This pricing supplement relates to two (2) separate Note offerings.
Each issue of the offered Notes is linked to one, and only one, Underlying. The purchaser of a Note will acquire a Note linked to a single
Underlying (not to a basket or index that includes the other Underlyings). You may participate in either of the two (2) Note offerings
or, at your election, in both of the offerings. We reserve the right to withdraw, cancel or modify any of the offerings and to reject
orders in whole or in part. While each Note offering relates only to a single Underlying identified on the cover page, you should not
construe that fact as a recommendation of the merits of acquiring an investment linked to that Underlying (or any other Underlying) or
as to the suitability of an investment in 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.
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, the “Issuer,” “JPMorgan Financial,”
“we,” “us” and “our” refer to JPMorgan Chase Financial Company LLC.
For purposes of the accompanying product supplement, each of
the capital stock of International Business Machines Corporation and the common stock of The Williams Companies, Inc. is an “Underlying
Stock.”
The suitability considerations identified above are not exhaustive.
Whether or not the Notes are a suitable investment for you will depend on your individual circumstances, and you should reach an investment
decision only after you and your investment, legal, tax, accounting and other advisers have carefully considered the suitability of an
investment in the Notes in light of your particular circumstances. You should also review carefully the “Key Risks” section
of this pricing supplement and the “Risk Factors” section of the accompanying prospectus supplement and the accompanying product
supplement for risks related to an investment in the Notes. For more information on the Underlyings, please see the section titled “The
Underlyings” below.
Observation Dates and Coupon Payment Dates |
Observation Dates† |
Coupon Payment Dates |
August 15, 2022 |
August 17, 2022 |
November 14, 2022 |
November 16, 2022 |
February 13, 2023 |
February 15, 2023 |
May 15, 2023 |
May 17, 2023 |
August 14, 2023 |
August 16, 2023 |
November 13, 2023 |
November 15, 2023 |
February 13, 2024 |
February 15, 2024 |
May 13, 2024 |
May 15, 2024 |
August 13, 2024 |
August 15, 2024 |
November 13, 2024 |
November 15, 2024 |
February 13, 2025 |
February 18, 2025 |
May 13, 2025 (the Final Valuation Date) |
May 16, 2025 (the Maturity Date) |
†The Notes are not callable until the second Observation
Date, November 14, 2022.
Each of the Observation Dates, and therefore the Coupon Payment Dates,
is 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.
What Are the Tax Consequences of the Notes? |
You should review carefully the section entitled “Material U.S.
Federal Income Tax Consequences” in the accompanying product supplement no. UBS-1-II. In determining our reporting responsibilities
we intend to treat (i) the Notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent coupons
and (ii) any Contingent Coupons as ordinary income, as described in the section entitled “Material U.S. Federal Income Tax Consequences
— Tax Consequences to U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated Contingent Coupons”
in the accompanying product supplement. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel, we believe that
this is a reasonable treatment, but that there are other reasonable treatments that the IRS or a court may adopt.
Sale, Exchange or Redemption of a Note. Assuming the treatment
described above is respected, upon a sale or exchange of the Notes (including redemption upon an automatic call or at maturity), you should
recognize capital gain or loss equal to the difference between the amount realized on the sale or exchange and your tax basis in the Notes,
which should equal the amount you paid to acquire the Notes (assuming Contingent Coupons are properly treated as ordinary income, consistent
with the position referred to above). This gain or loss should be short-term capital gain or loss unless you hold the Notes for more than
one year, in which case the gain or loss should be long-term capital gain or loss, whether or not you are an initial purchaser of the
Notes at the issue price. The deductibility of capital losses is subject to limitations. If you sell your Notes between the time your
right to a Contingent Coupon is fixed and the time it is paid, it is likely that you will be treated as receiving ordinary income equal
to the Contingent Coupon. Although uncertain, it is possible that proceeds received from the sale or exchange of your Notes prior to an
Observation Date but that can be attributed to an expected Contingent Coupon payment could be treated as ordinary income. You should consult
your tax adviser regarding this issue.
As described above, there are other reasonable treatments that the
IRS or a court may adopt, in which case the timing and character of any income or loss on the Notes could be materially 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 and the relevance of factors such as the nature of the underlying property to which the instruments
are linked. 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 affect the tax consequences of an investment in the Notes, possibly
with retroactive effect. The discussions above and in the accompanying product supplement do not address the consequences to taxpayers
subject to special tax accounting rules under Section 451(b) of the Code. You should consult your tax adviser regarding the U.S. federal
income tax consequences of an investment in the Notes, including possible alternative treatments and the issues presented by the notice
described above.
Non-U.S. Holders — Tax Considerations. The U.S. federal
income tax treatment of Contingent Coupons is uncertain, and although we believe it is reasonable to take a position that Contingent Coupons
are not subject to U.S. withholding tax (at least if an applicable Form W-8 is provided), a withholding agent may nonetheless withhold
on these payments (generally at a rate of 30%, subject to the possible reduction of that rate under an applicable income tax treaty),
unless income from your Notes is effectively connected with your conduct of a trade or business in the United States (and, if an applicable
treaty so requires, attributable to a permanent establishment in the United States). If you are not a United States person, you are urged
to consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the Notes in light of your particular
circumstances.
