Key Terms
Issuer: |
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co. |
Guarantor: |
JPMorgan Chase & Co. |
Index: |
The S&P 500® Index (Bloomberg ticker: SPX) |
Automatic Call: |
On the Review Date, if the closing level of the Index is greater than or equal to the Index Strike Level, the notes will be automatically called for a cash payment plus a call premium amount per note that will be payable on the Call Settlement Date. |
Payment if Called: |
If the notes are automatically called, on the Call Settlement Date you will receive one payment of $1,000 plus a call premium amount equal to 11.65%. |
Payment at Maturity: |
If the notes have not been automatically called and the Ending Index Level is equal to or greater than the Contingent Buffer Amount, at maturity you will receive a cash payment that provides you with a return per $1,000 principal amount note equal to the Index Return, subject to the Contingent Minimum Return. Accordingly, under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows: |
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$1,000 + ($1,000 × the greater of (i) the Contingent Minimum Return and (ii) the Index Return) |
|
If the notes have not been automatically called and the Ending Index Level is less than the Contingent Buffer Amount, at maturity you will lose 1% of the principal amount of your notes for every 1% that the Ending Index Level is less than the Contingent Buffer Amount. Under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows: |
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$1,000 + ($1,000 × Index Return) |
|
If the notes have not been automatically called and the Ending Index Level is less than the Contingent Buffer Amount of 15.00%, you will lose more than 15.00% of your principal amount at maturity and may lose all of your principal amount at maturity. |
Contingent Minimum Return: |
23.30% |
Contingent Buffer Amount: |
15.00% |
Index Return: |
(Ending Index Level – Index Strike Level)
Index Strike Level |
Index Strike Level: |
3,941.48, the closing level of the Index on the Strike Date. The Index Strike Level is not determined by reference to the closing level of the Index on the Pricing Date. |
Ending Index Level: |
The arithmetic average of the closing levels of the Index on the Ending Averaging Dates |
Strike Date: |
May 24, 2022 |
Pricing Date: |
May 25, 2022 |
Original Issue Date: |
On or about May 31, 2022 (Settlement Date) |
Review Date*: |
June 6, 2023 |
Call Settlement Date*: |
June 9, 2023 |
Ending Averaging Dates*: |
May 20, 2024, May 21, 2024, May 22, 2024, May 23, 2024 and May 24, 2024 |
Maturity Date*: |
May 30, 2024 |
CUSIP: |
48133GMU4 |
| * | Subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes —
Postponement of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single Underlying (Other Than
a Commodity Index)” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product
supplement |
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-5 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 |
$1,000.00 |
$15.00 |
$985.00 |
Total |
$3,500,000.00 |
$52,500.00 |
$3,447,500.00 |
| (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 $15.00 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 $971.90
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.
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):
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.
| |
JPMorgan Structured Investments — | PS- 1 |
Auto Callable Contingent Buffered Equity Notes Linked to the S&P 500® Index | |
What Is the Total Return on the Notes at Maturity,
Assuming a Range of Performances for the Index?
The following table and examples illustrate the hypothetical total
return and the hypothetical payment at maturity on the notes. The “total return” as used in this pricing supplement is the
number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount note to $1,000. Each
hypothetical total return or payment at maturity set forth below assumes an Index Strike Level of 3,900 and reflects the call premium
of 11.65%, the Contingent Minimum Return of 23.30% and the Contingent Buffer Amount of 15.00%. Each hypothetical total return or payment
at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable
to a purchaser of the notes. The numbers appearing in the following table and in the examples below have been rounded for ease of analysis.
