JPMorgan Structured Investments — | PS-1 |
Cash-Settled Equity Linked Notes Linked to the Common Stock of The Boeing Company | |
Payment upon Optional Early Cash Conversion: |
Your payment upon optional early cash conversion, for each $1,000 principal amount note, will be an amount in cash equal to the sum of the Alternative Settlement Amounts for each of the 20 relevant Valuation Dates and will be paid on the Optional Early Cash Conversion Payment Date. You will lose some or all of your principal amount if you convert your notes (for cash) early and the average of the Final Stock Prices on the relevant Valuation Dates is less than the Threshold Price. |
Optional Early Cash Conversion Payment Date†: |
The second business day immediately following the relevant final Valuation Date |
Early Cash Conversion Notice: |
A notice substantially in the form of the Early Cash Conversion Notice set forth in Annex B to this pricing supplement |
Ordinary Dividend: |
The regular quarterly cash dividend per one share of the Reference Stock paid by the Reference Stock Issuer |
Base Dividend: |
From the Original Issue Date to the Maturity Date, $0.00 per calendar quarter per share of the Reference Stock for all dividends. The Base Dividend is used to calculate any adjustments to the Stock Adjustment Factor for cash dividends. See “Annex A — Supplemental Terms of the Notes — Anti-Dilution Adjustments” in this pricing supplement for further information. |
CUSIP: 48133DL24 |
|
Supplemental Terms of the Notes
The terms set out in Annex A to this pricing supplement will apply
to the notes offered by this pricing supplement, notwithstanding anything to the contrary in the accompanying product supplement.
Additional Terms Specific to the Notes
You may revoke your offer to purchase the notes at any time prior
to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of, or reject any
offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes, we will notify you and you
will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes, in which case we may
reject your offer to purchase.
You should read this pricing supplement together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which these notes
are a part, and the more detailed information contained in the accompanying product supplement. This pricing supplement, together with
the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous oral statements as well
as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation,
sample structures, fact sheets, brochures or other educational materials of ours. You should carefully consider, among other things,
the matters set forth in the “Risk Factors” section of the accompanying product 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. 3-II dated November 4, 2020: |
http://www.sec.gov/Archives/edgar/data/19617/000095010320021466/crt_dp139321-424b2.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.
Selected Purchase Considerations
| · | POTENTIAL PRESERVATION OF CAPITAL AT MATURITY —
We will pay you at least the principal amount per $1,000 principal amount note if you hold the notes to maturity, regardless of the performance
of the Reference Stock. Because the notes are our unsecured and unsubordinated obligations, the payment of which is fully and unconditionally
guaranteed by JPMorgan Chase & Co., payment of any amount on the notes is subject to our ability to pay our obligations as they become
due and JPMorgan Chase & Co.’s ability to pay its obligations as they become due. |
| · | APPRECIATION
POTENTIAL IF THE FINAL STOCK PRICE IS GREATER THAN THE THRESHOLD PRICE — Unless a Make-Whole Event has occurred prior to the
21st scheduled trading day immediately preceding the Maturity Date, the payment at maturity or upon optional early cash conversion of
the notes will be calculated over 20 Valuation Dates, with each Valuation Date determining 1/20th of the final payment at maturity or
upon optional early cash conversion, as the case may be. The payment at maturity of the notes will exceed the principal amount per $1,000
principal amount note if no Make-Whole Event has occurred and the Final Stock Price on one or more Valuation Dates is greater than the
Threshold Price, which is % of the Initial Reference Price. In respect of any such Valuation Date for purposes of payment at maturity
on which the Final Stock Price is greater than the Threshold Price, you will receive at maturity, in respect of that Valuation Date,
a cash payment equal to the Alternative Settlement Amount of $50 × (Final Stock Price on that Valuation Date / Threshold Price).
