JPMORGAN CHASE & CO (0000019617) (Filer)
SEC · EDGAR 财务披露 · October 1, 2026 at 4:31 PM ET
September 29, 2026 Registration Statement Nos. 333-293684 and 333-293684-01; Rule 424(b)(2)
Pricing supplement to product supplement no. 3-I dated April 17, 2026, underlying supplement no. 24-I dated April 17, 2026 and
the prospectus and prospectus supplement, each dated April 17, 2026
JPMorgan Chase Financial Company LLC
Structured Investments
$408,000
Step-Up Auto Callable Notes Linked to the J.P. Morgan
Dynamic BlendSM Index due October 4, 2033
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
• The notes are designed for investors who seek early exit prior to maturity at a premium if, on any Review Date (other
than the final Review Date), the closing level of the J.P. Morgan Dynamic BlendSM Index, which we refer to as the Index,
is at or above the Call Value for that Review Date.
• The earliest date on which an automatic call may be initiated is October 1, 2027.
• The notes are also designed for investors who seek uncapped, unleveraged exposure to any appreciation of the Index at
maturity, if the notes have not been automatically called.
• Investors should be willing to forgo interest payments, while seeking full repayment of principal at maturity.
• The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to
as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any
payment on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit
risk of JPMorgan Chase & Co., as guarantor of the notes.
• Minimum denominations of $1,000 and integral multiples thereof
• The notes priced on September 29, 2026 and are expected to settle on or about October 2, 2026.
• CUSIP: 46661MN75
Investing in the notes involves a number of risks. See “Risk Factors” beginning on page S-2 of the accompanying
prospectus supplement, “Risk Factors” beginning on page PS-12 of the accompanying product supplement, “Risk
Factors” beginning on page US-3 of the accompanying underlying supplement and “Selected Risk Considerations”
beginning on page PS-6 of this pricing supplement.
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.
Price to Public (1)
Fees and Commissions (2)
Proceeds to Issuer
Per note
$1,000
$34
$966
Total
$408,000
$13,872
$394,128
(1) See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price to public of the
notes.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling
commissions of $34.00 per $1,000 principal amount note it receives from us to other affiliated or unaffiliated dealers. See “Plan of
Distribution (Conflicts of Interest)” in the accompanying product supplement.
The estimated value of the notes, when the terms of the notes were set, was $877.70 per $1,000 principal amount note.
See “The Estimated Value of the Notes” in this pricing supplement for additional information.
The notes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency
and are not obligations of, or guaranteed by, a bank.
PS-1 | Structured Investments
Step-Up Auto Callable Notes Linked to the J.P. Morgan Dynamic BlendSM
Index
Key Terms
Issuer: JPMorgan Chase Financial Company LLC, a direct,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Index: The J.P. Morgan Dynamic BlendSM Index (Bloomberg
ticker: JPUSDYBL <Index>). The level of the Index reflects the
deduction of 0.95% per annum that accrues daily.
Call Premium Amount: The Call Premium Amount with
respect to each Review Date is set forth below:
• first Review Date: 12.25% × $1,000
• second Review Date: 24.50% × $1,000
• third Review Date: 36.75% × $1,000
• fourth Review Date: 49.00% × $1,000
• fifth Review Date: 61.25% × $1,000
• sixth Review Date: 73.50% × $1,000
Call Value: The Call Value for each Review Date is set forth
below:
• first Review Date: 100.50% of the Initial Value
• second Review Date: 101.00% of the Initial Value
• third Review Date: 101.50% of the Initial Value
• fourth Review Date: 102.00% of the Initial Value
• fifth Review Date: 102.50% of the Initial Value
• sixth Review Date: 103.00% of the Initial Value
Participation Rate: 100.00%
Pricing Date: September 29, 2026
Original Issue Date (Settlement Date): On or about October
2, 2026
Review Dates*: October 1, 2027, September 29, 2028, October
1, 2029, September 30, 2030, September 29, 2031, September
29, 2032 and September 29, 2033 (final Review Date)
Call Settlement Dates*: October 6, 2027, October 4, 2028,
October 4, 2029, October 3, 2030, October 2, 2031 and
October 4, 2032
Maturity Date*: October 4, 2033
* Subject to postponement in the event of a market disruption event
and as described under “Supplemental Terms of the Notes —
Postponement of a Determination Date — Notes linked solely to the
Index” in the accompanying underlying supplement and “General
Terms of Notes — Postponement of a Payment Date” in the
accompanying product supplement
Automatic Call:
If the closing level of the Index on any Review Date (other than
the final Review Date) is greater than or equal to the Call Value
for that Review Date, the notes will be automatically called for a
cash payment, for each $1,000 principal amount note, equal to
(a) $1,000 plus (b) the Call Premium Amount applicable to that
Review Date, payable on the applicable Call Settlement Date.
No further payments will be made on the notes.
If the notes are automatically called, you will not benefit from
the feature that provides you with a positive return at maturity
equal to the Index Return times the Participation Rate if the
Final Value is greater than the Initial Value. Because this
feature does not apply to the payment upon an automatic call,
the payment upon an automatic call may be significantly less
than the payment at maturity for the same level of appreciation
in the Index.
Payment at Maturity:
If the notes have not been automatically called, at maturity you
will receive a cash payment, for each $1,000 principal amount
note, of $1,000 plus the Additional Amount, which may be zero.
If the notes have not been automatically called, you are entitled
to repayment of principal in full at maturity, subject to the credit
risks of JPMorgan Financial and JPMorgan Chase & Co.
Additional Amount: If the notes have not been automatically
called, the Additional Amount payable at maturity per $1,000
principal amount note will equal:
$1,000 × Index Return × Participation Rate,
provided that the Additional Amount will not be less than zero.
