July 1, 2022 |
Registration Statement Nos. 333-236659 and 333-236659-01; Rule 424(b)(2) |
JPMorgan Chase Financial Company LLC
Structured Investments
$333,000
Capped Dual Directional Buffered Return Enhanced Notes Linked to
the Least Performing of the iShares® Russell 2000 Value ETF, the NASDAQ-100 Index® and the S&P 500®
Index due October 5, 2023
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
| · | The notes are designed for investors who seek a capped return of 1.50 times any appreciation (with a Maximum Upside Return of 17.25%),
or a capped, unleveraged return equal to the absolute value of any depreciation (up to the Buffer Amount of 15.00%), of the least performing
of the iShares® Russell 2000 Value ETF, the NASDAQ-100 Index® and the S&P 500® Index,
which we refer to as the Underlyings, at maturity. |
| · | Investors should be willing to forgo interest and dividend payments and be willing to lose up to 85.00% 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 Underlyings. Payments on the notes are linked to the performance
of each of the Underlyings individually, as described below. |
| · | Minimum denominations of $1,000 and integral multiples thereof |
| · | The notes priced on July 1, 2022 and are expected to settle on or about July 7, 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 |
$22.25 |
$977.75 |
Total |
$333,000 |
$7,409.25 |
$325,590.75 |
(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 it of $22.25 per $1,000 principal amount note 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 $960.40
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.
Underlyings: The iShares® Russell
2000 Value ETF (Bloomberg ticker: IWN) (the “Fund”) and the NASDAQ-100 Index® (Bloomberg ticker: NDX) and the
S&P 500® Index (Bloomberg ticker: SPX) (each of the NASDAQ-100 Index® and the S&P 500®
Index, an “Index” and collectively, the “Indices”) (each of the Fund and the Indices, an “Underlying”
and collectively, the “Underlyings”)
Maximum
Upside Return: 17.25% (corresponding to a maximum payment at maturity if the Least Performing
Index Return is positive of $1,172.50 per $1,000 principal amount note)
Upside
Leverage Factor: 1.50
Buffer Amount:
15.00%
Pricing Date:
July 1, 2022
Original
Issue Date (Settlement Date): On or about July 7, 2022
Observation
Date*: October 2, 2023
Maturity Date*:
October 5, 2023
* 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 |
Payment at Maturity:
If the Final Value of each Underlying 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 × Least Performing Underlying Return ×
Upside Leverage Factor), subject to the Maximum Upside Return
If (i) the Final Value of one or more Underlyings is greater than its Initial Value
and the Final Value of the other Underlying or Underlyings is equal to its Initial Value or is less than its Initial Value by up to the
Buffer Amount or (ii) the Final Value of each Underlying is equal to its Initial Value or is less than its Initial Value by up to the
Buffer Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Absolute Underlying Return of the Least
Performing Underlying)
This payout formula results in an effective cap of 15.00% on your return at maturity
if the Least Performing Underlying Return is negative. Under these limited circumstances, your maximum payment at maturity is $1,150.00
per $1,000 principal amount note.
If the Final Value of any Underlying is less than its Initial Value by more than
the Buffer Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + [$1,000 × (Least Performing Underlying Return
+ Buffer Amount)]
If the Final Value of any Underlying is less than its Initial Value by more than
the Buffer Amount, you will lose some or most of your principal amount at maturity.
Absolute Underlying
Return: With respect to each Underlying, the absolute value of its Underlying Return. For example, if the Underlying Return
of an Underlying is -5%, its Absolute Underlying Return will equal 5%.