The payment upon optional early cash conversion of the notes will exceed the principal amount per $1,000 principal amount note if the
average of the Final Stock Prices on the relevant Valuation Dates is greater than the Threshold Price. In respect of each Valuation Date
for any optional early cash conversion of notes, you will receive on the Optional Early Cash Conversion Payment Date, in respect of that
Valuation Date, a cash payment equal to the Alternative Settlement Amount of $50 × (Final Stock Price on that Valuation Date /
Threshold Price). |
JPMorgan Structured Investments — | PS-2 |
Cash-Settled Equity Linked Notes Linked to the Common Stock of The Boeing Company | |
| · | SEMIANNUAL INTEREST PAYMENTS — The notes offer
semiannual interest payments as specified on the cover of this pricing supplement. Interest on the notes will be payable semiannually
on each Interest Payment Date to the relevant holders of record at the close of business on the business day immediately preceding the
applicable Interest Payment Date. If an Interest Payment Date is not a business day, payment will be made on the next business day immediately
following such day, but no additional interest will accrue as a result of the delayed payment. The yield on the notes may be less than
the overall return you would receive from a conventional debt security that you could purchase today with the same maturity as the notes. |
| · | OPPORTUNITY FOR EARLY EXIT IN CERTAIN CIRCUMSTANCES AS
A RESULT OF THE OPTIONAL EARLY CASH CONVERSION FEATURE — Until a Make-Whole Event has occurred, on any business day prior to
the 21st scheduled trading day immediately preceding the Maturity Date, you may elect to convert (for cash) all or any portion of your
notes early under certain circumstances described in this pricing supplement. Your payment upon any optional early cash conversion, for
each $1,000 principal amount note, will be an amount in cash equal to the sum of the Alternative Settlement Amounts for each of the 20
relevant Valuation Dates. You will lose some or all of your principal amount if you convert your notes (for cash) early and the average
of the Final Stock Prices on the relevant Valuation Dates is less than the Threshold Price. |
| · | RETURN DEPENDENT ON A SINGLE REFERENCE STOCK —
The return on the notes is linked to the performance of a single Reference Stock, which is the common stock of The Boeing Company. For
additional information see “The Reference Stock” in this pricing supplement. |
| · | TAXED AS CONTINGENT PAYMENT DEBT INSTRUMENTS —
You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences,” and in particular the subsection
thereof entitled “— Tax Consequences to U.S. Holders — Notes with a Term of More than One Year — Notes Treated
as Contingent Payment Debt Instruments,” in the accompanying product supplement no. 3-II. Unlike a traditional debt instrument that
provides for periodic payments of interest at a single fixed rate, with respect to which a cash-method investor generally recognizes income
only upon receipt of stated interest, our special tax counsel, Davis Polk & Wardwell LLP, is of the opinion that the notes will be
treated for U.S. federal income tax purposes as “contingent payment debt instruments.” As discussed in that subsection, you
generally will be required to accrue original issue discount (“OID”) on your notes in each taxable year at the “comparable
yield,” as determined by us, adjusted upward or downward to reflect the difference, if any, between the actual and projected amounts
of the payments on the notes, but interest payments will not be subject to additional tax on receipt. Upon sale or exchange of a note
(including upon any optional early cash conversion or at maturity), you will recognize taxable income or loss equal to the difference
between the amount received from the sale or exchange and your adjusted basis in the note, which generally will equal the cost thereof,
increased by the amount of OID you have accrued in respect of the note, and decreased by the amount of any interest payments in respect
of the note through the date of the sale or exchange. You generally must treat any income as interest income and any loss as ordinary
loss to the extent of previous interest inclusions, and the balance as capital loss. The deductibility of capital losses is subject to
limitations. Special rules may apply if all the payments on the instrument are treated as becoming fixed prior to maturity. You should
consult your tax adviser concerning the application of these rules. The discussions herein and in the accompanying product supplement
do not address the consequences to taxpayers subject to special tax accounting rules under Section 451(b) of the Code. Purchasers who
are not initial purchasers of notes at their issue price should consult their tax advisers with respect to the tax consequences of an
investment in notes, including the treatment of the difference, if any, between the basis in their notes and the notes’ adjusted
issue price. |
Section 871(m) of the
Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an
income tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments
linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime,
including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations.
