Feed to the latest filings at the SEC
Date Filed : Jun 23, 2022
Registration StatementNos. 333-236659 and 333-236659-01; Rule 424(b)(2)
JPMorganChase Financial Company LLCStructured Investments
Auto Callable Contingent Interest Notes Linked to theCommon Stock of Amazon.com, Inc. due March 26, 2024
Fullyand Unconditionally Guaranteed by JPMorgan Chase & Co.
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 and “Selected Risk 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, prospectus supplement and prospectus. Any representation to the contrary is a criminaloffense.
(1) See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions of $7.00 per $1,000 principal amount note it receives from us to other affiliated or unaffiliated dealers. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.
The estimated value of the notes, whenthe terms of the notes were set, was $982.20 per $1,000 principal amount note. See “The Estimated Value of the Notes” in thispricing supplement for additional information.
The notes are not bank deposits, are notinsured by the Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, abank.
Pricing supplement to product supplement no. 4-II datedNovember 4, 2020 and the prospectus and prospectus supplement, each dated April 8, 2020
Issuer: JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Reference Stock: The common stock of Amazon.com, Inc., par value $0.01 per share (Bloomberg ticker: AMZN). We refer to Amazon.com, Inc. as “Amazon.com”.
Contingent Interest Payments:
If the notes have not been automatically called and the closing price of one share of the Reference Stock on any Review Date is greater than or equal to the Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal amount note a Contingent Interest Payment of $15.50 (equivalent to a Contingent Interest Rate of 18.60% per annum, payable at a rate of 1.55% per month).
If the closing price of one share of the Reference Stock on any Review Date is less than the Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date.
Contingent Interest Rate: 18.60% per annum, payable at a rate of 1.55% per month
Interest Barrier: 70.00% of the Initial Value, which is $76.076 Trigger Value: 60.00% of the Initial Value, which is $65.208
Pricing Date: June 21, 2022
Original Issue Date (Settlement Date): On or about June 24, 2022
Review Dates*: July 21, 2022, August 22, 2022, September 21, 2022, October 21, 2022, November 21, 2022, December 21, 2022, January 23, 2023, February 21, 2023, March 21, 2023, April 21, 2023, May 22, 2023, June 21, 2023, July 21, 2023, August 21, 2023, September 21, 2023, October 23, 2023, November 21, 2023, December 21, 2023, January 22, 2024, February 21, 2024 and March 21, 2024 (final Review Date)
Interest Payment Dates*: July 26, 2022, August 25, 2022, September 26, 2022, October 26, 2022, November 25, 2022, December 27, 2022, January 26, 2023, February 24, 2023, March 24, 2023, April 26, 2023, May 25, 2023, June 26, 2023, July 26, 2023, August 24, 2023, September 26, 2023, October 26, 2023, November 27, 2023, December 27, 2023, January 25, 2024, February 26, 2024 and the Maturity Date
Maturity Date*: March 26, 2024
Call Settlement Date*: If the notes are automatically called on any Review Date (other than the first, second and final Review Dates), the first Interest Payment Date immediately following that Review Date
* Subject to postponement in the event of a market disruption event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
If the closing price of one share of the Reference Stock on any Review Date (other than the first, second and final Review Dates) is greater than or equal to the Initial Value, the notes will be automatically called for a cash payment, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to that Review Date, payable on the applicable Call Settlement Date. No further payments will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final Value is greater than or equal to the Trigger Value, you will receive a cash payment at maturity, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment, if any, applicable to the final Review Date.
If the notes have not been automatically called and the Final Value is less than the Trigger Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Stock Return)
If the notes have not been automatically called and the Final Value is less than the Trigger Value, you will lose more than 40.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
(Final Value – Initial Value) Initial Value
Initial Value: The closing price of one share of the Reference Stock on the Pricing Date, which was $108.68
Final Value: The closing price of one share of the Reference Stock on the final Review Date
Stock Adjustment Factor: The Stock Adjustment Factor is referenced in determining the closing price of one share of the Reference Stock and is set equal to 1.0 on the Pricing Date. The Stock Adjustment Factor is subject to adjustment upon the occurrence of certain corporate events affecting the Reference Stock. See “The Underlyings — Reference Stocks — Anti-Dilution Adjustments” and “The Underlyings — Reference Stocks — Reorganization Events” in the accompanying product supplement for further information.
PS-1| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Common Stock of Amazon.com, Inc.
How theNotes Work
Payments in Connection with the First and SecondReview Dates
Payments in Connection with Review Dates (Otherthan the First, Second and Final Review Dates)
Payment at Maturity If the Notes Have Not Been AutomaticallyCalled
PS-2| Structured Investments
Total Contingent Interest Payments
The table below illustrates the total Contingent InterestPayments per $1,000 principal amount note over the term of the notes based on the Contingent Interest Rate of 18.60% per annum, dependingon how many Contingent Interest Payments are made prior to automatic call or maturity.
The following examples illustrate payments on the noteslinked to a hypothetical Reference Stock, assuminga range of performances for the hypothetical Reference Stockon the Review Dates. The hypothetical payments set forth below assume the following:
The hypothetical Initial Value of $100.00 has been chosenfor illustrative purposes only and does not represent the actual Initial Value.
