Additional
Information about JPMorgan Financial, JPMorgan Chase & Co. and the Notes
You should read this pricing supplement together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which these Notes
are a part, and the more detailed information contained in the accompanying product supplement and the accompanying underlying supplement.
This pricing supplement, together with the documents listed below, contains the terms of the Notes and supersedes all other prior or
contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence,
trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You
should carefully consider, among other things, the matters set forth in the “Risk Factors” sections of the accompanying prospectus
supplement, the accompanying product supplement and the accompanying underlying supplement, as the Notes involve risks not associated
with conventional debt securities.
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.
Observation
Dates and Coupon Payment Dates
Observation Dates† |
Coupon Payment Dates† |
November 7, 2022 |
November 9, 2022 |
February 6, 2023 |
February 8, 2023 |
May 5, 2023 |
May 9, 2023 |
August 7, 2023 |
August 9, 2023 |
November 6, 2023 |
November 8, 2023 |
February 5, 2024 |
February 7, 2024 |
May 6, 2024 |
May 8, 2024 |
August 5, 2024 |
August 7, 2024 |
November 5, 2024 |
November 7, 2024 |
February 5, 2025 |
February 7, 2025 |
May 5, 2025 |
May 7, 2025 |
August 5, 2025 (the Final Valuation Date) |
August 8, 2025 (the Maturity Date) |
†The Notes are not callable until the second Observation
Date, February 6, 2023.
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 Multiple Underlyings” 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.
Key
Risks
An investment in the Notes involves significant risks. Investing in
the Notes is not equivalent to investing directly in either or both of the Underlyings. These risks are explained in more detail in the
“Risk Factors” sections of the accompanying prospectus supplement, the accompanying product supplement and the accompanying
underlying 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 either
Underlying has declined below its Downside Threshold on the Final Valuation Date, you will be fully exposed to any depreciation of the
Lesser Performing Underlying from its Initial Value to its 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 of the Lesser Performing
Underlying. Under these circumstances, you will lose 1% of your principal for every 1% that the Final Value of the Lesser Performing Underlying
is less than its 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 either 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 either Underlying on an Observation Date is less than its Coupon Barrier, we will not pay you the Contingent
Coupon for that Observation Date even if the closing price of one share of the other Underlying is greater than or equal to its Coupon
Barrier on that Observation Date, and the Contingent Coupon that would otherwise be payable will not be accrued and will be lost. If the
closing price of one share of either Underlying is less than its 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 Either Underlying
— The return potential of the Notes is limited to the specified Contingent Coupon Rate, regardless of the appreciation of either
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 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 risk of decline in the price of one share of each Underlying, even though you are not able
to participate in any potential appreciation of either 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 one share of one or both of the Underlyings and the shorter
time remaining for the price of either Underlying to recover to or above its 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 hypothetical direct investment in either Underlying.
In addition, if the Notes are not called and the Final Value of either Underlying is below its 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 | Because the Notes Are Linked to the Lesser Performing Underlying,
You Are Exposed to Greater Risks of No Contingent Coupons and Sustaining a Significant Loss on Your Investment at Maturity Than If the
Notes Were Linked to a Single Underlying — The risk that you will not receive any Contingent Coupons and lose some or all of
your initial investment in the Notes at maturity is greater if you invest in the Notes as opposed to substantially similar securities
that are linked to the performance of a single Underlying. With two Underlyings, it is more likely that the closing price of one share
of either Underlying will be less than its Coupon Barrier on the Observation Dates or less than its Downside Threshold on the Final Valuation
Date. Therefore it is more likely that you will not receive any Contingent Coupons and that you will suffer a significant loss on your
investment at maturity. In addition, the performance of the Underlyings may not be correlated or may be negatively correlated. |
The lower the correlation between two Underlyings,
the greater the potential for one of those Underlyings to close below its Coupon Barrier or Downside Threshold on an Observation Date
or the Final Valuation Date, respectively. Although the correlation of the Underlyings’ performance may change over the term of
the Notes, the Contingent Coupon Rate is determined, in part, based on the correlation of the Underlyings’ performance, as calculated
using internal models of our affiliates at the time when the terms of the Notes are finalized. A higher Contingent Coupon Rate is generally
associated with lower correlation of the Underlyings, which reflects a greater potential for missed Contingent Coupons and for a loss
of principal at maturity. The correlation referenced in setting the terms of the Notes is calculated using internal models of our affiliates
and is not derived from the returns of the Underlyings over the period set forth under “Correlation of the Underlyings” below.