Least Performing Underlying: The
Underlying with the Least Performing Underlying Return
Least Performing Underlying Return: The
lowest of the Underlying Returns of the Underlyings
Underlying Return:
With respect to each Underlying,
(Final Value – Initial Value)
Initial Value
Initial
Value: With respect to each Underlying, the closing value of that Underlying on the Pricing
Date, which was $138.12 for the Fund, 11,585.68 for the NASDAQ-100 Index® and 3,825.33 for the S&P 500® Index
Final
Value: With respect to each Underlying, the closing value of that Underlying on the Observation
Date
Share Adjustment Factor: The Share Adjustment
Factor is referenced in determining the closing value of the Fund and is set equal to 1.0 on the Pricing Date. The Share Adjustment Factor
is subject to adjustment upon the occurrence of certain events affecting the Fund. See “The Underlyings — Funds — Anti-Dilution
Adjustments” in the accompanying product supplement for further information. |
PS-1
| Structured Investments
Capped Dual Directional Buffered Return Enhanced Notes Linked to the Least
Performing of the iShares® Russell 2000 Value ETF, the NASDAQ-100 Index® and the S&P 500®
Index |
|
Hypothetical Payout Profile
The following table and graph illustrate the hypothetical total
return and payment at maturity on the notes linked to three hypothetical Underlyings. 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:
| · | an Initial Value for the Least Performing Underlying of 100.00; |
| · | a Maximum Upside Return of 17.25%; |
| · | an Upside Leverage Factor of 1.50; and |
| · | a Buffer Amount of 15.00%. |
The hypothetical Initial
Value of the Least Performing Underlying of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial
Value of any Underlying. The actual Initial Value of each Underlying is the closing value of that Underlying on the Pricing Date and is
specified under “Key Terms — Initial Value” in this pricing supplement. For historical data regarding the actual closing
values of each Underlying, please see the historical information set forth under “The Underlyings” 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 and graph have been rounded for ease of analysis.
Final Value of the Least Performing Underlying |
Least Performing Underlying Return |
Absolute Underlying Return of the Least Performing Underlying |
Total Return on the Notes |
Payment at Maturity |
180.00 |
80.00% |
N/A |
17.25% |
$1,172.50 |
165.00 |
65.00% |
N/A |
17.25% |
$1,172.50 |
150.00 |
50.00% |
N/A |
17.25% |
$1,172.50 |
140.00 |
40.00% |
N/A |
17.25% |
$1,172.50 |
130.00 |
30.00% |
N/A |
17.25% |
$1,172.50 |
120.00 |
20.00% |
N/A |
17.25% |
$1,172.50 |
111.50 |
11.50% |
N/A |
17.25% |
$1,172.50 |
110.00 |
10.00% |
N/A |
15.00% |
$1,150.00 |
105.00 |
5.00% |
N/A |
7.50% |
$1,075.00 |
101.00 |
1.00% |
N/A |
1.50% |
$1,015.00 |
100.00 |
0.00% |
0.00% |
0.00% |
$1,000.00 |
95.00 |
-5.00% |
5.00% |
5.00% |
$1,050.00 |
90.00 |
-10.00% |
10.00% |
10.00% |
$1,100.00 |
85.00 |
-15.00% |
15.00% |
15.00% |
$1,150.00 |
80.00 |
-20.00% |
N/A |
-5.00% |
$950.00 |
70.00 |
-30.00% |
N/A |
-15.00% |
$850.00 |
60.00 |
-40.00% |
N/A |
-25.00% |
$750.00 |
50.00 |
-50.00% |
N/A |
-35.00% |
$650.00 |
40.00 |
-60.00% |
N/A |
-45.00% |
$550.00 |
30.00 |
-70.00% |
N/A |
-55.00% |
$450.00 |
20.00 |
-80.00% |
N/A |
-65.00% |
$350.00 |
10.00 |
-90.00% |
N/A |
-75.00% |
$250.00 |
0.00 |
-100.00% |
N/A |
-85.00% |
$150.00 |
PS-2
| Structured Investments
Capped Dual Directional Buffered Return Enhanced Notes Linked to the Least
Performing of the iShares® Russell 2000 Value ETF, the NASDAQ-100 Index® and the S&P 500®
Index |
|
The following graph demonstrates the hypothetical payments at maturity
on the notes for a sub-set of Least Performing Underlying Returns detailed in the table above (-50% to 50%). There can be no assurance
that the performance of the Least Performing Underlying will result in the return of any of your principal amount in excess of $150.00
per $1,000 principal amount note, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
How the Notes Work
Underlying Appreciation Upside Scenario:
If the Final Value of each Underlying is greater than its Initial
Value, investors will receive at maturity the $1,000 principal amount plus a return equal to the Least Performing Underlying Return
times the Upside Leverage Factor of 1.50, subject to the Maximum Upside Return of 17.25%. An investor will realize the maximum
upside payment at maturity at a Final Value of the Least Performing Underlying of 111.50% or more of its Initial Value.