Index Return:
(Final Value – Initial Value)
Initial Value
Initial Value: The closing level of the Index on the Pricing Date,
which was 148.70
Final Value: The closing level of the Index on the final Review
Date
PS-2 | Structured Investments
Step-Up Auto Callable Notes Linked to the J.P. Morgan Dynamic BlendSM
Index
The J.P. Morgan Dynamic BlendSM Index
The J.P. Morgan Dynamic BlendSM Index (the “Index”) was developed and is maintained and calculated by J.P. Morgan Securities LLC
(“JPMS”). The Index has been calculated on a “live” basis (i.e., using real-time data) since March 23, 2021. The Index is reported by
Bloomberg L.P. under the ticker symbol “JPUSDYBL Index.”
The Index attempts to provide a dynamic rules-based allocation to the J.P. Morgan US Large Cap Equities Futures Index (the “Equity
Constituent”) and the J.P. Morgan 2Y US Treasury Futures Index (the “Bond Constituent” and, together with the Equity Constituent, the
“Portfolio Constituents”) while targeting a level volatility of 3.0% (the “Target Volatility”). The Index tracks the return of (a) a notional
dynamic portfolio consisting of the Equity Constituent and the Bond Constituent, less (b) the daily deduction of 0.95% per annum (the
“Index Deduction”). Each futures contract underlying a Portfolio Constituent as of a particular time is referred to as an “Underlying
Futures Contract.”
• The Equity Constituent is an excess return index that tracks the return of a notional rolling futures position in futures contracts
on the S&P 500® Index. For additional information about the Equity Constituent, see “Background on the J.P. Morgan Futures
Indices” in the accompanying underlying supplement.
• The Bond Constituent is an excess return index that tracks the return of a notional rolling futures position in futures contracts
on 2-Year U.S. treasury notes. For additional information about the Bond Constituent, see “Background on the J.P. Morgan
Futures Indices” in the accompanying underlying supplement.
The Index provides a diversified exposure that rebalances daily based on measures of market risk and diversification to attempt to
deliver stable volatility over time.
Considerations Relating to the Volatility of the Portfolio Constituents. Under normal market conditions, the Equity Constituent’s realized
volatility has tended to be relatively more variable than the Bond Constituent’s realized volatility. Consequently, and because the Index
seeks to maintain an annualized realized volatility approximately equal to the Target Volatility of only 3.0%, the Index methodology may
be more likely to shift exposure from the Equity Constituent to the Bond Constituent during periods of relatively higher market volatility
and to shift exposure from the Bond Constituent to the Equity Constituent under normal market conditions exhibiting relatively lower
market volatility.
In general, equity markets have historically been more likely to outperform fixed-income markets during periods of relatively lower
market volatility and to underperform fixed-income markets during periods of relatively higher market volatility. However, there can be
no assurance that the Index allocation strategy will achieve its intended results or that the Index will outperform any alternative index or
strategy that might reference the Portfolio Constituents. Past performance should not be considered indicative of future performance.
In any initial selection between two eligible notional portfolios, the Index will select the portfolio that has the higher allocation to the
Portfolio Constituent with a higher realized volatility, as described below, which generally will cause the Equity Constituent to receive a
higher allocation than if the portfolio that has the higher allocation to the Portfolio Constituent with a lower realized volatility were
selected.
Furthermore, under normal market conditions, the Equity Constituent’s realized volatility has tended to be significantly higher than the
Bond Constituent’s realized volatility. Under these circumstances and because the Target Volatility is only 3.0%, the Index is generally
expected to be more heavily weighted towards the Bond Constituent. Past performance should not be considered indicative of future
performance. Under circumstances where the Equity Constituent’s realized volatility is significantly higher than that of the Bond
Constituent, the performance of the Index is expected to be influenced to a greater extent by the performance of the Equity Constituent
than by the performance of the Bond Constituent, even if the weight of the Bond Constituent is significantly greater than the weight of
the Equity Constituent.
Consequently, even in cases where the allocation to the Bond Constituent is greater than the allocation to the Equity Constituent, the
Index may be influenced to a greater extent by the performance of the Equity Constituent than by the performance of the Bond
Constituent because, under some conditions, the greater allocation to the Bond Constituent will not be sufficiently large to offset the
greater realized volatility of the Equity Constituent.
Calculating the level of the Index. On any given day, the closing level of the Index reflects (a) the weighted return performance of the
Portfolio Constituents less (b) the 0.95% per annum daily Index Deduction. The Index Level was set equal to 100.00 on July 25, 1990,
the base date of the Index. The Index is an “excess return” index because, through the Portfolio Constituents, it provides notional
exposure to futures contract returns that reflect changes in the price of those futures contracts, as well as their “roll” returns described
below. The Index is not a “total return” index because it does not reflect interest that could be earned on funds notionally committed to
the trading of futures contracts.
No assurance can be given that the investment strategy used to construct the Index will achieve its intended results or that
the Index will be successful or will outperform any alternative index or strategy that might reference the Portfolio
PS-3 | Structured Investments
Step-Up Auto Callable Notes Linked to the J.P. Morgan Dynamic BlendSM
Index
Constituents. Furthermore, no assurance can be given that the realized volatility of the Index will approximate the Target
Volatility. The actual realized volatility of the Index may be greater or less than the Target Volatility.
If the aggregate weight of the Portfolio Constituents in the Index is less than 100%, the Index will not be fully invested, and
any uninvested portion will earn no return. The Index Deduction is deducted daily at a rate of 0.95% per annum, even when
the Index is not fully invested.
The Index is described as a “notional” or “synthetic” portfolio of assets because there is no actual portfolio of assets to
which any person is entitled or in which any person has any ownership interest. The Index merely references certain assets,
the performance of which will be used as a reference point for calculating the level of the Index.
See “The J.P. Morgan Dynamic BlendSM Index” in the accompanying underlying supplement for more information about the
Index.
PS-4 | Structured Investments
Step-Up Auto Callable Notes Linked to the J.P. Morgan Dynamic BlendSM
Index
How the Notes Work
Payment upon an Automatic Call
Payment at Maturity If the Notes Have Not Been Automatically Called
The notes will be automatically called on the applicable Call Settlement Date, and you will
receive (a) $1,000 plus (b) the Call Premium Amount applicable to that Review Date.
No further payments will be made on the notes.
Compare the closing level of the Index to the applicable Call Value on each Review Date until the final Review Date or any earlier
automatic call.