In addition, other factors and inputs other than correlation may impact how the terms of the Notes are set and the performance of the
Notes. Furthermore, because the closing price of one share of each Underlying must be greater than or equal to its Initial Value on a
quarterly Observation Date (after an initial six-month non-call period) in order for the notes to be automatically called prior to maturity,
the Notes are less likely to be automatically called on any Observation Date than if the Notes were linked to a single Underlying.
| t | You Are Exposed to the Risk of Decline in the Price of One
Share of Each Underlying — Your return on the Notes and your payment at maturity, if any, is not linked to a basket consisting
of the Underlyings. If the Notes have not been automatically called, your payment at maturity is contingent upon the performance of each
individual Underlying such that you will be equally exposed to the risks related to either of the Underlyings. In addition, the performance
of the Underlyings may not be correlated. Poor performance by either of the Underlyings over the term of the Notes may negatively affect
whether you will receive a Contingent Coupon on any Coupon Payment Date and your payment at maturity and will not be offset or mitigated
by positive performance by the other Underlying. Accordingly, your investment is subject to the risk of decline in the price of one share
of each Underlying. |
| t | Your Payment at Maturity Will Be Determined By the Lesser Performing
Underlying — Because the payment at maturity will be determined based on the performance of the Lesser Performing Underlying,
you will not benefit from the performance of the other Underlying. Accordingly, if the Notes have not been automatically called
and the Final Value of either Underlying is less than its Downside Threshold, you will lose some or all of your principal amount at maturity,
even if the Final Value of the other Underlying is greater than or equal to its Initial Value. |
| 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 prices of one share of both Underlyings are above their respective Downside Thresholds. If by maturity the Notes have not been
called, either JPMorgan Financial will repay you the full principal amount per Note plus the Contingent Coupon, or, if either Underlying
closes below its 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
Lesser Performing Underlying from its Initial Value to its Final Value. This contingent repayment of principal applies only if you hold
your Notes to maturity. |
| t | A Higher Contingent Coupon Rate and/or a Lower Coupon Barrier and/or Downside Threshold May Reflect Greater Expected Volatility
of the Underlyings, Which Is Generally Associated With a Greater Risk of Loss — Volatility is a measure of the degree of variation
in the prices of one share of the Underlyings over a period of time. The greater the expected volatilities of the Underlyings at
the time the terms of the Notes are set, the greater the expectation is at that time that the price of one share of an Underlying could
close below its Coupon Barrier on any Observation Date, resulting in the loss of one or more, or all, Contingent Coupon payments, or below
its 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 Contingent Coupon Rate, the Coupon Barrier and the Downside Threshold, are
based, in part, on the expected volatilities of the Underlyings at the time the terms of the Notes are set, where higher expected volatilities
will generally be reflected in a higher 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 Coupon Barrier and/or a lower Downside Threshold as compared to
otherwise comparable securities. Accordingly, a higher Contingent Coupon Rate will generally be indicative of a greater risk of
loss while a lower Coupon Barrier or 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
each 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 Prices of One Share of the Underlyings 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 prices
of one share of the Underlyings 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 prices of one share of the
Underlyings on the applicable Observation Date, if the closing price of one share of either Underlying is less than its 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 other
Underlying is equal to or greater than its Coupon Barrier and even if the closing price of one share of that Underlying was higher on
other days during the period before that Observation Date. |
| t | Investing in the Notes Is Not Equivalent to Investing in the
Underlyings or the Equity Securities Held by the Underlyings — Investing in the Notes is not equivalent to investing in the
Underlyings or the equity securities held by the Underlyings. As an investor in the Notes, you will not have any ownership interest or
rights in the Underlyings or the equity securities held by the Underlyings, such as voting rights, dividend payments or other distributions. |
| t | Your Return on the Notes Will Not Reflect Dividends on the
Underlyings or the Equity Securities Held by the Underlyings — Your return on the Notes will not reflect the return you would
realize if you actually owned the Underlyings or the equity securities |
held by the Underlyings and received the dividends
on the Underlyings or those equity securities. This is because the calculation agent will determine whether the Notes will be called and
whether a Contingent Coupon is payable and, if the Notes are not called, will calculate the amount payable to you at maturity of the Notes
by reference to the closing price of one share of each Underlying on the relevant Observation Date, without taking into consideration
the value of dividends on the Underlyings or the equity securities held by the Underlyings.
| 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 each Underlying does not close below its 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. |
| 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 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 Underlyings and could affect the price of one share of an Underlying, and therefore the market value of the Notes. |
| t | Potential JPMorgan Financial Impact on the Price of One Share of an Underlying — Trading or transactions by JPMorgan
Financial or its affiliates in an Underlying and/or over-the-counter options, futures or other instruments with returns linked to the
performance of an Underlying may adversely affect the price of one share of that 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 structuring and hedging the Notes are included in the original issue price of the Notes.
