New Issue: JPMorgan prices $1 million return notes on basket of stocks with inflation exposure

Chicago, July 25 – JPMorgan Chase Financial Co. LLC priced $1 million of 0% return notes due Jan. 25, 2023 linked to an unequally weighted basket of 49 stocks with potential exposure to inflation, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by JPMorgan Chase & Co.

The basket is made up of reference stocks of 49 U.S.-listed companies that may benefit from inflation during the term of the notes. The companies are: Marathon Oil Corp., United Rentals, Inc., MGM Resorts International, Pioneer Natural Resources Co., Goldman Sachs Group, Inc., Capital One Financial Corp., T. Rowe Price Group, Inc., Hess Corp., Bank of New York Mellon Corp., Eaton Corp. plc, United States Steel Corp., Principal Financial Group, Inc., MetLife, Inc., Celanese Corp., Brunswick Corp., M&T Bank Corp., Ametek, Inc., Affiliated Managers Group, Inc., Unum Group, Jefferies Financial Group Inc., Eastman Chemical Co., Oshkosh Corp., LyondellBasell Industries NV, NOV Inc., KBR, Inc., ManpowerGroup Inc., American Equity Investment Life Holding Co., WEX Inc., TechnipFMC plc, Timken Co., Woodward, Inc., Flowserve Corp., Nabors Industries Ltd., Prosperity Bancshares, Inc., Umpqua Holdings Corp., Allegheny Technologies Inc., Dana Inc., Trinity Industries, Inc., CNO Financial Group, Inc., EnerSys, Patterson-UTI Energy, Inc., Vishay Intertechnology, Inc., Cabot Corp., American Axle & Manufacturing Holdings, Inc., Worthington Industries, Inc., Cadence Bank (formerly BancorpSouth Bank), Columbia Banking System, Inc. , Century Aluminum Co. and Oil States International, Inc.

Weights are given in the table below.

The payout at maturity will be par plus the basket return, all multiplied by an adjustment factor of 99.6%. Because the basket adjustment factor is 99.6%, investors will receive less than par unless the basket gains by at least 0.40161%.