Review Date |
The notes are not automatically called. |
Closing Level of
the Index on the
Review Date |
Appreciation/
Depreciation of
Index on
Review Date |
Total Return
on Call
Settlement
Date |
Ending Index
Level |
Index
Return |
Total Return |
6,240.00 |
60.00% |
11.65% |
6,240.00 |
60.00% |
60.00% |
5,850.00 |
50.00% |
11.65% |
5,850.00 |
50.00% |
50.00% |
5,460.00 |
40.00% |
11.65% |
5,460.00 |
40.00% |
40.00% |
5,070.00 |
30.00% |
11.65% |
5,070.00 |
30.00% |
30.00% |
4,808.70 |
23.30% |
11.65% |
4,808.70 |
23.30% |
23.30% |
4,680.00 |
20.00% |
11.65% |
4,680.00 |
20.00% |
23.30% |
4,290.00 |
10.00% |
11.65% |
4,290.00 |
10.00% |
23.30% |
4,095.00 |
5.00% |
11.65% |
4,095.00 |
5.00% |
23.30% |
3,997.50 |
2.50% |
11.65% |
3,997.50 |
2.50% |
23.30% |
3,900.00 |
0.00% |
11.65% |
3,900.00 |
0.00% |
23.30% |
3,802.50 |
-2.50% |
N/A |
3,802.50 |
-2.50% |
23.30% |
3,705.00 |
-5.00% |
N/A |
3,705.00 |
-5.00% |
23.30% |
3,510.00 |
-10.00% |
N/A |
3,510.00 |
-10.00% |
23.30% |
3,315.00 |
-15.00% |
N/A |
3,315.00 |
-15.00% |
23.30% |
3,314.61 |
-15.01% |
N/A |
3,314.61 |
-15.01% |
-15.01% |
3,120.00 |
-20.00% |
N/A |
3,120.00 |
-20.00% |
-20.00% |
2,730.00 |
-30.00% |
N/A |
2,730.00 |
-30.00% |
-30.00% |
2,340.00 |
-40.00% |
N/A |
2,340.00 |
-40.00% |
-40.00% |
1,950.00 |
-50.00% |
N/A |
1,950.00 |
-50.00% |
-50.00% |
1,560.00 |
-60.00% |
N/A |
1,560.00 |
-60.00% |
-60.00% |
1,170.00 |
-70.00% |
N/A |
1,170.00 |
-70.00% |
-70.00% |
780.00 |
-80.00% |
N/A |
780.00 |
-80.00% |
-80.00% |
390.00 |
-90.00% |
N/A |
390.00 |
-90.00% |
-90.00% |
0.00 |
-100.00% |
N/A |
0.00 |
-100.00% |
-100.00% |
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| |
JPMorgan Structured Investments — | PS- 2 |
Auto Callable Contingent Buffered Equity Notes Linked to the S&P 500® Index | |
Hypothetical Examples of Amount Payable at Maturity
The following examples illustrate how the total payment at maturity
in different hypothetical scenarios is calculated.
Example 1: On the Review Date, the level of the Index increases
from the Index Strike Level of 3,900.00 to a closing level of 3,997.50. The notes are automatically called.
Because the closing level of the Index on the Review Date is greater
than the Index Strike Level of 3,900.00, the notes are automatically called and the investor receives a payment on the Call Settlement
Date of $1,116.50 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × 11.65%) = $1,116.50
Example 2: The notes are not automatically called on the Review
Date, and the level of the Index increases from the Index Strike Level of 3,900.00 to an Ending Index Level of 3,997.50.
Because the Ending Index Level of 3,997.50 is greater than the Index
Strike Level of 3,900.00 and the Index Return of 2.50% is less than the Contingent Minimum Return of 23.30%, the investor receives a payment
at maturity of $1,233.00 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × 23.30%) = $1,233.00
Example 3: The notes are not automatically called on the Review
Date, and the level of the Index decreases from the Index Strike Level of 3,900.00 to an Ending Index Level of 3,315.00.
Although the Index Return is negative, because the Ending Index
Level of 3,315.00 is less than the Index Strike Level of 3,900.00 by up to the Contingent Buffer Amount of 15.00%, the investor receives
a payment at maturity of $1,233.00 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × 23.30%) = $1,233.00
Example 4: The notes are not automatically called on the Review
Date, and the level of the Index increases from the Index Strike Level of 3,900.00 to an Ending Index Level of 5,070.00.
Because the Ending Index Level of 5,070.00 is greater than the Index
Strike Level of 3,900.00 and the Index Return is 30.00%, which is greater than the Contingent Minimum Return of 23.30%, the investor receives
a payment at maturity of $1,300.00 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × 30.00%) = $1,300.00
Example 5: The level of the Index decreases from the Index Strike
Level of 3,900.00 to an Ending Index Level of 1,950.00.
Because the Ending Index Level of 1,950.00 is less than the Index
Strike Level of 3,900.00 by more than the Contingent Buffer Amount of 15.00% and the Index Return is -50.00%, the investor receives a
payment at maturity of $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
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.
| |
JPMorgan Structured Investments — | PS- 3 |
Auto Callable Contingent Buffered Equity Notes Linked to the S&P 500® Index | |
Selected Purchase Considerations
| · | APPRECIATION POTENTIAL —
If the closing level of the Index is greater than or equal to the Index Strike Level on the Review Date, your investment will yield a
payment per $1,000 principal amount note of $1,000 plus a call premium of 11.65%. |
If the notes are not automatically called, the notes provide the opportunity
to earn an uncapped, unleveraged return equal to any positive Index Return, subject to the Contingent Minimum Return. If the Ending Index
Level is greater than or equal to the Contingent Buffer Amount, in addition to the principal amount, you will receive at maturity at least
the Contingent Minimum Return of 23.30% for a minimum payment at maturity of $1,233.00 for every $1,000 principal amount note. The notes
are not subject to a predetermined maximum gain and, accordingly, any return at maturity will be determined based on the movement of the
level of the Index. Because the notes are our unsecured and unsubordinated obligations, the payment of which is fully and unconditionally
guaranteed by JPMorgan Chase & Co., payment of any amount on the notes is subject to our ability to pay our obligations as they become
due and JPMorgan Chase & Co.’s ability to pay its obligations as they become due.