These costs include 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 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 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 projected hedging profits, if any, estimated hedging costs and the prices of one share of the Underlyings, 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 prices of one share
of the Underlyings; |
| 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 either Underlying
has been, or is expected to be, less than its Coupon Barrier on any Observation Date and whether the Final Value of either Underlying
is expected to be less than its Downside Threshold; |
| t | the dividend rates on the Underlyings and the equity securities held by the Underlyings; |
| t | the occurrence of certain events affecting an Underlying that may or may not require an adjustment to the closing price and the Share
Adjustment Factor of that Underlying; |
| t | the actual and expected positive or negative correlation between
the Underlyings, or the actual or expected absence of any such correlation; |
| 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 | JPMorgan Chase & Co. Is Currently One of the Companies that Make Up the
iShares® S&P 500 Value ETF and Its Underlying Index — JPMorgan Chase & Co. is currently one of the
companies that make up the iShares® S&P 500 Value ETF and its Underlying Index (as defined under “The Underlyings”
below). JPMorgan Chase & Co. will not have any obligation to consider your interests as a holder of the Notes in taking any
corporate action that might affect the price of the iShares® S&P 500 Value ETF or the level of its Underlying Index. |
| t | No Affiliation with the Underlyings or the Issuers of the Equity Securities
Held by the Underlyings — We are not affiliated with the Underlyings or, to our knowledge, the issuers of the equity securities
held by the Underlyings. We have not independently verified the information about the Underlyings or the issuers of the equity securities
held by the Underlyings contained in this pricing supplement. You should make your own investigation into the Underlyings and the issuers
of the equity securities held by the Underlyings. We are not responsible for the public disclosure of information by the Underlyings or
the issuers of the equity securities held by the Underlyings, whether contained in SEC filings or otherwise. |
| t | There Are Risks Associated with the Underlyings
— Although shares of the Underlyings are listed for trading on a securities exchange and a
number of similar products have been trading on a securities exchange for varying periods of time, there is no assurance that an active
trading market will continue for the shares of the Underlyings or that there will be liquidity in the trading market. The Underlyings
are subject to management risk, which is the risk that the investment strategies of the applicable Underlying’s |
investment
adviser, the implementation of which is subject to a number of constraints, may not produce the intended results. These constraints
could adversely affect the market price of the shares of the Underlyings, and consequently, the value of the Notes.
| t | The Performance and Market Value of Each Underlying,
Particularly During Periods of Market Volatility, May Not Correlate with the Performance of that Underlying’s Underlying Index as
well as the Net Asset Value per Share — Each Underlying does not fully replicate
its Underlying Index (as defined under “The Underlyings” below) and may hold securities different from those included in their
Underlying Indices. In addition, the performance of each Underlying will reflect additional transaction costs and fees that are not included
in the calculation of that Underlying Index. All of these factors may lead to a lack of correlation between the performance of each Underlying
and its Underlying Index. In addition, corporate actions with respect to the equity securities underlying an Underlying (such as mergers
and spin-offs) may impact the variance between the performances of that Underlying and its Underlying Index. Finally, because the shares
of each Underlying are traded on a securities exchange and are subject to market supply and investor demand, the market value of one share
of each Underlying may differ from the net asset value per share of that Underlying. |
During periods of market volatility, securities
underlying each Underlying may be unavailable in the secondary market, market participants may be unable to calculate accurately the net
asset value per share of that Underlying and the liquidity of that Underlying may be adversely affected. This kind of market volatility
may also disrupt the ability of market participants to create and redeem shares of an Underlying. Further, market volatility may adversely
affect, sometimes materially, the prices at which market participants are willing to buy and sell shares of an Underlying. As a result,
under these circumstances, the market value of shares of an Underlying may vary substantially from the net asset value per share of that
Underlying. For all of the foregoing reasons, the performance of each Underlying may not correlate with the performance of its Underlying
Index as well as the net asset value per share of that Underlying, which could materially and adversely affect the value of the Notes
in the secondary market and/or reduce any payment on the Notes.
| t | The Investment Strategy Represented by the Underlyings May Not Be Successful —
Each Underlying is intended to represent a “value” investment strategy. The iShares® S&P
500 Value ETF is an exchange-traded fund of iShares® Trust, a registered investment company, that seeks to track the investment
results, before fees and expenses, of an index composed of large-capitalization U.S. equities that exhibit value characteristics, which
we refer to as the Underlying Index with respect to the iShares® S&P 500 Value ETF. The Underlying Index for
the iShares® S&P 500 Value ETF is currently the S&P 500® Value Index. The S&P 500®
Value Index is a float-adjusted market capitalization-weighted index that is designed to measure the full performance of companies included
in the S&P 500® Index that exhibit relatively strong value characteristics (determined by reference to (1) book-value-to-price
ratio, (2) earnings-to-price ratio and (3) sales-to-price ratio) and relatively weak growth characteristics (determined by reference to
earnings-per-share growth, sales-per-share growth and upward share price momentum) and a portion of the performance of companies with
more balanced value and growth characteristics (where greater weight is allocated to companies with relatively stronger value characteristics
and relatively weaker growth characteristics). The iShares® Russell 2000 Value
ETF seeks to track the investment results, before fees and expenses, of an index composed of small capitalization U.S. equities that exhibit
value characteristics, which is currently the Russell 2000® Value Index. The Russell 2000® Value Index
measures the capitalization-weighted price performance of the stocks included in the Russell 2000® Index that are determined
by FTSE Russell to be value oriented, with lower price-to-book ratios and lower forecasted growth values. A “value”
investment strategy is premised on the goal of investing in stocks that are determined to be relatively cheap or “undervalued”
under the assumption that the value of those stocks will increase over time as the market comes to reflect the “fair” market
value of those stocks. However, the value characteristics referenced by each of the Underlyings may not be accurate predictors of
undervalued stocks, and there is no guarantee that undervalued stocks will appreciate. In addition, each of the Underlyings’
selection methodology includes a significant bias against stocks with strong growth characteristics, and stocks with strong growth characteristics
may outperform stocks with weak growth characteristics. There is no assurance that the Underlyings will
outperform any other exchange-traded fund or any index or strategy that tracks U.S. stocks selected using other criteria and may underperform
the S&P 500® Index or the Russell 2000® Index, as applicable, as a whole. It is possible that
the stock selection methodology of each Underlying will adversely affect its return and, consequently, the price of one share of that
Underlying and the value and return of the Notes. |
| t | An Investment in the Notes Is Subject to Risks Associated with
Small Capitalization Stocks with Respect to the iShares® Russell 2000 Value ETF — The
equity securities held by the iShares® Russell 2000 Value ETF are issued by companies with relatively small market capitalization.
