June 27, 2022 |
Registration Statement Nos. 333-236659 and 333-236659-01; Rule 424(b)(2) |
JPMorgan Chase Financial Company LLC
Structured Investments
$189,000
Capped Accelerated Barrier Notes Linked to the
ARK Innovation ETF due July 2, 2025
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
| · | The notes are designed for investors who seek a return of 3.00 times any appreciation of the ARK Innovation ETF, up to a maximum return
of 102.00%, at maturity. |
| · | Investors should be willing to forgo interest and dividend payments and be willing to lose some or all of their principal amount at
maturity. |
| · | The Fund is actively managed and is subject to additional risks. Unlike a passively managed fund, an actively managed fund
does not attempt to track an index or other benchmark, and the investment decisions for an actively managed fund are instead made by its
investment adviser. See “Selected Risk Considerations — Risks Relating to the Fund — An Investment in the
Notes Is Subject to Risks Associated with Actively Managed Funds” in this pricing supplement for more information. |
| · | 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 June 27, 2022 and are expected to settle on or about June 30, 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 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, prospectus supplement and prospectus. Any representation to the contrary is a criminal
offense.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
Per note |
$1,000 |
$30 |
$970 |
Total |
$189,000 |
$5,670 |
$183,330 |
(1) See “Supplemental Use of Proceeds” in
this pricing supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer to as
JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions of $30.00 per $1,000 principal amount note it receives
from us to other affiliated or unaffiliated dealers. See “Plan of Distribution (Conflicts of Interest)” in the accompanying
product supplement. |
The estimated value of the notes, when the terms of the notes
were set, was $916.20 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
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.
Fund: The
ARK Innovation ETF (Bloomberg ticker: ARKK)
Maximum Return:
102.00% (corresponding to a maximum payment at maturity of $2,020.00 per $1,000 principal
amount note)
Upside Leverage Factor:
3.00
Barrier Amount: 60.00%
of the Initial Value, which is $26.88
Pricing
Date: June 27, 2022
Original Issue Date
(Settlement Date): On or about June 30, 2022
Observation Date*:
June 27, 2025
Maturity Date*: July
2, 2025
* Subject to postponement in the event of a market disruption
event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to 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 × Fund 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 but greater than or equal to the Barrier Amount, you will receive the principal amount of your notes at maturity.
If the Final Value is less than the Barrier Amount, your payment at
maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Fund Return)
If the Final Value is less than
the Barrier Amount, you will lose more than 40.00% of your principal amount at maturity and could lose all of your principal amount at
maturity.
Fund Return:
(Final Value
– Initial Value)
Initial Value
Initial Value: The
closing price of one share of the Fund on the Pricing Date, which was $44.80
Final Value: The
closing price of one share of the Fund on the Observation Date
Share Adjustment
Factor: The Share Adjustment Factor is referenced in determining the closing
price of one share 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 Accelerated Barrier Notes Linked to the ARK Innovation
ETF |
|
Hypothetical
Payout Profile
The following table and graph illustrate the hypothetical
total return and payment at maturity on the notes linked to a hypothetical Fund. 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 of $100.00; |
| · | a Maximum Return of 100.00%; |
| · | an Upside Leverage Factor of 3.00; and |
| · | a Barrier Amount of 60.00 (equal to 60.00% of the hypothetical Initial
Value). |
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 price of one share
of the Fund on the Pricing Date and is specified under “Key Terms — Initial Value” in the pricing supplement. For historical
data regarding the actual closing prices of one share of the Fund, please see the historical information set forth under “The Fund”
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 |
Fund Return |
Total Return on the Notes |
Payment at Maturity |
$240.00 |
140.00% |
102.00% |
$2,020.00 |
$220.00 |
