, for each $1,000 principal amount note, is $1,078.75.
Example
3 — Notes have NOT been automatically called and the Final Value is less than the Trigger Value.
Date
|
Closing Level
|
Payment (per $1,000 principal amount note)
|
First Review Date
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40.00
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$0
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Second Review Date
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45.00
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$0
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Third through Nineteenth Review Dates
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Less than Interest Barrier
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$0
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Final Review Date
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50.00
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$500.00
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Total Payment
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$500.00 (-50.00% return)
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Because the notes have not been automatically called,
the Final Value is less than the Trigger Value and the Index Return is -50.00%, the payment at maturity will be $500.00 per $1,000 principal
amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)] = $500.00
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term or until automatically called. These hypotheticals
do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included,
the hypothetical returns and hypothetical payments shown above would likely be lower.
PS-6
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQube
US Tech+ Vol Advantage Index
|
|
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
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·
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YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
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The notes do not guarantee any return of principal.
If the notes have not been automatically called and the Final Value is less than the Trigger Value, you will lose 1% of the principal
amount of your notes for every 1% that the Final Value is less than the Initial Value. Accordingly, under these circumstances, you will
lose more than 40.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
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THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL —
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If the notes have not been automatically called,
we will make a Contingent Interest Payment with respect to a Review Date only if the closing level of the Index on that Review Date is
greater than or equal to the Interest Barrier. If the closing level of the Index on that Review Date is less than the Interest Barrier,
no Contingent Interest Payment will be made with respect to that Review Date. Accordingly, if the closing level of the Index on each Review
Date is less than the Interest Barrier, you will not receive any interest payments over the term of the notes.
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THE LEVEL OF THE INDEX WILL INCLUDE A 6.0% PER ANNUM DAILY DEDUCTION —
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The Index is subject to a 6.0% per annum daily
deduction. The level of the Index will trail the value of an identically constituted synthetic portfolio that is not subject to any such
deduction.
The index deduction will place a significant
drag on the performance of the Index, potentially offsetting positive returns on the Index’s investment strategy, exacerbating negative
returns of its investment strategy and causing the level of the Index to decline steadily if the return of its investment strategy is
relatively flat. The Index will not appreciate unless the return of its investment strategy is sufficient to offset the negative effects
of the index deduction, and then only to the extent that the return of its investment strategy is greater than the index deduction. As
a result of the index deduction, the level of the Index may decline even if the return of its investment strategy is positive.
The daily deduction is one of the inputs our
affiliates’ internal pricing models use to value the derivative or derivatives underlying the economic terms of the notes for purposes
of determining the estimated value of the notes set forth on the cover of this pricing supplement. The daily deduction will effectively
reduce the value of the derivative or derivatives underlying the economic terms of the notes. See “The Estimated Value of the Notes”
and “— Risks Relating to the Estimated Value and Secondary Market Prices of the Notes” in this pricing supplement.
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CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
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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.
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AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS —
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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.
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THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS THAT MAY BE PAID OVER THE TERM
OF THE NOTES,
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regardless of any appreciation of the Index,
which may be significant. You will not participate in any appreciation of the Index.
PS-7
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQube
US Tech+ Vol Advantage Index
|
|
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THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE —
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If the Final Value is less than the Trigger
Value and the notes have not been automatically called, the benefit provided by the Trigger Value will terminate and you will be fully
exposed to any depreciation of the Index.
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THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
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If your notes are automatically called, the
term of the notes may be reduced to as short as approximately one year and you will not receive any Contingent Interest Payments after
the applicable Call Settlement Date. There is no guarantee that you would be able to reinvest the proceeds from an investment in the notes
at a comparable return and/or with a comparable interest rate for a similar level of risk. Even in cases where the notes are called before
maturity, you are not entitled to any fees and commissions described on the front cover of this pricing supplement.
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YOU WILL NOT RECEIVE DIVIDENDS OR OTHER DISTRIBUTIONS ON THE SECURITIES UNDERLYING THE NASDAQ-100 INDEX® OR HAVE
ANY RIGHTS WITH RESPECT TO THOSE SECURITIES OR THE FUTURES CONTRACTS UNDERLYING THE INDEX.
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THE RISK OF THE CLOSING LEVEL OF THE INDEX FALLING BELOW THE INTEREST BARRIER OR THE TRIGGER VALUE IS GREATER IF THE LEVEL OF THE
INDEX IS VOLATILE.