Additionally, a recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2023 that do not have
a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an
“Underlying Security”). Based on certain determinations made by us, we expect that Section 871(m) will not apply to
the notes with regard to Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination.
Section 871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other transactions
with respect to an Underlying Security. If necessary, further information regarding the potential application of Section 871(m)
will be provided in the pricing supplement for the notes. You should consult your tax adviser regarding the potential application
of Section 871(m) to the notes.
The discussions in the
preceding paragraphs, when read in combination with the section entitled “Material U.S. Federal Income Tax Consequences” (and
in particular the subsection thereof entitled “— Tax Consequences to U.S. Holders — Notes with a Term of More than One
Year — Notes Treated as Contingent Payment Debt Instruments”) in the accompanying product supplement, constitute the full
opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal income tax consequences of owning and disposing of notes.
| · | COMPARABLE YIELD AND PROJECTED PAYMENT SCHEDULE
— We will determine the comparable yield for the notes and will provide that comparable yield, and the related projected
payment schedule, in the pricing supplement for the notes, which we will file with the SEC. Although it is not entirely clear how
the comparable yield and projected payment schedule should be determined when a debt instrument has an optional early cash
conversion prior to maturity, we will determine the comparable yield based upon the term to maturity of the notes assuming no
optional early cash conversion occurs. If the notes had been issued on June 23,
2022 and we had determined the comparable yield on that date, it would have been an annual rate of 5.01%, compounded semiannually. The
actual comparable yield that we will |
JPMorgan Structured Investments — | PS-3 |
Cash-Settled Equity Linked Notes Linked to the Common Stock of The Boeing Company | |
determine for the notes may be higher or lower than 5.01%, and will depend upon a variety of factors,
including actual market conditions and our borrowing costs for debt instruments of comparable maturities. Neither the comparable yield
nor the projected payment schedule constitutes a representation by us regarding the actual payment at maturity that we will make on 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 Reference Stock. These risks are explained in more detail in the “Risk
Factors” sections of the accompanying prospectus supplement and the accompanying product supplement.
Risks Relating to the Notes Generally
| · | THE NOTES MAY PAY LESS THAN THE PRINCIPAL AMOUNT PLUS
INTEREST PAYMENTS — If you hold the notes to maturity and no Make-Whole Event has occurred prior to the 21st scheduled trading
day immediately preceding the Maturity Date, and the Final Stock Price on each Valuation Date is less than or equal to the Threshold Price,
you will receive no more than the principal amount of your notes, in addition to any accrued but unpaid interest, and you will not otherwise
be compensated for any loss in value due to inflation and other factors relating to the value of money over time. In addition, if a Make-Whole
Event occurs prior to the 21st scheduled trading day immediately preceding the Maturity Date, you will not receive any cash payment on
the Make-Whole Payment Date if the average of the Final Stock Prices on the 20 relevant Valuation Dates is equal to or less than the Threshold
Price and the number of Additional Shares is zero, and at maturity you will receive no more than the principal amount of your notes, in
addition to any accrued but unpaid interest. As set forth in the immediately following risk consideration, you will lose some or all of
your principal amount if you convert your notes (for cash) early and the average of the Final Stock Prices on the relevant Valuation Dates
is less than the Threshold Price. |
| · | IF YOU CONVERT YOUR NOTES (FOR CASH) EARLY, YOU WILL
LOSE SOME OR ALL OF THE PRINCIPAL AMOUNT OF YOUR NOTES UNLESS THE AVERAGE OF THE FINAL STOCK PRICES ON THE RELEVANT VALUATION DATES EXCEEDS
OR EQUALS THE THRESHOLD PRICE — If you elect to convert your notes (for cash) early, the payment that you receive on the Optional
Early Cash Conversion Payment Date will be an amount in cash equal to the sum of the Alternative Settlement Amounts for each of the 20
relevant Valuation Dates. As a result, if you elect to convert your notes (for cash) early, and if the average of the Final Stock Prices
on the relevant Valuation Dates is less than the Threshold Price, the sum of the Alternative Settlement Amounts will be less than $1,000
per $1,000 principal amount note and the payment that you receive on the Optional Early Cash Conversion Payment Date will be less than
the principal amount of your notes. Accordingly, you may lose some or all of your principal amount upon an optional early cash conversion.
