Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-236659 and 333-236659-01
Pricing Supplement to
the Prospectus and Prospectus Supplement, each dated April 8,
2020,
the Underlying Supplement No. 1-II dated November 4, 2020 and
the Product Supplement No. 4-II dated November 4, 2020
JPMorgan Chase Financial Company
LLC
Medium-Term Notes, Series A
$1,500,000
Capped Enhanced Participation Basket-Linked Notes due
2024
Fully and Unconditionally Guaranteed by JPMorgan Chase &
Co.
The
notes do not bear interest. The amount that you will be paid on
your notes on the stated maturity date (December 10, 2024, subject
to adjustment) is based on the performance of an unequally weighted
basket (which we refer to as the basket) consisting of the EURO
STOXX 50® Index (36.00%
initial weight), the TOPIX® Index (26.00% initial weight),
the FTSE® 100 Index
(17.00% initial weight), the Swiss Market Index (12.00% initial
weight) and the S&P/ASX 200 Index (9.00% initial weight) as
measured from and including the trade date (December 6, 2022) to
and including the determination date (December 6, 2024, subject to
adjustment). The initial basket level is 100 and the final basket
level will equal the sum of the products, as calculated for
each basket underlier, of: (i) the closing level on the
determination date divided by the initial basket underlier
level multiplied by (ii) the applicable initial weighted
value for such basket underlier. If the final basket level on the
determination date is greater than the initial basket level, the
return on your notes will be positive, subject to the maximum
settlement amount of $1,442.50 for each $1,000 principal amount
note. If the basket declines from the initial basket level to the
final basket level, the return on your notes will be negative.
You could lose your entire investment in the notes. Any payment
on the notes is subject to the credit risk of JPMorgan Chase
Financial Company LLC (“JPMorgan Financial”), as issuer of the
notes, and the credit risk of JPMorgan Chase & Co., as
guarantor of the notes.
To
determine your payment at maturity, we will calculate the basket
return, which is the percentage increase or decrease in the final
basket level from the initial basket level. On the stated maturity
date, for each $1,000 principal amount note, you will receive an
amount in cash equal to:
|
· |
if the basket return is positive (the final basket level
is greater than the initial basket level), the sum of
(i) $1,000 plus (ii) the product of (a) $1,000
times (b) 3.00 times (c) the basket return, subject
to the maximum settlement amount; or |
|
· |
if the basket return is zero or negative (the
final basket level is equal to or less than the
initial basket level), the sum of (i) $1,000 plus
(ii) the product of (a) $1,000 times (b) the basket
return. You will receive less than $1,000 if the final basket level
is less than the initial basket level. |
A
decrease in the level of one or more basket underliers may offset
increases in the levels of the other basket underliers. Due to the
unequal weightings of the basket underliers, the performances of
the EURO STOXX 50®
Index, the TOPIX® Index
and the FTSE® 100 Index
will have a significantly larger impact on your return on the notes
than the performance of the Swiss Market Index or the S&P/ASX
200 Index.
Your investment in the notes involves certain risks,
including, among other things, our credit risk. See “Risk Factors”
on page S-2 of the accompanying prospectus supplement, “Risk
Factors” on page PS-12 of the accompanying product supplement,
“Risk Factors” on page US-3 of the accompanying underlying
supplement and “Selected Risk Factors” on page PS-17 of this
pricing supplement.
The
foregoing is only a brief summary of the terms of your notes. You
should read the additional disclosure provided herein so that you
may better understand the terms and risks of your investment.
The estimated value of the notes, when the terms of the notes
were set, was $969.30 per $1,000 principal amount note. See
“Summary Information — The Estimated Value of the Notes” on page
PS-8 of this pricing supplement for additional information about
the estimated value of the notes and “Summary Information —
Secondary Market Prices of the Notes” on page PS-9 of this pricing
supplement for information about secondary market prices of the
notes.
Original issue date (settlement date): December 13, 2022
Original issue price: 100.00% of the principal amount
Underwriting commission/discount: 2.00% of the principal
amount*
Net proceeds to the issuer: 98.00% of the principal
amount
See
“Summary Information — Supplemental Use of Proceeds” on page PS-9
of this pricing supplement for information about the components of
the original issue price of the notes.
*J.P.
Morgan Securities LLC, which we refer to as JPMS, acting as agent
for JPMorgan Financial, will pay all of the selling commissions of
2.00% of the principal amount it receives from us to an
unaffiliated dealer. See “Plan of Distribution (Conflicts of
Interest)” on page PS-89 of the accompanying product
supplement.
Neither the Securities and Exchange Commission (the “SEC”) nor
any other regulatory body has approved or disapproved of these
securities or passed upon the accuracy or adequacy of this pricing
supplement, the accompanying product supplement, the accompanying
underlying supplement, the accompanying prospectus supplement or
the accompanying prospectus. Any representation to the contrary is
a criminal offense.
The
notes are not bank deposits, are not insured by the Federal Deposit
Insurance Corporation or any other governmental agency and are not
obligations of, or guaranteed by, a bank.
Pricing Supplement dated December 6, 2022
The
original issue price, fees and commissions and net proceeds listed
above relate to the notes we sell initially. We may decide to sell
additional notes after the date of this pricing supplement, at
issue prices and with fees and commission and net proceeds that
differ from the amounts set forth above. The return (whether
positive or negative) on your investment in notes will depend in
part on the price you pay for your notes.
We may
use this pricing supplement in the initial sale of the notes. In
addition, JPMS or any other affiliate of ours may use this pricing
supplement in a market-making transaction in a note after its
initial sale. Unless JPMS or its agents inform the purchaser
otherwise in the confirmation of sale, this pricing supplement is
being used in a market-making transaction.
SUMMARY INFORMATION
You
should read this pricing supplement together with the accompanying
prospectus, as supplemented by the accompanying prospectus
supplement relating to our Series A medium-term notes of which
these notes are a part, and the more detailed information contained
in the accompanying product supplement and the accompanying
underlying supplement. This pricing supplement, together with
the documents listed below, contains the terms of the notes and
supersedes all other prior or contemporaneous oral statements as
well as any other written materials including preliminary or
indicative pricing terms, correspondence, trade ideas, structures
for implementation, sample structures, fact sheets, brochures or
other educational materials of ours. You should carefully
consider, among other things, the matters set forth in the “Risk
Factors” sections of the accompanying prospectus supplement, the
accompanying product supplement and the accompanying underlying
supplement, as the notes involve risks not associated with
conventional debt securities. We urge you to consult your
investment, legal, tax, accounting and other advisers before you
invest in the notes.
You may
access these documents on the SEC website at www.sec.gov as follows
(or if such address has changed, by reviewing our filings for the
relevant date on the SEC website):
● Product supplement no. 4-II
dated November 4, 2020:
http://www.sec.gov/Archives/edgar/data/19617/000095010320021467/crt_dp139322-424b2.pdf
● Underlying supplement no.
1-II dated November 4, 2020:
http://www.sec.gov/Archives/edgar/data/19617/000095010320021471/crt_dp139381-424b2.pdf
● Prospectus supplement and
prospectus, each dated April 8, 2020:
http://www.sec.gov/Archives/edgar/data/19617/000095010320007214/crt_dp124361-424b2.pdf
Our
Central Index Key, or CIK, on the SEC website is 1665650, and
JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing
supplement, “we,” “us” and “our” refer to JPMorgan Financial
Key Terms
Issuer: JPMorgan Chase Financial Company LLC, an indirect,
wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Basket underliers and initial weights:
|
Basket Underlier |
Basket Underlier Sponsor |
Bloomberg Ticker
Symbol |
Initial Weight |
| EURO
STOXX 50® Index |
STOXX
Limited |
SX5E
<Index> |
36.00% |
|
TOPIX® Index |
Tokyo
Stock Exchange, Inc. |
TPX
<Index> |
26.00% |
|
FTSE® 100 Index |
FTSE
Russell |
UKX
<Index> |
17.00% |
| Swiss
Market Index |
SIX
Swiss Exchange Ltd. |
SMI
<Index> |
12.00% |
|
S&P/ASX 200 Index |
S&P
Dow Jones Indices LLC |
AS51
<Index> |
9.00% |
The
accompanying product supplement refers to each basket underlier as
an “Underlying.”