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JPMS AND ITS AFFILIATES MAY HAVE PUBLISHED RESEARCH, EXPRESSED OPINIONS OR PROVIDED RECOMMENDATIONS THAT ARE INCONSISTENT WITH
INVESTING IN OR HOLDING THE NOTES, AND MAY DO SO IN THE FUTURE —
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Any research, opinions or recommendations could
affect the market value of the notes. Investors should undertake their own independent investigation of the merits of investing
in the notes, the Index and the futures contracts composing the Index.
The notes will not be listed on any securities
exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS
is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your notes to maturity.
Risks Relating to Conflicts of Interest
We and our affiliates play a variety of roles
in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests are potentially
adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours or our affiliates in
connection with the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer
to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement.
In September 2021, an affiliate of ours purchased
a 10% equity interest in the Index Sponsor, with a right to appoint an employee of JPMS, another of our affiliates, as a member of the
board of directors of the Index Sponsor. The Index Sponsor can implement policies, make judgments or enact changes to the Index methodology
that could negatively affect the performance of the Index. The Index Sponsor can also alter, discontinue or suspend calculation or dissemination
of the Index. Any of these actions could adversely affect the value of the notes. The Index Sponsor has no obligation to consider your
interests in calculating, maintaining or revising the Index, and we, JPMS, our other affiliates and our respective employees are under
no obligation to consider your interests as an investor in the notes in connection with the role of our affiliate as an owner of an equity
interest in the Index Sponsor or the role of an employee of JPMS as a member of the board of directors of the Index Sponsor.
In addition, JPMS worked with the Index Sponsor
in developing the guidelines and policies governing the composition and calculation of the Index. Although judgments, policies and determinations
concerning the Index were made by JPMS, JPMorgan Chase & Co., as the parent company of JPMS, ultimately controls JPMS. The policies
and judgments for which JPMS was responsible could have an impact, positive or negative, on the level of the Index and the value of your
notes. JPMS is under no obligation to consider your interests as an investor in the notes in its role in developing the guidelines and
policies governing the Index or making judgments that may affect the level of the Index.
PS-8
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQube
US Tech+ Vol Advantage Index
|
|
Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes
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THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES —
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The estimated value of the notes is only an
estimate determined by reference to several factors. The original issue price of the notes exceeds the estimated value of the notes because
costs associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include
the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our
obligations under the notes and the estimated cost of hedging our obligations under the notes. See “The Estimated Value of the Notes”
in this pricing supplement.
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THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES —
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See “The Estimated Value of the Notes”
in this pricing supplement.
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THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
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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.
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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 —
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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).
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SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
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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.
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SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
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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 level of the Index. 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 Index
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THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED IN RESPECT OF THE FUTURES CONTRACTS
—
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No assurance can be given that the investment
strategy on which the Index is based will be successful or that the Index will outperform any alternative strategy that might be employed
with respect to the Futures Contracts.
PS-9
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQube
US Tech+ Vol Advantage Index
|
|
|
·
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THE INDEX MAY NOT APPROXIMATE ITS TARGET VOLATILITY —
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No assurance can be given that the Index will
maintain an annualized realized volatility that approximates its target volatility of 35%. The Index’s target volatility is a level
of implied volatility and therefore the actual realized volatility of the Index may be greater or less than the target volatility. On
each weekly Index rebalance day, the Index’s exposure to the Futures Contracts is set equal to (a) the 35% volatility target divided
by (b) the one-week implied volatility of the QQQ Fund, subject to a maximum exposure of 500%. The Index uses the implied volatility of
the QQQ Fund as a proxy for the volatility of the Futures Contracts. However, there is no guarantee that the methodology used by the Index
to determine the implied volatility of the QQQ Fund will be representative of the implied or realized volatility of the Futures Contracts.
The performance of the QQQ Fund may not correlate with the performance of the Futures Contracts, particularly during periods of market
volatility. In addition, the volatility of the Futures Contracts on any day may change quickly and unexpectedly and realized volatility
may differ significantly from implied volatility. In general, over time, the realized volatilities of the QQQ Fund and the Futures Contracts
have tended to be lower than their respective implied volatilities; however, at any time those realized volatilities may exceed their
respective implied volatilities, particularly during periods of market volatility. Accordingly, the actual realized annualized volatility
of the Index may be greater than or less than the target volatility, which may adversely affect the level of the Index and the value of
the notes.