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.
In the event of any withholding on the Notes, we will not be required
to pay any additional amounts with respect to amounts so withheld.
An investment in the Notes involves significant risks. Investing in the
Notes is not equivalent to investing directly in the applicable Underlying. These risks are explained in more detail in the “Risk
Factors” sections of the accompanying prospectus supplement and the accompanying product supplement. We also urge you to consult
your investment, legal, tax, accounting and other advisers before you invest in the Notes.
Risks Relating to the Notes Generally
| t | Your Investment in the Notes May Result in a Loss — The Notes
differ from ordinary debt securities in that JPMorgan Financial will not necessarily repay the full principal amount of the Notes. If
the Notes are not called and the closing price of one share of the applicable Underlying has declined below the applicable Downside Threshold
on the Final Valuation Date, you will be fully exposed to any depreciation in the closing price of one share of the applicable Underlying
from the applicable Initial Value to the applicable Final Value. In this case, JPMorgan Financial will repay less than the full principal
amount at maturity, resulting in a loss of principal that is proportionate to the negative Underlying Return. Under these circumstances,
you will lose 1% of your principal for every 1% that the applicable Final Value is less than the applicable Initial Value and could lose
your entire principal amount. As a result, your investment in the Notes may not perform as well as an investment in a security that does
not have the potential for full downside exposure to the applicable Underlying at maturity. |
| t | Credit Risks of JPMorgan Financial and JPMorgan Chase & Co. —
The Notes are unsecured and unsubordinated debt obligations of the Issuer, JPMorgan Chase Financial Company LLC, the payment on which
is fully and unconditionally guaranteed by JPMorgan Chase & Co. The Notes will rank pari passu with all of our other unsecured
and unsubordinated obligations, and the related guarantee JPMorgan Chase & Co. will rank pari passu with all of JPMorgan Chase
& Co.’s other unsecured and unsubordinated obligations. The Notes and related guarantees are not, either directly or indirectly,
an obligation of any third party. Any payment to be made on the Notes, including any repayment of principal, depends on the ability of
JPMorgan Financial and JPMorgan Chase & Co. to satisfy their obligations as they come due. As a result, the actual and perceived creditworthiness
of JPMorgan Financial and JPMorgan Chase & Co. may affect the market value of the Notes and, in the event JPMorgan Financial and JPMorgan
Chase & Co. were to default on their obligations, you may not receive any amounts owed to you under the terms of the Notes and you
could lose your entire investment. |
| t | As a Finance Subsidiary, JPMorgan Financial Has No Independent Operations and
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. |
| t | You Are Not Guaranteed Any Contingent Coupons — We will not necessarily
make periodic coupon payments on the Notes. If the closing price of one share of the applicable Underlying on an Observation Date is less
than the applicable Coupon Barrier, we will not pay you the applicable Contingent Coupon for that Observation Date and the applicable
Contingent Coupon that would otherwise be payable will not be accrued and will be lost. If the closing price of one share of the applicable
Underlying is less than the applicable Coupon Barrier on each of the Observation Dates, we will not pay you any Contingent Coupon during
the term of, and you will not receive a positive return on, your Notes. Generally, this non-payment of the Contingent Coupon coincides
with a period of greater risk of principal loss on your Notes. |
| t | Return on the Notes Limited to the Sum of Any Contingent Coupons and You Will
Not Participate in Any Appreciation of the Applicable Underlying — The return potential of the Notes is limited to the specified
Contingent Coupon Rate, regardless of the appreciation in the closing price of one share of the applicable Underlying, which may be significant.
In addition, the total return on the Notes will vary based on the number of Observation Dates on which the requirements for a Contingent
Coupon have been met prior to maturity or an automatic call. Further, if the Notes are called, you will not receive any Contingent Coupons
or any other payments in respect of any Observation Dates after the applicable Call Settlement Date. Because the Notes could be called
as early as the second Observation Date, the total return on the Notes could be minimal. If the Notes are not called, you may be subject
to the applicable Underlying’s risk of decline even though you are not able to participate in any potential appreciation in
the price of the applicable Underlying. Generally, the longer the Notes remain outstanding, the less likely it is that they will be automatically
called, due to the decline in the price of the applicable Underlying and the shorter time remaining for the price of the applicable Underlying
to recover to or above the applicable Initial Value on a subsequent Observation Date. As a result, the return on an investment in the
Notes could be less than the return on a direct investment in the applicable Underlying. In addition, if the Notes are not called and
the applicable Final Value is below the applicable Downside Threshold, you will have a loss on your principal amount and the overall return
on the Notes may be less than the amount that would be paid on a conventional debt security of JPMorgan Financial of comparable maturity. |
| t | Contingent Repayment of Principal Applies Only If You Hold the Notes to Maturity
— If you are able to sell your Notes in the secondary market, if any, prior to maturity, you may have to sell them at a loss relative
to your initial investment even if the closing price of one share of the applicable Underlying is above the applicable Downside Threshold.
