May 25, 2022 |
Registration Statement Nos. 333-236659 and 333-236659-01; Rule 424(b)(2) |
JPMorgan Chase Financial Company LLC
Structured Investments
$207,000
Auto Callable Accelerated Barrier Notes Linked to the Lesser
Performing of the Energy Select Sector SPDR® Fund and the Financial Select Sector SPDR® Fund due May 30,
2025
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 the Review Date, the closing price
of one share of each of the Energy Select Sector SPDR® Fund and the Financial Select Sector SPDR® Fund,
which we refer to as the Funds, is at or above its Call Value. |
| · | The date on which an automatic call may be initiated is May 30, 2023. |
| · | The notes are also designed for investors who seek an uncapped return of 1.50 times any appreciation of the lesser performing of the
Funds at maturity, if the notes have not been automatically called. |
| · | Investors should be willing to forgo interest and dividend payments and be willing to lose some or all of their principal amount 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. |
| · | Payments on the notes are not linked to a basket composed of the Funds. Payments on the notes are linked to the performance of each
of the Funds individually, as described below. |
| · | Minimum denominations of $1,000 and integral multiples thereof |
| · | The notes priced on May 25, 2022 and are expected to settle on or about May 31, 2022. |
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-4 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 |
$30 |
$970 |
Total |
$207,000 |
$6,210 |
$200,790 |
(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 $30.00 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
$926.10 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.
Pricing supplement to product supplement no. 4-II dated November
4, 2020, underlying supplement no. 1-II dated November 4, 2020
and the prospectus and prospectus supplement, each dated April 8, 2020
Key Terms
Issuer: JPMorgan
Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan
Chase & Co.
Funds: The
Energy Select Sector SPDR® Fund (Bloomberg ticker: XLE) and the Financial Select Sector SPDR® Fund (Bloomberg
ticker: XLF)
Call Premium Amount:
$250.00 per $1,000 principal amount note
Call Value: With
respect to each Fund, 100.00% of its Initial Value
Upside Leverage Factor: 1.50
Barrier Amount: With
respect to each Fund, 70.00% of its Initial Value, which
is $60.193 for the Energy Select Sector SPDR® Fund and $23.933 for the Financial Select Sector SPDR® Fund
Pricing
Date: May 25, 2022
Original Issue Date (Settlement
Date): On or about May 31, 2022
Review Date*: May
30, 2023
Call Settlement Date*:
June 2, 2023
Observation Date*: May
27, 2025
Maturity Date*: May
30, 2025
* Subject to postponement in the event of a market disruption event and as described
under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple Underlyings” and
“General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement |
Automatic Call:
If the closing price of one share of each Fund on the Review Date is greater than
or equal to its Call Value, 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, payable on the Call Settlement Date. No further payments will be made on the notes.
If the notes are automatically called, you will not benefit from the Upside
Leverage Factor that applies to the payment at maturity if the Final Value of each Fund is greater than its Initial Value. Because
the Upside Leverage Factor 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 Lesser Performing Fund.
Payment at Maturity:
If the notes have not been automatically called and the Final Value of each Fund
is greater than its Initial Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing Fund Return ×
Upside Leverage Factor)
If the notes have not been automatically called and the Final Value of either Fund
is equal to or less than its Initial Value but the Final Value of each Fund is greater than or equal to its Barrier Amount, you will receive
the principal amount of your notes at maturity.
If the notes have not been automatically called and the Final Value of either Fund
is less than its Barrier Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing Fund Return)
If the notes have not been automatically called
and the Final Value of either Fund is less than its Barrier Amount, you will lose more than 30.00% of your principal amount at maturity
and could lose all of your principal amount at maturity.