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THE INDEX IS SUBJECT TO RISKS ASSOCIATED WITH THE USE OF SIGNIFICANT LEVERAGE —
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On a weekly Index rebalance day, the Index will
employ leverage to increase the exposure of the Index to the Futures Contracts if the implied volatility of the QQQ Fund is below 35%,
subject to a maximum exposure of 500%. Under normal market conditions in the past, the QQQ Fund has tended to exhibit an implied volatility
below 35%. Accordingly, the Index has generally employed leverage in the past, except during periods of elevated volatility. When leverage
is employed, any movements in the prices of the Futures Contracts will result in greater changes in the level of the Index than if leverage
were not used. In particular, the use of leverage will magnify any negative performance of the Futures Contracts, which, in turn, would
negatively affect the performance of the Index. Because the Index’s leverage is adjusted only on a weekly basis, in situations where
a significant increase in volatility is accompanied by a significant decline in the value of the Futures Contracts, the level of the Index
may decline significantly before the following Index rebalance day when the Index’s exposure to the Futures Contracts would be reduced.
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THE INDEX MAY BE SIGNIFICANTLY UNINVESTED —
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On a weekly Index rebalance day, the Index’s
exposure to the Futures Contracts will be less than 100% when the implied volatility of the QQQ Fund is above 35%. If the Index’s
exposure to the Futures Contracts is less than 100%, the Index will not be fully invested, and any uninvested portion will earn no return.
The Index may be significantly uninvested on any given day, and will realize only a portion of any gains due to appreciation of the Futures
Contracts on any such day. The 6.0% per annum deduction is deducted daily, even when the Index is not fully invested.
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THE INDEX MAY BE ADVERSELY AFFECTED IF LATER FUTURES CONTRACTS HAVE HIGHER PRICES THAN AN EXPIRING FUTURES CONTRACT INCLUDED IN
THE INDEX —
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As the Futures Contracts included in the Index
come to expiration, they are replaced by Futures Contracts that expire three months later. This is accomplished by synthetically selling
the expiring Futures Contract and synthetically purchasing the Futures Contract that expires three months from that time. This process
is referred to as “rolling.” Excluding other considerations, if the market for the Futures Contracts is in “contango,”
where the prices are higher in the distant delivery months than in the nearer delivery months, the purchase of the later Futures Contract
would take place at a price that is higher than the price of the expiring Futures Contract, thereby creating a negative “roll yield.”
In addition, excluding other considerations, if the market for the Futures Contracts is in “backwardation,” where the prices
are lower in the distant delivery months than in the nearer delivery months, the purchase of the later Futures Contract would take place
at a price that is lower than the price of the expiring Futures Contract, thereby creating a positive “roll yield.” The presence
of contango in the market for the Futures Contracts could adversely affect the level of the Index and, accordingly, any payment on the
notes.
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THE INDEX IS AN EXCESS RETURN INDEX THAT DOES NOT REFLECT “TOTAL RETURNS” —
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The
Index is an excess return index that does not reflect total returns. The return from investing in futures contracts derives from three
sources: (a) changes in the price of the relevant futures contracts (which is known as the “price return”); (b) any profit
or loss realized when rolling the relevant futures contracts (which is known as the “roll return”); and (c) any interest earned
on the cash deposited as collateral for the purchase of the relevant futures contracts (which is known as the “collateral return”).
The
Index measures the returns accrued from investing in uncollateralized futures contracts (i.e., the sum of the price return and
the roll return associated with an investment in the Futures Contracts). By contrast, a total return index, in addition to reflecting
those returns, would also reflect interest that could be earned on funds committed to the trading of the Futures Contracts (i.e.,
the collateral return associated with an investment in the Futures Contracts). Investing in the notes will not generate the same return
as would be generated from investing in a total return index related to the Futures Contracts.
PS-10
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQube
US Tech+ Vol Advantage Index
|
|
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·
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AN INVESTMENT IN THE NOTES WILL BE SUBJECT TO RISKS ASSOCIATED WITH NON-U.S. SECURITIES
—
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Some of the equity securities composing the
Nasdaq-100 Index® are issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity
securities involve risks associated with the home countries of the issuers of those non-U.S. equity securities. The prices of securities
issued by non-U.S. companies may be affected by political, economic, financial and social factors in the home countries of those issuers,
or global regions, including changes in government, economic and fiscal policies and currency exchange laws.