The actual Initial Value is the closing price of oneshare of the Reference Stock on the Pricing Date and is specified under "Key Terms - Initial Value" in this pricing supplement.For historical data regarding the actual closing prices of one share of the Reference Stock, please see the historical information setforth under “The Reference Stock” in this pricing supplement.
Each hypothetical payment set forth below is for illustrativepurposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing in the following exampleshave been rounded for ease of analysis.
PS-3| Structured Investments
Example 1 — Notes are automatically calledon the third Review Date.
Because the closing price of one share of the ReferenceStock on the third Review Date is greater than or equal to the Initial Value, the notes will be automatically called for a cash payment,for each $1,000 principal amount note, of $1,015.50 (or $1,000 plus the Contingent Interest Payment applicable to the third ReviewDate), payable on the applicable Call Settlement Date. The notes are not automatically callable before the third Review Date, even thoughthe closing price of one share of the Reference Stock on each of the first and second Review Dates is greater than the Initial Value.When added to the Contingent Interest Payments received with respect to the prior Review Dates, the total amount paid, for each $1,000principal amount note, is $1,046.50. No further payments will be made on the notes.
Example 2 — Notes have NOT been automaticallycalled and the Final Value is greater than or equal to the Trigger Value and the Interest Barrier.
Because the notes have not been automatically calledand the Final Value is greater than or equal to the Trigger Value and the Interest Barrier, the payment at maturity, for each $1,000 principalamount note, will be $1,015.50 (or $1,000 plus the Contingent Interest Payment applicable to the final Review Date). When addedto the Contingent Interest Payments received with respect to the prior Review Dates, the total amount paid, for each $1,000 principalamount note, is $1,046.50.
Example 3 — Notes have NOT been automaticallycalled and the Final Value is less than the Interest Barrier but is greater than or equal to the Trigger Value.
Because the notes have not been automatically calledand the Final Value is less than the Interest Barrier but is greater than or equal to the Trigger Value, the payment at maturity, foreach $1,000 principal amount note, will be $1,000.00. When added to the Contingent Interest Payments received with respect to the priorReview Dates, the total amount paid, for each $1,000 principal amount note, is $1,031.00.
PS-4| Structured Investments
Example 4 — Notes have NOT been automaticallycalled and the Final Value is less than the Trigger Value.
Because the notes have not been automatically called,the Final Value is less than the Trigger Value and the Stock Return is-50.00%, the payment at maturity will be $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 or until automatically called. These hypotheticalsdo not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included,the hypothetical returns and hypothetical payments shown above would likely be lower.
An investment in the notes involves significant risks. These risks areexplained in more detail in the “Risk Factors” section of the accompanying prospectus supplement and product supplement.
PS-5| Structured Investments
PS-6| Structured Investments
All information contained herein on the Reference Stockand on Amazon.com is derived from publicly available sources, without independent verification. According to its publicly available filingswith the SEC, Amazon.com, Inc. operates retail websites and offers programs that enable third parties to sell products on their websites.The common stock of Amazon.com, par value $0.01 per share (Bloomberg ticker: AMZN), is registered under the Securities Exchange Act of1934, as amended, which we refer to as the Exchange Act, and is listed on The NASDAQ Stock Market, which we refer to as the relevant exchangefor purposes of Amazon.com in the accompanying product supplement. Information provided to or filed with the SEC by Amazon.com pursuantto the Exchange Act can be located by reference to the SEC file number 000-22513, and can be accessed through www.sec.gov. We do not makeany representation that these publicly available documents are accurate or complete.
The following graph sets forth the historical performanceof the Reference Stock based on the weekly historical closing prices of one share of the Reference Stock from January 6, 2017 throughJune 17, 2022. The closing price of one share of the Reference Stock on June 21, 2022 was $108.68. We obtained the closing prices aboveand below from the Bloomberg Professional® service (“Bloomberg”), without independent verification. The closingprices above and below may have been adjusted by Bloomberg for corporate actions, such as stock splits, public offerings, mergers andacquisitions, spin-offs, delistings and bankruptcy.
The historical closing prices of one share of the ReferenceStock should not be taken as an indication of future performance, and no assurance can be given as to the closing price of one share ofthe Reference Stock on any Review Date. There can be no assurance that the performance of the Reference Stock will result in the returnof any of your principal amount or the payment of any interest.
Historical Performance of Amazon.com, Inc.
PS-7| Structured Investments
You should review carefully the section entitled “MaterialU.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-II. In determining our reporting responsibilitieswe intend to treat (i) the notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent couponsand (ii) any Contingent Interest Payments as ordinary income, as described in the section entitled “Material U.S. Federal IncomeTax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated ContingentCoupons” in the accompanying product supplement. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel,we believe that this is a reasonable treatment, but that there are other reasonable treatments that the IRS or a court may adopt, in whichcase the timing and character of any income or loss on the notes could be materially affected. In addition, in 2007 Treasury and the IRSreleased a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similarinstruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of theirinvestment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instrumentsand the relevance of factors such as the nature of the underlying property to which the instruments are linked. While the notice requestscomments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after considerationof these issues could materially affect the tax consequences of an investment in the notes, possibly with retroactive effect. The discussionsabove and in the accompanying product supplement do not address the consequences to taxpayers subject to special tax accounting rulesunder Section 451(b) of the Code. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investmentin the notes, including possible alternative treatments and the issues presented by the notice described above.