Taking into account the Threshold Price of % of the Initial Reference Price, the Reference Stock will need to appreciate by at least %
from the Initial Reference Price in order for you to receive at least your principal amount upon optional early cash conversion. In addition,
because the payment upon an optional early cash conversion on any Valuation Date will equal the Alternative Settlement Amount for that
Valuation Date instead of the greater of $50 and that Alternative Settlement Amount, the payment that you receive if you elect to convert
your notes (for cash) early will be less than the comparable payment you would have received had you held your notes to maturity (assuming,
for these purposes, that the Valuation Dates were the same for an optional early cash conversion as they were for notes held to maturity)
if the Final Stock Price is below the Threshold Price on any of the 20 relevant Valuation Dates. Furthermore, you will not receive any
further interest payments after the applicable Early Cash Conversion Date or any separate payment for any accrued and unpaid interest
to the applicable Early Cash Conversion Date. |
| · | YOU WILL NOT PARTICIPATE IN THE FULL APPRECIATION OF
THE REFERENCE STOCK — If a Make-Whole Event occurs prior to the 21st scheduled trading day immediately preceding the Maturity
Date, you will receive on the Make-Whole Payment Date a cash payment calculated based on the Final Stock Price of the Reference Stock
over the 20 relevant Valuation Dates and a number of Additional Shares that is designed to approximate some of the lost value of your
notes as a result of such event. Following the occurrence of a Make-Whole Event, you will not participate in any appreciation of the Reference
Stock prior to maturity, which may be significant. Even if a Make-Whole Event does not occur and the Final Stock Price on one or more
Valuation Dates is greater than the Threshold Price, the payment on the notes at maturity or upon an optional early cash conversion in
respect of any Valuation Date will reflect only appreciation of the Reference Stock on that Valuation Date in excess of the Threshold
Price. For example, assuming a Threshold Price of 135% of the Initial Reference Price, if the applicable Final Stock Price for all Valuation
Dates were equal to 168.75% of the Initial Reference Price, the payment on the notes would be only $1,250 for each $1,000 principal amount
note, in addition to any accrued but unpaid interest, for a return of 25% on the principal amount per note, even though the Reference
Stock appreciated by 68.75% from the Initial Reference Price. In addition, because the payment upon an optional early cash conversion
on any Valuation Date will equal the Alternative Settlement Amount for that Valuation Date instead of the greater of $50 and that Alternative
Settlement Amount, the payment that you receive if you elect to convert your notes (for cash) early will be less than the comparable payment
you would have received had you held your notes to maturity (assuming, for these purposes, that the Valuation Dates were the same for
an optional early cash conversion as they were for notes held to maturity) if the Final Stock Price is below the Threshold Price on any
of the 20 relevant Valuation Dates. |
| · | THE ORIGINAL ISSUE PRICE OF THE NOTES REFLECTS A PREMIUM
TO THE PRINCIPAL AMOUNT — Payments on the notes will not be adjusted based on the price you pay for the notes. Because the original
issue price of the notes reflects a premium to the principal amount, the return on your investment in the notes will be less than the
return would be |
JPMorgan Structured Investments — | PS-4 |
Cash-Settled Equity Linked Notes Linked to the Common Stock of The Boeing Company | |
if you purchased the notes at the principal amount. You will lose some of your initial investment if the total amount
paid on your notes is less than $1,050.