120.00% |
102.00% |
$2,020.00 |
$200.00 |
100.00% |
102.00% |
$2,020.00 |
$180.00 |
80.00% |
102.00% |
$2,020.00 |
$165.00 |
65.00% |
102.00% |
$2,020.00 |
$150.00 |
50.00% |
102.00% |
$2,020.00 |
$140.00 |
40.00% |
102.00% |
$2,020.00 |
$134.00 |
34.00% |
102.00% |
$2,020.00 |
$130.00 |
30.00% |
90.00% |
$1,900.00 |
$120.00 |
20.00% |
60.00% |
$1,600.00 |
$110.00 |
10.00% |
30.00% |
$1,300.00 |
$105.00 |
5.00% |
15.00% |
$1,150.00 |
$101.00 |
1.00% |
3.00% |
$1,030.00 |
$100.00 |
0.00% |
0.00% |
$1,000.00 |
$95.00 |
-5.00% |
0.00% |
$1,000.00 |
$90.00 |
-10.00% |
0.00% |
$1,000.00 |
$80.00 |
-20.00% |
0.00% |
$1,000.00 |
$70.00 |
-30.00% |
0.00% |
$1,000.00 |
$60.00 |
-40.00% |
0.00% |
$1,000.00 |
$59.99 |
-40.01% |
-40.01% |
$599.90 |
$50.00 |
-50.00% |
-50.00% |
$500.00 |
$40.00 |
-60.00% |
-60.00% |
$400.00 |
$30.00 |
-70.00% |
-70.00% |
$300.00 |
$20.00 |
-80.00% |
-80.00% |
$200.00 |
$10.00 |
-90.00% |
-90.00% |
$100.00 |
$0.00 |
-100.00% |
-100.00% |
$0.00 |
PS-2
| Structured Investments
Capped Accelerated Barrier Notes Linked to the ARK Innovation
ETF |
|
The following graph demonstrates the hypothetical payments
at maturity on the notes for a sub-set of Fund Returns detailed in the table above (-100% to 120%). There can be no assurance that the
performance of the Fund will result in the return of any of your principal amount.
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 Fund Return times the Upside Leverage
Factor of 3.00, up to the Maximum Return of 102.00%. An investor will realize the maximum payment at maturity at a Final Value at or above
134.00% of the Initial Value.
| · | If the closing price of one share of the Fund increases 5.00%, investors
will receive at maturity a 15.00% return, or $1,150.00 per $1,000 principal amount note. |
| · | If the closing price of one share of the Fund increases 120.00%, investors will receive at maturity a
return equal to the 102.00% Maximum Return, or $2,020.00 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 but greater than or equal to the Barrier Amount of 60.00% of the Initial Value, investors will receive at
maturity the principal amount of their notes.
Downside Scenario:
If the Final Value is less than the Barrier Amount of
60.00% of the Initial Value, investors will lose 1% of the principal amount of their notes for every 1% that the Final Value is less than
the Initial Value.
| · | For example, if the closing price of one share of the Fund declines 60.00%, investors will lose 60.00%
of their principal amount and receive only $400.00 per $1,000 principal amount note at maturity. |
The hypothetical returns and hypothetical payments on
the notes shown above apply only if you hold the notes for their entire term. 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 Accelerated Barrier Notes Linked to the ARK Innovation
ETF |
|
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 and product
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 Barrier Amount, you will lose
1% of the principal amount of your notes for every 1% that the Final Value is less than the Initial Value. Accordingly, under these circumstances,
you will lose more than 40.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
| · | YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE MAXIMUM RETURN, |
regardless of any appreciation
of the Fund, 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.
| · | THE BENEFIT PROVIDED BY THE BARRIER AMOUNT MAY TERMINATE ON THE OBSERVATION DATE — |
If the Final Value is less than the Barrier
Amount, the benefit provided by the Barrier Amount will terminate and you will be fully exposed to any depreciation of the Fund.
| · | THE NOTES DO NOT PAY INTEREST. |
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE FUND OR THE SECURITIES HELD BY THE FUND OR HAVE
ANY RIGHTS WITH RESPECT TO THE FUND OR THOSE SECURITIES. |
| · | THE RISK OF THE CLOSING PRICE OF ONE SHARE OF THE FUND FALLING BELOW THE BARRIER AMOUNT
IS GREATER IF THE PRICE OF ONE SHARE OF THE FUND IS VOLATILE. |
The notes will not be listed on any securities
exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS
is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your notes to maturity.
Risks Relating to Conflicts of Interest
We and our affiliates play a variety of roles
in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests are potentially
adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours or our affiliates in
connection with the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer
to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement.
