$16,571,000 Auto Callable Contingent Interest Notes Linked to the ARK Innovation ETF due August 26, 2022, priced on February 23, 2021, were issued by JPMorgan Chase Financial Company LLC. The pricing supplement for this note (CUSIP: 48132RC40) can be found here. The notes had a $1,000 face value and paid a monthly coupon of $11.25, so long as the notes had not been called and and ARK Innovation ETF all closed above 60% of their February 23, 2021 closing prices on a determination date. If and ARK Innovation ETF closed below 60% of their February 23, 2021 closing prices on a determination date, the notes did not pay a coupon. If not previously called, at maturity, the notes returned $1,000 in principal if and ARK Innovation ETF all closed on the final determination date on August 23, 2022 and above 60% of their February 23, 2021 closing prices. If on August 23, 2022 and ARK Innovation ETF closed below 60% of their February 23, 2021 closing prices, the notes paid reduced principal euqal to $1,000 multiplied by the lowest ratio of and ARK Innovation ETF August 23, 2022 closing prices to their February 23, 2021 closing prices. The notes have matured. They paid two coupons totaling $112.50 and $311.92 repayment per $1,000 note. Investors thus suffered capital losses of $688.08 and net losses of $575.58.† In the aggregate, investors in this note suffered $11,402,097 in capital losses and $9,537,860 in net losses. See Table 1 and Figure 1.
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