If by maturity the Notes have not been called, either JPMorgan Financial will repay you the full principal amount per Note plus the applicable
Contingent Coupon, or if the price of one share of the applicable Underlying closes below the applicable Downside Threshold on the Final
Valuation Date, JPMorgan Financial will repay less than the principal amount, if anything, at maturity, resulting in a loss on your principal
amount that is proportionate to the decline in the closing price of one share of the applicable Underlying from the |
applicable Initial Value to the applicable
Final Value. This contingent repayment of principal applies only if you hold your Notes to maturity.
| t | A Higher Applicable Contingent Coupon Rate and/or a Lower Applicable Coupon
Barrier and/or Applicable Downside Threshold May Reflect Greater Expected Volatility of the Applicable Underlying, Which Is Generally
Associated With a Greater Risk of Loss — Volatility is a measure of the degree of variation in the price of the applicable
Underlying over a period of time. The greater the expected volatility of the applicable Underlying at the time the terms of the Notes
are set, the greater the expectation is at that time that the price of the applicable Underlying could close below the applicable Coupon
Barrier on any Observation Date, resulting in the loss of one or more, or all, Contingent Coupon payments, or below the applicable Downside
Threshold on the Final Valuation Date, resulting in the loss of a significant portion or all of your principal at maturity. In addition,
the economic terms of the Notes, including the applicable Contingent Coupon Rate, the applicable Coupon Barrier and the applicable Downside
Threshold, are based, in part, on the expected volatility of the applicable Underlying at the time the terms of the Notes are set, where
a higher expected volatility will generally be reflected in a higher applicable Contingent Coupon Rate than the fixed rate we would pay
on conventional debt securities of the same maturity and/or on otherwise comparable securities and/or a lower applicable Coupon Barrier
and/or a lower applicable Downside Threshold as compared to otherwise comparable securities. Accordingly, a higher applicable Contingent
Coupon Rate will generally be indicative of a greater risk of loss while a lower applicable Coupon Barrier or applicable Downside Threshold
does not necessarily indicate that the Notes have a greater likelihood of paying Contingent Coupon payments or returning your principal
at maturity. You should be willing to accept the downside market risk of the applicable Underlying and the potential loss of some or all
of your principal at maturity. |
| t | Reinvestment Risk — If your Notes are called early, the
holding period over which you would have the opportunity to receive any Contingent Coupons could be as short as approximately six months.
There is no guarantee that you would be able to reinvest the proceeds from an investment in the Notes at a comparable return and/or with
a comparable interest rate for a similar level of risk in the event the Notes are called prior to the Maturity Date. |
| t | Each Contingent Coupon Is Based Solely on the Closing Price of One Share of
the Applicable Underlying on the Applicable Observation Date — Whether a Contingent Coupon will be payable with respect to
an Observation Date will be based solely on the closing price of one share of the applicable Underlying on that Observation Date. As a
result, you will not know whether you will receive a Contingent Coupon until the related Observation Date. Moreover, because each Contingent
Coupon is based solely on the closing price of one share of the applicable Underlying on the applicable Observation Date, if that closing
price is less than the applicable Coupon Barrier, you will not receive any Contingent Coupon with respect to that Observation Date, even
if the closing price of one share of the applicable Underlying was higher on other days during the period before that Observation Date. |
| t | No Dividend Payments or Voting Rights or Other Ownership Rights in the Applicable
Underlying — As a holder of the Notes, you will not have any ownership interest or rights in the applicable Underlying, such
as voting rights or rights to receive cash dividends or other distributions. In addition, the issuer of the applicable Underlying will
not have any obligation to consider your interests as a holder of the Notes in taking any corporate action that might affect the value
of the applicable Underlying and the Notes. |
| t | No Assurances That the Investment View Implicit in the Notes Will Be Successful
— While the Notes are structured to provide for Contingent Coupons if the applicable Underlying does not close below the
applicable Coupon Barrier on the Observation Dates, we cannot assure you of the economic environment during the term or at maturity of
your Notes. |
| t | Lack of Liquidity — The Notes will not be listed on any securities
exchange. JPMS intends to offer to purchase the Notes in the secondary market, but is not required to do so. Even if there is a secondary
market, it may not provide enough liquidity to allow you to trade or sell the Notes easily. Because other dealers are not likely to make
a secondary market for the Notes, the price at which you may be able to trade your Notes is likely to depend on the price, if any, at
which JPMS is willing to buy the Notes. |
| t | Tax Treatment — Significant aspects of the tax treatment of the
Notes are uncertain. You should consult your tax adviser about your tax situation. |
Risks Relating
to Conflicts of Interest
| t | Potential Conflicts — We and our affiliates play a variety of
roles in connection with the issuance of the Notes, including acting as calculation agent and hedging our obligations under the Notes
and making the assumptions used to determine the pricing of the Notes and the estimated value of the Notes when the terms of the Notes