| · | UPON THE OCCURRENCE OF A MAKE-WHOLE EVENT, THE MAKE-WHOLE
PAYMENT MAY NOT ADEQUATELY COMPENSATE YOU FOR ANY LOST VALUE OF YOUR NOTES AS A RESULT OF SUCH TRANSACTION — If a Make-Whole
Event occurs prior to the 21st scheduled trading day immediately preceding the Maturity Date, you will receive on the Make-Whole Payment
Date a cash payment per $1,000 principal amount note equal to the Make-Whole Event Intrinsic Value, plus the product of the number
of Additional Shares and the Applicable Price. The number of Additional Shares will be determined based on the Effective Date of the Make-Whole
Event and the Applicable Price, which is the consideration paid (or deemed to be paid) per share of the Reference Stock in such transaction.
The Make-Whole Payment may not adequately compensate you for any lost value of your notes as a result of such transaction. In addition,
if the consideration paid (or deemed paid) per share of the Reference Stock in the transaction is greater than %
of the Initial Reference Price or less than % of the Initial Reference Price, the number of Additional
Shares will be zero. Moreover, in no event will the Additional Shares exceed a number of shares of the Reference Stock equal to %
of the Deemed Conversion Rate. Our payment obligation with respect to the Additional Shares could be considered a penalty, in which case
the enforceability thereof would be subject to general principles of reasonableness and equitable remedies. |
| · | THE INITIAL REFERENCE PRICE, THE THRESHOLD PRICE AND
THE TABLE SETTING FORTH THE NUMBER OF ADDITIONAL SHARES DELIVERABLE UPON A MAKE-WHOLE EVENT WILL NOT BE DETERMINED UNTIL AFTER THE TRADING
DAY IMMEDIATELY FOLLOWING THE PRICING DATE — Because the Initial Reference Price will be the VWAP of one share of the Reference
Stock on the trading day immediately following the Pricing Date, the Initial Reference Price will not be determined until after that immediately
following trading day. Accordingly, you will not know the Initial Reference Price or the Threshold Price, which will be % of the Initial
Reference Price, until after the Pricing Date. Furthermore, because the table setting forth the number of Additional Shares deliverable
upon a Make-Whole Event is based upon the Initial Reference Price and the Deemed Conversion Rate (which itself is derived from the Threshold
Price), you will not know the specific Applicable Prices and Additional Shares set forth in that table until the Initial Reference Price
and the Threshold Price are determined after the Pricing Date. The VWAP of one share of the Reference Stock may increase or decrease on
the trading day immediately following the Pricing Date, and there is no assurance that the Initial Reference Price will be similar to,
less than or greater than the VWAP of one share of the Reference Stock on the Pricing Date. In addition, we expect to hedge our obligations
under the notes in connection with the sale of the notes, including by purchasing shares of the Reference Stock and/or entering into derivatives
linked to the Reference Stock on the trading day immediately following the Pricing Date. Your return on the notes may be adversely affected
by any increase in the VWAP of one share of the Reference Stock on that trading day, which would result in a higher Initial Reference
Price and higher Threshold Price for the notes, as well as a table that may compensate you less upon the occurrence of a Make-Whole Event. |
| · | YOU WILL ONLY BE ABLE TO CONVERT YOUR NOTES (FOR CASH)
UNDER LIMITED CIRCUMSTANCES PRIOR TO MATURITY — On any business day prior to the 21st scheduled trading day immediately preceding
the Maturity Date, you may convert your notes (for cash) only if specified conditions are met. If the specific conditions for early cash
conversion are not met, you will not be able to convert your notes (for cash) early, and you may not be able to receive the amount of
cash into which the notes would otherwise be convertible. |
| · | UPON ANY OPTIONAL EARLY CASH CONVERSION OF THE NOTES,
YOU MAY RECEIVE LESS CASH THAN EXPECTED BECAUSE THE VWAP OF THE REFERENCE STOCK MAY DECLINE AFTER YOU EXERCISE YOUR EARLY CASH CONVERSION
RIGHT BUT BEFORE WE SETTLE OUR CASH CONVERSION OBLIGATION — Under the notes, if you elect to convert your notes (for cash) early,
you will be exposed to fluctuations in the VWAP of the Reference Stock during the period from the Early Cash Conversion Date until the
Optional Early Cash Conversion Payment Date. Upon any optional early cash conversion, the amount of cash that you will receive will be
determined by reference to the VWAP of one share of the Reference Stock over a period of 20 Valuation Dates beginning on, and including,
the trading day immediately following the Early Cash Conversion Date. Accordingly, if the VWAP of the Reference Stock decreases during