Principal amount: each note will have a principal amount of
$1,000; $1,500,000 in the aggregate for all the offered notes; the
aggregate principal amount of the offered notes may be increased if
the issuer, at its sole option, decides to sell an additional
amount of the offered notes on a date subsequent to the date of
this pricing supplement
Purchase at amount other than principal amount: the amount
we will pay you at the stated maturity date for your notes will not
be adjusted based on the price you pay for your notes, so if you
acquire notes at a premium (or discount) to the principal amount
and hold them to the stated maturity date, it could affect your
investment in a number of ways. The return on your investment in
the notes will be lower (or higher) than it would have been had you
purchased the notes at the principal amount. Also, the cap level
would be triggered at a lower (or higher) percentage return than
indicated below, relative to your initial investment. See “Selected
Risk Factors — Risks Relating to the Notes Generally — If You
Purchase Your Notes at a Premium to the Principal Amount, the
Return on Your Investment Will Be Lower Than the Return on Notes
Purchased at the Principal Amount and the Impact of Certain Key
Terms of the Notes Will Be Negatively Affected” on page PS-18 of
this pricing supplement.
Payment on the stated maturity date: for each $1,000
principal amount note, we will pay you on the stated maturity date
an amount in cash equal to:
|
· |
if the final basket level is greater than or equal
to the cap level, the maximum settlement amount; |
|
· |
if the final basket level is greater than the initial
basket level but less than the cap level, the sum of
(i) $1,000 plus (ii) the product of (a) $1,000
times (b) the upside participation rate times (c) the
basket return; or |
|
· |
if the final basket level is equal to or less
than the initial basket level, the sum of (i) $1,000
plus (ii) the product of (a) $1,000 times (b)
the basket return. You will receive less than $1,000 if the final
basket level is less than the initial basket level. |
Initial basket level: 100
Initial weighted value: the initial weighted value for each
of the basket underliers is equal to the product of the
initial weight of that basket underlier times the initial
basket level. The initial weight of each basket underlier is shown
in the table below:
|
Basket Underlier |
Initial Weight in Basket |
|
EURO STOXX 50®
Index |
36.00% |
|
TOPIX® Index |
26.00% |
|
FTSE® 100 Index |
17.00% |
|
Swiss Market Index |
12.00% |
|
S&P/ASX 200 Index |
9.00% |
Initial basket underlier level: with respect to each basket
underlier, the closing level of the basket underlier on the trade
date, which was 3,939.19 for the EURO STOXX 50® Index, 1,950.22 for the
TOPIX® Index, 7,521.39
for the FTSE® 100
Index, 11,109.33 for the Swiss Market Index and 7,291.266 for the
S&P/ASX 200 Index
Final basket level: the basket closing level on the
determination date
Basket closing level: the basket closing level on any
relevant day will be the sum of the products of (i) the closing
level of each basket underlier on that day divided by the
initial basket underlier level of that basket underlier and
(ii) the initial weighted value of that basket underlier
Basket return: the quotient of (i) the final basket
level minus the initial basket level divided by (ii)
the initial basket level, expressed as a percentage.
Upside participation rate: 3.00
Cap
level: 114.75% of the initial basket level
Maximum settlement amount: $1,442.50
Trade date: December 6, 2022
Original issue date (settlement date): December 13, 2022
Determination date: December 6, 2024, subject to
postponement in the event of a market disruption event and as
described under “General Terms of Notes — Postponement of a
Determination Date — Notes Linked to Multiple Underlyings” on page
PS-47 of the accompanying product supplement
Stated maturity date: December 10, 2024, subject to
postponement in the event of a market disruption event and as
described under “General Terms of Notes — Postponement of a Payment
Date” on page PS-46 of the accompanying product supplement. The
accompanying product supplement refers to the stated maturity date
as the “maturity date.”
No
interest: The offered notes do not bear interest.
No
listing: The offered notes will not be listed on any securities
exchange or interdealer quotation system.
No
redemption: The offered notes will not be subject to redemption
right or price dependent redemption right.
Closing level: as described under “The Underlyings — Indices
— Level of an Index” on page PS-67 of the accompanying product
supplement
Business day: as described under “General Terms of Notes —
Postponement of a Payment Date” on page PS-46 of the accompanying
product supplement
Scheduled trading day: notwithstanding anything to the
contrary under “General Terms of Notes — Postponement of a
Determination Date — Additional Defined Terms” on page PS-49 of the
accompanying product supplement, for the purposes of the notes
offered by this pricing supplement, a “scheduled trading day”
means, (a) with respect to the EURO STOXX 50® Index or any relevant successor
index (as defined in the accompanying product supplement), a day,
as determined by the calculation agent, on which (i) the Index
Sponsor (as defined in the accompanying product supplement) of the
EURO STOXX 50® Index or
that successor index, as applicable, is scheduled to publish the
closing level of the EURO STOXX 50® Index or that successor index,
as applicable, and (ii) each exchange or quotation system where
trading has a material effect (as determined by the calculation
agent) on the overall market for futures or options contracts
relating to the EURO STOXX 50® Index or that successor index,
as applicable, is scheduled to be open for trading for its regular
trading session; or (b) with respect to each of the other basket
underliers or any relevant successor index, a day, as determined by
the calculation agent, on which each of the following exchanges or
quotation systems is scheduled to be open for its regular trading
session: (i) the relevant exchange (as defined in the accompanying
product supplement) for that basket underlier or successor index,
as applicable, and (ii) each exchange or quotation system where
trading has a material effect (as determined by the calculation
agent) on the overall market for futures or options contracts
relating to that basket underlier or successor index, as
applicable.
Disrupted day: notwithstanding anything to the contrary
under “General Terms of Notes — Postponement of a Determination
Date — Additional Defined Terms” on page PS-49 of the accompanying
product supplement, for the purposes of the notes offered by this
pricing supplement, a “disrupted day” means, (a) with respect to
the EURO STOXX 50®
Index or any relevant successor index, (i) a day that is not a
scheduled trading day or (ii) a scheduled trading day on which (1)
the closing level of the EURO STOXX 50® Index or that successor index,
as applicable, is not calculated and published by the Index Sponsor
of the EURO STOXX 50®
Index or that successor index, as applicable, (2) any exchange or
quotation system where trading has a material effect (as determined
by the calculation agent) on the overall market for futures or
options contracts relating to the EURO STOXX 50® Index or that successor index,
as applicable, fails to open for trading during its regular trading
session or (3) a market disruption event has occurred, or (b) with
respect to each of the other basket underliers or any
relevant successor index, (i) a day that is not a scheduled trading
day or (ii) a scheduled trading day on which (1) any of the
following exchanges or quotation systems fails to open for trading
during its regular trading session: (x) the relevant exchange for
that basket underlier or successor index, as applicable, and (y)
each exchange or quotation system where trading has a material
effect (as determined by the calculation agent) on the overall
market for futures or options contracts relating to that basket
underlier or successor index, as applicable, or (2) a market
disruption event has occurred.
Use
of proceeds and hedging: as described under “Use of Proceeds
and Hedging” on page PS-45 of the accompanying product supplement,
as supplemented by “ — Supplemental Use of Proceeds” below
Tax
treatment: You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying
product supplement no. 4-II. The following discussion, when read in
combination with that section, constitutes the full opinion of our
special tax counsel, Davis Polk & Wardwell LLP, regarding the
material U.S. federal income tax consequences of owning and
disposing of notes.
Based
on current market conditions, in the opinion of our special tax
counsel it is reasonable to treat the notes as “open transactions”
that are not debt instruments for U.S. federal income tax purposes,
as more fully described in “Material U.S. Federal Income Tax
Consequences — Tax Consequences to U.S. Holders — Notes Treated as
Open Transactions That Are Not Debt Instruments” in the
accompanying product supplement. Assuming this treatment is
respected, the gain or loss on your notes should be treated as
long-term capital gain or loss if you hold your notes for more than
a year, whether or not you are an initial purchaser of notes at the
issue price. However, the IRS or a court may not respect this
treatment, in which case the timing and character of any income or
loss on the notes could be materially and adversely affected. In
addition, in 2007 Treasury and the IRS released a notice requesting
comments on the U.S. federal income tax treatment of “prepaid
forward contracts” and similar instruments. The notice focuses in
particular on whether to require investors in these instruments to
accrue income over the term of their investment. It also asks for
comments on a number of related topics, including the character of
income or loss with respect to these instruments; the relevance of
factors such as the nature of the underlying property to which the
instruments are linked; the degree, if any, to which income
(including any mandated accruals) realized by non-U.S. investors
should be subject to withholding tax; and whether these instruments
are or should be subject to the “constructive ownership” regime,
which very generally can operate to recharacterize certain
long-term capital gain as ordinary income and impose a notional
interest charge. While the notice requests comments on appropriate
transition rules and effective dates, any Treasury regulations or
other guidance promulgated after consideration of these issues
could materially and adversely affect the tax consequences of an
investment in the notes, possibly with retroactive effect. You
should consult your tax adviser regarding the U.S. federal income
tax consequences of an investment in the notes, including possible
alternative treatments and the issues presented by this notice.