Review Dates Preceding the Final Review Date
Automatic Call
The closing level of the
Index is greater than or
equal to the Call Value
for the applicable Review
Date.
The closing level of the
Index is less than the
Call Value for the
applicable Review Date.
Call
Value
The notes will not be automatically called. Proceed to the next Review Date.
No Automatic Call
Final Review Date
The notes have not
been automatically
called. Proceed to the
payment at maturity.
Payment at Maturity
You will receive $1,000 plus the Additional Amount, which will be equal to:
$1,000 ×Index Return ×Participation Rate,
provided that the Additional Amount will not be less than zero.
PS-5 | Structured Investments
Step-Up Auto Callable Notes Linked to the J.P. Morgan Dynamic BlendSM
Index
Call Premium Amount
The table below illustrates the Call Premium Amount per $1,000 principal amount note for each Review Date (other than the final
Review Date) based on the Call Premium Amounts set forth under “Key Terms — Call Premium Amount” above.
Review Date
Call Premium Amount
First
$122.50
Second
$245.00
Third
$367.50
Fourth
$490.00
Fifth
$612.50
Sixth
$735.00
Payment at Maturity If the Notes Have Not Been Automatically Called
The following table illustrates the hypothetical payment at maturity on the notes linked to a hypothetical Index. The hypothetical
payments set forth below assume the following:
• the notes have not been automatically called;
• an Initial Value of 100.00; and
• a Participation Rate of 100.00%.
The hypothetical Initial Value of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value.
The actual Initial Value is the closing 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 at maturity set forth below is for illustrative purposes only and may not be the actual payment at maturity
applicable to a purchaser of the notes. The numbers appearing in the following table have been rounded for ease of analysis.
Final Value
Index Return
Additional Amount
Payment at Maturity
165.00
65.00%
$650.00
$1,650.00
150.00
50.00%
$500.00
$1,500.00
140.00
40.00%
$400.00
$1,400.00
130.00
30.00%
$300.00
$1,300.00
120.00
20.00%
$200.00
$1,200.00
110.00
10.00%
$100.00
$1,100.00
105.00
5.00%
$50.00
$1,050.00
101.00
1.00%
$10.00
$1,010.00
100.00
0.00%
$0.00
$1,000.00
95.00
-5.00%
$0.00
$1,000.00
90.00
-10.00%
$0.00
$1,000.00
80.00
-20.00%
$0.00
$1,000.00
70.00
-30.00%
$0.00
$1,000.00
60.00
-40.00%
$0.00
$1,000.00
50.00
-50.00%
$0.00
$1,000.00
40.00
-60.00%
$0.00
$1,000.00
30.00
-70.00%
$0.00
$1,000.00
20.00
-80.00%
$0.00
$1,000.00
10.00
-90.00%
$0.00
$1,000.00
0.00
-100.00%
$0.00
$1,000.00
PS-6 | Structured Investments
Step-Up Auto Callable Notes Linked to the J.P. Morgan Dynamic BlendSM
Index
Note Payout Scenarios
Upside Scenario If Automatic Call:
If the closing level of the Index on any Review Date (other than the final Review Date) is greater than or equal to the Call Value for that
Review Date, the notes will be automatically called and investors will receive on the applicable Call Settlement Date the $1,000
principal amount plus the Call Premium Amount applicable to that Review Date. No further payments will be made on the notes.
• If the closing level of the Index increases 10.00% as of the first Review Date, the notes will be automatically called and investors
will receive a return equal to 12.25%, or $1,122.50 per $1,000 principal amount note.
• If the notes have not been previously automatically called and the closing level of the Index increases 100.00% as of the sixth
Review Date, the notes will be automatically called and investors will receive a return equal to 73.50%, or $1,735.00 per $1,000
principal amount note.
If No Automatic Call:
If the notes have not been automatically called, investors will receive at maturity the $1,000 principal amount plus the Additional
Amount, which is equal to $1,000 times the Index Return times the Participation Rate of 100.00%.
Upside Scenario:
If the notes have not been automatically called and the Final Value is greater than the Initial Value, the Additional Amount will be
greater than zero and investors will receive at maturity more than the principal amount of their notes.
• If the notes have not been automatically called and the closing level of the Index increases 10.00%, investors will receive at
maturity a return equal to 10.00%, or $1,100.00 per $1,000 principal amount note.
Par Scenario:
If the notes have not been automatically called and the Final Value is equal to or less than the Initial Value, the Additional Amount will
be zero and investors will receive at maturity the principal amount of their notes.
The hypothetical returns and hypothetical payments on the notes shown above apply only if you hold the notes for their entire term
or until automatically called. These hypotheticals do not reflect the fees or expenses that would be associated with any sale in the
secondary market. If these fees and expenses were included, the hypothetical returns and hypothetical payments shown above would
likely be lower.
Selected Risk Considerations
An investment in the notes involves significant risks. These risks are explained in more detail in the “Risk Factors” sections of the
accompanying prospectus supplement, product supplement and underlying supplement.
Risks Relating to the Notes Generally
• IF THE NOTES HAVE NOT BEEN AUTOMATICALLY CALLED, THE NOTES MAY NOT PAY MORE THAN THE PRINCIPAL
AMOUNT AT MATURITY —
If the notes have not been automatically called and the Final Value is less than or equal to the Initial Value, you will receive only the
principal amount of your notes at maturity, and you will not be compensated for any loss in value due to inflation and other factors
relating to the value of money over time.
• THE LEVEL OF THE INDEX WILL INCLUDE A 0.95% PER ANNUM DAILY DEDUCTION —
The Index is subject to a 0.95% per annum daily deduction. As a result of the deduction of this index fee, the level of the Index will
trail the value of a hypothetical identically constituted synthetic portfolio from which no such fee or cost is deducted.