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CONCENTRATION RISKS ASSOCIATED WITH THE INDEX MAY ADVERSELY AFFECT THE VALUE OF YOUR NOTES —
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The Index generally provides exposure to a single
futures contract on the Nasdaq-100 Index® that trades on the Chicago Mercantile Exchange. Accordingly, the notes are less
diversified than other funds, investment portfolios or indices investing in or tracking a broader range of products and, therefore, could
experience greater volatility. You should be aware that other indices may be more diversified than the Indices in terms of both the number
and variety of futures contracts. You will not benefit, with respect to the notes, from any of the advantages of a diversified investment
and will bear the risks of a highly concentrated investment.
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THE INDEX IS SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FUTURES CONTRACTS, INCLUDING VOLATILITY —
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The Index tracks the returns of futures contracts.
The price of a futures contract depends not only on the price of the underlying asset referenced by the futures contract, but also on
a range of other factors, including but not limited to changing supply and demand relationships, interest rates, governmental and regulatory
policies and the policies of the exchanges on which the futures contracts trade. In addition, the futures markets are subject to temporary
distortions or other disruptions due to various factors, including the lack of liquidity in the markets, the participation of speculators
and government regulation and intervention. These factors and others can cause the prices of futures contracts to be volatile.
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SUSPENSION OR DISRUPTIONS OF MARKET TRADING IN FUTURES CONTRACTS MAY ADVERSELY AFFECT THE VALUE OF YOUR NOTES —
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Futures markets like the Chicago Mercantile
Exchange, the market for the Futures Contracts, are subject to temporary distortions or other disruptions due to various factors, including
the lack of liquidity in the markets, the participation of speculators, and government regulation and intervention. In addition, futures
exchanges have regulations that limit the amount of fluctuation in some futures contract prices that may occur during a single day. These
limits are generally referred to as “daily price fluctuation limits” and the maximum or minimum price of a contract on any
given day as a result of these limits is referred to as a “limit price.” Once the limit price has been reached in a particular
contract, no trades may be made at a price beyond the limit, or trading may be limited for a set period of time. Limit prices have the
effect of precluding trading in a particular contract or forcing the liquidation of contracts at potentially disadvantageous times or
prices. These circumstances could affect the level of the Index and therefore could affect adversely the value of your notes.
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THE OFFICIAL SETTLEMENT PRICE AND INTRADAY TRADING PRICES OF THE RELEVANT FUTURES CONTRACTS MAY NOT BE READILY AVAILABLE —
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The official settlement price and intraday trading
prices of the Futures Contracts are calculated and published by the Chicago Mercantile Exchange and are used to calculate the levels of
the Index. Any disruption in trading of the Futures Contracts could delay the release or availability of the official settlement price
and intraday trading prices and may delay or prevent the calculation of the Index.
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CHANGES IN THE MARGIN REQUIREMENTS FOR THE FUTURES CONTRACTS INCLUDED IN THE INDEX MAY ADVERSELY AFFECT THE VALUE OF THE NOTES
—
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Futures exchanges require market participants
to post collateral in order to open and to keep open positions in futures contracts. If an exchange changes the amount of collateral required
to be posted to hold positions in the Futures Contracts, market participants may adjust their positions, which may affect the prices of
the Futures Contracts. As a result, the level of the Index may be affected, which may adversely affect the value of the notes.
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HYPOTHETICAL BACK-TESTED DATA RELATING TO THE INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA AND ARE SUBJECT TO INHERENT LIMITATIONS
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The hypothetical back-tested performance of
the Index set forth under “Hypothetical Back-Tested Data and Historical Information” in this pricing supplement is purely
theoretical and does not represent the actual historical performance of the Index and has not been verified by an independent third party.
Hypothetical back-tested performance measures have inherent limitations. Hypothetical back-tested performance is derived by means of the
retroactive application of a back-tested model that has been designed with the benefit of hindsight. Alternative modelling techniques
might produce significantly different results and may prove to be more appropriate. Past performance, and especially hypothetical back-tested
performance, is not indicative of future results.
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This type of information
has inherent limitations and you should carefully consider these limitations before placing reliance on such information.
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o
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THE INDEX WAS ESTABLISHED ON JUNE 22, 2021, AND MAY PERFORM IN UNANTICIPATED WAYS.