ERISA: as described under “Benefit Plan Investor
Considerations” on page PS-91 of the accompanying product
supplement
Supplemental plan of distribution: as described under “Plan
of Distribution (Conflicts of Interest)” on page PS-89 of the
accompanying product supplement; we estimate that our share of the
total offering expenses, excluding underwriting discounts and
commissions, will be approximately $10,000. We have agreed to sell
to JPMS, and JPMS has agreed to purchase from us, the aggregate
principal amount of the notes specified on the front cover of this
pricing supplement. JPMS proposes initially to offer the notes to
the public at the original issue price set forth on the cover page
of this pricing supplement, and to an unaffiliated dealer at that
price and to pay that dealer a selling commission of 2.00% of the
principal amount.
We will
deliver the notes against payment therefor in New York, New York on
December 13, 2022, which is the fifth scheduled business day
following the date of this pricing supplement and of the pricing of
the notes. Under Rule 15c6-1 of the Securities Exchange Act of
1934, as amended, trades in the secondary market generally are
required to settle in two business days, unless the parties to any
such trade expressly agree otherwise. Accordingly, purchasers who
wish to trade notes on any date prior to two
business days before delivery will be required, by virtue of the
fact that the notes will initially settle in five business days (T
+ 5), to specify alternative settlement arrangements to prevent a
failed settlement.
Conflicts of interest: JPMS has a “conflict of interest”
within the meaning of FINRA Rule 5121 in any offering of the notes
in which it participates because JPMorgan Chase & Co. owns,
directly or indirectly, all of the outstanding equity securities of
JPMS, because JPMS and we are under common control by JPMorgan
Chase & Co. and because the net proceeds received from the sale
of the notes will be used, in part, by JPMS or its affiliates in
connection with hedging our obligations under the notes. The
offering of the notes will comply with the requirements of Rule
5121 of Financial Industry Regulatory Authority, Inc. (“FINRA”)
regarding a FINRA member firm’s underwriting of securities of an
affiliate. In accordance with FINRA Rule 5121, neither JPMS nor any
other affiliated agent of ours may make sales in the offering of
the notes to any of its discretionary accounts without the specific
written approval of the customer.
Calculation agent: JPMS
CUSIP no.: 48133PW25
ISIN
no.: US48133PW252
FDIC: the notes are not bank deposits and are not insured by
the Federal Deposit Insurance Corporation or any other governmental
agency, nor are they obligations of, or guaranteed by, a bank.
Supplemental Terms of the Notes
For
purposes of the notes offered by this pricing supplement:
(a) any
reference to “calculating the closing level of that Index last in
effect prior to the commencement of the market disruption event (or
prior to the non-trading day)” under “General Terms of Notes —
Postponement of a Determination Date — Notes Linked to Multiple
Underlyings” in the accompanying product supplement will be deemed
to refer to “calculating the closing level of that Index last in
effect prior to the commencement of the initial Disrupted Day”;
and
(b) all
references to each of the following terms used in the accompanying
product supplement will be deemed to refer to the corresponding
term used in this pricing supplement, as set forth in the table
below:
| Product Supplement Term |
Pricing Supplement Term |
| Underlying |
basket underlier |
| pricing date |
trade date |
| maturity date |
stated maturity date |
| term sheet |
preliminary pricing supplement |
In
addition, the following terms used in this pricing supplement are
not defined in the accompanying product supplement: basket return,
initial basket level, initial basket underlier level, final basket
level, initial weight, upside participation rate, maximum
settlement amount and cap level. Accordingly, please refer to “Key
Terms” on page PS-3 of this pricing supplement for the definitions
of these terms.
The Estimated Value of the Notes
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, set forth on
the cover of this pricing supplement is equal to the sum of the
values of the following hypothetical components: (1) a fixed-income
debt component with the same maturity as the notes, valued using
the internal funding rate described below, and (2) the derivative
or derivatives underlying the economic terms of the notes. The
estimated value of the notes does not represent a minimum price at
which JPMS would be willing to buy your notes in any secondary
market (if any exists) at any time. The internal funding rate used
in the determination of the estimated value of the notes may differ
from the market-implied funding rate for vanilla fixed income
instruments of a similar maturity issued by JPMorgan Chase &
Co. or its affiliates. Any difference may be based on, among other
things, our and our affiliates’ view of the funding value of the
notes as well as the higher issuance, operational and ongoing
liability management costs of the notes in comparison to those
costs for the conventional fixed income instruments of JPMorgan
Chase & Co. This internal funding rate is based on certain
market inputs and assumptions, which may prove to be incorrect, and
is intended to approximate the prevailing market replacement
funding rate for the notes. The use of an internal funding rate and
any potential changes to that rate may have an adverse effect on
the terms of the notes and any secondary market prices of the
notes. For additional information, see “Selected Risk Factors —
Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes — The Estimated Value of the Notes Is Derived by
Reference to an Internal Funding Rate” on page PS-20 of this
pricing supplement. The value of the derivative or derivatives
underlying the economic terms of the notes is derived from internal
pricing models of our affiliates. These models are dependent on
inputs such as the traded market prices of comparable derivative
instruments and on various other inputs, some of which are
market-observable, and which can include volatility, dividend
rates, interest rates and other factors, as well as assumptions
about future market events and/or environments. Accordingly, the
estimated value of the notes is determined when the terms of the
notes are set based on market conditions and other relevant factors
and assumptions existing at that time. See “Selected Risk Factors —
Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes — The Estimated Value of the Notes Does Not Represent
Future Values of the Notes and May Differ from Others’ Estimates”
on page PS-19 of this pricing supplement.
The
estimated value of the notes is lower than the original issue price
of the notes because costs associated with selling, structuring and
hedging the notes are included in the original issue price of the
notes. These costs include the selling commissions paid to JPMS and
the unaffiliated dealer, the
projected profits, if any, that our affiliates expect to realize
for assuming risks inherent in hedging our obligations under the
notes and the estimated cost of hedging our obligations under the
notes. Because hedging our obligations entails risk and may be
influenced by market forces beyond our control, this hedging may
result in a profit that is more or less than expected, or it may
result in a loss. A portion of the profits realized in hedging our
obligations under the notes, if any, may be allowed to other
affiliated or unaffiliated dealers, and we or one or more of our
affiliates will retain any remaining hedging profits. A fee will
also be paid to SIMON Markets LLC, an electronic platform in which
an affiliate of Goldman Sachs & Co. LLC, who is acting as a
dealer in connection with the distribution of the notes, holds an
indirect minority equity interest. See “Selected Risk Factors —
Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes — The Estimated Value of the Notes Is Lower Than the
Original Issue Price of the Notes” on page PS-19 of this pricing
supplement.
Secondary Market Prices of the Notes
For
information about factors that will impact any secondary market
prices of the notes, see “Selected Risk Factors — Risks Relating to
the Estimated Value and Secondary Market Prices of the Notes —
Secondary Market Prices of the Notes Will Be Impacted by Many
Economic and Market Factors” on page PS-20 of this pricing
supplement. In addition, we generally expect that some of the costs
included in the original issue price of the notes will be partially
paid back to you in connection with any repurchases of your notes
by JPMS in an amount that will decline to zero over the period from
the trade date through March 6, 2023. The length of any such
initial period reflects the structure of the notes, whether our
affiliates expect to earn a profit in connection with our hedging
activities, the estimated costs of hedging the notes and when these
costs are incurred, as determined by our affiliates. See “Selected
Risk Factors — Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes — The Value of the Notes as Published by
JPMS (and Which May Be Reflected on Customer Account Statements)
May Be Higher Than the Then-Current Estimated Value of the Notes
for a Limited Time Period” on page PS-20 of this pricing
supplement.
Supplemental Use of Proceeds
The
notes are offered to meet investor demand for products that reflect
the risk-return profile and market exposure provided by the notes.
See “Hypothetical Examples” on page PS-11 of this pricing
supplement for an illustration of the risk-return profile of the
notes and “The Basket and the Basket Underliers” on page PS-22 of
this pricing supplement for a description of the market exposure
provided by the notes.
The
original issue price of the notes is equal to the estimated value
of the notes plus the selling commissions paid to JPMS and the
unaffiliated dealer, plus (minus) the projected profits (losses)
that our affiliates expect to realize for assuming risks inherent
in hedging our obligations under the notes, plus the estimated cost
of hedging our obligations under the notes.
Supplemental Information
About the Form of the Notes
The notes will initially be
represented by a type of global security that we refer to as a
master note. A master note represents multiple securities
that may be issued at different times and that may have different
terms. The trustee and/or paying agent will, in accordance
with instructions from us, make appropriate entries or notations in
its records relating to the master note representing the notes to
indicate that the master note evidences the notes.