Lesser Performing Fund:
The Fund with the Lesser Performing Fund Return
Lesser Performing Fund Return:
The lower of the Fund Returns of the Funds
Fund Return: With
respect to each Fund,
(Final Value – Initial Value)
Initial Value
Initial Value: With
respect to each Fund, the closing price of one share of that Fund on the Pricing Date,
which was $85.99 for the Energy Select Sector SPDR® Fund and $34.19 for the Financial Select Sector SPDR®
Fund
Final Value: With
respect to each Fund, the closing price of one share of that Fund on the Observation Date
Share Adjustment Factor:
With respect to each Fund, the Share Adjustment Factor is referenced in determining
the closing price of one share of that Fund and is set equal to 1.0 on the Pricing Date. The Share Adjustment Factor of each Fund is subject
to adjustment upon the occurrence of certain events affecting that Fund. See “The Underlyings — Funds — Anti-Dilution
Adjustments” in the accompanying product supplement for further information. |
PS-1
| Structured Investments
Auto Callable Accelerated Barrier Notes Linked to the Lesser Performing
of the Energy Select Sector SPDR® Fund and the Financial Select Sector SPDR® Fund |
|
Hypothetical Payout
Profile
Payment upon an Automatic Call
Payment at Maturity If the Notes Have Not Been Automatically
Called
Call Premium Amount
The Call Premium Amount per $1,000 principal amount note if the notes
are automatically called is $250.00.
PS-2
| Structured Investments
Auto Callable Accelerated Barrier Notes Linked to the Lesser Performing
of the Energy Select Sector SPDR® Fund and the Financial Select Sector SPDR® Fund |
|
Payment at Maturity If the Notes Have Not Been Automatically
Called
The following table illustrates the hypothetical total return and
payment at maturity on the notes linked to two hypothetical Funds if the notes have not been automatically called. 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. The hypothetical total returns and payments set forth below assume the following:
| · | the notes have not been automatically called; |
| · | an Initial Value for the Lesser Performing Fund of $100.00; |
| · | an Upside Leverage Factor of 1.50; and |
| · | a Barrier Amount for the Lesser Performing Fund of $70.00 (equal to 70.00% of its hypothetical Initial Value). |
The hypothetical Initial Value of the Lesser Performing Fund of
$100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value of either Fund. The actual Initial
Value of each Fund is the closing price of one share of that Fund on the Pricing Date and is specified under “Key Terms —
Initial Value” in this pricing supplement. For historical data regarding the actual closing prices of one share of each Fund, please
see the historical information set forth under “The Funds” in this pricing supplement.
Each hypothetical total return or hypothetical 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 have been rounded for ease of analysis.
Final Value of the Lesser
Performing Fund |
Lesser Performing Fund
Return |
Total Return on the Notes |
Payment at Maturity |
$165.00 |
65.00% |
97.50% |
$1,975.00 |
$150.00 |
50.00% |
75.00% |
$1,750.00 |
$140.00 |
40.00% |
60.00% |
$1,600.00 |
$130.00 |
30.00% |
45.00% |
$1,450.00 |
$120.00 |
20.00% |
30.00% |
$1,300.00 |
$110.00 |
10.00% |
15.00% |
$1,150.00 |
$105.00 |
5.00% |
7.50% |
$1,075.00 |
$101.00 |
1.00% |
1.50% |
$1,015.00 |
$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 |
$69.99 |
-30.01% |
-30.01% |
$699.90 |
$60.00 |
-40.00% |
-40.00% |
$600.00 |
$50.00 |
-50.00% |
-50.00% |
$500.00 |
$40.00 |
-60.00% |
-60.00% |
$400.00 |
$30.00 |
-70.00% |
-70.00% |
$300.00 |
$20.00 |
-80.00% |
-80.00% |
$200.00 |
$10.00 |
-90.00% |
-90.00% |
$100.00 |
$0.00 |
-100.00% |
-100.00% |
$0.00 |
PS-3
| Structured Investments
Auto Callable Accelerated Barrier Notes Linked to the Lesser Performing
of the Energy Select Sector SPDR® Fund and the Financial Select Sector SPDR® Fund |
|
How the Notes Work
Upside Scenario If Automatic Call:
If the closing price of one share of each Fund on the Review Date
is greater than or equal to its Call Value, the notes will be automatically called and investors will receive on the Call Settlement Date
the $1,000 principal amount plus the Call Premium Amount of $250.00. No further payments will be made on the notes.
