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Date Filed : Jun 23, 2022
Pricing supplement To prospectus dated April 8, 2020, prospectus supplement dated April 8, 2020, product supplement no. 4-II dated November 4, 2020 and
underlying supplement no. 1-II dated November 4, 2020
Registration Statement Nos. 333-236659 and 333-236659-01 Dated June 21, 2022
Digital Contingent Buffered Notes Linked to the S&P 500® Index due July 6, 2023
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
(Ending Index Level – Index Strike Level)
Index Strike Level
Investing in the notes involves a number of risks. See “RiskFactors” beginning on page S-2 of the accompanying prospectus supplement, “Risk Factors” beginning on page PS-12 ofthe accompanying product supplement, “Risk Factors” beginning on page US-3 of the accompanying underlying supplement and “SelectedRisk Considerations” beginning on page PS-5 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricingsupplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation tothe contrary is a criminal offense..
The estimated value of the notes, when the terms of the notes wereset, was $983.00 per $1,000 principal amount note. See “The Estimated Value of the Notes” in this pricing supplement foradditional information.
The notes are not bank deposits, are not insured by the FederalDeposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Additional Terms Specific to theNotes
You should read this pricing supplement together withthe accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes, ofwhich these notes are a part, and the more detailed information contained in the accompanying product supplement and the accompanyingunderlying supplement. This pricing supplement, together with the documents listed below, contains the terms of the notes andsupersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicativepricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educationalmaterials 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, asthe notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accountingand other advisers before you invest in the notes.
You may access these documents on the SEC website atwww.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us” and“our” refer to JPMorgan Financial.
What Is the Total Return on theNotes at Maturity, Assuming a Range of Performances for the Index?
The following table and examples illustrate the hypotheticaltotal return and the hypothetical payment at maturity on the notes. The “total return” as used in this pricing supplementis the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount note to $1,000.Each hypothetical total return or payment at maturity set forth below assumes an Index Strike Level of 3,600 and reflects the ContingentDigital Return of 10.25% and the Contingent Buffer Amount of 25.00%. Each hypothetical total return or payment at maturity set forth belowis for illustrative purposes only and may not be the actual total return or payment at maturity applicable to a purchaser of the notes.The numbers appearing in the following table and in the examples below have been rounded for ease of analysis.
Hypothetical Examples of AmountPayable at Maturity
The following examples illustrate how the total paymentat maturity in different hypothetical scenarios is calculated.
Example 1: The level of the Index increases fromthe Index Strike Level of 3,600.00 to an Ending Index Level of 3,780.00.
Because the Ending Index Level of 3,780.00 is greaterthan the Index Strike Level of 3,600.00, regardless of the Index Return, the investor receives a payment at maturity of $1,102.50 per$1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × 10.25%)= $1,102.50
Example 2: The level of the Index decreases fromthe Index Strike Level of 3,600.00 to an Ending Index Level of 2,700.00.
Although the Index Return is negative, because the EndingIndex Level of 2,700.00 is less than the Index Strike Level of 3,600.00 by up to the Contingent Buffer Amount of 25.00%, the investorreceives a payment at maturity of $1,102.50 per $1,000 principal amount note, calculated as follows:
Example 3: The level of the Index increases fromthe Index Strike Level of 3,600.00 to an Ending Index Level of 5,040.00.
Because the Ending Index Level of 5,040.00 is greaterthan the Index Strike Level of 3,600.00 and although the Index Return of 40.00% exceeds the Contingent Digital Return of 10.25%, the investoris entitled to only the Contingent Digital Return and receives a payment at maturity of $1,102.50 per $1,000 principal amount note, calculatedas follows:
Example 4: The level of the Index decreases fromthe Index Strike Level of 3,600.00 to an Ending Index Level of 1,800.00.
Because the Ending Index Level of 1,800.00 is less thanthe Index Strike Level of 3,600.00 by more than the Contingent Buffer Amount of 25.00% and the Index Return is -50.00%, the investor receivesa payment at maturity of $500.00 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × -50.00%)= $500.00
The hypothetical returns and hypothetical payments onthe notes shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect fees or expensesthat would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns andhypothetical payments shown above would likely be lower.
Selected Purchase Considerations
Based on current market conditions, in the opinionof 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 Consequencesto 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 yournotes for more than a year, whether or not you are an initial purchaser of notes at the issue price. However, the IRS or a courtmay not respect this treatment, in which case the timing and character of any income or loss on the notes could be materially and adverselyaffected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatmentof “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to require investorsin 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 underlyingproperty 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 interestcharge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or otherguidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment inthe notes, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequencesof an investment in the notes, including possible alternative treatments and the issues presented by this notice.
Section 871(m) of the Code and Treasury regulationspromulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) ondividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities orindices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linkedto certain broad-based indices that meet requirements set forth in the applicable Treasury regulations (such an index, a “QualifiedIndex”). Additionally, a recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2023that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income taxpurposes (each an “Underlying Security”). Based on certain determinations made by us, our special tax counsel is of the opinionthat 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 theIRS may disagree with this determination. Section 871(m) is complex and its application may depend on your particular circumstances, includingwhether you enter into other transactions with respect to an Underlying Security. You should consult your tax adviser regarding the potentialapplication of Section 871(m) to the notes.