are set, which we refer to as the estimated value of the Notes. In performing these duties, our and JPMorgan Chase & Co.’s economic
interests and the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as
an investor in the Notes. In addition, our and JPMorgan Chase & Co.’s business activities, including hedging and trading activities,
could cause our and JPMorgan Chase & Co.’s economic interests to be adverse to yours and could adversely affect any payment
on the Notes and the value of the Notes. It is possible that hedging or trading activities of ours or our affiliates in connection with
the Notes could result in substantial returns for us or our affiliates while the value of the Notes declines. Please refer to “Risk
Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement for additional information about
these risks. We and/or our affiliates may also currently or from time to time engage in business with the issuer of the applicable Underlying,
including extending loans to, or making equity investments in, the issuer of the applicable Underlying or providing advisory services
to the issuer of the applicable Underlying. As a prospective purchaser of the Notes, you should undertake an independent investigation
of the issuer of the applicable Underlying as in your judgment is appropriate to make an informed decision with respect to an investment
in the Notes. |
| t | Potentially Inconsistent Research, Opinions or Recommendations by JPMS, UBS
or Their Affiliates — JPMS, UBS or their affiliates may publish research, express opinions or provide recommendations (for
example, with respect to the issuer of the applicable Underlying) that are inconsistent with investing in or holding the Notes, and that
may be revised at any time. Any such |
research, opinions or recommendations may
or may not recommend that investors buy or hold the applicable Underlying and could affect the value of the applicable Underlying, and
therefore the market value of the Notes.
| t | Potential JPMorgan Financial Impact on the Market Price of the Applicable Underlying
— Trading or transactions by JPMorgan Financial or its affiliates in the applicable Underlying and/or over-the-counter options,
futures or other instruments with returns linked to the performance of the applicable Underlying may adversely affect the market price
of the applicable Underlying and, therefore, the market value of the Notes. |
Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes
| t | 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. |
| t | The Estimated Value of the Notes Does Not Represent Future Values of the Notes
and May Differ from Others’ Estimates — The estimated value of the Notes is determined by reference to internal pricing
models of our affiliates when the terms of the Notes are set. This estimated value of the Notes is based on market conditions and other
relevant factors existing at that time and assumptions about market parameters, which can include volatility, dividend rates, interest
rates and other factors. Different pricing models and assumptions could provide valuations for the Notes that are greater than or less
than the estimated value of the Notes. In addition, market conditions and other relevant factors in the future may change, and any assumptions
may prove to be incorrect. On future dates, the value of the Notes could change significantly based on, among other things, changes in
market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements and other relevant factors, which
may impact the price, if any, at which JPMS would be willing to buy Notes from you in secondary market transactions. See “The Estimated
Value of the Notes” in this pricing supplement. |
| t | 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. |
| t | The Value of the Notes as Published by JPMS (and Which May Be Reflected on
Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period —
We generally expect that some of the costs included in the original issue price of the Notes will be partially paid back to you in connection
with any repurchases of your Notes by JPMS in an amount that will decline to zero over an initial predetermined period. These costs can
include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary
market funding rates for structured debt issuances. See “Secondary Market Prices of the Notes” in this pricing supplement
for additional information relating to this initial period. Accordingly, the estimated value of your Notes during this initial period
may be lower than the value of the Notes as published by JPMS (and which may be shown on your customer account statements). |
| t | Secondary Market Prices of the Notes Will Likely Be
Lower Than the Original Issue Price of the Notes — Any secondary market prices of the
Notes will likely be lower than the original issue price of the Notes because, among other things, secondary market prices take into account
our internal secondary market funding rates for structured debt issuances and, also, because secondary market prices may exclude selling
commissions, projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the Notes.
As a result, the price, if any, at which JPMS will be willing to buy Notes from you in secondary market transactions, if at all, is likely
to be lower than the original issue price. Any sale by you prior to the Maturity Date could result in a substantial loss to you. See the
immediately following risk factor for information about additional factors that will impact any secondary market prices of the Notes. |
The Notes are not designed
to be short-term trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity. See “— Risks
Relating to the Notes Generally — Lack of Liquidity” above.
| t | Many Economic and Market Factors Will Impact the Value
of the Notes — As described under “The Estimated Value of the Notes” in
this pricing supplement, the Notes can be thought of as securities that combine a fixed-income debt component with one or more derivatives.