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o
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THE NOTES ARE NOT REGULATED BY THE COMMODITY FUTURES TRADING COMMISSION.
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o
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HISTORICAL PERFORMANCE OF THE INDEX SHOULD NOT BE TAKEN AS AN INDICATION OF THE FUTURE PERFORMANCE OF THE INDEX DURING THE TERM OF
THE NOTES
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Please refer to the “Risk Factors”
section of the accompanying underlying supplement for more details regarding the above-listed and other risks.
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Hypothetical
Back-Tested Data and Historical Information
The following graph sets forth the hypothetical back-tested
performance of the Index based on the hypothetical back-tested weekly closing levels of the Index from January 8, 2016 through June 18,
2021, and the historical performance of the Index based on the weekly historical closing levels of the Index from June 25, 2021 through
November 26, 2021. The Index was established on June 22, 2021, as represented by the vertical line in the following graph. All data to
the left of that vertical line reflect hypothetical back-tested performance of the Index. All data to the right of that vertical line
reflect actual historical performance of the Index. The closing level of the Index on November 30, 2021 was 11,029.92. We obtained the
closing levels above and below from the Bloomberg Professional® service (“Bloomberg”), without independent
verification.
The data for the
hypothetical back-tested performance of the Index set forth in the following graph are purely theoretical and do not represent the actual
historical performance of the Index. See “Selected Risk Considerations — Risks Relating to the Index — Hypothetical
Back-Tested Data Relating to the Index Do Not Represent Actual Historical Data and Are Subject to Inherent Limitations” above.
The hypothetical back-tested and historical closing
levels of the Index should not be taken as an indication of future performance, and no assurance can be given as to the closing level
of the Index on any Review Date. There can be no assurance that the performance of the Index will result in the return of any of your
principal amount or the payment of any interest.
The hypothetical back-tested closing levels of the
Index have inherent limitations and have not been verified by an independent third party. These hypothetical back-tested closing levels
are determined by means of a retroactive application of a back-tested model designed with the benefit of hindsight. Hypothetical back-tested
results are neither an indicator nor a guarantee of future returns. No representation is made that an investment in the notes will or
is likely to achieve returns similar to those shown. Alternative modeling techniques or assumptions would produce different hypothetical
back-tested closing levels of the Index that might prove to be more appropriate and that might differ significantly from the hypothetical
back-tested closing levels of the Index set forth above.
Tax Treatment
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-II. In determining our reporting
responsibilities we intend to treat (i) the notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent
coupons and (ii) any Contingent Interest Payments as ordinary income, as described in the section entitled “Material U.S. Federal
Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated Contingent
Coupons” in the accompanying product supplement. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel,
we believe that this is a reasonable treatment, but that there are other reasonable treatments that the IRS or a court may adopt, in which
case the timing and character of any income or loss on the notes could be materially affected. In addition, in 2007 Treasury and the IRS
released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar
instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their
investment. It also asks for comments on a number of related
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topics, including the character of income or loss
with respect to these instruments and the relevance of factors such as the nature of the underlying property to which the instruments
are linked. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other
guidance promulgated after consideration of these issues could materially affect the tax consequences of an investment in the notes, possibly
with retroactive effect. The discussions above and in the accompanying product supplement do not address the consequences to taxpayers
subject to special tax accounting rules under Section 451(b) of the Code. You should consult your tax adviser regarding the U.S. federal
income tax consequences of an investment in the notes, including possible alternative treatments and the issues presented by the notice
described above.
Non-U.S. Holders — Tax Considerations.
The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and although we believe it is reasonable to take a
position that Contingent Interest Payments are not subject to U.S. withholding tax (at least if an applicable Form W-8 is provided), a
withholding agent may nonetheless withhold on these payments (generally at a rate of 30%, subject to the possible reduction of that rate
under an applicable income tax treaty), unless income from your notes is effectively connected with your conduct of a trade or business
in the United States (and, if an applicable treaty so requires, attributable to a permanent establishment in the United States). If you
are not a United States person, you are urged to consult your tax adviser regarding the U.S. federal income tax consequences of an investment
in the notes in light of your particular circumstances.
Section 871(m)
of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless
an income tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments
linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime,
including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations.