• 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 ACTIVITIES AND HAS LIMITED ASSETS —
As a finance subsidiary of JPMorgan Chase & Co., we have no independent activities beyond the issuance and administration of
our securities and the collection of intercompany obligations. Aside from the initial capital contribution from JPMorgan Chase &
Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. to make payments under loans made by us to
PS-7 | Structured Investments
Step-Up Auto Callable Notes Linked to the J.P. Morgan Dynamic BlendSM
Index
JPMorgan Chase & Co. or under other intercompany agreements. As a result, we are dependent upon payments from JPMorgan
Chase & Co. to meet our obligations under the notes. We are not an operating subsidiary of JPMorgan Chase & Co. and in a
bankruptcy or resolution of JPMorgan Chase & Co. we are not expected to have sufficient resources to meet our obligations in
respect of the notes as they come due. If JPMorgan Chase & Co. does not make payments to us and we are unable 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. For more
information, see “Risk Factors — Holders of securities issued by JPMorgan Financial may be subject to losses if JPMorgan Chase
& Co. were to enter into a resolution” in the accompanying prospectus supplement.
• THE CALL VALUE FOR EACH REVIEW DATE IS GREATER THAN THE INITIAL VALUE AND INCREASES PROGRESSIVELY
OVER THE TERM OF THE NOTES —
The notes will be automatically called, and you will receive a Call Premium Amount, only if the closing level of the Index increases
from the Initial Value such that it is greater than or equal to the Call Value for a Review Date. Even if the closing level of the Index
increases over the term of the notes, it may not increase sufficiently for the notes to be automatically called (including because,
due to the step-up Call Value feature, the Call Values increase progressively over the term of the notes).
• IF THE NOTES ARE AUTOMATICALLY CALLED, THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE
APPLICABLE CALL PREMIUM AMOUNT PAID ON THE NOTES,
regardless of any appreciation of the Index, which may be significant. In addition, if the notes are automatically called, you will not
benefit from the feature that provides you with a positive return at maturity equal to the Index Return times the Participation Rate if
the Final Value is greater than the Initial Value. Because this feature does not apply to the payment upon an automatic call, the
payment upon an automatic call may be significantly less than the payment at maturity for the same level of appreciation in the
Index.
• THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
If your notes are automatically called, the term of the notes may be reduced to as short as approximately one year. There is no
guarantee that you would be able to reinvest the proceeds from an investment in the notes at a comparable return 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.
• THE NOTES DO NOT PAY INTEREST.
• YOU WILL NOT HAVE ANY RIGHTS WITH RESPECT TO THE PORTFOLIO CONSTITUENTS, THE UNDERLYING FUTURES
CONTRACTS OR THE SECURITIES INCLUDED IN THE INDEX UNDERLYING THE UNDERLYING FUTURES CONTRACTS.
• LACK OF LIQUIDITY —
The notes will not be listed on any securities exchange. Accordingly, the price at which you may be able to trade your notes is
likely to depend on the price, if any, at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notes
are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
Risks Relating to Conflicts of Interest
• POTENTIAL CONFLICTS —
We and our affiliates play a variety of roles in connection with the notes. In performing these duties, our and JPMorgan Chase &
Co.’s economic interests are potentially adverse to your interests as an investor in the notes. It is possible that hedging or trading
activities of ours or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the
value of the notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product
supplement. See also “— Risks Relating to the Index — Our Affiliate, JPMS, Is the Index Sponsor and the Index Calculation Agent
of the Index and Each Portfolio Constituent and May Adjust the Index or Each Portfolio Constituent in a Way that Affects Its Level”
below.
JPMS is one of the primary dealers through which the U.S. Federal Reserve conducts open-market purchases and sales of U.S.
Treasury and federal agency securities, including U.S. Treasury notes. These activities may affect the prices and yields on the
U.S. Treasury notes, which may in turn affect the level of the Bond Constituent and the level of the Bond Constituent. JPMS has
no obligation to take into consideration your interests as a holder of the notes when undertaking these activities.
PS-8 | Structured Investments
Step-Up Auto Callable Notes Linked to the J.P. Morgan Dynamic BlendSM
Index
• 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 —
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 and the Portfolio Constituents and the futures contracts composing
the Portfolio Constituents.
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 —
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, the estimated cost of hedging our
obligations under the notes and the fees, if any, paid for third-party data analytics and/or electronic platform services. 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, estimated hedging
costs and fees, if any, paid for third-party data analytics and/or electronic platform services 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. Furthermore, if you sell your notes, you will likely be charged
a commission for secondary market transactions, or the price will likely reflect a dealer discount and/or fees for use of an electronic
platform to facilitate secondary market activity. Any sale by you prior to the Maturity Date could result in a substantial loss to you.
• SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
The secondary market price of the notes during their term will be impacted by a number of economic and market factors, which
may either offset or magnify each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging
costs and the 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
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Index
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
• JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500® INDEX, THE
REFERENCE INDEX UNDERLYING THE UNDERLYING FUTURES CONTRACTS OF THE EQUITY CONSTITUENT,
but JPMorgan Chase & Co. will not have any obligation to consider your interests in taking any corporate action that might affect
the securities included in the reference index underlying the Underlying Futures Contracts of the Equity Constituent.
• OUR AFFILIATE, JPMS, IS THE INDEX SPONSOR AND THE INDEX CALCULATION AGENT OF THE INDEX AND EACH
PORTFOLIO CONSTITUENT AND MAY ADJUST THE INDEX OR EACH PORTFOLIO CONSTITUENT IN A WAY THAT
AFFECTS ITS LEVEL —
JPMS, one of our affiliates, currently acts as the index sponsor and the index calculation agent for the Index and the Portfolio
Constituents and is responsible for calculating and maintaining the Index and the Portfolio Constituents and developing the
guidelines and policies governing their composition and calculation. In performing these duties, JPMS may have interests adverse
to the interests of the holders of the notes, which may affect your return on the notes, particularly where JPMS, as the index
sponsor and the index calculation agent of the Index and the Portfolio Constituents, is entitled to exercise discretion. The rules
governing the Index and the Portfolio Constituents may be amended at any time by the index sponsor of the Index and the Portfolio
Constituents, in its sole discretion. The rules also permit the use of discretion by the index sponsor and the index calculation agent
of the Index and the Portfolio Constituents in specific instances, including, but not limited to, the determination of whether to
replace a Portfolio Constituent with a substitute or successor upon the occurrence of certain events affecting that Portfolio
Constituent, the selection of any substitute or successor and the determination of the levels to be used in the event of market
disruptions that affect the ability of the index calculation agent of the Index and the Portfolio Constituents to calculate and publish
the levels of the Index and the Portfolio Constituents and the interpretation of the rules governing the Index and the Portfolio
Constituents. Although JPMS, acting as the index sponsor and the index calculation agent, will make all determinations and take
all action in relation to the Index and the Portfolio Constituents acting in good faith, it should be noted that JPMS may have
interests adverse to the interests of the holders of the notes and the policies and judgments for which JPMS is responsible could
have an impact, positive or negative, on the level of the Index and the value of your notes.