| · | If the closing price of one share of the Lesser Performing Fund increases 65.00% as of the Review Date, the notes will be automatically
called and investors will receive a 25.00% return, or $1,250.00 per $1,000 principal amount note. |
Upside Scenario If No Automatic Call:
If the notes have not been automatically called and the Final Value
of each Fund is greater than its Initial Value, investors will receive at maturity the $1,000 principal amount plus a return equal
to the Lesser Performing Fund Return times the Upside Leverage Factor of 1.50.
| · | If the notes have not been automatically called and the closing price of one share of the Lesser Performing Fund increases 5.00%,
investors will receive at maturity a 7.50% return, or $1,075.00 per $1,000 principal amount note. |
Par Scenario:
If the notes have not been automatically called and the Final Value
of either Fund is equal to or less than its Initial Value but the Final Value of each Fund is greater than or equal to its Barrier Amount
of 70.00% of its Initial Value, investors will receive at maturity the principal amount of their notes.
Downside Scenario:
If the notes have not been automatically called and the Final Value
of either Fund is less than its Barrier Amount of 70.00% of its Initial Value, investors will lose 1% of the principal amount of their
notes for every 1% that the Final Value of the Lesser Performing Fund is less than its Initial Value.
| · | For example, if the notes have not been automatically called and the closing price
of one share of the Lesser Performing Fund declines 60.00%, investors will lose 60.00% of their principal amount and receive only $400.00
per $1,000 principal amount note at maturity. |
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
| · | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — |
The notes do not guarantee any return of principal. If
the notes have not been automatically called and the Final Value of either Fund is less than its Barrier Amount, you will lose 1% of the
principal amount of your notes for every 1% that the Final Value of the Lesser Performing Fund is less than its Initial Value. Accordingly,
under these circumstances, you will lose more than 30.00% of your principal amount at maturity and could lose all of your principal amount
at maturity.
| · | 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.
PS-4
| Structured Investments
Auto Callable Accelerated Barrier Notes Linked to the Lesser Performing
of the Energy Select Sector SPDR® Fund and the Financial Select Sector SPDR® Fund |
|
| · | 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.
| · | IF THE NOTES ARE AUTOMATICALLY CALLED, THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE CALL
PREMIUM AMOUNT PAID ON THE NOTES, |
regardless of any appreciation of either Fund, which may
be significant. In addition, if the notes are automatically called, you will not benefit from the Upside Leverage Factor that applies
to the payment at maturity if the Final Value of each Fund is greater than its Initial Value. Because the Upside Leverage Factor
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 Lesser Performing Fund.
| · | YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE PRICE OF ONE SHARE OF EACH FUND — |
Payments on the notes are not linked to a basket composed
of the Funds and are contingent upon the performance of each individual Fund. Poor performance by either of the Funds over the term of
the notes may result in the notes not being automatically called on the Review Date, may negatively affect your payment at maturity and
will not be offset or mitigated by positive performance by the other Fund.
| · | YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LESSER PERFORMING FUND. |
| · | THE BENEFIT PROVIDED BY THE BARRIER AMOUNT MAY TERMINATE ON THE OBSERVATION DATE — |
If the Final Value of either Fund is less than its Barrier
Amount and the notes have not been automatically called, the benefit provided by the Barrier Amount will terminate and you will be fully
exposed to any depreciation of the Lesser Performing Fund.
| · | 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 RECEIVE DIVIDENDS ON EITHER FUND OR THE SECURITIES HELD BY EITHER FUND OR HAVE ANY RIGHTS
WITH RESPECT TO EITHER FUND OR THOSE SECURITIES. |
| · | THE RISK OF THE CLOSING PRICE OF ONE SHARE OF A FUND FALLING BELOW ITS BARRIER AMOUNT IS GREATER IF THE
PRICE OF ONE SHARE OF THAT FUND IS VOLATILE. |
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
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.