PS-4
| Structured Investments
Capped Accelerated Barrier Notes Linked to the ARK Innovation
ETF |
|
Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes
| · | THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC)
OF THE NOTES — |
The estimated value of the notes is only an
estimate determined by reference to several factors. The original issue price of the notes exceeds the estimated value of the notes because
costs associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include
the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our
obligations under the notes and the estimated cost of hedging our obligations under the notes. See “The Estimated Value of the Notes”
in this pricing supplement.
| · | THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY
DIFFER FROM OTHERS’ ESTIMATES — |
See “The Estimated Value of the Notes”
in this pricing supplement.
| · | THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE
— |
The internal funding rate used in the determination
of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar
maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based
on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement
funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the
terms of the notes and any secondary market prices of the notes. See “The Estimated Value of the Notes” in this pricing supplement.
| · | THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT
STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD — |
We generally expect that some of the costs
included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes
by JPMS in an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices of the Notes”
in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes
during this initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account
statements).
| · | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE
OF THE NOTES — |
Any secondary market prices of the notes will
likely be lower than the original issue price of the notes because, among other things, secondary market prices take into account our
internal secondary market funding rates for structured debt issuances and, also, because secondary market prices may exclude selling commissions,
projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the notes. As a result,
the price, if any, at which JPMS will be willing to buy the notes from you in secondary market transactions, if at all, is likely to be
lower than the original issue price. Any sale by you prior to the Maturity Date could result in a substantial loss to you.
| · | SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS
— |
The secondary market price of the notes during
their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the
selling commissions, projected hedging profits, if any, estimated hedging costs and the price of one share of the Fund. 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 Fund
| · | AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH ACTIVELY MANAGED FUNDS — |
The Fund is actively managed. Unlike a passively
managed fund, an actively managed fund does not attempt to track an index or other benchmark, and the investment decisions for an actively
managed fund are instead made by its investment adviser. The investment adviser of an actively managed fund may adopt a strategy or strategies
that are significantly higher risk than the indexing strategy that would have been employed by a passively managed fund. As an actively
managed fund, the Fund is subject
PS-5
| Structured Investments
Capped Accelerated Barrier Notes Linked to the ARK Innovation
ETF |
|
to management risk. In managing an actively
managed fund, the investment adviser of a fund applies investment strategies, techniques and analyses in making investment decisions for
that fund, but there can be no guarantee that these actions will produce the intended results. The ability of the Fund’s investment
adviser to successfully implement the Fund’s investment strategy will significantly influence 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 NET ASSET VALUE PER SHARE — |
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 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.
| · | RISKS ASSOCIATED WITH DISRUPTIVE INNOVATION COMPANIES — |
The Fund’s investment strategy involves
exposure to companies that the investment adviser believes are capitalizing on disruptive innovation and developing technologies to displace
older technologies or create new markets (“disruptive innovation companies”). However, the companies selected by the investment
adviser may not in fact do so. Companies that initially develop a novel technology may not be able to capitalize on the technology. Companies
that develop disruptive technologies may face political or legal attacks from competitors, industry groups or local and national governments.
These companies may also be exposed to risks applicable to sectors other than the disruptive innovation theme for which they are chosen,
and the securities issued by these companies may underperform the securities of other companies that are primarily focused on a particular
theme. The Fund may invest in companies that do not currently derive any revenue from disruptive innovations or technologies, and there
is no assurance that any company will derive any revenue from disruptive innovations or technologies in the future. A disruptive innovation
or technology may constitute a small portion of any company’s overall business. As a result, the success of a disruptive innovation
or technology may not affect the value of the equity securities issued by that company.
| · | THE NOTES ARE SUBJECT TO RISKS RELATING TO CRYPTOCURRENCIES AND RELATED INVESTMENTS — |
The Fund may have exposure to cryptocurrencies,
such as bitcoin, indirectly through investment funds, including through an investment in the Grayscale Bitcoin Trust (“GBTC”),
a privately offered, open-end investment vehicle. Cryptocurrencies are digital assets designed to act as a medium of exchange and
do not represent legal tender. Cryptocurrency generally operates without central authority or banks and is not backed by any government.
Cryptocurrencies are susceptible to theft, loss, destruction and fraud. Cryptocurrency is an emerging asset class, and regulation
in the United States is still developing, including with respect to market integrity, anti-fraud, anti-manipulation, cybersecurity, surveillance
and anti-money laundering. Federal, state and/or foreign governments may restrict the use and exchange of cryptocurrencies.
The market prices of bitcoin and other cryptocurrencies have been subject to extreme fluctuations. Even when held indirectly, investment
vehicles like GBTC may be affected by the high volatility associated with cryptocurrency exposure. Holding a privately offered investment
vehicle in its portfolio may cause the Fund to trade at a discount to its net asset value. If cryptocurrency markets continue to
be subject to sharp fluctuations, the Fund and the notes may be adversely affected. In addition, the share prices of GBTC and other
similar investment vehicles that are not listed on a national securities exchange may be more volatile than listed securities because
there is generally less liquidity in these securities and there may be less publicly available information about them or their issuers.