this period, the amount of cash you receive will be adversely affected, and you may lose some or all of your principal amount. |
| · | YOU WILL NOT RECEIVE THE PAYMENT UPON ANY EARLY CASH
CONVERSION UNTIL THE OPTIONAL EARLY CASH CONVERSION PAYMENT DATE, EVEN THOUGH YOU MUST SURRENDER YOUR NOTES FOR EARLY CASH CONVERSION
IN ADVANCE — Under the notes, if you elect to convert your notes (for cash) early, you will receive your early cash conversion
payment on the Optional Early Cash Conversion Payment Date, which is the second business day immediately following the period of 20 Valuation
Dates following the Early Cash Conversion Date on which you must surrender your notes for early cash conversion. |
| · | 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 |
JPMorgan Structured Investments — | PS-5 |
Cash-Settled Equity Linked Notes Linked to the Common Stock of The Boeing Company | |
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.
| · | THE ALTERNATIVE SETTLEMENT AMOUNT IS LINKED TO THE VWAP
OF ONE SHARE OF THE REFERENCE STOCK — The Alternative Settlement Amount for each Valuation Date is calculated by reference to
the VWAP of one share the Reference Stock on that Valuation Date and not by reference to the closing price of one share of the Reference
Stock on that Valuation Date. The closing price of one share of the Reference Stock may vary significantly from its VWAP. Accordingly,
if the VWAP of one share of the Reference Stock is less than its closing price on the relevant Valuation Date and if your payment at maturity
is based on the Alternative Settlement Amount in respect of any Valuation Date, or in the case of any payment upon an optional early cash
conversion or any Make-Whole Payment, that payment will be less than it would have been if the Alternative Settlement Amount were calculated
by reference to the closing price of the Reference Stock on the relevant Valuation Date. |
| · | no ownership rights in the
Reference Stock — As a holder of the notes,
you will not have any ownership interest or rights in the Reference Stock, such as voting rights or rights to receive cash dividends or
other distributions. In addition, the Reference Stock Issuer will not have any obligation to consider your interests as a holder of the
notes in taking any corporate action that might affect the value of the Reference Stock and the notes. |
| · | 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. Accordingly, the liquidity of the market for the notes could vary materially
over the term of the notes. |
| · | THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED
IN THE PRICING SUPPLEMENT — The final terms of the notes will be based on relevant market conditions when the terms of the notes
are set and will be provided in the pricing supplement. In particular, the estimated value of the notes will be provided in the pricing
supplement and may be as low as the minimum set forth on the cover of this pricing supplement. Accordingly, you should consider your potential
investment in the notes based on the minimum for the estimated value of the notes. |
Risks Relating to Conflicts of Interest
| · | POTENTIAL CONFLICTS — We and our affiliates
play a variety of roles in connection with the issuance of the notes, including acting as calculation agent and 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 when the terms of the notes are set, which we refer to as the estimated value of the notes. In performing these duties,
our and JPMorgan Chase & Co.’s economic interests and the economic interests of the calculation agent and other affiliates of
ours are potentially adverse to your interests as an investor in the notes. In addition, our and JPMorgan Chase & Co.’s business
activities, including hedging and trading activities, could cause our and JPMorgan Chase & Co.’s economic interests to be adverse
to yours and could adversely affect any payment on the notes and the value of the notes. It is possible that hedging or trading activities
of ours or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the value of
the notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product
supplement for additional information about these risks. |
We and/or our affiliates may also currently
or from time to time engage in business with the Reference Stock Issuer, including extending loans to, or making equity investments in,
the Reference Stock Issuer or providing advisory services to the Reference Stock Issuer. In addition, one or more of our affiliates may
publish research reports or otherwise express opinions with respect to the Reference Stock Issuer and these reports may or may not recommend
that investors buy or hold the Reference Stock. As a prospective purchaser of the notes, you should undertake an independent investigation
of the Reference Stock Issuer that in your judgment is appropriate to make an informed decision with respect to an investment in the notes.
