September 30, 2022
|
Registration Statement Nos. 333-236659
and 333-236659-01; Rule 424(b)(2)
|
JPMorgan Chase Financial Company LLC
Structured Investments
$178,000 (SX5E Notes); $586,000 (NDX Notes); $1,191,000
(RTY Notes); $1,703,000 (SPX Notes); $340,000 (EFA Notes); $576,000 (EEM Notes)
Capped Buffered Return Enhanced Notes due October 3, 2024
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
| ● | This pricing
supplement relates to six separate note offerings, each linked to the performance of a different
Underlying: |
| ● | Capped
Buffered Return Enhanced Notes Linked to the EURO STOXX 50® Index (“SX5E
Notes”) |
| ● | Capped
Buffered Return Enhanced Notes Linked to the NASDAQ-100 Index® (“NDX
Notes”) |
| ● | Capped
Buffered Return Enhanced Notes Linked to the Russell 2000® Index (“RTY
Notes”) |
| ● | Capped
Buffered Return Enhanced Notes Linked to the S&P 500® Index (“SPX
Notes”) |
| ● | Capped
Buffered Return Enhanced Notes Linked to the iShares® MSCI EAFE ETF (“EFA
Notes”) |
| ● | Capped
Buffered Return Enhanced Notes Linked to the iShares® MSCI Emerging Markets
ETF (“EEM Notes”) |
| Each | issue of offered notes is linked to one, and only one, Underlying.
While you may participate in one or more of the offerings, this pricing supplement does not
offer notes linked to a basket of the Underlyings. |
| ● | The notes
are designed for investors who seek a return of 2.00 times any appreciation of the Underlying,
up to a maximum return, at maturity. |
| ● | Investors
should be willing to forgo interest and dividend payments and be willing to lose up to 90%
of their principal. |
| ● | 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. |
| ● | Minimum denominations
of $1,000 and integral multiples thereof |
| ● | The notes
priced on September 30, 2022 and are expected to settle on or about October 5, 2022. |
Underlying |
Bloomberg
Ticker |
Initial
Value |
Maximum
Return / Maximum Payment at Maturity per $1,000 Principal Amount Note |
CUSIP |
EURO STOXX 50® Index |
SX5E |
3,318.20 |
46.00% / $1,460.00 |
48133M7M6 |
NASDAQ-100
Index® |
NDX |
10,971.22 |
31.50% / $1,315.00 |
48133M7G9 |
Russell 2000®
Index |
RTY |
1,664.716 |
33.00% / $1,330.00 |
48133M7F1 |
S&P 500®
Index |
SPX |
3,585.62 |
29.50% / $1,295.00 |
48133M7E4 |
iShares®
MSCI EAFE ETF |
EFA |
$56.01 |
30.50% / $1,305.00 |
48133M7J3 |
iShares®
MSCI Emerging Markets ETF |
EEM |
$34.88 |
30.00% / $1,300.00 |
48133M7L8 |
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-3 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 |
SX5E Notes
(per note / total) |
$1,000
/ $178,000 |
$5.2107
/ $927.50 |
$994.7893
/ $177,072.50 |
NDX Notes
(per note / total) |
$1,000
/ $586,000 |
$5.6374
/ $3,303.50 |
$994.3626
/ $582,696.50 |
RTY Notes
(per note / total) |
$1,000
/ $1,191,000 |
$5.5491
/ $6,609.00 |
$994.4509
/ $1,184,391.00 |
SPX Notes
(per note / total) |
$1,000
/ $1,703,000 |
$5.6151
/ $9,562.50 |
$994.3849
/ $1,693,437.50 |
EFA Notes
(per note / total) |
$1,000
/ $340,000 |
$3.7765
/ $1,284.00 |
$996.2235
/ $338,716.00 |
EEM Notes
(per note / total) |
$1,000
/ $576,000 |
$5.9427
/ $3,423.00 |
$994.0573
/ $572,577.00 |
(1) See “Supplemental Use of Proceeds” in
this pricing supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer to as
JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to other affiliated or unaffiliated
dealers. These selling commissions will vary and will be up to $7.50 per $1,000 principal amount of SX5E Notes, NDX Notes, RTY Notes,
SPX Notes, EFA Notes and EEM Notes, respectively. 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 $975.60, $959.40, $965.70, $968.50, $963.10 and $956.10 per $1,000 principal amount of SX5E Notes, NDX
Notes, RTY Notes, SPX Notes, EFA Notes and EEM Notes, respectively. 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
General
Key Terms
Issuer:
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor:
JPMorgan Chase & Co.