The return is based on the basket return, the ending basket level, and the basket strike level which was 94.8, as of Dec. 16, 2021.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase Financial Co. LLC
Guarantor:	JPMorgan Chase & Co.
Issue:	Return notes
Underlying basket:	Marathon Oil Corp. (Symbol: MRO) with a 5.217902%% weight, United Rentals, Inc. (Symbol: URI) with a 3.775622%% weight, MGM Resorts International (Symbol: MGM) with a 3.628135%% weight, Pioneer Natural Resources Co. (Symbol: PXD) with a 3.620514%% weight, Goldman Sachs Group, Inc. (Symbol: GS) with a 3.608143%% weight, Capital One Financial Corp. (Symbol: COF) with a 3.503126%% weight, T. Rowe Price Group, Inc. (Symbol: TROW) with a 3.348226%% weight, Hess Corp. (Symbol: HES) with a 3.341359%% weight, Bank of New York Mellon Corp. (Symbol: BK) with a 3.309266%% weight, Eaton Corp. plc (Symbol: ETN) with a 3.301459%% weight, United States Steel Corp. (Symbol: X) with a 3.284459%% weight, Principal Financial Group, Inc. (Symbol: PFG) with a 3.220978%% weight, MetLife, Inc. (Symbol: MET) with a 3.162029%% weight, Celanese Corp. (Symbol: CE) with a 2.910382%% weight, Brunswick Corp. (Symbol: BC) with a 2.790121%% weight, M&T Bank Corp. (Symbol: MTB) with a 2.784888%% weight, Ametek, Inc. (Symbol: AME) with a 2.712636%% weight, Affiliated Managers Group, Inc. (Symbol: AMG) with a 2.559843%% weight, Unum Group (Symbol: M) with a 2.497748%% weight, Jefferies Financial Group Inc. (Symbol: JEF) with a 2.495317%% weight, Eastman Chemical Co. (Symbol: EMN) with a 2.487718%% weight, Oshkosh Corp. (Symbol: OSK) with a 2.480681%% weight, LyondellBasell Industries NV (Symbol: LYB) with a 2.36042%% weight, NOV Inc. (Symbol: NOV) with a 2.302039%% weight, KBR, Inc. (Symbol: KBR) with a 1.981152%% weight, ManpowerGroup Inc. (Symbol: MAN) with a 1.839899%% weight, American Equity Investment Life Holding Co. (Symbol: AEL) with a 1.78092%% weight, WEX Inc. (Symbol: WEX) with a 1.684954%% weight, TechnipFMC plc (Symbol: FTI) with a 1.5657%% weight, Timken Co. (Symbol: TKR) with a 1.308221%% weight, Woodward, Inc. (Symbol: WWD) with a 1.254721%% weight, Flowserve Corp. (Symbol: FLS) with a 1.251071%% weight, Nabors Industries Ltd. (Symbol: NBR) with a 1.173005%% weight, Prosperity Bancshares, Inc. (Symbol: PB) with a 1.159083%% weight, Umpqua Holdings Corp. (Symbol: UMPQ) with a 1.145081%% weight, Allegheny Technologies Inc. (Symbol: ATI) with a 1.004906%% weight, Dana Inc. (Symbol: DAN) with a 0.956692%% weight, Trinity Industries, Inc. (Symbol: TRN) with a 0.91421%% weight, CNO Financial Group, Inc. (Symbol: CNO) with a 0.895952%% weight, EnerSys (Symbol: ENS) with a 0.729463%% weight, Patterson-UTI Energy, Inc. (Symbol: PTEN) with a 0.719584%% weight, Vishay Intertechnology, Inc. (Symbol: VSH) with a 0.631771%% weight, Cabot Corp. (Symbol: CBT) with a 0.627155%% weight, American Axle & Manufacturing Holdings, Inc. (Symbol: AXL) with a 0.624935%% weight, Worthington Industries, Inc. (Symbol: WOR) with a 0.575222%% weight, Cadence Bank (formerly BancorpSouth Bank) (Symbol: CADE) with a 0.430441%% weight, Columbia Banking System, Inc. (Symbol: COLB) with a 0.421475%% weight, Century Aluminum Co. (Symbol: CENX) with a 0.417757%% weight and Oil States International, Inc. (Symbol: OIS) with a 0.203619%% weight
Amount:	$1 million
Maturity:	Jan. 25, 2023
Coupon:	0%
Price:	Par
Payout at maturity:	99.6% times the sum of par plus the basket return
Final level:	Average of basket closing levels on five trading days ending Dec. 30, 2022
Initial share prices:	$15.36 for Marathon Oil Corp., $337.47 for United Rentals, Inc., $40.8 for MGM Resorts International, $177.32 for Pioneer Natural Resources Co., $397.37 for Goldman Sachs Group, Inc., $148.02 for Capital One Financial Corp., $190.62 for T. Rowe Price Group, Inc., $89.11 for Hess Corp., $58.42 for Bank of New York Mellon Corp., $168.8 for Eaton Corp. plc, $23.45 for United States Steel Corp., $73.17 for Principal Financial Group, Inc., $61.39 for MetLife, Inc., $163.08 for Celanese Corp., $97.89 for Brunswick Corp., $153.18 for M&T Bank Corp., $143.85 for Ametek, Inc., $164.88 for Affiliated Managers Group, Inc., $24.18 for Unum Group, $38.23 for Jefferies Financial Group Inc., $120.1 for Eastman Chemical Co., $109.23 for Oshkosh Corp., $89.11 for LyondellBasell Industries NV, $13.2 for NOV Inc., $45.36 for KBR, Inc., $94.58 for ManpowerGroup Inc., $36.93 for American Equity Investment Life Holding Co., $126.87 for WEX Inc., $5.89 for TechnipFMC plc, $65.54 for Timken Co., $106.03 for Woodward, Inc., $30.12 for Flowserve Corp., $86.41 for Nabors Industries Ltd., $71.74 for Prosperity Bancshares, Inc., $19.18 for Umpqua Holdings Corp., $15.02 for Allegheny Technologies Inc., $21.66 for Dana Inc., $28.66 for Trinity Industries, Inc., $24.01 for CNO Financial Group, Inc., $73.86 for EnerSys, $8.28 for Patterson-UTI Energy, Inc., $20.24 for Vishay Intertechnology, Inc., $54.99 for Cabot Corp., $9.11 for American Axle & Manufacturing Holdings, Inc., $51.22 for Worthington Industries, Inc., $29.67 for Cadence Bank (formerly BancorpSouth Bank), $32.65 for Columbia Banking System, Inc., $13.42 for Century Aluminum Co. and $4.9 for Oil States International, Inc.
Base date:	Nov. 1, 2021
Strike date:	Dec. 16, 2021
Pricing date:	Dec. 17, 2021
Settlement date:	Dec. 22, 2021
Agent:	J.P. Morgan Securities Inc.
Fees:	1%
Cusip:	48129KBM1

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