Withholding under legislation commonly referred toas “FATCA” may (if the notes are recharacterized as debt instruments) apply to amounts treated as interest paid with respectto the notes, as well as to payments of gross proceeds of a taxable disposition, including redemption at maturity, of a note, althoughunder recently proposed regulations (the preamble to which specifies that taxpayers are permitted to rely on them pending finalization),no withholding will apply to payments of gross proceeds (other than any amount treated as interest). You should consult your tax adviserregarding the potential application of FATCA to the notes.
Selected Risk Considerations
An investment in the notes involves significant risks.Investing in the notes is not equivalent to investing directly in the Index or any of the component securities of the Index. These risksare explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement, the accompanying productsupplement and the accompanying underlying supplement.
Risks Relating to the Notes Generally
Risks Relating to Conflicts of Interest
“Risk Factors — Risks Relating to Conflictsof Interest” in the accompanying product supplement for additional information about these risks.
Risks Relating to the EstimatedValue and 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 “— Lack of Liquidity”.
Additionally, independent pricing vendors and/or third partybroker-dealers may publish a price for the notes, which may also be reflected on customer account statements. This price may be different(higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes in the secondary market. See“Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — Secondary market pricesof the notes will be impacted by many economic and market factors” in the accompanying product supplement.
Risks Relating to the Index
The following graph sets forth the historical performanceof the Index based on the weekly historical closing levels of the Index from January 6, 2017 through June 17, 2022. The closing levelof the Index on June 21, 2022 was 3,764.79.
We obtained the closing levels of the Index aboveand below from the Bloomberg Professional® service (“Bloomberg”), without independent verification. The historicallevels of the Index should not be taken as an indication of future performance, and no assurance can be given as to the closing levelof the Index on the Valuation Date. There can be no assurance that the performance of the Index will result in the return of any of yourprincipal amount.
The Estimated Value of the Notes
The estimated value of the notes set forth on the coverof this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt componentwith the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives underlyingthe economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing tobuy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimatedvalue of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued byJPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’ view ofthe funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparisonto those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based on certainmarket inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement fundingrate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the termsof the notes and any secondary market prices of the notes. For additional information, see “Selected Risk Considerations —Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Derived byReference to an Internal Funding Rate” in this pricing supplement. The value of the derivative or derivatives underlying the economicterms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as the tradedmarket prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which can includevolatility, 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 factorsand assumptions existing at that time. See “Selected Risk Considerations — Risks Relating to the Estimated Value and SecondaryMarket Prices of the Notes — The Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ fromOthers’ Estimates” in this pricing supplement.
The estimated value of the notes is lower than the originalissue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue priceof the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected profits,if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimatedcost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market forces beyondour control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. We or one or more ofour affiliates will retain any profits realized in hedging our obligations under the notes. See “Selected Risk Considerations —Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Lower Thanthe Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondarymarket prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes— Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.In addition, we generally expect that some of
the costs included in the original issue price of the notes willbe partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over aninitial predetermined period. These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances,estimated hedging costs and our internal secondary market funding rates for structured debt issuances. This initial predetermined timeperiod is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial periodreflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimatedcosts of hedging the notes and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations— Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Value of the Notes as Published byJPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes fora Limited Time Period” in this pricing supplement.
Supplemental Use of Proceeds
The notes are offered to meet investor demand for productsthat reflect the risk-return profile and market exposure provided by the notes. See “What Is the Total Return on the Notes at Maturity,Assuming a Range of Performances for the Index?” and “Hypothetical Examples of Amount Payable at Maturity” in this pricingsupplement for an illustration of the risk-return profile of the notes and “Selected Purchase Considerations — Return Linkedto the S&P 500® Index” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to theestimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus) theprojected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes,plus the estimated cost of hedging our obligations under the notes.
Supplemental Plan of Distribution
We expect that delivery of the notes will be made against paymentfor the notes on or about the Original Issue Date set forth on the front cover of this pricing supplement, which will be the third businessday following the Pricing Date of the notes (this settlement cycle being referred to as “T+3”). Under Rule 15c6-1 of the SecuritiesExchange Act of 1934, as amended, trades in the secondary market generally are required to settle in two business days, unless the partiesto that trade expressly agree otherwise. Accordingly, purchasers who wish to trade notes on any date prior to two business days beforedelivery will be required to specify an alternate settlement cycle at the time of any such trade to prevent a failed settlement and shouldconsult their own advisors.
Validity of the Notes and the Guarantee
In the opinion of Latham & Watkins LLP, as special productcounsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by this pricing supplement have been executed and issuedby JPMorgan Financial and authenticated by the trustee pursuant to the indenture, and 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 obligationof JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar lawsaffecting 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 special product counsel expressesno opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusionsexpressed above or (ii) any provision of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent transferor 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 Stateof Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustee’sauthorization, execution and delivery of the indenture and its authentication of the notes and the validity, binding nature and enforceabilityof the indenture with respect to the trustee, all as stated in the letter of such counsel dated February 26, 2020, which was filed asan exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 26, 2020.