Validity of the Notes and the Guarantee
In the
opinion of Davis Polk & Wardwell LLP, as special products
counsel to JPMorgan Financial and JPMorgan Chase & Co., when
the notes offered by this pricing supplement have been issued by
JPMorgan Financial pursuant to the indenture, the trustee and/or
paying agent has made, in accordance with the instructions from
JPMorgan Financial, the appropriate entries or notations in its
records relating to the master global note that represents such
notes (the “master note”), and such notes have been delivered
against payment as contemplated herein, such notes will be valid
and binding obligations of JPMorgan Financial and the related
guarantee will constitute a valid and binding obligation of
JPMorgan Chase & Co., enforceable in accordance with their
terms, subject to applicable bankruptcy, insolvency and similar
laws affecting creditors’ rights generally, concepts of
reasonableness and equitable principles
of
general applicability (including, without limitation, concepts of
good faith, fair dealing and the lack of bad faith),
provided that such counsel expresses no opinion as to (i)
the effect of fraudulent conveyance, fraudulent transfer or similar
provision of applicable law on the conclusions expressed above or
(ii) any provision of the indenture that purports to avoid the
effect of fraudulent conveyance, fraudulent transfer or similar
provision of applicable law by limiting the amount of JPMorgan
Chase & Co.’s obligation under the related guarantee. This
opinion is given as of the date hereof and is limited to the laws
of the State of New York, the General Corporation Law of the State
of Delaware and the Delaware Limited Liability Company Act. In
addition, this opinion is subject to customary assumptions about
the trustee’s authorization, execution and delivery of the
indenture and its authentication of the master note and the
validity, binding nature and enforceability of the indenture with
respect to the trustee, all as stated in the letter of such counsel
dated May 6, 2022, which was filed as an exhibit to a Current
Report on Form 8-K by JPMorgan Chase & Co. on May 6, 2022.
HYPOTHETICAL EXAMPLES
The
following table and chart are provided for purposes of illustration
only. They should not be taken as an indication or prediction of
future investment results and are intended merely to illustrate the
impact that the various hypothetical basket closing levels or
hypothetical closing levels of the basket underliers, as
applicable, on the determination date could have on the payment at
maturity assuming all other variables remain constant.
The
examples below are based on a range of final basket levels and
closing levels of the basket underliers that are entirely
hypothetical; no one can predict what the basket closing level will
be on any day throughout the term of your notes, and no one can
predict what the final basket level will be on the determination
date. The basket underliers have been highly volatile in the past —
meaning that the levels of the basket underliers have changed
considerably in relatively short periods — and their performances
cannot be predicted for any future period.
The
information in the following examples reflects hypothetical rates
of return on the offered notes assuming that they are purchased on
the original issue date at the principal amount and held to the
stated maturity date. If you sell your notes in a secondary market
prior to the stated maturity date, your return will depend upon the
market value of your notes at the time of sale, which may be
affected by a number of factors that are not reflected in the table
below, such as interest rates, the volatility of the basket
underliers and our and JPMorgan Chase & Co.’s creditworthiness.
In addition, the estimated value of the notes is less than the
original issue price. For more information on the estimated value
of the notes, see “Summary Information — The Estimated Value of the
Notes” on page PS-8 of this pricing supplement. The information in
the table also reflects the key terms and assumptions in the box
below.
|
Key Terms and
Assumptions |
|
Principal amount |
$1,000 |
|
Upside participation rate |
3.00 |
|
Cap level |
114.75% of the initial basket level |
|
Maximum settlement amount |
$1,442.50 |
|
The
originally scheduled determination date is not a disrupted day with
respect to any basket underlier
During
the term of the notes, each basket underlier is not discontinued,
the method of calculating each basket underlier does not change in
any material respect and each basket underlier is not modified so
that its level does not, in the opinion of the calculation agent,
fairly represent the level of that basket underlier had those
modifications not been made
Notes
purchased on original issue date at the principal amount and held
to the stated maturity date
|
For
these reasons, the actual performance of the basket over the term
of your notes, as well as the amount payable at maturity, if any,
may bear little relation to the hypothetical examples shown below
or to the historical level of each basket underlier shown elsewhere
in this pricing supplement. For information about the historical
levels of each basket underlier during recent periods, see “The
Basket and the Basket Underliers — Historical Closing Levels of the
Basket Underliers” below. Before investing in the offered notes,
you should consult publicly available information to determine the
levels of the basket underliers between the date of this pricing
supplement and the date of your purchase of the offered notes.
Also,
the hypothetical examples shown below do not take into account the
effects of applicable taxes. Because of the U.S. tax treatment
applicable to your notes, tax liabilities could affect the
after-tax rate of return on your notes to a comparatively greater
extent than the after-tax return on the basket underliers.
The
levels in the left column of the table below represent hypothetical
final basket levels and are expressed as percentages of the initial
basket level. The amounts in the right column represent the
hypothetical payments at maturity, based on the corresponding
hypothetical final basket level (expressed as a percentage of the
initial basket level), and are expressed as percentages of the
principal amount of a note (rounded to the nearest one-thousandth
of a percent). Thus, a hypothetical payment at maturity of
100.000% means that the value of the cash payment that we would
deliver for each $1,000 of the outstanding principal amount of the
offered notes on the stated maturity date would equal 100.000% of
the principal amount of a note, based on the corresponding
hypothetical final basket level (expressed as a percentage of the
initial basket level) and the assumptions noted above.
Hypothetical Final Basket Level
(as Percentage of Initial Basket Level) |
Hypothetical Payment at Maturity
(as Percentage of Principal Amount) |
|
150.000% |
144.250% |
|
140.000% |
144.250% |
|
130.000% |
144.250% |
|
120.000% |
144.250% |
|
114.750% |
144.250% |
|
110.000% |
130.000% |
|
105.000% |
115.000% |
|
102.500% |
107.500% |
|
100.000% |
100.000% |
|
75.000% |
75.000% |
|
50.000% |
50.000% |
|
25.000% |
25.000% |
|
0.000% |
0.000% |
If, for
example, the final basket level were determined to be 25.000% of
the initial basket level, the payment that we would deliver on your
notes at maturity would be 25.000% of the principal amount of your
notes, as shown in the table above. As a result, if you purchased
your notes on the original issue date at the principal amount and
held them to the stated maturity date, you would lose 75.000% of
your investment (if you purchased your notes at a premium to
principal amount you would lose a correspondingly higher percentage
of your investment). In addition, if the final basket level were
determined to be 150.000% of the initial basket level, the payment
that we would deliver on your notes at maturity would be capped at
the maximum settlement amount (expressed as a percentage of the
principal amount), or 144.250% of each $1,000 principal amount
note, as shown in the table above. As a result, if you held your
notes to the stated maturity date, you would not benefit from any
increase in the final basket level over 114.750% of the initial
basket level.
The
following chart also shows a graphical illustration of the
hypothetical payments at maturity (expressed as a percentage of the
principal amount of your notes) that we would pay on your notes on
the stated maturity date, if the final basket level (expressed as a
percentage of the initial basket level) were any of the
hypothetical levels shown on the horizontal axis. The chart shows
that any hypothetical final basket level (expressed as a percentage
of the initial basket level) of less than 100.000% (the section
left of the 100.000% marker on the horizontal axis) would result in
a hypothetical payment at maturity of less than 100.000% of the
principal amount of your notes (the section below the 100.000%
marker on the vertical axis) and, accordingly, in a loss of
principal to the holder of the notes. The chart also shows that any
hypothetical final basket level (expressed as a percentage of the
initial basket level) of greater than or equal to 114.750% (the
section right of the 114.750% marker on the horizontal axis) would
result in a capped return on your investment.
The
following examples illustrate the hypothetical payment at maturity
on each $1,000 principal amount note based on hypothetical initial
basket underlier levels, each of which we refer to as an “initial
level,” and closing levels of the basket underliers on the
determination date, each of which we refer to as a “final level,”
calculated based on the key terms and assumptions above. The
hypothetical initial level for each basket underlier of 100.00 has
been chosen for illustrative purposes only and does not represent
the actual initial level for that basket underlier. For historical
data regarding the actual historical levels of the basket
underliers, please see the historical information set forth below
under “The Basket and the Basket Underliers.” The levels in Column
A represent the hypothetical initial level for each basket
underlier, and the levels in Column B represent hypothetical final
levels for each basket underlier. The percentages in Column C
represent hypothetical final levels for each basket underlier in
Column B expressed as percentages of the corresponding hypothetical
initial levels in Column A. The amounts in Column D represent the
initial weighted values of each basket underlier, and the amounts
in Column E represent the products of the percentages in
Column C times the corresponding amounts in Column D. The
final basket level for each example is shown beneath each example,
and will equal the sum of the five products shown in Column
E. The basket return for each example is shown beneath the final
basket level for such example, and will equal the quotient
of (i) the final basket level for such example minus the
initial basket level divided by (ii) the initial basket
level, expressed as a percentage. The values below have been
rounded for ease of analysis.
