$13,609,000 Auto Callable Yield Notes Linked to the Least Performing of the S&P 500 Index, the Dow Jones Industrial Average TM and the ARK Innovation ETF due March 27, 2023, priced on December 22, 2021, were issued by JPMorgan Chase Financial Company LLC. The pricing supplement for this note (CUSIP: 48132Y3D5) can be found here. The notes had a $1,000 face value and paid a fixed coupon of $23.125 monthly so long as the notes had not been called. If not previously called, at maturity, the notes returned $1,000 in principal if Dow Jones Industrial Average Index, S&P 500 Index and ARK Innovation ETF all closed on the final determination date on March 22, 2023 and above 0% of their December 22, 2021 closing prices. If on March 22, 2023 Dow Jones Industrial Average Index, S&P 500 Index and ARK Innovation ETF closed below 0% of their December 22, 2021 closing prices, the notes paid reduced principal euqal to $1,000 multiplied by the lowest ratio of Dow Jones Industrial Average Index, S&P 500 Index and ARK Innovation ETF March 22, 2023 closing prices to their December 22, 2021 closing prices. The notes have matured. They paid three coupons totaling $346.875 and $384.29 repayment per $1,000 note. Investors thus suffered capital losses of $615.71 and net losses of $268.84.† In the aggregate, investors in this note suffered $8,379,244 in capital losses and $3,658,622 in net losses. See Table 1 and Figure 1.
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