The Initial Reference Price will equal
the VWAP of one share of the Reference Stock on the trading day immediately following the Pricing Date, as determined in the sole discretion
of the calculation agent. Although the calculation agent will make all determinations and will take all actions in relation to establishing
the Initial Reference Price and, in turn, the Threshold Price, in good faith, it should be noted that such discretion could have an impact
(positive or negative) on the value of your notes. The calculation agent is under no obligation to consider your interests as a holder
of the notes in taking any actions, including the determination of the Initial Reference Price and, in turn, the Threshold Price, that
might affect the value of your notes.
Risks Relating to the Estimated Value
and Secondary Market Prices of the Notes
| · | WE EXPECT TO HEDGE OUR OBLIGATIONS UNDER THE NOTES BY
PURCHASING SHARES OF THE REFERENCE STOCK IN CONNECTION WITH THE SALE OF THE NOTES — In connection with the sale of the notes,
we expect to hedge our obligations under the notes through certain affiliates or unaffiliated counterparties by purchasing shares of the
Reference Stock or entering into derivatives linked to the Reference Stock from one or more purchasers of the notes and/or unrelated third
parties in the open market. We may also adjust our hedge of the notes by, among other things, purchasing or selling shares of the Reference
Stock or entering into or unwinding derivatives linked to the |
JPMorgan Structured Investments — | PS-6 |
Cash-Settled Equity Linked Notes Linked to the Common Stock of The Boeing Company | |
Reference Stock at any time and from time to time following pricing of the
notes and close out or unwind our hedge by selling any of the foregoing on or before the Maturity Date. In addition, JPMS and other affiliates
of ours or JPMorgan Chase & Co. also trade the foregoing on a regular basis (taking long or short positions or both), for their accounts,
for other accounts under their management and to facilitate transactions, including block transactions, on behalf of customers. While
we cannot predict an outcome, any of these hedging or other trading activities could potentially affect the value of the Reference Stock
and may adversely affect the value of the notes or any payment on the notes, as well as the Initial Reference Price, the Threshold Price
and the Final Stock Price. This hedging and trading activity may present a conflict of interest between your interests as a holder of
the notes and our and our affiliates’ interests in hedging and other trading activities. These hedging and trading activities could
also affect the price, if any, at which JPMS is willing to purchase your notes in the secondary market. In addition, our hedging counterparties
expect to make a profit. 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. It is possible that these hedging or trading
activities could result in substantial returns for us or our affiliates while the value of the notes declines.
| · | THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE
ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES — The estimated value of the notes is only an estimate determined by reference
to several factors. The original issue price of the notes will exceed 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 projected profits, if
any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated cost
of hedging our obligations under the notes. See “The Estimated Value of the Notes” in this pricing supplement. |
| · | THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE
VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES — The estimated value of the notes is determined by reference
to internal pricing models of our affiliates when the terms of the notes are set. This estimated value of the notes is based on market
conditions and other relevant factors existing at that time and assumptions about market parameters, which can include volatility, dividend
rates, interest rates and other factors. Different pricing models and assumptions could provide valuations for the notes that are greater
than or less than the estimated value of the notes. In addition, market conditions and other relevant factors in the future may change,
and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly based on, among other
things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements and other relevant
factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market transactions. See
“The Estimated Value of the Notes” in this pricing supplement. |
| · | THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE
TO AN INTERNAL FUNDING RATE — The internal funding rate used in the determination of the estimated value of the notes may differ
from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or
its affiliates. Any difference may be based on, among other things, our and our affiliates’ view of the funding value of the notes
as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison to those costs for the conventional
fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which
may prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The use of an
internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any secondary market
prices of the notes. See “The Estimated Value of the Notes” in this pricing supplement. |
| · | 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 may exclude projected hedging profits, if any, and estimated hedging costs that are included in
the original issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy notes from you in secondary
market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the Maturity Date could
result in a substantial loss to you. See the immediately following risk 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 “— Lack of Liquidity”
below.