Example 1: The final basket level is greater than the cap level.
The payment at maturity will equal the maximum settlement
amount.
|
|
Column A |
Column B |
Column C |
Column D |
Column E |
|
Basket Underlier
|
Hypothetical
Initial Level
|
Hypothetical
Final Level
|
Column B /
Column A
|
Initial
Weighted
Value
|
Column C ×
Column D
|
| EURO
STOXX 50® Index |
100.00 |
150.00 |
150% |
36.00 |
54.00 |
|
TOPIX® Index |
100.00 |
150.00 |
150% |
26.00 |
39.00 |
|
FTSE® 100 Index |
100.00 |
150.00 |
150% |
17.00 |
25.50 |
|
Swiss Market Index |
100.00 |
150.00 |
150% |
12.00 |
18.00 |
|
S&P/ASX 200 Index |
100.00 |
150.00 |
150% |
9.00 |
13.50 |
| Final Basket Level: |
150.00 |
In this
example, all of the hypothetical final levels for the basket
underliers are greater than the applicable hypothetical initial
levels, which results in the hypothetical final basket level being
greater than the initial basket level of 100.00. However, because
the hypothetical final basket level of 150.00 is greater than the
cap level, the hypothetical payment at maturity will equal the
maximum settlement amount of $1,442.50.
Example 2: The final basket level is greater than the initial
basket level but less than the cap level. The payment at maturity
exceeds the $1,000 principal amount but is less than the maximum
settlement amount.
|
|
Column A |
Column B |
Column C |
Column D |
Column E |
|
Basket Underlier
|
Hypothetical
Initial Level
|
Hypothetical
Final Level
|
Column B /
Column A
|
Initial
Weighted
Value
|
Column C ×
Column D
|
|
EURO STOXX 50®
Index |
100.00 |
105.00 |
105% |
36.00 |
37.80 |
|
TOPIX® Index |
100.00 |
105.00 |
105% |
26.00 |
27.30 |
|
FTSE® 100 Index |
100.00 |
105.00 |
105% |
17.00 |
17.85 |
|
Swiss Market Index |
100.00 |
105.00 |
105% |
12.00 |
12.60 |
|
S&P/ASX 200 Index |
100.00 |
105.00 |
105% |
9.00 |
9.45 |
| |
|
|
|
|
|
| Final Basket Level: |
105.00 |
In this
example, all of the hypothetical final levels for the basket
underliers are greater than the applicable hypothetical initial
levels, which results in the hypothetical final basket level being
greater than the initial basket level of 100.00. Because the
hypothetical final basket level of 105.00 exceeds the initial
basket level but is less than the cap level, the hypothetical
payment at maturity will equal:
Payment at maturity = $1,000 + ($1,000 × 3.00 × 5.00%) =
$1,150.00
Example 3: The final basket level is less than the initial
basket level. The payment at maturity is less than the $1,000
principal amount.
|
|
Column A |
Column B |
Column C |
Column D |
Column E |
|
Basket Underlier
|
Hypothetical
Initial Level
|
Hypothetical
Final Level
|
Column B /
Column A
|
Initial
Weighted
Value
|
Column C ×
Column D
|
| EURO
STOXX 50® Index |
100.00 |
50.00 |
50% |
36.00 |
18.00 |
|
TOPIX® Index |
100.00 |
100.00 |
100% |
26.00 |
26.00 |
|
FTSE® 100 Index |
100.00 |
100.00 |
100% |
17.00 |
17.00 |
|
Swiss Market Index |
100.00 |
120.00 |
120% |
12.00 |
14.40 |
|
S&P/ASX 200 Index |
100.00 |
120.00 |
120% |
9.00 |
10.80 |
| |
|
|
|
|
|
| Final Basket Level: |
86.20 |
In
this example, the hypothetical final level of the EURO STOXX
50® Index is less than
its hypothetical initial level, while the hypothetical final levels
of the TOPIX® Index and
the FTSE® 100 Index are
equal to their applicable hypothetical initial levels and the
hypothetical final levels of the Swiss Market Index and S&P/ASX
200 Index are greater than their applicable initial levels.
Because the basket is unequally weighted, increases in the lower
weighted basket underliers will be offset by decreases in the more
heavily weighted basket underliers. In this example, the large
decline in the EURO STOXX 50® Index results in the
hypothetical final basket level being less than the initial
basket
level, even though the TOPIX® Index and the FTSE® 100 Index remained flat and the
Swiss Market Index and the S&P/ASX 200 Index increased.
Because
the hypothetical final basket level of 86.20 is less than the
initial basket level, the hypothetical payment at maturity will
equal:
Payment at maturity = $1,000 + ($1,000 × -13.80%) = $862.00
Example 4: The final basket level is less than the initial
basket level. The payment at maturity is less than the $1,000
principal amount.
|
|
Column A |
Column B |
Column C |
Column D |
Column E |
|
Basket Underlier
|
Hypothetical
Initial Level
|
Hypothetical
Final Level
|
Column B /
Column A
|
Initial
Weighted
Value
|
Column C ×
Column D
|
| EURO
STOXX 50® Index |
100.00 |
150.00 |
150% |
36.00 |
54.00 |
|
TOPIX® Index |
100.00 |
25.00 |
25% |
26.00 |
6.50 |
|
FTSE® 100 Index |
100.00 |
25.00 |
25% |
17.00 |
4.25 |
|
Swiss Market Index |
100.00 |
25.00 |
25% |
12.00 |
3.00 |
|
S&P/ASX 200 Index |
100.00 |
25.00 |
25% |
9.00 |
2.25 |
| |
|
|
|
|
|
| Final Basket Level: |
70.00 |
In this example, although the hypothetical final level for one of
the basket underliers is greater than its applicable hypothetical
initial level, the hypothetical final levels of the other basket
underliers decrease significantly from their hypothetical initial
levels, which results in the hypothetical final basket level being
less than the initial basket level. Because the hypothetical final
basket level of 70.00 is less than the initial basket level, the
hypothetical payment at maturity will equal:
Payment at maturity = $1,000 + ($1,000 × -30.00%) = $700.00
The
payments at maturity shown above are entirely hypothetical; they
are based on closing levels for the basket underliers that may not
be achieved on the determination date and on assumptions that may
prove to be erroneous. The actual market value of your notes on the
stated maturity date or at any other time, including any time you
may wish to sell your notes, may bear little relation to the
hypothetical payments at maturity shown above, and these amounts
should not be viewed as an indication of the financial return on an
investment in the offered notes. The hypothetical payments at
maturity on notes held to the stated maturity date in the examples
above assume you purchased your notes at their principal amount and
have not been adjusted to reflect the actual price you pay for your
notes. The return on your investment (whether positive or negative)
in your notes will be affected by the amount you pay for your
notes. If you purchase your notes for a price other than the
principal amount, the return on your investment will differ from,
and may be significantly lower than, the hypothetical returns
suggested by the above examples. Please read “Selected Risk Factors
— Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes — Secondary Market Prices of the Notes Will Be
Impacted by Many Economic and Market Factors” on page PS-20 of this
pricing supplement.
The
hypothetical returns on the notes shown above apply only if you
hold the notes for their entire term. 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 shown above would likely be lower.
We cannot predict the actual final basket level or what the
market value of your notes will be on any particular day, nor can
we predict the relationship between the level of each basket
underlier and the market value of your notes at any time prior to
the stated maturity date. The actual amount that you will receive,
if any, at maturity and the rate of return on the offered notes
will depend on the actual final basket level determined by the
calculation agent as described above. Moreover, the assumptions on
which the hypothetical returns are based may turn out to be
inaccurate. Consequently, the amount of
cash to be paid in respect of your notes, if any, on the stated
maturity date may be very different from the information reflected
in the table and chart above.
Selected Risk Factors
An investment in your notes is subject to the risks described
below, as well as the risks described under the “Risk Factors”
sections of the accompanying prospectus supplement, the
accompanying product supplement and the accompanying underlying
supplement. Your notes are a riskier investment than ordinary debt
securities. Also, your notes are not equivalent to investing
directly in the underlier stocks, i.e., the stocks underlying the
basket underliers that compose the basket to which your notes are
linked. You should carefully consider whether the offered notes are
suited to your particular circumstances.
Risks Relating to the Notes Generally
You May Lose Some or All of Your Investment in the Notes
The
notes do not guarantee any return of principal. The return on the
notes at maturity is linked to the performance of the basket and
will depend on whether, and the extent to which, the basket return
is positive or negative. Your investment will be exposed to loss if
the final basket level is less than the initial basket level. For
every 1% that the final basket level is less than the initial
basket level, you will lose an amount equal to 1% of the principal
amount of your notes. Accordingly, you could lose some or all of
your initial investment at maturity. Also, the market price of your
notes prior to the stated maturity date may be significantly lower
than the purchase price you pay for your notes. Consequently, if
you sell your notes before the stated maturity date, you may
receive far less than the amount of your investment in the
notes.