As a result, the factors that influence the values of fixed-income debt and derivative instruments will also influence the terms of the
Notes at issuance and their value in the secondary market. Accordingly, 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 the applicable Underlying, including: |
| t | any actual or potential change in our or JPMorgan Chase &
Co.’s creditworthiness or credit spreads; |
| t | customary bid-ask spreads for similarly sized trades; |
| t | our internal secondary market funding rates for structured
debt issuances; |
| t | the actual and expected volatility in the closing price of
one share of the applicable Underlying; |
| t | the time to maturity of the Notes; |
| t | the likelihood of an automatic call being triggered; |
| t | whether the closing price of one share of the applicable Underlying has been, or is expected to be, less than the applicable Coupon
Barrier on any Observation Date and whether the applicable Final Value is expected to be less than the Downside Threshold; |
| t | the dividend rate on the applicable Underlying; |
| t | the occurrence of certain events affecting the issuer of the applicable Underlying that may or may not require an adjustment to the
closing price and the Stock Adjustment Factor of the applicable Underlying, including a merger or acquisition; |
| t | interest and yield rates in the market generally; and |
| t | a variety of other economic, financial, political, regulatory
and judicial events. |
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.
Risks Relating to the Underlyings
| t | Single Stock Risk — The price of the applicable Underlying can
rise or fall sharply due to factors specific to that Underlying and its issuer, such as stock price volatility, earnings, financial conditions,
corporate, industry and regulatory developments, management changes and decisions and other events, as well as general market factors,
such as general stock market volatility and levels, interest rates and economic and political conditions. For additional information regarding
each Underlying and its issuer, please see “The Underlyings” and the section applicable to that Underlying issuer in this
pricing supplement and that issuer’s SEC filings referred to in those sections. We urge you to review financial and other information
filed periodically with the SEC by the applicable Underlying issuer. |
| t | No Affiliation with the Applicable Underlying Issuer — We are
not affiliated with the issuer of the applicable Underlying. We have not independently verified any of the information about the applicable
Underlying issuer contained in this pricing supplement. You should make your own investigation into the applicable Underlying and its
issuer. We are not responsible for the applicable Underlying issuer’s public disclosure of information, whether contained in SEC
filings or otherwise. |
| t | Anti-Dilution Protection Is Limited and May Be Discretionary —
Although the calculation agent will adjust the closing price and the Stock Adjustment Factor of the applicable Underlying for certain
corporate events (such as stock splits and stock dividends) affecting the applicable Underlying, the calculation agent is not required
to make an adjustment for every corporate event that can affect the applicable Underlying. If an event occurs that does not require the
calculation agent to make these adjustments, the market value of your Notes, whether the Notes will be automatically called and any payment
on the Notes may be materially and adversely affected. You should also be aware that the calculation agent may make any such adjustment,
determination or calculation in a manner that differs from what is described in the accompanying product supplement as it deems necessary
to ensure an equitable result. Subject to the foregoing, the calculation agent is under no obligation to consider your interests as a
holder of the Notes in making these determinations. |
Hypothetical terms only. Actual terms may vary.
See the cover page for actual offering terms.
The examples below illustrate the hypothetical payments on a Coupon
Payment Date, upon an automatic call or at maturity under different hypothetical scenarios for a $10.00 Note on an offering of the Notes
linked to a hypothetical Underlying and assume an Initial Value of $100, a Downside Threshold and Coupon Barrier of $80.00 (which is 80.00%
of the hypothetical Initial Value) and a Contingent Coupon Rate of 7.00% per annum*. The hypothetical Initial Value of $100.00 has been
chosen for illustrative purposes only and does not represent the actual Initial Value for any Underlying. For historical data regarding
the actual closing prices of one share of each Underlying, please see the historical information set forth under “The Underlyings”
in this pricing supplement.
Principal Amount: |
$10.00 |
Term: |
Approximately 3 years (unless earlier called) |
Hypothetical Initial Value: |
$100.00 |
Hypothetical Contingent Coupon Rate: |
7.00% per annum (or 1.75% per quarter) |
Observation Dates: |
Quarterly (callable after six months) |
Hypothetical Downside Threshold: |
$80.00 (which is 80.00% of the hypothetical Initial Value) |
Hypothetical Coupon Barrier: |
$80.00 (which is 80.00% of the hypothetical Initial Value) |
* |
The actual value of any Contingent Coupon payments you will receive over the term of the Notes, the actual value of the payment upon automatic call or at maturity and the actual Initial Value, Downside Threshold and Coupon Barrier for each Underlying applicable to your Notes may be more or less than the amounts displayed in these hypothetical scenarios. The actual Contingent Coupon Rate, Initial Value, Downside Threshold and Coupon Barrier for each Underlying are specified on the cover of this pricing supplement. |
The examples below are purely hypothetical and are not based on
any specific offering of Notes linked to any specific Underlying. These examples are intended to illustrate how the value of any payment
on the Notes will depend on the closing price on the Observation Dates.