The stock prices of smaller companies may be more volatile than stock prices of large capitalization companies. Small capitalization
companies may be less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. These
companies tend to be less well-established than large market capitalization companies. Small capitalization companies are less likely
to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock price pressure
under adverse market conditions. |
| t | Anti-Dilution Protection Is Limited — Although the
calculation agent will adjust the closing price and the Share Adjustment Factor of each Underlying for certain events affecting that
Underlying, the calculation agent is not required to make an adjustment for every event that can affect that Underlying. If an
event occurs that does not require the calculation agent to make these adjustments, the market value of your Notes and any payment on
the Notes may be materially and adversely affected. |
Hypothetical
Examples
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, with the assumptions set forth below.* We cannot predict the closing price of one share of either Underlying on any day during
the term of the Notes, including on any Observation Date. You should not take these examples as an indication or assurance of the expected
performance of the Notes. Numbers in the examples below have been rounded for ease of analysis. In these examples, we refer to the iShares®
S&P 500 Value ETF and the iShares® Russell 2000 Value ETF as the “IVE Fund” and the “IWN Fund,”
respectively.
Principal Amount: |
$10.00 |
Term: |
Approximately 3 years (unless earlier called) |
Hypothetical Initial Value: |
$100.00 for the IVE Fund and $100.00 for the IWN Fund |
Contingent Coupon Rate: |
9.65% per annum (or 2.413% per quarter) |
Observation Dates: |
Quarterly (callable after six months) |
Hypothetical Downside Threshold: |
$70.00 for the IVE Fund and $70.00 for the IWN Fund (which, with respect to each Underlying, is 70% of the hypothetical Initial Value of that Underlying) |
Hypothetical Coupon Barrier: |
$70.00 for the IVE Fund and $70.00 for the IWN Fund (which, with respect to each Underlying, is 70% of the hypothetical Initial Value of that Underlying) |
* |
Terms used for purposes of these hypothetical examples do not represent the actual Initial Values, Coupon Barriers or Downside Thresholds. The hypothetical Initial Values of $100.00 for the IVE Fund and $100.00 for the IWN Fund have been chosen for illustrative purposes only and do not represent the actual Initial Value for either Underlying. The actual Initial Value and resulting Downside Threshold and Coupon Barrier of each Underlying are based on the closing price of one share of that Underlying on the Trade Date and are specified on the cover of this pricing supplement. For historical data regarding the actual closing prices of one share of the Underlyings, please see the historical information set forth under the sections titled “The iShares® S&P 500 Value ETF” and “The iShares® Russell 2000 Value ETF” below. |
The examples below are purely hypothetical. These examples are intended
to illustrate (a) under what circumstances the Notes will be subject to an automatic call, (b) how the payment of a Contingent Coupon
with respect to any Observation Date will depend on whether the closing price of one share of either Underlying on that Observation Date
is less than its Coupon Barrier, (c) how the value of the payment at maturity on the Notes will depend on whether the Final Value of either
Underlying is less than its Downside Threshold and (d) how the total return on the Notes may be less than the total return on a direct
investment in either or both Underlyings in certain scenarios. The “total return” as used in this pricing supplement is the
number, expressed as a percentage, that results from comparing the total payments per $10.00 principal amount Note over the term of the
Notes to the $10.00 initial issue price.
Example 1 — Notes Are Automatically Called on the Second
Observation Date
Date |
|
Closing Price |
|
Payment (per Note) |
First Observation Date |
|
IVE Fund:
$110.00
IWN Fund:
$105.00 |
|
Closing price of one share of each Underlying above its Initial Value; Notes NOT automatically callable because Observation Date is prior to the second Observation Date. Closing price of one share of each Underlying above its Coupon Barrier; Issuer pays Contingent Coupon of $0.2413 on first Coupon Payment Date. |
|
Second Observation Date |
|
IVE Fund:
$115.00
IWN Fund:
$110.00 |
|
Closing price of one share of each Underlying at or above its Initial Value; Notes are automatically called; Issuer repays principal plus pays Contingent Coupon of $0.2413 on Call Settlement Date. |
|
Total Payments (per $10.00 Note): |
|
Payment on Call Settlement Date: |
$10.2413 ($10.00 + $0.2413) |
|
|
Prior Contingent Coupons: |
$0.2413 ($0.2413 × 1) |
|
|
Total: |
$10.4826 |
|
|
Total Return: |
4.826% |
Because the closing price of one share of each Underlying is greater
than or equal to its Initial Value on the second Observation Date (which is approximately six months after the Trade Date and is the first
Observation Date on which the Notes are callable), the Notes are automatically called on that Observation Date. JPMorgan Financial will
pay you on the Call Settlement Date $10.2413 per $10.00 principal amount Note, which is equal to your principal amount plus the
Contingent Coupon due on the Coupon Payment Date that is also the Call Settlement Date. No further amounts will be owed to you under the
Notes.