PS-5
| Structured Investments
Auto Callable Accelerated Barrier Notes Linked to the Lesser Performing
of the Energy Select Sector SPDR® Fund and the Financial Select Sector SPDR® Fund |
|
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 — |
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, 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 the 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.
| · | 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 prices of one share of the Funds. 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 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.
PS-6
| Structured Investments
Auto Callable Accelerated Barrier Notes Linked to the Lesser Performing
of the Energy Select Sector SPDR® Fund and the Financial Select Sector SPDR® Fund |
|
Risks Relating to the Funds
| · | JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE FINANCIAL SELECT SECTOR SPDR® FUND AND
ITS UNDERLYING INDEX, |
but JPMorgan Chase & Co. will not have any obligation
to consider your interests in taking any corporate action that might affect the price of the Financial Select Sector SPDR®
Fund or the level of its Underlying Index (as defined under “The Funds” below).
| · | THERE ARE RISKS ASSOCIATED WITH THE FUNDS — |
The Funds are subject to management risk, which is the risk
that the investment strategies of the applicable Fund’s investment adviser, the implementation of which is subject to a number of
constraints, may not produce the intended results. These constraints could adversely affect the market prices of the shares of the Funds
and, consequently, the value of the notes.
| · | THE PERFORMANCE AND MARKET VALUE OF EACH FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE
OF THAT FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE — |
Each Fund does not fully replicate its Underlying Index
(as defined under “The Funds” below) and may hold securities different from those included in its Underlying Index. In addition,
the performance of each Fund will reflect additional transaction costs and fees that are not included in the calculation of its Underlying
Index. All of these factors may lead to a lack of correlation between the performance of each Fund and its Underlying Index. In addition,
corporate actions with respect to the equity securities underlying a Fund (such as mergers and spin-offs) may impact the variance between
the performances of that Fund and its Underlying Index. Finally, because the shares of each Fund are traded on a securities exchange and
are subject to market supply and investor demand, the market value of one share of each Fund may differ from the net asset value per share
of that Fund.
During periods of market volatility, securities underlying
each Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately the net asset value per
share of that Fund and the liquidity of that Fund may be adversely affected. This kind of market volatility may also disrupt the ability
of market participants to create and redeem shares of a Fund. Further, market volatility may adversely affect, sometimes materially, the
prices at which market participants are willing to buy and sell shares of a Fund. As a result, under these circumstances, the market value
of shares of a Fund may vary substantially from the net asset value per share of that Fund. For all of the foregoing reasons, the performance
of each Fund may not correlate with the performance of its Underlying Index as well as the net asset value per share of that Fund, which
could materially and adversely affect the value of the notes in the secondary market and/or reduce any payment on the notes.
| · | RISKS ASSOCIATED WITH THE ENERGY SECTOR WITH RESPECT TO THE ENERGY SELECT SECTOR SPDR® FUND — |
All or substantially all of the equity securities held by
the Energy Select Sector SPDR® Fund are issued by companies whose primary line of business is directly associated with
the energy sector. As a result, the value of the notes may be subject to greater volatility and be more adversely affected by a single
economic, political or regulatory occurrence affecting this sector than a different investment linked to securities of a more broadly
diversified group of issuers. Issuers in energy-related industries can be significantly affected by fluctuations in energy prices and
supply and demand of energy fuels. Markets for various energy-related commodities can have significant volatility, and are subject to
control or manipulation by large producers or purchasers. Companies in the energy sector may need to make substantial expenditures, and
to incur significant amounts of debt, in order to maintain or expand their reserves. Oil and gas exploration and production can be significantly
affected by natural disasters as well as changes in exchange rates, interest rates, government regulation, world events and economic conditions.