Although judgments, policies and determinations concerning the Index and the Portfolio Constituents are made by JPMS,
JPMorgan Chase & Co., as the ultimate parent company of JPMorgan Chase Bank and JPMS, ultimately controls JPMorgan
Chase and JPMS. JPMS has no obligation to consider your interests in taking any actions that might affect the value of your notes.
Furthermore, the inclusion of the Portfolio Constituents in the Index is not an investment recommendation by us or JPMS of any of
the Portfolio Constituents, or any of the futures contracts composing any of the Portfolio Constituents.
• THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED
IN RESPECT OF THE PORTFOLIO CONSTITUENTS —
The Index follows a notional rules-based proprietary strategy that operates on the basis of pre-determined rules. Under this
strategy, the Index seeks to maintain an annualized realized volatility approximately equal to the Target Volatility of 3.0% by
rebalancing its exposures to the Portfolio Constituents on each day based on two measures of realized portfolio volatility: a shorter-
term volatility measure and a longer-term volatility measure. By seeking to maintain an annualized realized volatility approximately
equal to the Target Volatility, the Index may underperform an alternative strategy that seeks to maintain a higher annualized
realized volatility or an alternative strategy that does not seek to maintain a level volatility.
In addition, on each day, the Index generally selects the notional portfolio identified for the volatility measure that has the lower
allocation to the Equity Constituent as the notional portfolio to be tracked by the Index. The Index’s selection of the notional
portfolio with the lower allocation to the Equity Constituent may be more likely to result in the Index tracking a notional portfolio with
a lower realized volatility than if the Index were to select the notional portfolio with the higher allocation to the Equity Constituent.
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 in respect of the Portfolio Constituents.
• THE INDEX MAY NOT APPROXIMATE ITS TARGET VOLATILITY —
No assurance can be given that the Index will maintain an annualized realized volatility that approximates the Target Volatility. The
actual realized volatility of the Index may be greater or less than the Target Volatility. The Index seeks to maintain an annualized
realized volatility approximately equal to the Target Volatility of 3.0% by rebalancing its exposures to the Portfolio Constituents on
each day based on two measures of realized portfolio volatility. However, there is no guarantee that trends exhibited by either
measure of realized portfolio volatility will continue in the future. The volatility of a notional portfolio on any day may change quickly
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Index
and unexpectedly. Accordingly, the actual realized annualized volatility of the Index on a daily basis 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.
• THE PERFORMANCE OF THE INDEX MAY BE ADVERSELY AFFECTED BY ITS TARGET VOLATILITY OF 3.0% —
The Index seeks to maintain an annualized realized volatility approximately equal to the Target Volatility of 3.0%. A Target
Volatility of 3.0% is relatively low as compared to indices with similar investment strategies established prior to the Index. A
relatively lower Target Volatility could result in poorer performance in general over time, especially during periods of rising markets.
See also “— A Significant Portion of the Index’s Exposure May Be Allocated to the Bond Constituent” and “— The Index May Be
More Heavily Influenced by the Performance of the Equity Constituent Than the Performance of the Bond Constituent in General
Over Time” below.
• THE INDEX MAY BE SIGNIFICANTLY UNINVESTED —
For each volatility measure on each day, the Index seeks to identify a notional portfolio composed of the Portfolio Constituents that
has an annualized realized volatility determined for that volatility measure approximately equal to the Target Volatility of 3.0% and
an aggregate weight of 100%. If the Index identifies and selects such a notional portfolio for a volatility measure, but the weight of
either Portfolio Constituent is greater than 100%, the weight of that Portfolio Constituent in the notional portfolio selected for that
volatility measure on that day will be 100% and, if the weight of either Portfolio Constituent is less than 0%, the weight of that
Portfolio Constituent in the notional portfolio selected for that volatility measure on that day will be 0%. In addition, if there is no
such notional portfolio for a volatility measure, the Index selects for that volatility measure on that day the notional portfolio with the
lowest realized volatility.
As a result of applying a cap and floor and in the case of selecting the notional portfolio with the lowest realized volatility, the
resulting notional portfolio may be greater than or less than 3.0% for the relevant volatility measure. If the annualized realized
volatility of the notional portfolio selected for a volatility measure on any day is greater than 3.0%, that notional portfolio will be
adjusted so that the weight of each Portfolio Constituent in that notional portfolio will be reduced proportionately to achieve a
notional portfolio that has an annualized realized volatility for the relevant volatility measure of 3.0%. Under these circumstances,
the aggregate weight of the Portfolio Constituents in that notional portfolio will be less than 100%.
If the Index tracks a notional portfolio with an aggregate weight that 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 Portfolio Constituents on any such day. The Index Deduction is deducted daily at a rate of
0.95% per annum, even when the Index is not fully invested.
• A SIGNIFICANT PORTION OF THE INDEX’S EXPOSURE MAY BE ALLOCATED TO THE BOND CONSTITUENT —
Under normal market conditions, the Equity Constituent has tended to exhibit a realized volatility that is higher than the Target
Volatility and that is higher than the realized volatility of the Bond Constituent in general over time. As a result, and because the
Target Volatility is only 3.0% the Index will generally need to reduce its exposure to the Equity Constituent in order to approximate
the Target Volatility. Therefore, the Index may have significant exposure for an extended period of time to the Bond Constituent,
and that exposure may be greater, perhaps significantly greater, than its exposure to the Equity Constituent. Moreover, under
certain circumstances, the Index may have no exposure to the Equity Constituent. However, the returns of the Bond Constituent
may be significantly lower than the returns of the Equity Constituent, and possibly even negative while the returns of the Equity
Constituent are positive, which will adversely affect the level of the Index and any payment on, and the value of, the notes.