In addition, because the closing price of one share of each Underlying
was greater than or equal to its Coupon Barrier on the first Observation Date, JPMorgan Financial will pay the Contingent Coupon of $0.2413
on the first Coupon Payment Date. Accordingly, JPMorgan Financial will have paid a total of $10.4826 per $10.00 principal amount Note
for a 4.826% total return over the shortened six (6) month term of the Notes as a result of the automatic call.
Example 2 — Notes Are NOT Automatically Called and the Final
Value of Each Underlying Is Above Its Downside Threshold
Date |
|
Closing Price |
|
Payment (per Note) |
First Observation Date |
|
IVE Fund:
$115.00
IWN Fund:
$110.00 |
|
Closing price of one share of each Underlying above its Initial Value; Notes NOT automatically callable because Observation Date is prior to the second Observation Date. Closing price of one share of each Underlying above its Coupon Barrier; Issuer pays Contingent Coupon of $0.2413 on first Coupon Payment Date. |
|
Second Observation Date |
|
IVE Fund:
$80.00
IWN Fund:
$75.00 |
|
Closing price of one share of each Underlying below its Initial Value; Notes NOT automatically called. Closing price of one share of each Underlying above its Coupon Barrier; Issuer pays Contingent Coupon of $0.2413 on second Coupon Payment Date. |
|
Third Observation Date |
|
IVE Fund:
$85.00
IWN Fund:
$60.00 |
|
Closing price of one share of each Underlying below its Initial Value; Notes NOT automatically called. Closing price of one share of IWN Fund below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on third Coupon Payment Date. |
|
Fourth to Eleventh
Observation Dates |
|
Various (below
Coupon Barrier) |
|
Closing price of one share of each Underlying below its Initial Value; Notes NOT automatically called. Closing price of one share of each Underlying below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on any of the fourth to eleventh Coupon Payment Dates. |
Twelfth Observation Date
(the Final Valuation Date) |
|
IVE Fund:
$110.00
IWN Fund:
$80.00 |
|
Closing price of one share of IWN Fund below its Initial Value; Notes NOT automatically called. Final Value of each Underlying above its Downside Threshold; Issuer repays principal plus pays Contingent Coupon of $0.2413 on Maturity Date. |
|
Total Payments (per $10.00 Note): |
|
Payment at Maturity: |
$10.2413 ($10.00 + $0.2413) |
|
|
Prior Contingent Coupons: |
$0.4826 ($0.2413 × 2) |
|
|
Total: |
$10.7239 |
|
|
Total Return: |
7.239% |
Because the closing price of one share of at least one Underlying was
less than its Initial Value on each Observation Date on and after the second Observation Date (which is approximately six months after
the Trade Date and is the first Observation Date on which the Notes are callable), the Notes are not automatically called. Because the
Final Value of each Underlying is greater than or equal to its Downside Threshold, JPMorgan Financial will pay you on the Maturity Date
$10.2413 per $10.00 principal amount Note, which is equal to your principal amount plus the Contingent Coupon due on the Coupon
Payment Date that is also the Maturity Date.
In addition, because the closing price of one share of each Underlying was
greater than or equal to its Coupon Barrier on the first and second Observation Dates, JPMorgan Financial will pay the Contingent Coupon
of $0.2413 on the first and second Coupon Payment Dates. However, because the closing price of one share of at least one Underlying was
less than its Coupon Barrier on the third through eleventh Observation Dates, JPMorgan Financial will not pay any Contingent Coupon on
the Coupon Payment Dates following those Observation Dates. Accordingly, JPMorgan Financial will have paid a total of $10.7239 per $10.00
principal amount Note for a 7.239% total return over the approximately three (3) year term of the Notes.