Cryptocurrency exchanges and other trading venues on which cryptocurrencies trade are relatively new and, in most cases, largely unregulated
and may therefore be more exposed to fraud and failure than established, regulated exchanges for securities, derivatives and other currencies.
Cryptocurrency exchanges may stop operating or permanently shut down due to fraud, technical glitches, hackers or malware, which may also
affect the prices of cryptocurrencies. Events that negatively affect cryptocurrencies may negatively affect the performance of the
Fund and the notes.
| · | AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH MID-SIZE, SMALL AND MICRO-CAPITALIZATION
STOCKS — |
Some of the equity securities held by the
Fund have been issued by mid-size, small or micro-capitalization companies. Mid-size, small and micro-capitalization companies may be
less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Mid-size, small and micro-capitalization
companies are less likely to pay dividends on their
PS-6
| Structured Investments
Capped Accelerated Barrier Notes Linked to the ARK Innovation
ETF |
|
stocks, and the presence of a dividend payment
could be a factor that limits downward stock price pressure under adverse market conditions.
| · | NON-U.S. SECURITIES RISK — |
Some of the equity securities held by the Fund
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 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.
Some of the equity securities held by the Fund
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 NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK — |
Because the prices of the non-U.S. equity
securities held by the Fund are converted into U.S. dollars for purposes of calculating the net asset value of the Fund, holders of the
notes will be exposed to currency exchange rate risk with respect to each of the currencies in which the non-U.S. equity securities held
by the 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 the 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 the Fund will be adversely affected and any payment
on the notes may be reduced.
| · | RECENT EXECUTIVE ORDERS MAY ADVERSELY AFFECT THE PERFORMANCE OF THE FUND — |
Pursuant to recent executive orders, U.S. persons
are prohibited from engaging in transactions in, or possession of, publicly traded securities of certain companies that are determined
to be linked to the People’s Republic of China military, intelligence and security apparatus, or securities that are derivative
of, or are designed to provide investment exposure to, those securities. If the issuer of any of the equity securities held by the Fund
is in the future designated as such a prohibited company, the value of that company may be adversely affected, perhaps significantly,
which would adversely affect the performance of the Fund. In addition, under these circumstances, the Fund is expected to remove the equity
securities of that company from the Fund. Any changes to the composition of the Fund in response to these executive orders could adversely
affect the performance of the Fund.
| · | 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.
PS-7
| Structured Investments
Capped Accelerated Barrier Notes Linked to the ARK Innovation
ETF |
|
The Fund
The Fund is an actively-managed exchange-traded fund
of ARK ETF Trust, a registered investment company, with an investment objective of long-term growth of capital, that primarily invests
in equity securities of U.S. and non-U.S. companies relevant to the Fund’s investment theme of disruptive innovation. For additional
information about the Fund, see Annex A in this pricing supplement.
Historical Information
The following graph sets forth the historical performance
of the Fund based on the weekly historical closing prices of one share of the Fund from January 6, 2017 through June 24, 2022. The closing
price of one share of the Fund on June 27, 2022 was $44.80. We obtained the closing prices above and below from the Bloomberg Professional®
service (“Bloomberg”), without independent verification. The closing prices above and below may have been adjusted by Bloomberg
for actions taken by the Fund, such as stock splits.
The historical closing prices of one share of the
Fund should not be taken as an indication of future performance, and no assurance can be given as to the closing price of one share of
the Fund on the Observation Date. There can be no assurance that the performance of the Fund will result in the return of any of your
principal amount.
Tax Treatment
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-II. The following discussion,
when read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding
the material U.S. federal income tax consequences of owning and disposing of notes.
Based on current market conditions, in the opinion
of our special tax counsel it is reasonable to treat the notes as “open transactions” that are not debt instruments for U.S.
federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences—Tax Consequences to
U.S. Holders—Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement.