| · | If the closing value of the Least Performing Underlying increases 5.00%, investors will receive at maturity a 7.50% return, or $1,075.00
per $1,000 principal amount note. |
| · | If the closing value of the Least Performing Underlying increases 50.00%, investors will receive at maturity a return equal to the
17.25% Maximum Upside Return, or $1,172.50 per $1,000 principal amount note, which is the maximum
payment at maturity if the Least Performing Underlying Return is positive. |
Underlying Par or Underlying Depreciation Upside Scenario:
If (i) the Final Value of one or more Underlyings is greater than
its Initial Value and the Final Value of the other Underlying or Underlyings is equal to its Initial Value or is less than its Initial
Value by up to the Buffer Amount of 15.00% or (ii) the Final Value of each Underlying is equal to its Initial Value or is less than its
Initial Value by up to the Buffer Amount of 15.00%, investors will receive at maturity the $1,000 principal amount plus a return
equal to the Absolute Underlying Return of the Least Performing Underlying.
| · | For example, if the closing value of the Least Performing Underlying declines 5.00%, investors will receive at maturity a 5.00% return,
or $1,050.00 per $1,000 principal amount note. |
Downside Scenario:
If the Final Value of any Underlying is less than its Initial Value
by more than the Buffer Amount of 15.00%, investors will lose 1% of the principal amount of their notes for every 1% that the Final Value
of the Least Performing Underlying is less than its Initial Value by more than the Buffer Amount.
| · | For example, if the closing value of the Least Performing Underlying declines 60.00%, investors will lose 45.00% of their principal
amount and receive only $550.00 per $1,000 principal amount note at maturity, calculated as follows: |
$1,000 + [$1,000 ×
(-60.00% + 15.00%)] = $550.00
The hypothetical returns and hypothetical payments on the notes
shown above apply only if you hold the notes for their entire term. 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.
PS-3
| Structured Investments
Capped Dual Directional Buffered Return Enhanced Notes Linked to the Least
Performing of the iShares® Russell 2000 Value ETF, the NASDAQ-100 Index® and the S&P 500®
Index |
|
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
Final Value of any Underlying is less than its Initial Value by more than 15.00%, you will lose 1% of the principal amount of your notes
for every 1% that the Final Value of the Least Performing Underlying is less than its Initial Value by more than 15.00%. Accordingly,
under these circumstances, you will lose up to 85.00% of your principal amount at maturity.
| · | YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE MAXIMUM UPSIDE RETURN IF THE LEAST PERFORMING UNDERLYING RETURN IS POSITIVE, |
regardless of the appreciation of any Underlying, which
may be significant.
| · | YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE BUFFER AMOUNT IF THE LEAST PERFORMING UNDERLYING RETURN IS NEGATIVE — |
Because the payment at maturity will not reflect the Absolute
Underlying Return of the Least Performing Underlying if its Final Value is less than its Initial Value by more than the Buffer Amount,
the Buffer Amount is effectively a cap on your return at maturity if the Least Performing Underlying Return is negative. The maximum payment
at maturity if the Least Performing Underlying Return is negative is $1,150.00 per $1,000 principal amount note.
| · | 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.
| · | 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.
| · | YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE VALUE OF EACH UNDERLYING — |
Payments on the notes are not linked to a basket composed
of the Underlyings and are contingent upon the performance of each individual Underlying. Poor performance by any of the Underlyings over
the term of the notes may negatively affect your payment at maturity and will not be offset or mitigated by positive performance by any
other Underlying.
| · | YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING UNDERLYING. |
| · | THE NOTES DO NOT PAY INTEREST. |
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE FUND OR THE SECURITIES INCLUDED IN OR HELD BY ANY UNDERLYING OR HAVE ANY RIGHTS WITH RESPECT
TO THE FUND OR THOSE SECURITIES. |
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.
PS-4
| Structured Investments
Capped Dual Directional Buffered Return Enhanced Notes Linked to the Least
Performing of the iShares® Russell 2000 Value ETF, the NASDAQ-100 Index® and the S&P 500®
Index |
|
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.
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.
PS-5
| Structured Investments
Capped Dual Directional Buffered Return Enhanced Notes Linked to the Least
Performing of the iShares® Russell 2000 Value ETF, the NASDAQ-100 Index® and the S&P 500®
Index |
|
| · | 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 values of the Underlyings. 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.