• THE INDEX MAY BE MORE HEAVILY INFLUENCED BY THE PERFORMANCE OF THE EQUITY CONSTITUENT THAN THE
PERFORMANCE OF THE BOND CONSTITUENT IN GENERAL OVER TIME —
In any initial selection between two eligible notional portfolios, the Index will select the portfolio that has the higher allocation to the
Portfolio Constituent with a higher realized volatility, as described under “The J.P. Morgan Dynamic BlendSM Index” in the
accompanying underlying supplement, which generally will cause the Equity Constituent to receive a higher allocation than if the
portfolio that has the higher allocation to the Portfolio Constituent with a lower realized volatility were selected.
Furthermore, under normal market conditions, the Equity Constituent’s realized volatility has been relatively more variable and has
tended to be significantly higher than the Bond Constituent’s realized volatility. Under these circumstances and because the
Target Volatility is only 3.0%, the Index is generally expected to be more heavily weighted towards the Bond Constituent.
However, under circumstances where the Equity Constituent’s realized volatility is significantly higher than that of the Bond
Constituent, the performance of the Index is expected to be influenced to a greater extent by the performance of the Equity
Constituent than by the performance of the Bond Constituent, even if the weight of the Bond Constituent is significantly greater
than the weight of the Equity Constituent.
Consequently, even in cases where the allocation to the Bond Constituent is greater than the allocation to the Equity Constituent,
the Index may be influenced to a greater extent by the performance of the Equity Constituent than by the performance of the Bond
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Index
Constituent because, under some conditions, the greater allocation to the Bond Constituent will not be sufficiently large to offset
the greater realized volatility of the Equity Constituent.
Accordingly, the level of the Index may decline if the value of the Equity Constituent declines, even if the value of the Bond
Constituent increases at the same time. See also “— The Returns of the Portfolio Constituents May Offset Each Other or May
Become Correlated in Decline” below.
• THE RETURNS OF THE PORTFOLIO CONSTITUENTS MAY OFFSET EACH OTHER OR MAY BECOME CORRELATED IN
DECLINE —
At a time when the value of one Portfolio Constituent increases, the value of the other Portfolio Constituent may not increase as
much or may even decline. This may offset the potentially positive effect of the performance of the former Portfolio Constituent on
the performance of the Index. During the term of the notes, it is possible that the value of the Index may decline even if the value
of one Portfolio Constituent rises, because of the offsetting effect of a decline in the other Portfolio Constituent. It is also possible
that the returns of the Portfolio Constituents may be positively correlated with each other. In this case, a decline in one Portfolio
Constituent would be accompanied by a decline in the other Portfolio Constituent, which may adversely affect the performance of
the Index. As a result, the Index may not perform as well as an alternative index that tracks only one Portfolio Constituent or the
other.
• HYPOTHETICAL BACK-TESTED DATA RELATING TO THE INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA AND
ARE SUBJECT TO INHERENT LIMITATIONS —
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. 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. This type of information has inherent limitations
and you should carefully consider these limitations before placing reliance on such information. 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.
• THE INVESTMENT STRATEGY USED TO CONSTRUCT THE INDEX INVOLVES DAILY ADJUSTMENTS TO ITS NOTIONAL
EXPOSURE TO ITS PORTFOLIO CONSTITUENTS —
The Index is subject to daily adjustments to its notional exposure to its Portfolio Constituents. By contrast, a notional portfolio that
is not subject to daily exposure adjustments in this manner could see greater compounded gains over time through exposure to a
consistently and rapidly appreciating portfolio consisting of the relevant Portfolio Constituents. Therefore, your return on the notes
may be less than the return you could realize on an alternative investment in the relevant Portfolio Constituents that is not subject
to daily exposure adjustments. No assurance can be given that the investment strategy used to construct the Index will outperform
any alternative investment in the Portfolio Constituents of the Index.
• A PORTFOLIO CONSTITUENT OF THE INDEX MAY BE REPLACED BY A SUBSTITUTE INDEX OR FUTURES CONTRACT IN
CERTAIN EXTRAORDINARY EVENTS —
Following the occurrence of certain extraordinary events with respect to a Portfolio Constituent as described in the accompanying
underlying supplement, a Portfolio Constituent may be replaced by a substitute index or futures contract or the index calculation
agent may cease calculating and publishing in the Index. You should realize that changing a Portfolio Constituent may affect the
performance of the Index, and therefore, the return on the notes, as the substitute index or futures contract may perform
significantly better or worse than the original Portfolio Constituent. For example, the substitute or successor Portfolio Constituent
may have higher fees or worse performance than the original Portfolio Constituent.
Moreover, the policies of the index sponsor of the substitute index or futures contract concerning the methodology and calculation
of the substitute index or futures contract, including decisions regarding additions, deletions or substitutions of the assets
underlying the substitute index or futures contract could affect the level or price of the substitute index or futures contract and
therefore the value of the notes. The amount payable on the notes and their market value could also be affected if the sponsor of a
substitute index or the sponsor of the reference index of a substitute futures contract discontinues or suspends calculation or
dissemination of the relevant index, in which case it may become difficult to determine the market value of the notes. The sponsor
of the substitute index or futures contract will have no obligation to consider your interests in calculating or revising such substitute
index or futures contract.
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Index
• EACH PORTFOLIO CONSTITUENT IS SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH THE UNDERLYING
FUTURES CONTRACTS —
The Portfolio Constituents each track the returns of the Underlying Futures Contracts. The price of an Underlying Futures Contract
depends not only on the price of the underlying asset referenced by the Underlying 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 Underlying 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 the Underlying Futures
Contracts to be volatile and could adversely affect the level of each Portfolio Constituent and the Index and any payments on, and
the value of, your notes.