Underlying:
As specified on the cover of this pricing supplement
We
refer to the EURO STOXX 50® Index,
the NASDAQ-100 Index®,
the Russell 2000® Index
and the S&P 500® Index
as each, an “Index” and collectively, the “Indices.” We refer to the iShares® MSCI
EAFE ETF and the iShares® MSCI
Emerging Markets ETF as each, a “Fund” and collectively, the “Funds.” We refer to the Indices and the Funds
as each, an “Underlying” and collectively, the “Underlyings.”
Upside
Leverage Factor: 2.00
Maximum
Return: As specified on the cover of this pricing supplement
Buffer
Amount: 10.00%
Pricing
Date: September 30, 2022
Original
Issue Date (Settlement Date): On or about October 5, 2022
Observation
Date*: September 30, 2024
Maturity
Date*: October 3, 2024
* 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 a
Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General Terms of Notes
— Postponement of a Payment Date” in the accompanying product supplement
|
|
Payment
at Maturity: If the Final Value is greater than the Initial Value, your payment at maturity per $1,000 principal amount
note will be calculated as follows:
$1,000 + ($1,000 × Underlying Return
× Upside Leverage Factor), subject to the Maximum Return
If the Final Value is equal to the Initial Value or is less
than the Initial Value by up to the Buffer Amount, you will receive the principal amount of your notes at maturity.
If the Final Value is less than the 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
× (Underlying Return + Buffer Amount)]
If the Final Value is less than the Initial Value by more
than the Buffer Amount, you will lose some or most of your principal amount at maturity.
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, as specified on the
cover of this pricing supplement
Final
Value: With respect to each Underlying, the closing value of that Underlying on the Observation Date
Share
Adjustment Factor: With respect to each Fund, the Share Adjustment Factor is referenced in determining the closing value
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
Capped Buffered Return Enhanced Notes |
|
Hypothetical
Payout Profile
The following table illustrates the hypothetical
total return at maturity on hypothetical notes linked to a hypothetical Underlying and may not reflect the actual terms of any note offered
by this pricing supplement. See the cover of this pricing supplement and “General Key Terms” in this pricing supplement for
the actual terms of each note offered by this pricing supplement. 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 set forth below assume the following:
| ● | an Initial Value
of 100.00; |
| ● | an Upside Leverage
Factor of 2.00; |
| ● | a Maximum Return
of 15.00%; and |
| ● | a Buffer Amount
of 10.00%. |
The hypothetical Initial Value of 100.00 has been
chosen for illustrative purposes only and does not represent the actual Initial Value. The actual Initial Value is the closing value
of the Underlying on the Pricing Date and is specified on the cover of this pricing supplement. For historical data regarding the actual
closing values of the 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 have been rounded for ease of analysis.
Final Value |
Underlying
Return |
Total
Return on the Notes |
Payment
at Maturity |
180.00 |
80.00% |
15.00% |
$1,150.00 |
165.00 |
65.00% |
15.00% |
$1,150.00 |
150.00 |
50.00% |
15.00% |
$1,150.00 |
140.00 |
40.00% |
15.00% |
$1,150.00 |
130.00 |
30.00% |
15.00% |
$1,150.00 |
120.00 |
20.00% |
15.00% |
$1,150.00 |
115.00 |
15.00% |
15.00% |
$1,150.00 |
110.00 |
10.00% |
15.00% |
$1,150.00 |
105.00 |
5.00% |
10.00% |
$1,100.00 |
101.00 |
1.00% |
2.00% |
$1,020.00 |
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 |
85.00 |
-15.00% |
-5.00% |
$950.00 |
80.00 |
-20.00% |
-10.00% |
$900.00 |
70.00 |
-30.00% |
-20.00% |
$800.00 |
60.00 |
-40.00% |
-30.00% |
$700.00 |
50.00 |
-50.00% |
-40.00% |
$600.00 |
40.00 |
-60.00% |
-50.00% |
$500.00 |
30.00 |
-70.00% |
-60.00% |
$400.00 |
20.00 |
-80.00% |
-70.00% |
$300.00 |
10.00 |
-90.00% |
-80.00% |
$200.00 |
0.00 |
-100.00% |
-90.00% |
$100.00 |
PS-2
| Structured Investments
Capped Buffered Return Enhanced Notes |
|
How
the Notes Work
Upside Scenario:
If the Final Value is greater than the Initial
Value, investors will receive at maturity the $1,000 principal amount plus a return equal to the Underlying Return times the
Upside Leverage Factor of 2.00, up to the Maximum Return. Assuming a hypothetical Maximum Return of 15.00%:
| ● | if the closing value of the Underlying increases 5.00%, investors
will receive at maturity a return of 10.00%, or $1,100.00 per $1,000 principal amount note;
or |
| ● | if the closing value of the Underlying increases 30.00%, investors
will receive at maturity a return equal to the 15.00% Maximum Return, or $1,150.00 per $1,000
principal amount note, which is the maximum payment at maturity. |
Par Scenario:
If the Final Value is equal to the Initial Value
or is less than the Initial Value by up to the Buffer Amount of 10.00%,
investors will receive at maturity the principal amount of their notes.