These companies may be at risk for environmental damage claims. These factors could affect the energy sector and could affect the value
of the equity securities held by the Energy Select Sector SPDR® Fund and the price of the Energy Select Sector SPDR®
Fund during the term of the notes, which may adversely affect the value of your notes.
| · | RISKS ASSOCIATED WITH THE FINANCIAL SECTOR WITH RESPECT TO THE FINANCIAL SELECT SECTOR SPDR® FUND — |
All or substantially all of the equity securities held by
the Financial Select Sector SPDR® Fund are issued by companies whose primary line of business is directly associated with
the financial sector. As a result, the value of the notes may be subject to greater volatility and be more adversely affected by
a single economic, political or regulatory occurrence affecting this sector than a different investment linked to securities of a more
broadly diversified group of issuers. Financial services companies are subject to extensive government regulation, which may
limit both the amounts and types of loans and other financial commitments they can make, the interest rates and fees they can charge,
the scope of their activities, the prices they can charge and the amount of capital they must maintain. Profitability is largely
dependent on the availability and cost of capital funds and can fluctuate
PS-7
| Structured Investments
Auto Callable Accelerated Barrier Notes Linked to the Lesser Performing
of the Energy Select Sector SPDR® Fund and the Financial Select Sector SPDR® Fund |
|
significantly when interest rates change or due to increased
competition. In addition, deterioration of the credit markets generally may cause an adverse impact in a broad range of markets,
including U.S. and international credit and interbank money markets generally, thereby affecting a wide range of financial institutions
and markets. Certain events in the financial sector may cause an unusually high degree of volatility in the financial markets, both
domestic and foreign, and cause certain financial services companies to incur large losses. Securities of financial services companies
may experience a dramatic decline in value when these companies experience substantial declines in the valuations of their assets, take
action to raise capital (such as the issuance of debt or equity securities) or cease operations. Credit losses resulting from financial
difficulties of borrowers and financial losses associated with investment activities can negatively impact the financial sector. Insurance
companies may be subject to severe price competition. Adverse economic, business or political developments could adversely affect
financial institutions engaged in mortgage finance or other lending or investing activities directly or indirectly connected to the value
of real estate. These factors could affect the financial sector and could affect the value of the equity securities held by the Financial
Select Sector SPDR® Fund and the price of the Financial Select Sector SPDR® Fund during the term of the
notes, which may adversely affect the value of your notes.
| · | THE ANTI-DILUTION PROTECTION FOR THE FUNDS IS LIMITED — |
The calculation agent will make adjustments to the Share
Adjustment Factor for each Fund for certain events affecting the shares of that Fund. However, the calculation agent will not make an
adjustment in response to all events that could affect the shares of the Funds. If an event occurs that does not require the calculation
agent to make an adjustment, the value of the notes may be materially and adversely affected.
PS-8
| Structured Investments
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of the Energy Select Sector SPDR® Fund and the Financial Select Sector SPDR® Fund |
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The Energy Select Sector SPDR® Fund is an exchange-traded
fund of the Select Sector SPDR® Trust, a registered investment company, that seeks to provide investment results that,
before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Energy
Select Sector Index, which we refer to as the Underlying Index with respect to the Energy Select Sector SPDR® Fund. The
Energy Select Sector Index is a modified market capitalization-based index that measures the performance of the GICS® energy
sector of the S&P 500® Index, which currently includes companies in the following industries: energy equipment and
services; and oil, gas and consumable fuels. For additional information about the Energy Select Sector SPDR® Fund, see
“Fund Descriptions — The Select Sector SPDR® Funds” in the accompanying underlying supplement.
The Financial Select Sector SPDR® Fund is an exchange-traded
fund of the Select Sector SPDR® Trust, a registered investment company, that seeks to provide investment results that,
before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Financial
Select Sector Index, which we refer to as the Underlying Index with respect to the Financial Select Sector SPDR® Fund.