Your Maximum Gain on the Notes Is Limited to the Maximum
Settlement Amount
If the
final basket level is greater than the initial basket level, for
each $1,000 principal amount note, you will receive at maturity a
payment that will not exceed the maximum settlement amount,
regardless of the appreciation in the basket, which may be
significant. Accordingly, the amount payable on your notes may be
significantly less than it would have been had you invested
directly in the basket underliers. The maximum settlement amount is
$1,442.50.
The Notes Are Subject to the Credit Risks of JPMorgan Financial and
JPMorgan Chase & Co.
The
notes are subject to our and JPMorgan Chase & Co.’s credit
risks, and our and JPMorgan Chase & Co.’s credit ratings and
credit spreads may adversely affect the market value of the notes.
Investors are dependent on our and JPMorgan Chase & Co.’s
ability to pay all amounts due on the notes. Any actual or
potential change in our or JPMorgan Chase & Co.’s
creditworthiness or credit spreads, as determined by the market for
taking that credit risk, is likely to adversely affect the value of
the notes. If we and JPMorgan Chase & Co. were to default on
our payment obligations, you may not receive any amounts owed to
you under the notes and you could lose your entire investment.
As a Finance Subsidiary, JPMorgan Financial Has No Independent
Operations and Has Limited Assets
As a
finance subsidiary of JPMorgan Chase & Co., we have no
independent operations beyond the issuance and administration of
our securities. Aside from the initial capital contribution from
JPMorgan Chase & Co., substantially all of our assets relate to
obligations of our affiliates to make payments under loans made by
us or other intercompany agreements. As a result, we are dependent
upon payments from our affiliates to meet our obligations under the
notes. If these affiliates do not make payments to us and we fail
to make payments on the notes, you may have to seek payment under
the related guarantee by JPMorgan Chase & Co., and that
guarantee will rank pari passu with all other unsecured and
unsubordinated obligations of JPMorgan Chase & Co.
No Interest or Dividend Payments or Voting Rights
As a
holder of the notes, you will not receive interest payments. As a
result, even if the amount payable for your notes on the stated
maturity date exceeds the principal amount of your notes, the
overall return you earn on your notes may be less than you would
have earned by investing in a non-basket-linked debt security of
comparable maturity that bears interest at a prevailing market
rate. In addition, as a holder of
the
notes, you will not have voting rights or rights to receive cash
dividends or other distributions or other rights that holders of
the underlier stocks would have.
We May Sell an Additional Aggregate Principal Amount of the
Notes at a Different Issue Price
At our
sole option, we may decide to sell an additional aggregate
principal amount of the notes subsequent to the date of this
pricing supplement. The issue price of the notes in the subsequent
sale may differ substantially (higher or lower) from the original
issue price you paid as provided on the cover of this pricing
supplement.
If You Purchase Your Notes at a Premium to the Principal Amount,
the Return on Your Investment Will Be Lower Than the Return on
Notes Purchased at the Principal Amount and the Impact of Certain
Key Terms of the Notes Will Be Negatively Affected
The
amount you will be paid for your notes on the stated maturity date
will not be adjusted based on the price you pay for the notes. If
you purchase notes at a price that differs from the principal
amount of the notes, then the return on your investment in the
notes held to the stated maturity date will differ from, and may be
substantially less than, the return on notes purchased at the
principal amount. If you purchase your notes at a premium to the
principal amount and hold them to the stated maturity date the
return on your investment in the notes will be lower than it would
have been had you purchased the notes at the principal amount or a
discount to the principal amount. In addition, the impact of the
cap level on the return on your investment will depend upon the
price you pay for your notes relative to the principal amount. For
example, if you purchase your notes at a premium to the principal
amount, the cap level will permit only a lower percentage increase
in your investment in the notes than would have been the case for
notes purchased at the principal amount or a discount to the
principal amount.
Correlation (or Lack of Correlation) of the Basket
Underliers
The notes are linked to an
unequally weighted basket. Performances of the basket underliers
may or may not be correlated with each other. At a time when the
values of one or more of the basket underliers increases, the
values of the other basket underliers may not increase as much or
may even decline. Therefore, in calculating the final basket level,
increases in the value of one or more of the basket underliers may
be moderated, or more than offset, by the lesser increases or
declines in the values of other basket underliers. Further, because
the basket underliers are unequally weighted, increases in the
values of the lower-weighted basket underliers may be offset by
even smaller decreases in values of the more heavily weighted
basket underliers. In addition, high correlation of movements in
the basket underliers during periods of negative returns among the
basket underliers could have an adverse effect on the payment at
maturity on the notes. There can be no assurance that the final
basket level will be higher than the initial basket
level.
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.
The Tax Consequences of an Investment in the Notes Are
Uncertain
There is
no direct legal authority as to the proper U.S. federal income tax
characterization of the notes, and we do not intend to request a
ruling from the IRS. The IRS might not accept, and a court might
not uphold, the treatment of the notes described in “Key Terms —
Tax treatment” in this pricing supplement and in “Material U.S.
Federal Income Tax Consequences” in the accompanying product
supplement. If the IRS were successful in asserting an alternative
treatment for the notes, the timing and character of any income or
loss on the notes could differ materially and adversely from our
description herein. In addition, in 2007 Treasury and the IRS
released a notice requesting comments on the U.S. federal income
tax treatment of “prepaid forward contracts” and similar
instruments. The notice focuses in particular on whether to require
investors in these instruments to accrue income over the term of
their investment. It also asks for comments on a number of related
topics, including the character of income or
loss
with respect to these instruments; the relevance of factors such as
the nature of the underlying property to which the instruments are
linked; the degree, if any, to which income (including any mandated
accruals) realized by non-U.S. investors should be subject to
withholding tax; and whether these instruments are or should be
subject to the “constructive ownership” regime, which very
generally can operate to recharacterize certain long-term capital
gain as ordinary income and impose a notional interest charge.
While the notice requests comments on appropriate transition rules
and effective dates, any Treasury regulations or other guidance
promulgated after consideration of these issues could materially
and adversely affect the tax consequences of an investment in the
notes, possibly with retroactive effect. You should review
carefully the section entitled “Material U.S. Federal Income Tax
Consequences” in the accompanying product supplement and 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 this notice.
Risks Relating to Conflicts of Interest
Potential Conflicts of Interest
We and
our affiliates play a variety of roles in connection with the
issuance of the notes, including acting as calculation agent and as
an agent of the offering of the notes, 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. Also,
the distributor from which you purchase the notes may conduct
hedging activities for us in connection with the notes. In
performing these duties, our and JPMorgan Chase & Co.’s
economic interests, the economic interests of any distributor
performing such duties 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, and the
business activities of any distributor from which you purchase the
notes, 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. If the distributor from which you
purchase notes is to conduct hedging activities for us in
connection with the notes, that distributor may profit in
connection with such hedging activities and such profit, if any,
will be in addition to the compensation that the distributor
receives for the sale of the notes to you. You should be aware that
the potential to earn fees in connection with hedging activities
may create a further incentive for the distributor to sell the
notes to you in addition to the compensation they would receive for
the sale of the notes. Please refer to “Risk Factors — Risks
Relating to Conflicts of Interest” on page PS-18 of the
accompanying product supplement for additional information about
these risks.
Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes
The Estimated Value of the Notes Is Lower Than the Original
Issue Price 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 “Summary Information — The
Estimated Value of the Notes” on page PS-8 of this pricing
supplement.
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
“Summary Information — The Estimated Value of the Notes” on page
PS-8 of this pricing supplement.
The Estimated Value of the Notes Is Derived by Reference to an
Internal Funding Rate
The
internal funding rate used in the determination of the estimated
value of the notes may differ from the market-implied funding rate
for vanilla fixed income instruments of a similar maturity issued
by JPMorgan Chase & Co. or its affiliates. Any difference may
be based on, among other things, our and our affiliates’ view of
the funding value of the notes as well as the higher issuance,
operational and ongoing liability management costs of the notes in
comparison to those costs for the conventional fixed income
instruments of JPMorgan Chase & Co. This internal funding rate
is based on certain market inputs and assumptions, which may prove
to be incorrect, and is intended to approximate the prevailing
market replacement funding rate for the notes. The use of an
internal funding rate and any potential changes to that rate may
have an adverse effect on the terms of the notes and any secondary
market prices of the notes. See “Summary Information — The
Estimated Value of the Notes” on page PS-8 of this pricing
supplement.
The Value of the Notes as Published by JPMS (and Which May Be
Reflected on Customer Account Statements) May Be Higher Than the
Then-Current Estimated Value of the Notes for a Limited Time
Period
We
generally expect that some of the costs included in the original
issue price of the notes will be partially paid back to you in
connection with any repurchases of your notes by JPMS in an amount
that will decline to zero over an initial predetermined period.