Example 1 — Notes Are Automatically Called on the Second Observation
Date
Date |
Closing Price |
Payment (per Note) |
First Observation Date |
$105.00 (at or above Initial Value; Notes NOT called because Observation Date is prior to the second Observation Date) |
$0.175 (Contingent Coupon) |
Second Observation Date |
$110.00 (at or above Initial Value) |
$10.175 |
|
|
|
|
|
Total Payment: |
$10.35 (3.50% return) |
|
|
|
|
Although the closing price is above the Initial Value on the first
Observation Date, the Notes are not called because the Notes cannot be called before the second Observation Date. Because the Notes are
automatically called on the second Observation Date, we will pay you on the applicable Call Settlement Date a total of $10.175 per Note,
reflecting your principal amount plus the applicable Contingent Coupon. When that amount is added to the Contingent Coupon payment
of $0.175 received in respect of prior Observation Dates, we will have paid you a total of $10.35 per Note for a 3.50% total return on
the Notes. No further amounts will be owed on the Notes.
Example 2 — Notes Are Automatically Called on the Eleventh
Observation Date
Date |
Closing Price |
Payment (per Note) |
First Observation Date |
$90.00 (at or above Coupon Barrier; below Initial Value) |
$0.175 (Contingent Coupon) |
Second Observation Date |
$85.00 (at or above Coupon Barrier; below Initial Value) |
$0.175 (Contingent Coupon) |
Third through Tenth Observation Dates |
Various (all at or above Coupon Barrier, all below Initial Value) |
$1.40 (Contingent Coupons) |
Eleventh Observation Date |
$105.00 (at or above Initial Value) |
$10.175 (Payment upon Automatic Call) |
|
|
|
|
|
Total Payment: |
$11.925 (19.25% return) |
|
|
|
|
Because the Notes are automatically called on the eleventh Observation
Date, we will pay you on the applicable Call Settlement Date a total of $10.175 per Note, reflecting your principal amount plus
the applicable Contingent Coupon. When that amount is added to the Contingent Coupon payments of $1.75 received in respect of prior Observation
Dates, we will have paid you a total of $11.925 per Note for a 19.25% total return on the Notes. No further amounts will be owed on the
Notes.
Example 3 — Notes Are NOT Automatically Called and
the Final Value Is at or above the Downside Threshold
Date |
Closing Price |
Payment (per Note) |
First Observation Date |
$90.00 (at or above Coupon Barrier; below Initial Value) |
$0.175 (Contingent Coupon) |
Second Observation Date |
$85.00 (at or above Coupon Barrier; below Initial Value) |
$0.175 (Contingent Coupon) |
Third through Eleventh Observation Dates |
Various (all below Coupon Barrier) |
$0.00 |
Final Valuation Date |
$85.00 (at or above Downside Threshold; below Initial Value) |
$10.175 (Payment at Maturity) |
|
|
|
|
|
Total Payment: |
$10.525 (5.25% return) |
|
|
|
|
At maturity, we will pay you a total of $10.175 per Note, reflecting
your principal amount plus the applicable Contingent Coupon. When that amount is added to the Contingent Coupon payments of $0.35
received in respect of prior Observation Dates, we will have paid you a total of $10.525 per Note for a 5.25% total return on the Notes.
Example 4 — Notes Are NOT Automatically Called and
the Final Value Is below the Downside Threshold
Date |
Closing Price |
Payment (per Note) |
First Observation Date |
$90.00 (at or above Coupon Barrier; below Initial Value) |
$0.175 (Contingent Coupon) |
Second Observation Date |
$85.00 (at or above Coupon Barrier; below Initial Value) |
$0.175 (Contingent Coupon) |
Third through Eleventh Observation Dates |
Various (all at or above Coupon Barrier; all below Initial Value) |
$1.575 (Contingent Coupons) |
Final Valuation Date |
$60.00 (below Downside Threshold) |
$10.00 × (1 + Underlying Return) =
$10.00 × (1 + -40%) =
$10.00 × 60% =
$6.00 (Payment at Maturity) |
|
|
|
|
|
Total Payment: |
$7.925 (-20.75% return) |
|
|
|
|
Because the Notes are not automatically called, the Final Value of
$60.00 is below the Downside Threshold and the Underlying Return is -40%, at maturity we will pay you $6.00 per Note. When that amount
is added to the Contingent Coupon payments of $1.925 received in respect of prior Observation Dates, we will have paid you $7.925 per
Note for a loss on the Notes of 20.75%.
Example 5 — Notes Are NOT Automatically Called and
the Final Value is below the Downside Threshold
Date |
Closing Price |
Payment (per Note) |
First Observation Date |
$65.00 (below Coupon Barrier) |
$0.00 |
Second Observation Date |
$60.00 (below Coupon Barrier) |
$0.00 |
Third through Eleventh Observation Dates |
Various (all below Coupon Barrier) |
$0.00 |
Final Valuation Date |
$50.00 (below Downside Threshold) |
$10.00 × (1 + Underlying Return) =
$10.00 × (1 + -50%) =
$10.00 × 50% =
$5.00 (Payment at Maturity) |
|
|
|
|
|
Total Payment: |
$5.00 (-50.00% return) |
|
|
|
|
Because the Notes are not automatically called, the Final Value is
below the Downside Threshold and the Underlying Return is -50%, at maturity we will pay you $5.00 per Note for a loss on the Notes of
50.00%. Because there is no Contingent Coupon paid during the term of the Notes, that represents the total payment on the Notes.