• SUSPENSION OR DISRUPTIONS OF MARKET TRADING IN THE UNDERLYING FUTURES CONTRACTS MAY ADVERSELY
AFFECT THE VALUE OF YOUR NOTES —
Futures markets are subject to temporary distortions or other disruptions due to various factors, including lack of liquidity, the
participation of speculators, and government regulation and intervention. In addition, futures exchanges generally have regulations
that limit the amount of the Underlying Futures Contract price fluctuations that may occur in 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 delay the calculation of the level of each Portfolio Constituent and could adversely affect the level of each Portfolio
Constituent and the Index and any payments on, and the value of, your notes.
• AN INCREASE IN THE MARGIN REQUIREMENTS FOR THE UNDERLYING FUTURES CONTRACTS INCLUDED IN THE
PORTFOLIO CONSTITUENTS MAY ADVERSELY AFFECT THE LEVEL OF THAT PORTFOLIO CONSTITUENT —
Futures exchanges require market participants to post collateral in order to open and keep open positions in the Underlying
Futures Contracts. If an exchange increases the amount of collateral required to be posted to hold positions in the Underlying
Futures Contracts, market participants who are unwilling or unable to post additional collateral may liquidate their positions, which
may cause the price or liquidity of the relevant Underlying Futures Contracts to decline significantly. As a result, the level of the
relevant Portfolio Constituent and the Index and any payments on, and the value of, the notes may be adversely affected.
• THE INDEX MAY IN THE FUTURE INCLUDE UNDERLYING FUTURES CONTRACTS THAT ARE NOT TRADED ON
REGULATED FUTURES EXCHANGES —
The Index, through its exposure to the Portfolio Constituents, is currently based solely on futures contracts traded on regulated
futures exchanges (referred to in the United States as “designated contract markets”). If these exchange-traded futures contracts
cease to exist, or if the calculation agent for the Portfolio Constituents substitutes an Underlying Futures Contract in certain
circumstances, the Index may in the future include futures contract or over-the-counter contracts traded on trading facilities that are
subject to lesser degrees of regulation or, in some cases, no substantive regulation. As a result, trading in such contracts, and the
manner in which prices and volumes are reported by the relevant trading facilities, may not be subject to the provisions of, and the
protections afforded by, the U.S. Commodity Exchange Act, or other applicable statutes and related regulations that govern trading
on regulated U.S. futures exchanges or similar statutes and regulations that govern trading on regulated non-U.S. futures
exchanges. In addition, many electronic trading facilities have only recently initiated trading and do not have significant trading
histories. As a result, the trading of contracts on such facilities, and the inclusion of such contracts in the Index, through its
exposure to the Portfolio Constituents, may be subject to certain risks not presented by the Underlying Futures Contracts, including
risks related to the liquidity and price histories of the relevant contracts.
• NEGATIVE ROLL RETURNS ASSOCIATED WITH THE UNDERLYING FUTURES CONTRACTS CONSTITUTING THE
PORTFOLIO CONSTITUENTS MAY ADVERSELY AFFECT THE PERFORMANCE OF THE PORTFOLIO CONSTITUENTS AND
THE VALUE OF THE NOTES —
The Portfolio Constituents each reference Underlying Futures Contracts. Unlike common equity securities, Underlying Futures
Contracts, by their terms, have stated expirations. As the exchange-traded Underlying Futures Contracts that compose the
Portfolio Constituents approach expiration, they are replaced by similar contracts that have a later expiration. For example, an
Underlying Futures Contract notionally purchased and held in June may specify a September expiration date. As time passes, the
contract expiring in September is replaced by a contract for delivery in December. This is accomplished by notionally selling the
September contract and notionally purchasing the December contract. This process is referred to as “rolling.” Excluding other
considerations, if prices are higher in the distant delivery months than in the nearer delivery months, the notional purchase of the
December contract would take place at a price that is higher than the price of the September contract, thereby creating a negative
“roll return.” Negative roll returns adversely affect the returns of the Portfolio Constituents and, therefore, the level of the Index and
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Index
any payments on, and the value of, the notes. Because of the potential effects of negative roll returns, it is possible for the value of
a Portfolio Constituent to decrease significantly over time, even when the near-term or spot prices of the underlying assets or
instruments are stable or increasing. In addition, interest rates have been historically low for an extended period and, if interest
rates revert to their historical means, the likelihood that a roll return related to any Portfolio Constituent will be negative, as well as
the adverse effect of negative roll returns on any Portfolio Constituent, will increase.
• OTHER KEY RISKS:
o THE INDEX, WHICH WAS ESTABLISHED ON MARCH 23, 2021, AND THE PORTFOLIO CONSTITUENTS, WHICH WERE
ESTABLISHED ON DECEMBER 22, 2020, HAVE LIMITED OPERATING HISTORIES AND MAY PERFORM IN
UNANTICIPATED WAYS.
o THE INDEX COMPRISES NOTIONAL ASSETS AND LIABILITIES. THERE IS NO ACTUAL PORTFOLIO OF ASSETS TO
WHICH ANY PERSON IS ENTITLED OR IN WHICH ANY PERSON HAS ANY OWNERSHIP INTEREST.
o THE NOTES ARE SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FIXED-INCOME SECURITIES, INCLUDING
INTEREST RATE-RELATED RISKS AND CREDIT RISK.
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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Index
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, 2021 through March 19, 2021 and the historical performance of the Index based on the
weekly historical closing levels of the Index from March 26, 2021 through September 25, 2026. The Index was established on March
23, 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 September 29, 2026 was 148.70. 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 a payment at maturity in excess of your principal amount, subject to the credit risks of JPMorgan Financial and
JPMorgan Chase & Co.
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.