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 “Summary Information — Secondary
Market Prices of the Notes” on page PS-9 of this pricing supplement
for additional information relating to this initial period.
Accordingly, the estimated value of your notes during this initial
period may be lower than the value of the notes as published by
JPMS (and which may be shown on your customer account
statements).
Secondary Market Prices of the Notes Will Likely Be Lower Than
the Original Issue Price of the Notes
Any
secondary market prices of the notes will likely be lower than the
original issue price of the notes because, among other things,
secondary market prices take into account our internal secondary
market funding rates for structured debt issuances and, also,
because secondary market prices may exclude selling commissions,
projected hedging profits, if any, and estimated hedging costs that
are included in the original issue price of the notes. As a result,
the price, if any, at which JPMS will be willing to buy 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 consideration 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” on page PS-18 of this pricing supplement.
Secondary Market Prices of the Notes Will Be Impacted by Many
Economic and Market Factors
The secondary market price of the notes during their term will be
impacted by a number of economic and market factors, which may
either offset or magnify each other, aside from the selling
commissions, projected hedging profits, if any, estimated hedging
costs and the levels of the basket underliers, including:
|
· |
any actual or potential change in our or JPMorgan Chase &
Co.’s creditworthiness or credit spreads; |
|
· |
customary bid-ask spreads for similarly sized trades; |
|
· |
our internal secondary market funding rates for structured debt
issuances; |
|
· |
the actual and expected volatility of the basket
underliers; |
|
· |
the time to maturity of the notes; |
|
· |
the dividend rates on the underlier stocks; |
|
· |
the actual or expected positive or negative correlation between
the basket underliers, or the absence of any such correlation; |
|
· |
interest and yield rates in the market generally; |
|
· |
the exchange rates and the volatility of the exchange rates
between the U.S. dollar and the currencies in which the underlier
stocks of the basket underliers are traded and the correlation
between those rates and the closing levels of the basket
underliers; and |
|
· |
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
Basket Underliers
The Notes Do Not Provide Direct Exposure to Fluctuations in
Foreign Exchange Rates
The
value of your notes will not be adjusted for exchange rate
fluctuations between the U.S. dollar and the currencies upon which
the basket underlier stocks are based, although any currency
fluctuations could affect the performance of the basket underlier.
Therefore, if the applicable currencies appreciate or depreciate
relative to the U.S. dollar over the term of the notes, you will
not receive any additional payment or incur any reduction in your
payment at maturity.
The Notes Are Subject to Risks Associated with Securities Issued
by Non-U.S. Companies
The
underlier stocks that compose the basket underliers have been issued
by non-U.S. companies. Investments in securities linked to the
value of such non-U.S. equity securities involve risks associated
with the securities markets in the home countries of the issuers of
those non-U.S. equity securities, including risks of volatility in
those markets, governmental intervention in those markets and cross
shareholdings in companies in certain countries. Also, there is
generally less publicly available information about companies in
some of these jurisdictions than there is about U.S. companies that
are subject to the reporting requirements of the SEC, and generally
non-U.S. companies are subject to accounting, auditing and
financial reporting standards and requirements and securities
trading rules different from those applicable to U.S. reporting
companies. The prices of securities in foreign markets may be
affected by political, economic, financial and social factors in
those countries, or global regions, including changes in
government, economic and fiscal policies and currency exchange
laws.
THE BAsKET AND the BASKET UnderlierS
The Basket
The
basket is an unequally weighted basket composed of five indices
with the initial weights within the basket set forth in the table
below:
|
Basket Underlier Information as of December 6, 2022 |
|
Basket Underlier |
Bloomberg
Ticker Symbol |
Initial Weight in
Basket |
Basket Underlier
Closing Level |
|
EURO STOXX 50®
Index |
SX5E |
36.00% |
3,939.19 |
|
TOPIX® Index |
TPX |
26.00% |
1,950.22 |
|
FTSE® 100 Index |
UKX |
17.00% |
7,521.39 |
| Swiss Market
Index |
SMI |
12.00% |
11,109.33 |
| S&P/ASX 200
Index |
AS51 |
9.00% |
7,291.266 |
The EURO STOXX 50®
Index
The
EURO STOXX 50® Index
consists of 50 component stocks of market sector leaders from
within the Eurozone. The EURO STOXX 50® Index and STOXX® are the intellectual property
(including registered trademarks) of STOXX Limited, Zurich,
Switzerland and/or its licensors (the “Licensors”), which are used
under license. The notes based on the EURO STOXX 50® Index are in no way sponsored,
endorsed, sold or promoted by STOXX Limited and its Licensors and
neither STOXX Limited nor any of its Licensors shall have any
liability with respect thereto. For additional information about
the EURO STOXX 50®
Index, see the information set forth under “Equity Index
Descriptions — The STOXX Benchmark Indices” on page US-109 of the
accompanying underlying supplement.
In
addition, information about the EURO STOXX 50® Index may be obtained from other
sources including, but not limited to, that basket underlier
sponsor’s website (including information regarding that basket
underlier’s (i) top ten constituents and their weightings, (ii)
sector weightings and (iii) country weightings). We are not
incorporating by reference into this pricing supplement the website
or any material it includes. Neither we nor any agent or dealer for
this offering makes any representation that this publicly available
information regarding that basket underlier is accurate or
complete.
The TOPIX®
Index
The
TOPIX® Index, also
known as the Tokyo Stock Price Index, is a capitalization weighted
index of all the Japanese common stocks listed on the First Section
of the Tokyo Stock Exchange, Inc. For additional information about
the TOPIX® Index, see
the information set forth under “Equity Index Descriptions — The
TOPIX® Index” on page
US-120 of the accompanying underlying supplement.
In
addition, information about the TOPIX® Index may be obtained from other
sources including, but not limited to, that basket underlier
sponsor’s website (including information regarding that basket
underlier’s sector weightings). We are not incorporating by
reference into this pricing supplement the website or any material
it includes. Neither we nor any agent or dealer for this offering
makes any representation that this publicly available information
regarding that basket underlier is accurate or complete.
FTSE® 100
Index
The
FTSE® 100 Index is an
index calculated, published and disseminated by FTSE Russell. The
FTSE® 100 Index
measures the composite price performance of stocks of the largest
100 companies (determined on the basis of market capitalization)
traded on the London Stock Exchange. For additional information
about the FTSE® 100
Index, see the information set forth under “Equity Index
Descriptions — The FTSE® 100 Index” on page US-44 of the
accompanying underlying supplement.
In
addition, information about the FTSE® 100 Index may be obtained from
other sources including, but not limited to, that basket underlier
sponsor’s website (including information regarding that basket
underlier’s (i) top five constituents and their weightings and (ii)
sector weightings). We are not incorporating by reference into this
pricing supplement the website or any material it includes. Neither
we nor any agent or dealer for this offering makes any
representation that this publicly available information regarding
that basket underlier is accurate or complete.
The Swiss Market Index
The
Swiss Market Index (“SMI®”) is a free-float adjusted
market capitalization-weighted price return index of the Swiss
equity market. The SMI®
is sponsored, calculated, maintained and published by SIX Swiss
Exchange Ltd. The SMI®
comprises the 20 most highly capitalized and liquid stocks of the
Swiss Performance Index®. For additional information
about the Swiss Market Index, see the information set forth under
“Equity Index Descriptions — The Swiss Market Index” on page US-116
of the accompanying underlying supplement.
In
addition, information about the Swiss Market Index may be obtained
from other sources including, but not limited to, that basket
underlier sponsor’s website (including information regarding that
basket underlier’s (i) top ten constituents and their weightings
and (ii) sector weightings). We are not incorporating by reference
into this pricing supplement the website or any material it
includes. Neither we nor any agent or dealer for this offering
makes any representation that this publicly available information
regarding that basket underlier is accurate or complete.
The S&P/ASX 200 Index
The
S&P/ASX 200 Index measures the performance of the 200 largest
index-eligible stocks listed on the Australian Securities Exchange
by float-adjusted market capitalization, and is widely considered
Australia’s benchmark index. For additional information see the
information about the S&P/ASX 200 Index, see the information
set forth under “Equity Index Descriptions — The S&P/ASX 200
Index” on page US-85 of the accompanying underlying supplement.
In addition, information about the S&P/ASX 200 Index may be
obtained from other sources including, but not limited to, that
basket underlier sponsor’s website (including information regarding
that basket underlier’s (i) top ten constituents, (ii) sector
weightings and (iii) country weightings). We are not incorporating
by reference into this pricing supplement the website or any
material it includes. Neither we nor any agent or dealer for this
offering makes any representation that this publicly available
information regarding that basket underlier is accurate or
complete.