The Financial Select Sector Index is a modified market capitalization-based index that measures the performance of the GICS®
financial sector of the S&P 500® Index, which currently includes companies in the following industries: banks; thrifts
& mortgage finance; diversified financial services; consumer finance; capital markets; mortgage real estate investment trusts (“REITs”);
and insurance. For additional information about the Financial Select Sector SPDR® Fund, see “Fund Descriptions
— The Select Sector SPDR® Funds” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical performance of each
Fund based on the weekly historical closing prices of one share of each Fund from January 6, 2017 through May 20, 2022. The closing price
of one share of the Energy Select Sector SPDR® Fund on May 25, 2022 was $85.99. The closing price of one share of the Financial
Select Sector SPDR® Fund on May 25, 2022 was $34.19. We obtained the closing prices above and below from the Bloomberg
Professional® service (“Bloomberg”), without independent verification. The closing prices above and below may
have been adjusted by Bloomberg for actions taken by the Funds, such as stock splits.
The historical closing prices of one share of each Fund should
not be taken as an indication of future performance, and no assurance can be given as to the closing price of one share of either Fund
on the Review Date or the Observation Date. There can be no assurance that the performance of the Funds will result in the return of any
of your principal amount.
PS-9
| Structured Investments
Auto Callable Accelerated Barrier Notes Linked to the Lesser Performing
of the Energy Select Sector SPDR® Fund and the Financial Select Sector SPDR® Fund |
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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, Davis Polk & Wardwell 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, subject to the possible application of the “constructive ownership” rules, 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. The notes could be treated as "constructive ownership transactions" within the meaning
of Section 1260 of the Code, in which case any gain recognized in respect of the notes that would otherwise be long-term capital gain
and that was in excess of the “net underlying long-term capital gain” (as defined in Section 1260) would be treated as ordinary
income, and a notional interest charge would apply as if that income had accrued for tax purposes at a constant yield over your holding
period for the notes. Our special tax counsel has not expressed an opinion with respect to whether the constructive ownership rules apply
to the notes. Accordingly, U.S. Holders should consult their tax advisers regarding the potential application of the constructive ownership
rules.
The IRS or a court may not respect the treatment of the notes
described above, in which case the timing and character of any income or loss on your 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 described above.
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 the potential application of the constructive ownership rules, 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. Additionally,
a recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January
PS-10
| Structured Investments
Auto Callable Accelerated Barrier Notes Linked to the Lesser Performing
of the Energy Select Sector SPDR® Fund and the Financial Select Sector SPDR® Fund |
|
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.
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.
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 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. 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 and
our internal secondary market funding rates
PS-11
| Structured Investments
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of the Energy Select Sector SPDR® Fund and the Financial Select Sector SPDR® Fund |
|
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 “Hypothetical Payout Profile” and “How the Notes
Work” in this pricing supplement for an illustration of the risk-return profile of the notes and “The Funds” 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.
Supplemental Information
About the Form of the Notes
The notes will initially be represented by a type of global security
that we refer to as a master note. A master note represents multiple securities that may be issued at different times and that may
have different terms. The trustee and/or paying agent will, in accordance with instructions from us, make appropriate entries or
notations in its records relating to the master note representing the notes to indicate that the master note evidences the notes.
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 (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 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 May 6, 2022,
which was filed as an exhibit to a Current Report on Form 8-K by JPMorgan Chase & Co. on May 6, 2022.
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
PS-12
| Structured Investments
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of the Energy Select Sector SPDR® Fund and the Financial Select Sector SPDR® Fund |
|
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.
PS-13
| Structured Investments
Auto Callable Accelerated Barrier Notes Linked to the Lesser Performing
of the Energy Select Sector SPDR® Fund and the Financial Select Sector SPDR® Fund |
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