| · | POTENTIAL EARLY EXIT WITH APPRECIATION
AS A RESULT OF AUTOMATIC CALL FEATURE — While the original term of the notes is approximately two years, the notes will be automatically
called before maturity if the closing level of the Index on the Review Date is greater than or equal to the Index Strike Level, and you
will be entitled to a call premium of 11.65%. Even in the case 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. |
| · | LOSS OF PRINCIPAL BEYOND CONTINGENT
BUFFER AMOUNT — If the notes are not automatically called, we will pay you the Contingent Minimum Return if the Ending Index
Level is equal to or greater than the Contingent Buffer Amount of 15.00%. If the Ending Index Level is less than the Index Strike Level
by more than the Contingent Buffer Amount, for every 1% that the Ending Index Level is less than the Index Strike Level, you will lose
an amount equal to 1% of the principal amount of your notes. Under these circumstances, you will lose more than 15.00% of your principal
amount at maturity and may lose all of your principal amount at maturity. |
| · | RETURN LINKED TO THE S&P 500®
INDEX — The return on the notes is linked to the S&P 500® Index. The S&P 500® Index consists
of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For additional information about the
S&P 500® Index, see “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying underlying
supplement. |
| · | TAX TREATMENT — You should
review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement
no. 4-II. The following discussion, when read in combination with that section, constitutes the full opinion of our special tax counsel,
Latham & Watkins LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes. |
Based on current market conditions, in the opinion of our special tax
counsel it is reasonable to treat the notes as “open transactions” that are not debt instruments for U.S. federal income tax
purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders —
Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement. Assuming this treatment
is respected, the gain or loss on your notes should be treated as long-term capital gain or loss if you hold your notes for more than
a year, whether or not you are an initial purchaser of notes at the issue price. However, the IRS or a court may not respect this treatment,
in which case the timing and character of any income or loss on the notes could be materially and adversely 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 topics, including the character of income or loss with respect
to these instruments; the relevance of factors such as the nature of the underlying property to which the instruments are linked; the
degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax;
and whether these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate
to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. 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 and adversely affect the tax consequences of an investment in the notes, possibly with retroactive effect. 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 this notice.
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 (such an index, a “Qualified Index”). 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.
| |
JPMorgan Structured Investments — | PS- 4 |
Auto Callable Contingent Buffered Equity Notes Linked to the S&P 500® Index | |
Withholding under legislation commonly referred to as “FATCA”
may (if the notes are recharacterized as debt instruments) apply to amounts treated as interest paid with respect to the notes, as well
as to payments of gross proceeds of a taxable disposition, including redemption at maturity, of a note, although under recently proposed
regulations (the preamble to which specifies that taxpayers are permitted to rely on them pending finalization), no withholding will apply
to payments of gross proceeds (other than any amount treated as interest). You should consult your tax adviser regarding the potential
application of FATCA to the notes.
Selected Risk Considerations
An investment in the notes involves significant risks. Investing
in the notes is not equivalent to investing directly in the Index or any of the component securities of the Index. These risks are explained
in more detail in the “Risk Factors” sections of the accompanying prospectus supplement, the accompanying product supplement
and the accompanying underlying supplement.
Risks Relating to the Notes Generally
| · | YOUR INVESTMENT IN THE NOTES MAY RESULT
IN A LOSS — The notes do not guarantee any return of principal. The return on the notes at maturity is linked to the performance
of the Index and will depend on whether, and the extent to which, the Index Return is positive or negative. If the Ending Index Level
is less than the Contingent Buffer Amount of 15.00%, you will lose 1% of the principal amount of your notes for every 1% that the Ending
Index Level is less than the Index Strike Level. Accordingly, under these circumstances, you will lose more than 15.00% of your principal
amount at maturity and may lose all of your principal amount at maturity. |
·
YOUR ABILITY TO RECEIVE THE CONTINGENT MINIMUM RETURN MAY TERMINATE
ON THE FINAL ENDING AVERAGING DATE — If the Ending Index Level is equal to or less than the Contingent Buffer Amount, you will
not be entitled to receive the Contingent Minimum Return at maturity. Under these circumstances, if the Ending Index Level is less than
the Contingent Buffer Amount, you will lose more than 15.00% of your principal amount at maturity and may lose all of your principal amount
at maturity.