Non-U.S. Holders — Tax Considerations. TheU.S. federal income tax treatment of Contingent Interest Payments is uncertain, and although we believe it is reasonable to take a positionthat Contingent Interest Payments are not subject to U.S. withholding tax (at least if an applicable Form W-8 is provided), a withholdingagent may nonetheless withhold on these payments (generally at a rate of 30%, subject to the possible reduction of that rate under anapplicable income tax treaty), unless income from your notes is effectively connected with your conduct of a trade or business in theUnited States (and, if an applicable treaty so requires, attributable to a permanent establishment in the United States). If you are nota United States person, you are urged to consult your tax adviser regarding the U.S. federal income tax consequences of an investmentin the notes in light of your particular circumstances.
Section 871(m) of the Code and Treasury regulations promulgatedthereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on dividend equivalentspaid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that includeU.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked to certain broad-basedindices that meet requirements set forth in the applicable Treasury regulations. Additionally, a recent IRS notice excludes from the scopeof Section 871(m) instruments issued prior to January 1, 2023 that do not have a delta of one with respect to underlying securities thatcould pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on certain determinationsmade by us, our special tax counsel is of the opinion that Section 871(m) should not apply to the notes with regard to Non-U.S. Holders.Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its applicationmay depend on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security.You should consult your tax adviser regarding the potential application of Section 871(m) to the notes.
In the event of any withholding on the notes, we willnot be required to pay any additional amounts with respect to amounts so withheld.
The EstimatedValue 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 —The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate” in this pricing supplement.
PS-8| Structured Investments
The value of the derivative or derivatives underlyingthe economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such asthe traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and whichcan 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 relevantfactors and assumptions existing at that time.
The estimated value of the notes does not represent futurevalues of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide valuations forthe notes that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant factorsin the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantlybased on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movementsand other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary markettransactions.
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. A portion of the profits,if any, realized in hedging our obligations under the notes may be allowed to other affiliated or unaffiliated dealers, and we or oneor more of our affiliates will retain any remaining hedging profits. See “Selected Risk Considerations — The Estimated Valueof the Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
SecondaryMarket 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 will be partially paid backto 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 andour internal secondary market funding rates for structured debt issuances. This initial predetermined time period is intended to be theshorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects the structure of thenotes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the notesand when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations — The Value of the Notesas Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value ofthe Notes for a Limited Time Period” in this pricing supplement.
SupplementalUse 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 “How the Notes Work” and “HypotheticalPayout Examples” in this pricing supplement for an illustration of the risk-return profile of the notes and “The ReferenceStock” 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.
SupplementalPlan of Distribution
We expect that delivery of the notes will be made againstpayment for the notes on or about the Original Issue Date set forth on the front cover of this pricing supplement, which will be the thirdbusiness day following the Pricing Date of the notes (this settlement cycle being referred to as “T+3”). Under Rule 15c6-1of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in two business days,unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade notes on any date prior to two businessdays before delivery will be required to specify an alternate settlement cycle at the time of any such trade to prevent a failed settlementand should consult their own advisors.
PS-9| Structured Investments
SupplementalInformation About the Form of the Notes
The notes will initially be represented by a type ofglobal security that we refer to as a master note. A master note represents multiple securities that may be issued at differenttimes and that may have different terms. The trustee and/or paying agent will, in accordance with instructions from us, make appropriateentries or notations in its records relating to the master note representing the notes to indicate that the master note evidences thenotes.
Validityof the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as specialproducts counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by this pricing supplement have been issuedby JPMorgan Financial pursuant to the indenture, the trustee and/or paying agent has made, in accordance with the instructions from JPMorganFinancial, the appropriate entries or notations in its records relating to the master global note that represents such notes (the “masternote”), and such notes have been delivered against payment as contemplated herein, such notes will be valid and binding obligationsof JPMorgan Financial and the related guarantee will constitute a valid and binding obligation of JPMorgan Chase & Co., enforceablein 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, fairdealing 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 thatpurports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law by limiting the amountof JPMorgan Chase & Co.’s obligation under the related guarantee. This opinion is given as of the date hereof and is limitedto the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited Liability CompanyAct. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution and delivery ofthe indenture and its authentication of the master note and the validity, binding nature and enforceability of the indenture with respectto 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 Form8-K by JPMorgan Chase & Co. on May 6, 2022.
AdditionalTerms Specific to the Notes
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 of whichthese notes are a part, and the more detailed information contained in the accompanying product supplement. This pricing supplement, togetherwith the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous oral statements aswell 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, thematters set forth in the “Risk Factors” section of the accompanying prospectus supplement and the accompanying product supplement,as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accountingand other advisers before you invest in the notes.
You may access these documentson 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 SECwebsite):
Our Central Index Key, or CIK, onthe 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.
PS-10| Structured Investments