Example 3 — Notes Are NOT Automatically Called and the Final Value
of Either Underlying Is Below Its Downside Threshold
Date |
|
Closing Price |
|
Payment (per Note) |
First Observation Date |
|
IVE Fund:
$55.00
IWN Fund:
$60.00 |
|
Closing price of one share of each Underlying below its Initial Value; Notes NOT automatically callable because Observation Date is prior to the second Observation Date. Closing price of one share of each Underlying below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on first Coupon Payment Date. |
|
Second Observation Date |
|
IVE Fund:
$105.00
IWN Fund:
$60.00 |
|
Closing price of one share of the IWN Fund below its Initial Value; Notes NOT automatically called. Closing price of one share of IWN Fund below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on second Coupon Payment Date. |
|
Third Observation Date |
|
IVE Fund:
$90.00
IWN Fund:
$60.00 |
|
Closing price of one share of each Underlying below its Initial Value; Notes NOT automatically called. Closing price of one share of IWN Fund below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on third Coupon Payment Date. |
|
Fourth to Eleventh
Observation Dates |
|
Various (below
Coupon Barrier) |
|
Closing price of one share of each Underlying below its Initial Value; Notes NOT automatically called. Closing price of one share of each Underlying below its Coupon Barrier; Issuer DOES NOT pay Contingent Coupon on any of the fourth to eleventh Coupon Payment Dates. |
Twelfth Observation Date
(the Final Valuation Date) |
|
IVE Fund:
$45.00
IWN Fund:
$110.00 |
|
Closing price of one share of IVE Fund below its Initial Value; Notes NOT automatically called. Closing price of one share of IVE Fund below its Downside Threshold; Issuer DOES NOT pay Contingent Coupon on Maturity Date, and Issuer will repay less than the principal amount resulting in a loss proportionate to the decline of the Lesser Performing Underlying. |
|
Total Payments (per $10.00 Note): |
|
Payment at Maturity: |
$4.50 |
|
|
Prior Contingent Coupons: |
$0.00 |
|
|
Total: |
$4.50 |
|
|
Total Return: |
-55.00% |
Because the closing price of one share of at least one Underlying is
less than its Initial Value on each Observation Date on and after the second Observation Date (which is approximately six months after
the Trade Date and is the first Observation Date on which the Notes are callable), the Notes are not automatically called. Because the
Final Value of at least one Underlying is less than its Downside Threshold on the Final Valuation Date, at maturity, JPMorgan Financial
will pay you a total of $4.50 per $10.00 principal amount Note, for a -55.00% total return on the Notes, calculated as follows:
$10.00 × (1 + Lesser Performing Underlying
Return)
Step 1: Determine the Underlying Return of each Underlying:
Underlying Return of the IVE Fund:
(Final Value – Initial Value) |
= |
$45.00 –
$100.00 |
= -55.00% |
Initial Value |
$100.00 |
Underlying Return of the IWN Fund:
(Final Value – Initial Value) |
= |
$110.00 –
$100.00 |
= 10.00% |
Initial Value |
$100.00 |
Step 2: Determine the Lesser Performing Underlying. The IVE
Fund is the Underlying with the lower Underlying Return.
Step 3: Calculate the Payment at Maturity:
$10.00 × (1 + Lesser Performing Underlying
Return) = $10.00 × (1 + -55.00%) = $4.50
In addition, because the closing price of one share of at least one
Underlying is less than its Coupon Barrier on each Observation Date, JPMorgan Financial will not pay any Contingent Coupons over the term
of the Notes. Accordingly, JPMorgan Financial will have paid a total of $4.50 per $10.00 principal amount Note for a -55.00% total return
over the approximately three (3) year term of 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.
The
Underlyings
Included on the following pages is a brief description 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. This information given below is for the
four calendar quarters in each of 2017, 2018, 2019, 2020 and 2021 and the first and second calendar quarters of 2022. Partial data is
provided for the third calendar quarter of 2022. We obtained the closing prices of one share information set forth below from the Bloomberg
Professional® service (“Bloomberg”), without independent verification.
You should not take the historical values of either Underlying as an indication of future performance.
The
iShares® S&P 500 Value ETF
The iShares® S&P 500 Value ETF is an exchange-traded
fund of iShares® Trust, a registered investment company, that seeks to track the investment results, before fees and expenses,
of an index composed of large-capitalization U.S. equities that exhibit value characteristics, which we refer to as the Underlying Index
with respect to the iShares® S&P 500 Value ETF. The Underlying Index for the iShares® S&P
500 Value ETF is currently the S&P 500® Value Index. The S&P 500® Value Index is a float-adjusted
market capitalization-weighted index that is designed to measure the full performance of companies included in the S&P 500®
Index that exhibit relatively strong value characteristics (determined by reference to (1) book-value-to-price ratio, (2) earnings-to-price
ratio and (3) sales-to-price ratio) and relatively weak growth characteristics (determined by reference to earnings-per-share growth,
sales-per-share growth and upward share price momentum) and a portion of the performance of companies with more balanced value and growth
characteristics (where greater weight is allocated to companies with relatively stronger value characteristics and relatively weaker growth
characteristics). For additional information about the iShares® S&P 500 Value ETF, see “Fund Descriptions
— The iShares® ETFs” in the accompanying underlying supplement. For purposes of the accompanying underlying
supplement, the iShares® S&P 500 Value ETF is an “iShares® ETF.” For additional information
about the S&P 500® Value Index, see Annex A in this pricing supplement.
Historical Information Regarding the iShares®
S&P 500 Value ETF
The following table sets forth the quarterly high and low closing
prices of one share of the iShares® S&P 500 Value ETF, based on daily closing prices of one share of the iShares®
S&P 500 Value ETF as reported by Bloomberg, without independent verification. The closing price of one share of the iShares®
S&P 500 Value ETF on August 5, 2022 was $144.84. We obtained the closing prices of one share of the iShares® S&P
500 Value ETF above and below from Bloomberg, without independent verification. The closing prices above and below may have been adjusted
by Bloomberg for certain actions, such as stock splits. You should not take the historical prices of one share of the iShares®
S&P 500 Value ETF as an indication of future performance.