| · | CREDIT RISKS OF JPMORGAN FINANCIAL
AND JPMORGAN CHASE & CO. — The notes are subject to our and JPMorgan Chase & Co.’s credit risks, and our and JPMorgan
Chase & Co.’s credit ratings and credit spreads may adversely affect the market value of the notes. 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. |
| · | REINVESTMENT RISK — 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 in the event
the notes are automatically called prior to the Maturity Date. |
| · | THE BENEFIT
PROVIDED BY THE CONTINGENT BUFFER AMOUNT MAY TERMINATE ON THE FINAL ENDING AVERAGING DATE — If the Ending Index Level is less
than the Contingent Buffer Amount, the benefit provided by the Contingent Buffer Amount will terminate and you will be fully exposed to
any depreciation of the Index from the Index Strike Level to the Ending Index Level. |
| · | NO INTEREST OR DIVIDEND PAYMENTS OR
VOTING RIGHTS — As a holder of the notes, you will not receive interest payments, and you will not have voting rights or rights
to receive cash dividends or other distributions or other rights that holders of the securities included in the Index would have. |
| · | AS A FINANCE SUBSIDIARY, JPMORGAN
FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS — 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. |
| · | VOLATILITY RISK — Greater
expected volatility with respect to the Index indicates a greater likelihood as of the Strike Date and the Pricing Date that the Ending
Index Level could be less than the Contingent Buffer Amount. The Index’s volatility, however, can change significantly over
the term of the notes. The Index closing level could fall sharply during the term of the notes, which could result in your losing
some or all of your principal amount at maturity. |
| · | LACK OF LIQUIDITY — The
notes will not be listed on any securities exchange. JPMS intends to offer to purchase the notes in the secondary market but is not required
to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the notes easily. Because
other dealers are not likely to make a secondary market for the notes, 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. |
Risks Relating to Conflicts of Interest
| · | POTENTIAL CONFLICTS — We
and our affiliates play a variety of roles in connection with the issuance of the notes, including acting as calculation agent and as
an agent of the offering of the notes, hedging our obligations under the notes and making the assumptions used to determine the pricing
of the notes and the estimated value of the notes |
| |
JPMorgan Structured Investments — | PS- 5 |
Auto Callable Contingent Buffered Equity Notes Linked to the S&P 500® Index | |
when the terms of the notes are set, which we refer to as the estimated
value of the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests and the economic interests
of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the notes. In addition,
our and JPMorgan Chase & Co.’s business activities, including hedging and trading activities, could cause our and JPMorgan Chase
& Co.’s economic interests to be adverse to yours and could adversely affect any payment on the notes and the value of 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 for additional information about these risks.
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 and the estimated cost of hedging our obligations under the notes. 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 — The estimated value of the notes is determined
by reference to internal pricing models of our affiliates when the terms of the notes are set. This estimated value of the notes is based
on market conditions and other relevant factors existing at that time and assumptions about market parameters, which can include volatility,
dividend rates, interest rates and other factors. 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.
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. 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.
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, 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 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. See the immediately following risk
consideration for information about additional factors that will impact any secondary market prices of the 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. See “—
Lack of Liquidity” below.
| · | 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 price of the
| |
JPMorgan Structured Investments — | PS- 6 |
Auto Callable Contingent Buffered Equity Notes Linked to the S&P 500® Index | |
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 INDEX — JPMorgan Chase & Co. is currently one of the
companies that make up the Index, but JPMorgan Chase & Co. will have no obligation to consider your interests as a holder of the notes
in taking any corporate action that might affect the value of the Index. |
Historical Information
The following graph sets forth the historical performance of the Index based
on the weekly historical closing levels of the Index from January 6, 2017 through May 20, 2022. The closing level of the Index on May
25, 2022 was 3,978.73.
We obtained the closing levels of the Index above and below from
the Bloomberg Professional® service (“Bloomberg”), without independent verification. The historical 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 Ending Averaging Date. There can be no assurance that the performance of the Index will result in the return of any of your
principal amount.
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. See “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes — The Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ from
Others’ Estimates” in this pricing supplement.
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. We or one or more of
our affiliates will retain any profits realized in hedging our obligations under the notes. See “Selected Risk
| |
JPMorgan Structured Investments — | PS- 7 |
Auto Callable Contingent Buffered Equity Notes Linked to the S&P 500® Index | |
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 “What Is the Total Return on the Notes at Maturity,
Assuming a Range of Performances for the Index?” and “Hypothetical Examples of Amount Payable at Maturity” in this pricing
supplement for an illustration of the risk-return profile of the notes and “Selected Purchase Considerations — Return Linked
to the S&P 500® 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 Latham & Watkins LLP, as special product 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 special product 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 & 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.
| |
JPMorgan Structured Investments — | PS- 8 |
Auto Callable Contingent Buffered Equity Notes Linked to the S&P 500® Index | |
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