The hypothetical returns and hypothetical payments on the Notes shown
above apply only if you hold the Notes for their entire term or until automatically called. These hypotheticals do not reflect
fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical
returns and hypothetical payments shown above would likely be lower.
Included on the following pages is a brief description of the issuers
of the Underlyings. This information has been obtained from publicly available sources, without independent verification. Set forth below
is a table that provides the quarterly high and low closing prices of one share of each Underlying. Except as set forth below, the information
given below is for the four calendar quarters in each of 2017, 2018, 2019, 2020 and 2021 and the first calendar quarter of 2022. Partial
data is provided for the second calendar quarter of 2022. We obtained the closing price information set forth below from the Bloomberg
Professional® service (“Bloomberg”), without independent verification. You should not take the historical prices
of any Underlying as an indication of future performance.
Each of the Underlyings is registered under the Securities Exchange
Act of 1934, as amended (the “Exchange Act”). Companies with securities registered under the Exchange Act are required to
file financial and other information specified by the SEC periodically. Information filed by the issuer of each Underlying with the SEC
can be reviewed electronically through a web site maintained by the SEC. The address of the SEC’s web site is http://www.sec.gov.
Information filed with the SEC by the issuer of each Underlying under the Exchange Act can be located by reference to its SEC file number
provided below. We do not make any representation that these publicly available documents are accurate or complete.
International Business Machines Corporation |
According to its publicly available filings with the SEC,
International Business Machines Corporation, which we refer to as IBM, offers its hybrid cloud platform and artificial intelligence technology
to its clients. The capital stock of IBM, par value $0.20 per share (Bloomberg ticker: IBM), is listed on the New York Stock Exchange,
which we refer to as the relevant exchange for purposes of IBM in the accompanying product supplement. IBM’s SEC file number is
001-02360.
Historical Information Regarding the Capital Stock of IBM
The following table sets forth the quarterly high and low closing prices
of one share of the capital stock of IBM based on daily closing prices on the primary exchange for IBM as reported by Bloomberg.
The closing price of one share of the capital stock of IBM on May 13, 2022 was $133.60. We obtained the closing prices above and below
from Bloomberg, without independent verification. The closing prices may have been adjusted by Bloomberg for corporate actions such as
stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
Since its inception, the price of one share of the capital stock of
IBM has experienced significant fluctuations. The historical performance of the capital stock of IBM should not be taken as an indication
of future performance, and no assurance can be given as to the closing prices of one share of the capital stock of IBM during the term
of the Notes. There can be no assurance that the performance of the capital stock of IBM will result in the return of any of your principal
amount.
Quarter Begin |
Quarter End |
Quarterly Closing High |
Quarterly Closing Low |
Close |
1/1/2017 |
3/31/2017 |
$173.79 |
$158.10 |
$166.33 |
4/1/2017 |
6/30/2017 |
$166.70 |
$143.63 |
$146.93 |
7/1/2017 |
9/30/2017 |
$148.60 |
$133.44 |
$138.58 |
10/1/2017 |
12/31/2017 |
$154.80 |
$139.91 |
$146.54 |
1/1/2018 |
3/31/2018 |
$161.54 |
$140.97 |
$146.55 |
4/1/2018 |
6/30/2018 |
$153.70 |
$131.32 |
$133.44 |
7/1/2018 |
9/30/2018 |
$144.81 |
$133.31 |
$144.43 |
10/1/2018 |
12/31/2018 |
$146.86 |
$102.75 |
$108.57 |
1/1/2019 |
3/31/2019 |
$135.10 |
$107.85 |
$134.77 |
4/1/2019 |
6/30/2019 |
$138.63 |
$121.30 |
$131.72 |
7/1/2019 |
9/30/2019 |
$144.57 |
$123.76 |
$138.90 |
10/1/2019 |
12/31/2019 |
$137.22 |
$126.00 |
$128.03 |
1/1/2020 |
3/31/2020 |
$149.73 |
$90.52 |
$105.96 |
4/1/2020 |
6/30/2020 |
$129.66 |
$100.43 |
$115.36 |
7/1/2020 |
9/30/2020 |
$122.90 |
$110.52 |
$116.21 |
10/1/2020 |
12/31/2020 |
$125.59 |
$101.87 |
$120.24 |
1/1/2021 |
3/31/2021 |
$130.27 |
$113.26 |
$127.29 |
4/1/2021 |
6/30/2021 |
$144.50 |
$125.30 |
$140.02 |
7/1/2021 |
9/30/2021 |
$140.26 |
$127.01 |
$132.70 |
10/1/2021 |
12/31/2021 |
$138.13 |
$115.81 |
$133.66 |
1/1/2022 |
3/31/2022 |
$138.22 |
$121.35 |
$130.02 |
4/1/2022 |
5/13/2022* |
$139.85 |
$125.98 |
$133.60 |
* |
As of the date of this pricing supplement, available information for the second calendar quarter of 2022 includes data for the period from April 1, 2022 through May 13, 2022. Accordingly, the “Quarterly Closing High,” “Quarterly Closing Low” and “Close” data indicated are for this shortened period only and do not reflect complete data for the second calendar quarter of 2022. |
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|
|
|
The graph below illustrates the daily performance of the capital stock of
IBM from January 3, 2012 through May 13, 2022, based on information from Bloomberg, without independent verification. The dotted line
represents the Downside Threshold and Coupon Barrier of $73.48, equal to 55.00% of the closing price of one share of the capital stock
of IBM on May 13, 2022.