Assuming this treatment is respected, subject to the possible application of the “constructive ownership” rules, the gain
or loss on your notes should be treated as long-term capital gain or loss if you hold your notes for more than a year, whether or not
you are an initial purchaser of notes at the issue price. The notes could be treated as “constructive ownership transactions”
within the meaning of Section 1260 of the Code, in which case any gain recognized in respect of the notes that would otherwise be long-term
capital gain and that was in excess of the “net underlying long-term capital gain” (as defined in Section 1260) would be treated
as ordinary income, and a notional interest charge would apply as if that income had accrued for tax purposes at a constant yield over
your holding period for the notes. Our special tax counsel has not expressed an opinion with respect to whether the constructive
ownership rules apply to the notes. Accordingly, U.S. Holders should consult their tax advisers regarding the potential application
of the constructive ownership rules.
The IRS or a court may not respect the treatment
of the notes described above, in which case the timing and character of any income or loss on your notes could be materially and adversely
affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of
“prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to require investors in these
instruments to accrue income over the term of their investment. It also
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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 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
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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 Fund”
in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to
the estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus)
the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the
notes, plus the estimated cost of hedging our obligations under the notes.
Supplemental
Plan of Distribution
We expect that delivery of the notes will be made against
payment for the notes on or about the Original Issue Date set forth on the front cover of this pricing supplement, which will be the third
business day following the Pricing Date of the notes (this settlement cycle being referred to as “T+3”). Under Rule 15c6-1
of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in two business days,
unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade notes on any date prior to two business
days before delivery will be required to specify an alternate settlement cycle at the time of any such trade to prevent a failed settlement
and should consult their own advisors.
Supplemental
Information About the Form of the Notes
The notes will initially be represented by a type of
global security that we refer to as a master note. A master note represents multiple securities that may be issued at different
times and that may have different terms. The trustee and/or paying agent will, in accordance with instructions from us, make appropriate
entries or notations in its records relating to the master note representing the notes to indicate that the master note evidences the
notes.
Validity of
the Notes and the Guarantee
In the opinion
of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered
by this pricing supplement have been issued by JPMorgan Financial pursuant to the indenture, the trustee and/or paying agent has made,
in accordance with the instructions from JPMorgan Financial, the appropriate entries or notations in its records relating to the master
global note that represents such notes (the “master note”), and such notes have been delivered against payment as contemplated
herein, such notes will be valid and binding obligations of JPMorgan Financial and the related guarantee will constitute a valid and binding
obligation of JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar
laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability (including,
without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion
as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed
above or (ii) any provision of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent
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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. 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 and the accompanying product 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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Annex A
The ARK Innovation ETF
All information contained in this pricing supplement
regarding the ARK Innovation ETF (the “ARKK Fund”), has been derived from publicly available information, without independent
verification. This information reflects the policies of, and is subject to change by, ARK ETF Trust (“ARK Trust”). The ARKK
Fund is an actively-managed exchange-traded fund managed by ARK Investment Management LLC (“ARK LLC”), the investment adviser
to the ARKK Fund. The ARKK Fund trades on NYSE Arca, Inc. under the ticker symbol “ARKK.”
The investment objective of the ARKK Fund is long-term
growth of capital.
As an actively-managed fund, the ARKK Fund is subject
to management risk. In managing the ARKK Fund, ARK LLC applies investment strategies, techniques and analyses in making investment decisions
for the ARKK Fund, but there can be no guarantee that these actions will produce the intended results. The ability of ARK LLC to successfully
implement the ARKK Fund’s investment strategy will significantly influence that ARKK Fund’s performance.
The ARKK Fund will invest under normal circumstances
primarily (at least 65% of its assets) in equity securities of U.S. and non-U.S. companies that are relevant to the ARKK Fund’s
investment theme of disruptive innovation. ARK LLC defines “disruptive innovation” as the introduction of a technologically
enabled new product or service that potentially changes the way the world works. ARK LLC believes that companies relevant to this theme
are those that rely on or benefit from the development of new products or services, technological improvements and advancements in scientific
research relating to the areas of genomics; innovation in automation and manufacturing, transportation, energy, artificial intelligence
and materials; the increased use of shared technology, infrastructure and services; and technologies that make financial services more
efficient. ARK LLC defines “genomics” as the study of genes and their functions, and related techniques (e.g., genomic
sequencing).
ARK Trust is a registered investment company that consists
of numerous separate investment portfolios, including the ARKK Fund. Information provided to or filed with the SEC by ARK Trust pursuant
to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by reference to SEC file
numbers 333-191019 and 811-22883, respectively, through the SEC’s website at http://www.sec.gov.
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