Treatment as Contingent Payment Debt Instruments
You should review carefully the section entitled “United States Federal Taxation,” and in particular the subsection thereof entitled “—
Tax Consequences to U.S. Holders — Program Securities Treated as Debt Instruments — Program Securities Treated as Contingent
Payment Debt Instruments,” in the accompanying prospectus supplement. Unlike a traditional debt instrument that provides for periodic
payments of interest at a single fixed rate, with respect to which a cash-method investor generally recognizes income only upon receipt
of stated interest, our special tax counsel, Davis Polk & Wardwell LLP, is of the opinion that the notes will be treated for U.S. federal
income tax purposes as “contingent payment debt instruments.” As discussed in that subsection, you generally will be required to
accrue original issue discount (“OID”) on your notes in each taxable year at the “comparable yield,” as determined by us, although we
will not make any payment with respect to the notes except upon an automatic call or at maturity. Upon sale or exchange (including an
automatic call or at maturity), you will recognize taxable income or loss equal to the difference between the amount received from the
sale or exchange and your adjusted basis in the note, which generally will equal the cost thereof, increased by the amount of OID you
have accrued in respect of the note. You generally must treat any income as interest income and any loss as ordinary loss to the
extent of previous interest inclusions, and the balance as capital loss. The deductibility of capital losses is subject to limitations.
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Special rules may apply if any payment in excess of the principal amount of your note is treated as becoming fixed prior to maturity.
You should consult your tax adviser concerning the application of these rules. The discussions herein and in the accompanying
prospectus supplement do not address the consequences to taxpayers subject to special tax accounting rules under Section 451(b) of
the Code. Purchasers who are not initial purchasers of notes at their issue price should consult their tax advisers with respect to the tax
consequences of an investment in notes, including the treatment of the difference, if any, between the basis in their notes and the
notes’ adjusted issue price.
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, 2027 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.
The discussions in the preceding paragraphs, when read in combination with the section entitled “United States Federal Taxation” (and
in particular the subsection thereof entitled “— Tax Consequences to U.S. Holders — Program Securities Treated as Debt Instruments
— Program Securities Treated as Contingent Payment Debt Instruments”) in the accompanying prospectus supplement, constitute the
full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal income tax consequences of owning and disposing of
notes.
Comparable Yield and Projected Payment Schedule
Although it is not entirely clear how the comparable yield and projected payment schedule should be determined when a debt
instrument may be redeemed by the issuer prior to maturity, we have determined that the “comparable yield,” based upon the term to
maturity of the notes assuming no early redemption occurs and a variety of other factors, including actual market conditions and our
borrowing costs for debt instruments of comparable maturities at the time of issuance, is an annual rate of 5.62%, compounded
semiannually. Based on our determination of the comparable yield, the “projected payment schedule” per $1,000 principal amount note
consists of a single payment at maturity, equal to $1,474.75. Assuming a semiannual accrual period, the following table sets out the
amount of OID that will accrue with respect to a note during each calendar period, based upon our determination of the comparable
yield and projected payment schedule.
Calendar Period
Accrued OID During
Calendar Period (Per
$1,000 Principal
Amount Note)
Total Accrued OID from Original
Issue Date (Per $1,000 Principal
Amount Note) as of End of
Calendar Period
October 2, 2026 through December 31, 2026………..……..
$13.74
$13.74
January 1, 2027 through December 31, 2027………..……..
$57.78
$71.52
January 1, 2028 through December 31, 2028………….…...
$61.07
$132.59
January 1, 2029 through December 31, 2029……………....
$64.55
$197.14
January 1, 2030 through December 31, 2030…………….…
$68.22
$265.36
January 1, 2031 through December 31, 2031……………....
$72.12
$337.48
January 1, 2032 through December 31, 2032…………….…
$76.22
$413.70
January 1, 2033 through October 4, 2033…………………..
$61.05
$474.75
The comparable yield and projected payment schedule are determined solely to calculate the amount on which you will be
taxed with respect to the notes in each year and are neither a prediction nor a guarantee of what the actual yield or timing of
the payment or payments will be. The amount you actually receive at maturity or earlier sale or exchange of your notes will
affect your income for that year, as described above under “Treatment as Contingent Payment Debt Instruments.”
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
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Step-Up Auto Callable Notes Linked to the J.P. Morgan Dynamic BlendSM
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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 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, the estimated cost of hedging our obligations under the notes and the fees, if any, paid for
third-party data analytics and/or electronic platform services. 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, our internal secondary market funding rates for
structured debt issuances and the fees paid for third-party data analytics and/or electronic platform services. 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 “Note Payout Scenarios” in this pricing supplement for an illustration of the risk-return profile of
PS-17 | Structured Investments
Step-Up Auto Callable Notes Linked to the J.P. Morgan Dynamic BlendSM
Index
the notes and “The J.P. Morgan Dynamic BlendSM 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, plus the fees, if any, paid
for third-party data analytics and/or electronic platform services.
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 issued by JPMorgan Financial pursuant to the indenture, the trustee and/or paying
agent has made, in accordance with the instructions from JPMorgan Financial, the appropriate entries or notations in its records relating
to the master global note that represents such notes (the “master note”), and such notes have been 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 (x)(i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the
conclusions expressed above or (ii) any provision of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent
transfer or similar provision of applicable law by limiting the amount of JPMorgan Chase & Co.’s obligation under the related guarantee
or (y) the validity, legally binding effect or enforceability of any provision that permits holders to collect any portion of the stated principal
amount upon acceleration of the notes to the extent determined to constitute unearned interest. 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, except that such counsel expresses no opinion as to (i) any law, rule or regulation that is applicable to
JPMorgan Financial or JPMorgan Chase & Co., the indenture, the notes, the related guarantee (together with the indenture and the
notes, the “Documents”) or such transactions solely because such law, rule or regulation is part of a regulatory regime applicable to any
party to any of the Documents or any of its affiliates due to the specific assets or business of such party or such affiliate or (ii) any law,
rule or regulation relating to national security. 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 master note 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 24, 2026, which was
filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24,
2026.
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):
• Product supplement no. 3-I dated April 17, 2026:
http://www.sec.gov/Archives/edgar/data/19617/000121390026045198/ea0285802-20_424b2.pdf
• Underlying supplement no. 24-I dated April 17, 2026:
http://www.sec.gov/Archives/edgar/data/19617/000121390026045205/ea0285802-13_424b2.pdf
• Prospectus supplement and prospectus, each dated April 17, 2026:
http://www.sec.gov/Archives/edgar/data/19617/000095010326005889/crt_dp245141-424b2.pdf
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.