Past performance of the Underlying is not indicative of the future performance
of the Underlying.
The Williams Companies, Inc. |
According to its publicly available filings with the SEC, The Williams
Companies, Inc., which we refer to as Williams, an energy company that provides natural gas gathering, processing, and transmission services,
natural gas liquids fractionation, transportation and storage services and marketing services. The common stock of Williams, par value
$1.00 per share (Bloomberg ticker: WMB), is listed on the New York Stock Exchange, which we refer to as the relevant exchange for purposes
of Williams in the accompanying product supplement. Williams’s SEC file number is 001-04174.
Historical Information Regarding the Common Stock of Williams
The following table sets forth the quarterly high and low closing prices
of one share of the common stock of Williams, based on daily closing prices on the primary exchange for Williams, as reported by Bloomberg.
The closing price of one share of the common stock of Williams on May 13, 2022 was $34.79. We obtained the closing prices above and below
from Bloomberg, without independent verification. The closing prices may have been adjusted by Bloomberg for corporate actions such as
stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
Since its inception, the price of one share of the common stock of
Williams has experienced significant fluctuations. The historical performance of the common stock of Williams should not be taken as an
indication of future performance, and no assurance can be given as to the closing prices of one share of the common stock of Williams
during the term of the Notes. There can be no assurance that the performance of the common stock of Williams will result in the return
of any of your principal amount.
Quarter Begin |
Quarter End |
Quarterly Closing High |
Quarterly Closing Low |
Close |
1/1/2017 |
3/31/2017 |
$32.42 |
$27.97 |
$29.59 |
4/1/2017 |
6/30/2017 |
$30.81 |
$27.85 |
$30.28 |
7/1/2017 |
9/30/2017 |
$31.99 |
$29.01 |
$30.01 |
10/1/2017 |
12/31/2017 |
$30.51 |
$27.02 |
$30.49 |
1/1/2018 |
3/31/2018 |
$33.21 |
$24.78 |
$24.86 |
4/1/2018 |
6/30/2018 |
$28.01 |
$24.38 |
$27.11 |
7/1/2018 |
9/30/2018 |
$31.79 |
$26.70 |
$27.19 |
10/1/2018 |
12/31/2018 |
$27.98 |
$20.58 |
$22.05 |
1/1/2019 |
3/31/2019 |
$28.93 |
$22.42 |
$28.72 |
4/1/2019 |
6/30/2019 |
$29.35 |
$26.30 |
$28.04 |
7/1/2019 |
9/30/2019 |
$28.85 |
$22.88 |
$24.06 |
10/1/2019 |
12/31/2019 |
$23.94 |
$21.95 |
$23.72 |
1/1/2020 |
3/31/2020 |
$24.04 |
$9.25 |
$14.15 |
4/1/2020 |
6/30/2020 |
$21.58 |
$13.33 |
$19.02 |
7/1/2020 |
9/30/2020 |
$22.34 |
$18.27 |
$19.65 |
10/1/2020 |
12/31/2020 |
$22.49 |
$18.26 |
$20.05 |
1/1/2021 |
3/31/2021 |
$24.56 |
$20.10 |
$23.69 |
4/1/2021 |
6/30/2021 |
$28.23 |
$23.24 |
$26.55 |
7/1/2021 |
9/30/2021 |
$26.94 |
$23.89 |
$25.94 |
10/1/2021 |
12/31/2021 |
$29.55 |
$25.35 |
$26.04 |
1/1/2022 |
3/31/2022 |
$33.88 |
$26.50 |
$33.41 |
4/1/2022 |
5/13/2022* |
$36.89 |
$32.98 |
$34.79 |
* |
As of the date of this pricing supplement, available information for the second calendar quarter of 2022 includes data for the period from April 1, 2022 through May 13, 2022. Accordingly, the “Quarterly Closing High,” “Quarterly Closing Low” and “Close” data indicated are for this shortened period only and do not reflect complete data for the second calendar quarter of 2022. |
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|
The graph below illustrates the daily performance of the common stock of
Williams from January 3, 2012 through May 13, 2022, based on information from Bloomberg, without independent verification. The dotted
line represents the Downside Threshold and Coupon Barrier of $19.31, equal to 55.50% of the closing price of one share of the common stock
of Williams on May 13, 2022.
Past performance of the Underlying is not indicative of the future performance
of the Underlying.