Downside Scenario:
If the Final Value is less than the Initial Value
by more than the Buffer Amount of 10.00%,
investors will lose 1% of the principal amount of their notes for every 1% that the Final Value is less than the Initial Value by more
than the Buffer Amount.
| ● | For example, if the closing value of the Underlying declines 50.00%,
investors will lose 40.00%
of their principal amount and receive only $600.00
per $1,000 principal amount note at maturity, calculated as follows: |
$1,000 + [$1,000 × (-50.00%
+ 10.00%)] = $600.00
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.
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 is less than the Initial
Value by more than 10.00%,
you will lose 1% of the principal amount of your notes for every 1% that the Final Value
is less than the Initial Value by more than 10.00%.
Accordingly, under these circumstances, you will lose up to 90.00%
of your principal amount at maturity. |
| ● | YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE MAXIMUM RETURN,
regardless of the appreciation of the Underlying, which may be significant. |
| ● | 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. |
PS-3
| Structured Investments
Capped Buffered Return Enhanced Notes |
|
| ● | POTENTIAL CONFLICTS —
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. |
| ● | THE NOTES DO NOT PAY INTEREST. |
| ● | YOU WILL NOT RECEIVE DIVIDENDS ON ANY FUND OR THE SECURITIES INCLUDED
IN OR HELD BY ANY UNDERLYING OR HAVE ANY RIGHTS WITH RESPECT TO ANY FUND OR THOSE SECURITIES. |
| ● | LACK OF LIQUIDITY —
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. |
| ● | 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-4
| Structured Investments
Capped Buffered Return Enhanced Notes |
|
| ● | 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 value
of the Underlying. 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 Individual Offerings
| ● | WITH RESPECT TO THE SPX NOTES, 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 value of the S&P 500® Index. |
| ● | THE RTY NOTES ARE SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION
STOCKS —
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 SX5E NOTES, THE NDX NOTES, THE EFA NOTES AND THE EEM NOTES
ARE SUBJECT TO NON-U.S. SECURITIES RISK —
Some or all of the equity securities held by the Funds and included in the EURO STOXX 50®
Index and 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 and/or the securities markets in the home countries of the issuers
of those non-U.S. equity securities. Also, there is generally less publicly available information
about companies in some of these jurisdictions than there is about U.S. companies that are
subject to the reporting requirements of the SEC. |
| ● | THE EEM NOTES ARE SUBJECT TO EMERGING MARKETS RISK —
The equity securities held by the iShares® MSCI Emerging Markets ETF have
been issued by non-U.S. companies located in emerging markets countries. Countries with emerging
markets may have relatively unstable governments, may present the risks of nationalization
of businesses, restrictions on foreign ownership and prohibitions on the repatriation of
assets, and may have less protection of property rights than more developed countries. The
economies of countries with emerging markets may be based on only a few industries, may be
highly vulnerable to changes in local or global trade conditions, and may suffer from extreme
and volatile debt burdens or inflation rates. Local securities markets may trade a small
number of securities and may be unable to respond effectively to increases in trading volume,
potentially making prompt liquidation of holdings difficult or impossible at times. |
| ● | THE SX5E NOTES PROVIDE NO DIRECT EXPOSURE TO FLUCTUATIONS IN FOREIGN
EXCHANGE RATES —
The value of your notes will not be adjusted for exchange rate fluctuations between the U.S.