Risks Relating to the Underlyings
| · | THERE ARE RISKS ASSOCIATED WITH THE FUND — |
The Fund is subject to management risk, which is the risk
that the investment strategies of the 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 price of the shares of the Fund and, consequently,
the value of the notes.
| · | THE PERFORMANCE AND MARKET VALUE OF THE FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE
OF THE FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE — |
The Fund does not fully replicate its Underlying Index (as
defined under “The Underlyings” below) and may hold securities different from those included in its Underlying Index. In addition,
the performance of the 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 the Fund and its Underlying Index. In addition,
corporate actions with respect to the equity securities underlying the Fund (such as mergers and spin-offs) may impact the variance between
the performances of the Fund and its Underlying Index. Finally, because the shares of the Fund are traded on a securities exchange and
are subject to market supply and investor demand, the market value of one share of the Fund may differ from the net asset value per share
of the Fund.
During periods of market volatility, securities underlying
the Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately the net asset value per
share of the Fund and the liquidity of the Fund may be adversely affected. This kind of market volatility may also disrupt the ability
of market participants to create and redeem shares of the Fund. Further, market volatility may adversely affect, sometimes materially,
the prices at which market participants are willing to buy and sell shares of the Fund. As a result, under these circumstances, the market
value of shares of the Fund may vary substantially from the net asset value per share of the Fund. For all of the foregoing reasons, the
performance of the Fund may not correlate with the performance of its Underlying Index as well as the net asset value per share of the
Fund, which could materially and adversely affect the value of the notes in the secondary market and/or reduce any payment on the notes.
| · | AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH RESPECT TO THE FUND — |
Small capitalization companies may be less able to withstand
adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization companies are less likely
to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock price pressure under
adverse market conditions.
| · | THE INVESTMENT STRATEGY REPRESENTED BY THE FUND MAY NOT BE SUCCESSFUL — |
The Fund seeks to
track the investment results, before fees and expenses, of an index composed of small capitalization U.S. equities that exhibit value
characteristics, which is currently the Russell 2000® Value Index. The Russell 2000® Value Index measures
the capitalization-weighted price performance of the stocks included in the Russell 2000® Index that are determined by
FTSE Russell to be value oriented, with lower price-to-book ratios and lower forecasted growth values. A “value” investment
strategy is premised on the goal of investing in stocks that are determined to be relatively cheap or “undervalued” under
the assumption that the value of those stocks will increase over time as the market comes to reflect the “fair” market value
of those stocks. However, the value characteristics referenced by the Russell 2000® Value Index may not be accurate
predictors of undervalued stocks, and there is no guarantee that undervalued stocks will appreciate. In addition, the Russell 2000®
Value Index’s selection methodology includes a significant bias against stocks with strong growth characteristics, and stocks with
strong growth characteristics may outperform stocks with weak growth characteristics. There is no assurance that the Fund will outperform
any other index, exchange-traded fund or strategy that tracks U.S. stocks selected using other criteria and may underperform the Russell
2000® Index as a whole. It is possible that the stock selection methodology of the Russell 2000® Value
Index will adversely affect its return and, consequently, the level of the Russell 2000® Value Index, the price of one
share of the Fund and the value and return of the notes.
PS-6
| Structured Investments
Capped Dual Directional Buffered Return Enhanced Notes Linked to the Least
Performing of the iShares® Russell 2000 Value ETF, the NASDAQ-100 Index® and the S&P 500®
Index |
|
| · | THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED — |
The calculation agent will make adjustments to the Share
Adjustment Factor for certain events affecting the shares of the Fund. However, the calculation agent will not make an adjustment in response
to all events that could affect the shares of the Fund. 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.
| · | NON-U.S. SECURITIES RISK WITH RESPECT TO THE NASDAQ-100 INDEX® — |
Some of the equity securities included in the NASDAQ-100
Index® have been issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity
securities involve risks associated with the home countries of the issuers of those non-U.S. equity securities.
| · | JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500®
INDEX, |
but JPMorgan Chase
& Co. will not have any obligation to consider your interests in taking any corporate action that might affect the level of the S&P
500® Index.
PS-7
| Structured Investments
Capped Dual Directional Buffered Return Enhanced Notes Linked to the Least
Performing of the iShares® Russell 2000 Value ETF, the NASDAQ-100 Index® and the S&P 500®
Index |
|
The Underlyings
The Fund is an exchange-traded
fund of iShares® Trust, a registered investment company, that seeks to track the investment results, before fees and expenses,
of an index composed of small capitalization U.S. equities that exhibit value characteristics, which we refer to as the Underlying Index
with respect to the Fund. The Underlying Index for the Fund is currently the Russell 2000® Value Index. The Russell 2000®
Value Index measures the capitalization-weighted price performance of the stocks included in the Russell 2000® Index that
are determined by FTSE Russell to be value oriented, with lower price-to-book ratios and lower forecasted growth values. For additional
information about the Fund, see “Fund Descriptions — The iShares® ETFs” in the accompanying underlying
supplement. For purposes of the accompanying underlying supplement, the Fund is an “iShares® ETF.” For additional
information about the Russell 2000® Value Index, see Annex A in this pricing supplement.