Quarter Begin |
Quarter End |
Quarterly High |
Quarterly Low |
Close |
1/1/2017 |
3/31/2017 |
$107.43 |
$101.27 |
$104.04 |
4/1/2017 |
6/30/2017 |
$106.34 |
$102.14 |
$104.96 |
7/1/2017 |
9/30/2017 |
$108.03 |
$103.97 |
$107.91 |
10/1/2017 |
12/31/2017 |
$114.78 |
$108.39 |
$114.24 |
1/1/2018 |
3/31/2018 |
$121.11 |
$106.61 |
$109.34 |
4/1/2018 |
6/30/2018 |
$113.19 |
$107.03 |
$110.13 |
7/1/2018 |
9/30/2018 |
$118.53 |
$110.03 |
$115.84 |
10/1/2018 |
12/31/2018 |
$116.80 |
$95.36 |
$101.14 |
1/1/2019 |
3/31/2019 |
$114.40 |
$99.16 |
$112.74 |
4/1/2019 |
6/30/2019 |
$117.48 |
$107.65 |
$116.57 |
7/1/2019 |
9/30/2019 |
$120.88 |
$112.00 |
$119.14 |
10/1/2019 |
12/31/2019 |
$130.26 |
$115.41 |
$130.09 |
1/1/2020 |
3/31/2020 |
$131.79 |
$82.97 |
$96.25 |
4/1/2020 |
6/30/2020 |
$119.67 |
$91.94 |
$108.21 |
7/1/2020 |
9/30/2020 |
$118.22 |
$106.77 |
$112.45 |
10/1/2020 |
12/31/2020 |
$128.18 |
$109.93 |
$128.02 |
1/1/2021 |
3/31/2021 |
$142.40 |
$125.98 |
$141.24 |
4/1/2021 |
6/30/2021 |
$151.25 |
$142.18 |
$147.64 |
7/1/2021 |
9/30/2021 |
$152.00 |
$143.75 |
$145.42 |
10/1/2021 |
12/31/2021 |
$156.80 |
$145.80 |
$156.63 |
1/1/2022 |
3/31/2022 |
$159.06 |
$147.46 |
$155.72 |
4/1/2022 |
6/30/2022 |
$158.52 |
$133.27 |
$137.46 |
7/1/2022 |
8/5/2022* |
$145.58 |
$135.84 |
$144.84 |
* |
As of the date of this pricing supplement, available information for the third calendar quarter of 2022 includes data for the period from July 1, 2022 through August 5, 2022. Accordingly, the “Quarterly High,” “Quarterly Low” and “Close” data indicated are for this shortened period only and do not reflect complete data for the third calendar quarter of 2022. |
The graph below illustrates the daily performance of the iShares®
S&P 500 Value ETF from January 3, 2012 through August 5, 2022, based on information from Bloomberg, without independent verification.
The dotted line represents the Downside Threshold and Coupon Barrier of $101.39, equal to 70% of the closing price of one share of the
iShares® S&P 500 Value ETF on August 5, 2022.
Past performance of the iShares® S&P 500 Value
ETF is not indicative of the future performance of the iShares® S&P 500 Value ETF.
The
iShares® Russell 2000 Value ETF
The iShares® Russell 2000 Value ETF is an exchange-traded
fund of iShares® Trust, a registered investment company, that seeks to track the investment results, before fees and expenses,
of an index composed of small capitalization U.S. equities that exhibit value characteristics, which we refer to as the Underlying Index
with respect to the iShares® Russell 2000 Value ETF. The Underlying Index for the iShares® Russell 2000
Value ETF is currently the Russell 2000® Value Index. The Russell 2000® Value Index measures the capitalization-weighted
price performance of the stocks included in the Russell 2000® Index that are determined by FTSE Russell to be value oriented,
with lower price-to-book ratios and lower forecasted growth values. For additional information about the iShares® Russell
2000 Value ETF, see “Fund Descriptions — The iShares® ETFs” in the accompanying underlying supplement.
For purposes of the accompanying underlying supplement, the iShares® Russell 2000 Value ETF is an “iShares®
ETF.” For additional information about the Russell 2000® Value Index, see Annex B in this pricing supplement.
Historical Information Regarding the iShares®
Russell 2000 Value ETF
The following table sets forth the quarterly high and low closing
prices of one share of the iShares® Russell 2000 Value ETF, based on daily closing prices of one share of the iShares®
Russell 2000 Value ETF as reported by Bloomberg, without independent verification. The closing price of one share of the iShares®
Russell 2000 Value ETF on August 5, 2022 was $150.67. We obtained the closing prices of one share of the iShares® Russell
2000 Value ETF above and below from Bloomberg, without independent verification. The closing prices above and below may have been adjusted
by Bloomberg for certain actions, such as stock splits. You should not take the historical prices of one share of the iShares®
Russell 2000 Value ETF as an indication of future performance.