dollar and the currencies upon which the equity securities included in the EURO STOXX 50®
Index are based, although any currency fluctuations could affect the performance of
the EURO STOXX 50® Index. |
| ● | THE EFA NOTES AND THE EEM NOTES ARE SUBJECT TO CURRENCY EXCHANGE
RISK —
Because the prices of the equity securities held by each Fund are converted into U.S. dollars
for purposes of calculating the net asset value of that Fund, holders of the notes will be
exposed to currency exchange rate risk with respect to each of the currencies in which the
equity securities held by that Fund trade. Your net exposure will depend on the extent to
which those currencies strengthen or weaken against the U.S. dollar and the relative weight
of equity securities held by a Fund denominated in each of those currencies. If, taking into
account the relevant weighting, the U.S. dollar strengthens against those currencies, the
price of a Fund will be adversely affected and any payment on the notes may be reduced. |
| ● | THE EFA NOTES AND THE EEM NOTES ARE SUBJECT TO RISKS ASSOCIATED
WITH THE FUNDS —
Each Fund is subject to management risk, which is the risk that the investment strategies
of that 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 each Fund and, consequently, the value of the notes. |
PS-5
| Structured Investments
Capped Buffered Return Enhanced Notes |
|
| ● | WITH RESPECT TO THE EFA NOTES AND THE EEM 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 Underlyings”
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 in 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 payments on the notes. |
| ● | WITH RESPECT TO THE EFA NOTES AND THE EEM 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 a 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. |
The
Underlyings
The EURO STOXX 50® Index consists
of 50 component stocks of market sector leaders from within the Eurozone. The Index and STOXX are the intellectual property (including
registered trademarks) of STOXX Limited, Zurich, Switzerland and/or its licensors (the “Licensors”), which are used under
license. The notes based on the Index are in no way sponsored, endorsed, sold or promoted by STOXX Limited and its Licensors and neither
STOXX Limited nor any of its Licensors shall have any liability with respect thereto. For additional information about the EURO STOXX
50® Index, see “Equity Index Descriptions — The STOXX Benchmark Indices” in the accompanying underlying
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 Russell 2000®
Index consists of the middle 2,000 companies included in the Russell 3000ETM Index and, as a result of the index calculation
methodology, consists of the smallest 2,000 companies included in the Russell 3000® Index. The Russell 2000®
Index is designed to track the performance of the small capitalization segment of the U.S. equity market. For additional information
about the Russell 2000® Index, see “Equity Index Descriptions — The Russell Indices” 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.
The iShares®
MSCI EAFE ETF is an exchange-traded fund of iShares® Trust, a registered investment company, which seeks to track the
investment results, before fees and expenses, of an index composed of large- and mid-capitalization developed market equities, excluding
the United States and Canada, which we refer to as the Underlying Index with respect to the iShares® MSCI EAFE ETF. The
Underlying Index for the iShares® MSCI EAFE ETF is currently the MSCI EAFE® Index. The MSCI EAFE®
Index is a free float-adjusted market capitalization index intended to measure the equity market performance of the developed equity
markets in Europe, Asia, Australia and New Zealand. For additional information about the iShares® MSCI EAFE ETF, see “Fund
Descriptions — The iShares® ETFs” in the accompanying underlying supplement.
The iShares®
MSCI Emerging Markets ETF is an exchange-traded fund of iShares®, Inc., a registered investment company, which seeks to
track the investment results, before fees and expenses, of an index composed of large- and mid-capitalization emerging market equities,
which we refer to as the Underlying Index with respect to the iShares® MSCI Emerging Markets ETF. The Underlying
Index for the iShares® MSCI Emerging Markets ETF is currently the MSCI Emerging Markets Index. The MSCI Emerging Markets
Index is a free float -adjusted market capitalization index that is designed to measure equity market performance of global emerging
markets. For additional information about the iShares® MSCI Emerging Markets ETF, see the information set forth under
“Fund Descriptions — The iShares® ETFs” in the accompanying underlying supplement.
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Historical Information
The following table sets forth the closing value
of each Underlying on September 30, 2022. The following graphs set forth the historical performance of each Underlying, based on the
weekly historical closing values from January 6, 2017 through September 30, 2022. We obtained the closing values below from the Bloomberg
Professional® service (“Bloomberg”), without independent verification. The closing values of each Fund may
have been adjusted by Bloomberg for actions taken by that 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 Underlying will result in the return
of any of your principal amount.
Underlying* |
Closing Value on
September 30,
2022 |
EURO
STOXX 50® Index |
3,318.20 |
NASDAQ-100
Index® |
10,971.22 |
Russell
2000® Index |
1,664.716 |
S&P
500® Index |
3,585.62 |
iShares®
MSCI EAFE ETF |
$56.01 |
iShares®
MSCI Emerging Markets ETF |
$34.88 |
Historical Performance
of the EURO STOXX 50® Index
Source: Bloomberg |
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|
Historical Performance
of the NASDAQ-100 Index®
Source: Bloomberg |
Historical Performance
of the Russell 2000® Index
Source: Bloomberg |
PS-8
| Structured Investments
Capped Buffered Return Enhanced Notes |
|
Historical Performance
of the S&P 500® Index
Source: Bloomberg |
Historical Performance
of the iShares® MSCI EAFE ETF
Source: Bloomberg |
PS-9
| Structured Investments
Capped Buffered Return Enhanced Notes |
|
Historical Performance
of the iShares® MSCI Emerging Markets ETF
Source: Bloomberg |
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 with respect
to the EFA Notes and the EEM Notes (together, the “Fund Notes”), as described below, 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 Fund 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 Fund 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 Fund Notes. Our special tax counsel has not expressed an opinion with respect to whether the constructive
ownership rules apply to the Fund Notes. Accordingly, U.S. Holders should consult their tax advisers regarding the potential application
of the constructive ownership rules to the Fund Notes.
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.
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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, 2025 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
— 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 —
The Estimated Value of the Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
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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 —
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.
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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 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.
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