The NASDAQ-100 Index® is a modified market capitalization-weighted
index of 100 of the largest non-financial securities listed on The NASDAQ Stock Market based on market capitalization. For additional
information about the NASDAQ-100 Index®, see “Equity Index Descriptions — The NASDAQ-100 Index®”
in the accompanying underlying supplement.
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.
Historical Information
The following graphs set forth the historical performance of each
Underlying based on the weekly historical closing values from January 6, 2017 through June 24, 2022. The closing value of the Fund on
July 1, 2022 was $138.12. The closing value of the NASDAQ-100 Index® on July 1, 2022 was 11,585.68. The closing value of
the S&P 500® Index on July 1, 2022 was 3,825.33. We obtained the closing values above and below from the Bloomberg
Professional® service (“Bloomberg”), without independent verification. The closing values of the Fund above
and below may have been adjusted by Bloomberg for actions taken by the Fund, such as stock splits.
The historical closing values of each Underlying should not
be taken as an indication of future performance, and no assurance can be given as to the closing value of any Underlying on the Observation
Date. There can be no assurance that the performance of the Underlyings will result in the return of any of your principal amount in excess
of $150.00 per $1,000 principal amount note, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
PS-8
| Structured Investments
Capped Dual Directional Buffered Return Enhanced Notes Linked to the Least
Performing of the iShares® Russell 2000 Value ETF, the NASDAQ-100 Index® and the S&P 500®
Index |
|
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.
PS-9
| Structured Investments
Capped Dual Directional Buffered Return Enhanced Notes Linked to the Least
Performing of the iShares® Russell 2000 Value ETF, the NASDAQ-100 Index® and the S&P 500®
Index |
|
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 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
PS-10
| Structured Investments
Capped Dual Directional Buffered Return Enhanced Notes Linked to the Least
Performing of the iShares® Russell 2000 Value ETF, the NASDAQ-100 Index® and the S&P 500®
Index |
|
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 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 Underlyings”
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
PS-11
| Structured Investments
Capped Dual Directional Buffered Return Enhanced Notes Linked to the Least
Performing of the iShares® Russell 2000 Value ETF, the NASDAQ-100 Index® and the S&P 500®
Index |
|
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 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-12
| Structured Investments
Capped Dual Directional Buffered Return Enhanced Notes Linked to the Least
Performing of the iShares® Russell 2000 Value ETF, the NASDAQ-100 Index® and the S&P 500®
Index |
|
Annex
A
The Russell 2000® Value Index
All information contained in this pricing supplement regarding
the Russell 2000® Value Index (the “Value Index”), including, without limitation, its make-up, method of calculation
and changes in its components, has been derived from publicly available information, without independent verification. This information
reflects the policies of, and is subject to change by, FTSE Russell. The Value Index is calculated, maintained and published by FTSE Russell.
FTSE Russell has no obligation to publish, and may discontinue the publication of, the Value Index.
The Value Index is reported by Bloomberg under the ticker symbol
“RUJ.”
The Value Index measures the capitalization-weighted price performance
of the stocks included in the Russell 2000® Index (each, a “Russell 2000 Component Stock” and collectively,
the “Russell 2000 Component Stocks”) that are determined by FTSE Russell to be value oriented, with lower price-to-book ratios
and lower forecasted growth values. The Russell 2000® Index measures the capitalization-weighted price performance of 2,000
U.S. small-capitalization stocks listed on eligible U.S. exchanges. For more information about the Russell 2000® Index,
see “Equity Index Descriptions — The Russell Indices” in the accompanying underlying supplement.
FTSE Russell uses a “non-linear probability” method
to assign stocks to the Value Index and the Russell 2000® Growth Index (the “Growth Index”), an index that
measures the capitalization-weighted price performance of the Russell 2000 Component Stocks determined by FTSE Russell to be growth oriented,
with higher price-to-book ratios and higher forecasted growth values. The term “probability” is used to indicate the degree
of certainty that a stock is value or growth based on its relative book-to-price (B/P) ratio, I/B/E/S forecast medium-term growth (2 year)
and sales per share historical growth (5 year). This method allows stocks to be represented as having both growth and value characteristics,
while preserving the additive nature of the indices.