Quarter Begin |
Quarter End |
Quarterly High |
Quarterly Low |
Close |
1/1/2017 |
3/31/2017 |
$122.02 |
$114.69 |
$118.16 |
4/1/2017 |
6/30/2017 |
$121.11 |
$114.21 |
$118.87 |
7/1/2017 |
9/30/2017 |
$124.12 |
$112.81 |
$124.12 |
10/1/2017 |
12/31/2017 |
$128.04 |
$121.05 |
$125.75 |
1/1/2018 |
3/31/2018 |
$130.86 |
$118.48 |
$121.88 |
4/1/2018 |
6/30/2018 |
$135.64 |
$119.36 |
$131.92 |
7/1/2018 |
9/30/2018 |
$137.10 |
$132.46 |
$133.00 |
10/1/2018 |
12/31/2018 |
$131.92 |
$102.04 |
$107.54 |
1/1/2019 |
3/31/2019 |
$125.80 |
$107.18 |
$119.90 |
4/1/2019 |
6/30/2019 |
$126.06 |
$114.14 |
$120.50 |
7/1/2019 |
9/30/2019 |
$123.96 |
$110.84 |
$119.41 |
10/1/2019 |
12/31/2019 |
$129.00 |
$115.48 |
$128.58 |
1/1/2020 |
3/31/2020 |
$129.50 |
$71.79 |
$82.03 |
4/1/2020 |
6/30/2020 |
$109.12 |
$74.44 |
$97.46 |
7/1/2020 |
9/30/2020 |
$108.28 |
$91.58 |
$99.33 |
10/1/2020 |
12/31/2020 |
$132.30 |
$100.90 |
$131.75 |
1/1/2021 |
3/31/2021 |
$169.53 |
$130.00 |
$159.47 |
4/1/2021 |
6/30/2021 |
$173.97 |
$156.91 |
$165.77 |
7/1/2021 |
9/30/2021 |
$167.43 |
$152.99 |
$160.23 |
10/1/2021 |
12/31/2021 |
$176.88 |
$157.31 |
$166.05 |
1/1/2022 |
3/31/2022 |
$169.21 |
$151.25 |
$161.40 |
4/1/2022 |
6/30/2022 |
$162.71 |
$134.47 |
$136.15 |
7/1/2022 |
8/5/2022* |
$150.67 |
$135.38 |
$150.67 |
* |
As of the date of this pricing supplement, available information for the third calendar quarter of 2022 includes data for the period from July 1, 2022 through August 5, 2022. Accordingly, the “Quarterly High,” “Quarterly Low” and “Close” data indicated are for this shortened period only and do not reflect complete data for the third calendar quarter of 2022. |
The graph below illustrates the daily performance of the iShares®
Russell 2000 Value ETF from January 3, 2012 through August 5, 2022, based on information from Bloomberg, without independent verification.
The dotted line represents the Downside Threshold and Coupon Barrier of $105.47, equal to 70% of the closing price of one share of the
iShares® Russell 2000 Value ETF on August 5, 2022.
Past performance of the iShares® Russell
2000 Value ETF is not indicative of the future performance of the iShares® Russell 2000 Value ETF.
Correlation
of the Underlyings
The graph below illustrates the daily performance of the iShares®
S&P 500 Value ETF and the iShares® Russell 2000 Value ETF from January 3, 2012 through August 5, 2022. For comparison
purposes, each Underlying has been normalized to have a closing price of one share of $100.00 on January 3, 2012 by dividing the closing
price of one share of that Underlying on each day by the closing price of one share of that Underlying on January 3, 2012 and multiplying
by 100.00. We obtained the closing prices used to determine the normalized closing prices set forth below from Bloomberg, without independent
verification.
Past performance of the Underlyings is not indicative
of the future performance of the Underlyings.
The correlation of a pair of Underlyings represents a statistical
measurement of the degree to which the returns of those Underlyings were similar to each other over a given period in terms of timing
and direction. The correlation between a pair of Underlyings is scaled from 1.0 to -1.0, with 1.0 indicating perfect positive correlation
(i.e., the value of both Underlyings are increasing together or decreasing together and the ratio of their returns has been constant),
0 indicating no correlation (i.e., there is no statistical relationship between the returns of that pair of Underlyings) and -1.0
indicating perfect negative correlation (i.e., as the value of one Underlying increases, the value of the other Underlying decreases
and the ratio of their returns has been constant).
The closer the relationship of the returns of a pair of Underlyings over
a given period, the more positively correlated those Underlyings are. The graph above illustrates the historical performance of each Underlying
relative to each other over the time period shown and provides an indication of how close the relative performance of each Underlying
has historically been to the other Underlying.
The lower (or more negative) the correlation between the Underlyings,
the less likely it is that the Underlyings will move in the same direction and, therefore, the greater the potential for one of the Underlyings
to close below its Coupon Barrier or Downside Threshold on any Observation Date or the Final Valuation Date, respectively. This
is because the less positively correlated the Underlyings are, the greater the likelihood that at least one of the Underlyings will decrease
in value. However, even if the Underlyings have a higher positive correlation, one or both of the Underlyings might close below
its Coupon Barrier or Downside Threshold on any Observation Date or the Final Valuation Date, respectively, as both of the Underlyings
may decrease in value together.
Although the correlation of the Underlyings’ performance may change
over the term of the Notes, the Contingent Coupon Rate is determined, in part, based on the correlation of the Underlyings’ performance
calculated using internal models of our affiliates at the time when the terms of the Notes are finalized. A higher Contingent Coupon
Rate is generally associated with lower correlation of the Underlyings, which reflects a greater potential for missed Contingent Coupons
and for a loss of principal at maturity. The correlation referenced in setting the terms of the Notes is calculated using internal
models of our affiliates and is not derived from the returns of the Underlyings over the period set forth above. In addition, other
factors and inputs other than correlation may impact how the terms of the Notes are set and the performance of the Notes.