Additionally, a recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2023 that do not have
a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an
“Underlying Security”). Based on certain determinations made by us, our special tax counsel is of the opinion that Section
871(m) should not apply to the notes with regard to Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree
with this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including whether
you enter into other transactions with respect to an Underlying Security. You should consult your tax adviser regarding the potential
application of Section 871(m) to the notes.
In the event of any
withholding on the notes, we will not be required to pay any additional amounts with respect to amounts so withheld.
The Estimated Value of the Notes
The estimated value of the notes set forth on the
cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component
with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing to
buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated
value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by
JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’ view of
the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison
to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based on certain
market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement funding
rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms
of the notes and any secondary market prices of the notes. For additional information, see “Selected Risk Considerations —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Derived by
Reference to an Internal Funding Rate” in this pricing supplement.
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
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Auto Callable Contingent Interest Notes Linked to the MerQube
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JPMorgan Chase & Co.’s creditworthiness, interest rate
movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary
market transactions.
The estimated
value of the notes is lower than the original issue price of the notes because costs associated with selling, structuring and hedging
the notes are included in the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated
or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our
obligations under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails
risk and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected,
or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes may be allowed to other
affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits. See “Selected
Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value
of the Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact any
secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying
product supplement. In addition, we generally expect that some of the costs included in the original issue price of the notes will be
partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial
predetermined period. These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated
hedging costs and our internal secondary market funding rates for structured debt issuances. This initial predetermined time period is
intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects
the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs
of hedging the notes and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Value of the Notes as Published by JPMS (and
Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited
Time Period” in this pricing supplement.
Supplemental
Use of Proceeds
The notes are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the notes. See “How the Notes Work” and “Hypothetical
Payout Examples” in this pricing supplement for an illustration of the risk-return profile of the notes and “The MerQube US
Tech+ Vol Advantage Index” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to
the estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus)
the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the
notes, plus the estimated cost of hedging our obligations under the notes.
Supplemental
Plan of Distribution
We expect that delivery of the notes will be made
against payment for the notes on or about the Original Issue Date set forth on the front cover of this pricing supplement, which will
be the third business day following the Pricing Date of the notes (this settlement cycle being referred to as “T+3”). Under
Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in two
business days, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade notes on any date
prior to two business days before delivery will be required to specify an alternate settlement cycle at the time of any such trade to
prevent a failed settlement and should consult their own advisors.
Validity
of the Notes and the Guarantee
In the
opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the
notes offered by this pricing supplement have been executed and issued by JPMorgan Financial and authenticated by the trustee
pursuant to the indenture, and delivered against payment as contemplated herein, such notes will be valid and binding obligations of
JPMorgan Financial and the related guarantee will constitute a valid and binding obligation of JPMorgan Chase & Co., enforceable
in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights
generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of
good faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion as to (i) the effect of
fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above or (ii)
any provision of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar provision
of applicable law by limiting the amount of JPMorgan Chase &
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Co.’s obligation under
the related guarantee. This opinion is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation
Law of the State of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions
about the trustee’s authorization, execution and delivery of the indenture and its authentication of the notes and the validity,
binding nature and enforceability of the indenture with respect to the trustee, all as stated in the letter of such counsel dated February
26, 2020, which was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co.
on February 26, 2020.
Additional
Terms Specific to the Notes
You should read
this pricing supplement together with the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating
to our Series A medium-term notes of which these notes are a part, and the more detailed information contained in the accompanying product
supplement and the accompanying underlying supplement. This pricing supplement, together with the documents listed below, contains the
terms of the notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including
preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures
or other educational materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk Factors”
sections of the accompanying prospectus supplement, the accompanying product supplement and the accompanying underlying supplement, as
the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting
and other advisers before you invest in the notes.
You may access
these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant
date on the SEC website):
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·
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Product supplement no. 4-II dated November 4, 2020:
http://www.sec.gov/Archives/edgar/data/19617/000095010320021467/crt_dp139322-424b2.pdf
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·
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Underlying supplement no. 7-I dated July 12, 2021:
http://www.sec.gov/Archives/edgar/data/0001665650/000095010321010353/crt_dp154225-424b2.pdf
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Prospectus supplement and prospectus, each dated April 8, 2020:
http://www.sec.gov/Archives/edgar/data/19617/000095010320007214/crt_dp124361-424b2.pdf
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Our Central Index
Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,”
“us” and “our” refer to JPMorgan Financial.
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