The process for assigning growth and value weights is applied separately
to the Russell 2000 Component Stocks. The Russell 2000 Component Stocks are ranked by their adjusted book-to-price ratio (B/P), their
I/B/E/S forecast medium-term growth (2 year) and sales per share historical growth (5 year). These rankings are converted to standardized
units, where the value variable represents 50% of the score and the two growth variables represent the remaining 50%. They are then combined
to produce a Composite Value Score (“CVS”).
The Russell 2000 Component Stocks are then ranked by their CVS,
and a probability algorithm is applied to the CVS distribution to assign growth and value weights to each stock. In general, a stock with
a lower CVS is considered growth, a stock with a higher CVS is considered value, and a stock with a CVS in the middle range is considered
to have both growth and value characteristics, and is weighted proportionately in the growth and value indices. Stocks are always fully
represented by the combination of their growth and value weights (e.g., a stock that is given a 20% weight in the Value Index will have
an 80% weight in the Growth Index).
Stock A, in the figure below, is a security with 20% of its available
shares assigned to the Value Index and the remaining 80% assigned to the Growth Index. Hence, the sum of a stock’s market capitalization
in the Value Index and the Growth Index will always equal its market capitalization in the Russell 2000® Index.
In the figure above, the quartile breaks are calculated such that
approximately 25% of the available market capitalization lies in each quartile. Stocks at the median are divided 50% in each of the Value
Index and the Growth Index. Stocks below the first quartile are 100% in the Growth Index. Stocks above the third quartile are 100% in
the Value Index. Stocks falling between the first and third quartile breaks are in both the Value Index and the Growth Index to varying
degrees, depending on how far they are above or below the median and how close they are to the first or third quartile breaks.
PS-13
| Structured Investments
Capped Dual Directional Buffered Return Enhanced Notes Linked to the Least
Performing of the iShares® Russell 2000 Value ETF, the NASDAQ-100 Index® and the S&P 500®
Index |
|
Roughly 70% of the available market capitalization is classified
as all growth or all value. The remaining 30% have some portion of their market value in either the Value Index or the Growth Index, depending
on their relative distance from the median value score. Note that there is a small position cutoff rule. If a stock’s weight is
more than 95% in one index, its weight is increased to 100% in that index.
In an effort to mitigate unnecessary turnover, FTSE Russell implements
a banding methodology at the CVS level of the growth and value style algorithm. If a company’s CVS change from the previous year
is greater than or equal to +/- 0.10 and if the company remains in the same core index (i.e., the Russell 2000® Index),
then the CVS remains unchanged during the next reconstitution process. Keeping the CVS static for these companies does not mean the probability
(growth/value) will remain unchanged in all cases due to the relation of a CVS score to the overall index. However, this banding methodology
is intended to reduce turnover caused by smaller, less meaningful movements while continuing to allow the larger, more meaningful changes
to occur, signaling a true change in a company’s relation to the market.
In calculating growth and value weights, stocks with missing or
negative values for B/P, or missing values for I/B/E/S growth, or missing sales per share historical growth (6 years of quarterly numbers
are required), are allocated by using the mean value score of the base index (the Russell 2000® Index), the Russell Global
Sectors (ICB) industry, subsector or sector group into which the company falls. Each missing (or negative B/P) variable is substituted
with the industry, subsector or sector group independently. An industry must have five members or the substitution reverts to the subsector,
and so forth to the sector. In addition, a weighted value score is calculated for securities with low analyst coverage for I/B/E/S medium-term
growth. For securities with coverage by a single analyst, 2/3 of the industry, subsector, or sector group value score is weighted with
1/3 the security’s independent value score. For those securities with coverage by two analysts, 2/3 of the independent security’s
value score is used and only 1/3 of the industry, subsector, or sector group is weighted. For those securities with at least three analysts
contributing to the I/B/E/S medium-term growth, 100% of the independent security’s value score is used.
For more information about the index calculation methodology used
for the Value Index, see “Equity Index Descriptions — The Russell Indices” in the accompanying underlying supplement.
For purposes of this pricing supplement, all references to the Russell Indices contained in the above-referenced section are deemed to
include the Value Index.
PS-14
| Structured Investments
Capped Dual Directional Buffered Return Enhanced Notes Linked to the Least
Performing of the iShares® Russell 2000 Value ETF, the NASDAQ-100 Index® and the S&P 500®
Index |
|
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