Historical Basket
Levels
You should not take the historical levels of the basket or the
basket underliers as an indication of the future performance of the
basket or the basket underliers, respectively. We cannot give
you any assurance that the future performance of the basket, basket
underliers or the underlier stocks will result in a return of any
of your initial investment on the stated maturity date. In light of
the increased volatility currently being experienced by the
securities markets, and recent market declines, it may be
substantially more likely that you could lose all or a substantial
portion of your investment in the notes.
Neither
we nor any of our affiliates make any representation to you as to
the performance of the basket or the basket underliers. The actual
performance of the basket or the basket underliers over the term of
the offered notes, as well as the amount payable at maturity, may
bear little relation to the historical levels shown below.
The following graph is based
on the basket closing levels for the period from January 4,
2017 (the first day in
2017 on which the closing
levels of all basket underliers were published) through
December 6, 2022, assuming
that the basket closing level was 100 on January 4,
2017. We derived the
basket closing levels based on the method of calculating the basket
closing level as described in this pricing supplement and on the
closing levels of the relevant basket underliers on the relevant
dates. We obtained the closing levels reflected in the graph
below from the Bloomberg Professional® service (“Bloomberg”),
without
independent verification. The basket closing level has been
normalized such that its hypothetical level on January 4, 2017
was 100. As noted in this
pricing supplement, the initial basket level was 100 on the trade
date. The basket closing level can increase or decrease due
to changes in the levels of the basket underliers. The graph below
is for illustrative purposes only.
Historical Closing Levels of the Basket Underliers
The
respective closing levels of the basket underliers have fluctuated
in the past and may, in the future, experience significant
fluctuations. Any historical upward or downward trend in the
closing levels of the basket underliers during any period shown
below is not an indication that the basket underliers are more or
less likely to increase or decrease at any time during the term of
your notes.
The
graphs below show the closing levels of the basket underliers
(other than the EURO STOXX 50® Index and the TOPIX® Index) on each day from January
3, 2017 through December 6, 2022, the closing levels of the EURO
STOXX 50® Index on each
day from January 2, 2017 through December 6, 2022 and the closing
levels of the TOPIX®
Index on each day from January 4, 2017 through December 6, 2022.
The closing level of the EURO STOXX 50® Index on December 6, 2022 was
3,939.19. The closing level of the TOPIX® Index on December 6, 2022 was
1,950.22. The closing level of the FTSE® 100 Index on December 6, 2022
was 7,521.39. The closing level of the Swiss Market Index on
December 6, 2022 was 11,109.33. The closing level of the
S&P/ASX 200 Index on December 6, 2022 was 7,291.266. We
obtained the closing levels above and in the graphs below from
Bloomberg, without independent verification.
We and
JPMorgan Chase & Co. have not authorized anyone to provide any
information other than that contained or incorporated by reference
in this pricing supplement, the accompanying underlying supplement,
the accompanying product supplement and the accompanying prospectus
supplement and prospectus with respect to the notes offered by this
pricing supplement and with respect to JPMorgan Financial or
JPMorgan Chase & Co. We and JPMorgan Chase & Co. take no
responsibility for, and can provide no assurance as to the
reliability of, any other information that others may give you.
This pricing supplement, together with the accompanying underlying
supplement, the accompanying product supplement and the
accompanying prospectus supplement and prospectus, 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. The information in this pricing supplement, the
accompanying underlying supplement, the accompanying product
supplement and the accompanying prospectus supplement and
prospectus may be accurate only as of the dates of each of these
documents, respectively. This pricing supplement, the accompanying
underlying supplement, the accompanying product supplement and the
accompanying prospectus supplement and prospectus do not constitute
an offer to sell or a solicitation of an offer to buy the notes in
any circumstances in which such offer or solicitation is
unlawful.
TABLE OF CONTENTS
Pricing Supplement
Page
| Summary
Information |
PS-3 |
| Hypothetical
Examples |
PS-11 |
| Selected Risk
Factors |
PS-17 |
| The Basket and
the Basket Underliers |
PS-22 |
Product Supplement No. 4-II dated November 4, 2020
| Risk Factor
Summary |
PS-1 |
| Description of
Notes |
PS-3 |
| Estimated Value
and Secondary Market Prices of the Notes |
PS-10 |
| Risk
Factors |
PS-12 |
| Use of Proceeds
and Hedging |
PS-45 |
| General Terms of
Notes |
PS-46 |
| The
Underlyings |
PS-55 |
| Material U.S.
Federal Income Tax Consequences |
PS-79 |
| Plan of
Distribution (Conflicts of Interest) |
PS-89 |
| Benefit Plan
Investor Considerations |
PS-91 |
Underlying Supplement No. 1-II dated November 4, 2020
| Risk Factor
Summary |
US-1 |
| Risk
Factors |
US-3 |
| Equity Index
Descriptions |
US-36 |
| The Dow
Jones Industrial Average™ |
US-36 |
| The EURO
STOXX® Select Dividend
30 Index |
US-39 |
| The
FTSE® 100 Index |
US-44 |
| The Hang
Seng Indices |
US-47 |
| The MSCI
Indices |
US-56 |
| The MSCI
25/50 Indices |
US-64 |
| The
NASDAQ-100 Index® |
US-69 |
| The
NASDAQ-100® Technology
Sector IndexSM |
US-74 |
| The Nikkei
225 Index |
US-77 |
| The Russell
Indices |
US-80 |
| The
S&P/ASX 200 Index |
US-85 |
| The S&P
500® Low Volatility
High Dividend Index |
US-89 |
| The S&P
Select Industry Indices |
US-92 |
| The S&P
Select Sector Indices |
US-99 |
| The S&P
U.S. Indices |
US-103 |
| The STOXX
Benchmark Indices |
US-109 |
| The Swiss
Market Index |
US-116 |
| The
TOPIX® Index |
US-120 |
| Commodity Index
Descriptions |
US-124 |
| The
Bloomberg Commodity Indices |
US-124 |
| The S&P
GSCI® Indices |
US-136 |
| Fund
Descriptions |
US-145 |
| The Invesco
QQQ TrustSM, Series
1 |
US-145 |
| The
iShares® 20+ Year
Treasury Bond ETF |
US-146 |
| The
iShares® ETFs |
US-151 |
| The Select
Sector SPDR® Funds |
US-158 |
| The
SPDR® EURO STOXX
50® ETF |
US-160 |
| The
SPDR® Gold Trust |
US-161 |
| The
SPDR® S&P
500® ETF Trust |
US-162 |
| The
SPDR®
S&P® Industry
ETFs |
US-163 |
| The United
States Oil Fund, LP |
US-165 |
| The VanEck
Vectors® ETFs |
US-166 |
| The
Vanguard FTSE Emerging Markets ETF |
US-180 |
Prospectus Supplement dated April 8, 2020
| About This
Prospectus Supplement |
S-1 |
| Risk
Factors |
S-2 |
| Description of
Notes of JPMorgan Chase & Co. |
S-5 |
| Description of
Warrants of JPMorgan Chase & Co. |
S-11 |
| Description of
Units of JPMorgan Chase & Co. |
S-14 |
| Description of
Notes of JPMorgan Chase Financial Company LLC |
S-17 |
| Description of
Warrants of JPMorgan Chase Financial Company LLC |
S-23 |
| United States
Federal Taxation |
S-28 |
| Plan of
Distribution (Conflicts of Interest) |
S-29 |
| Notice to
Investors; Selling Restrictions |
S-31 |
Prospectus dated April 8, 2020
| Where You Can
Find More Information |
1 |
| JPMorgan Chase
& Co. |
2 |
| JPMorgan Chase
Financial Company LLC |
2 |
| Use of
Proceeds |
2 |
| Important
Factors That May Affect Future Results |
3 |
| Description of
Debt Securities of JPMorgan Chase & Co. |
5 |
| Description of
Warrants of JPMorgan Chase & Co. |
13 |
| Description of
Units of JPMorgan Chase & Co. |
16 |
| Description of
Purchase Contracts of JPMorgan Chase & Co. |
18 |
| Description of
Debt Securities of JPMorgan Chase Financial Company LLC |
20 |
| Description of
Warrants of JPMorgan Chase Financial Company LLC |
28 |
| Forms of
Securities |
34 |
| Plan of
Distribution (Conflicts of Interest) |
38 |
| Independent
Registered Public Accounting Firm |
41 |
| Legal
Matters |
41 |
| Benefit Plan
Investor Considerations |
41 |
$1,500,000
JPMorgan Chase
Financial Company LLC
Capped Enhanced
Participation Basket-Linked Notes due 2024
Medium-Term Notes,
Series A
Fully and Unconditionally Guaranteed by JPMorgan Chase &
Co.
JP Morgan Chase (NYSE:JPM)
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