| · | 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 projected hedging profits, if any, estimated
hedging costs and the VWAP of one share of the Reference Stock, 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 in the VWAP of one share
of the Reference Stock; |
| · | the rate to borrow shares of the Reference Stock; |
| · | the time to maturity of the notes; |
| · | the dividend rate on the Reference Stock; |
JPMorgan Structured Investments — | PS-7 |
Cash-Settled Equity Linked Notes Linked to the Common Stock of The Boeing Company | |
| · | interest and yield rates in the market generally; |
| · | the occurrence of certain events affecting the Reference
Stock Issuer that may or may not require an adjustment to the Stock Adjustment Factor, including a merger or acquisition; and |
| · | a variety of other economic, financial, political, regulatory
and judicial events. |
Additionally, one of our affiliates is expected to provide an
indicative value, if requested, for the notes directly to the initial investor of the notes. This value 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 Reference Stock
| · | NO AFFILIATION WITH THE REFERENCE STOCK ISSUER —
We are not affiliated with the Reference Stock Issuer. We have not independently verified any of the information about the Reference Stock
Issuer contained in this pricing supplement. You should make your own investigation into the Reference Stock and its issuer. We are not
responsible for the Reference Stock Issuer’s public disclosure of information, whether contained in SEC filings or otherwise. |
| · | SINGLE STOCK RISK — The price of the Reference
Stock can fall sharply due to factors specific to the Reference Stock and the Reference Stock Issuer, such as stock price volatility,
earnings, financial conditions, corporate, industry and regulatory developments, management changes and decisions and other events, as
well as general market factors, such as general stock market volatility and levels, interest rates and economic and political conditions. |
| · | THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK
IS LIMITED — The calculation agent will make adjustments to the Stock Adjustment Factor for certain corporate events affecting
the Reference Stock. However, the calculation agent will not make an adjustment in response to all events that could affect the Reference
Stock. If an event occurs that does not require the calculation agent to make an adjustment, the value of the notes may be materially
and adversely affected. |
JPMorgan Structured Investments — | PS-8 |
Cash-Settled Equity Linked Notes Linked to the Common Stock of The Boeing Company | |
What Are the Interest Payments on the Notes?
The first interest payment per $1,000 principal amount note, based
on an Interest Rate of % per annum and a first Interest Payment Date of December 15, 2022, is expected to be $ . Each of the 9 subsequent
interest payments per $1,000 principal amount note until, and including, the Maturity Date are expected to be $ . Unless you convert your
notes (for cash) early, the total interest payments per $1,000 principal amount note over the term of the notes are therefore expected
to be $ . If you convert your notes (for cash) early, the total interest payments per $1,000 principal amount note over the term of the
notes you receive will be equal to the amount shown in the table below corresponding to the number of Interest Payments Dates that have
occurred prior to the relevant Early Cash Conversion Date.
Number of
Interest Payment
Dates |
Total Interest
Payments |
9 |
$ |
8 |
$ |
7 |
$ |
6 |
$ |
5 |
$ |
4 |
$ |
3 |
$ |
2 |
$ |
1 |
$ |
What Is the Final Payment on the Notes, Assuming a Range of Performances
for the Reference Stock?
The following table and examples illustrate the hypothetical final
payment on the notes, whether at maturity or upon optional early cash conversion, excluding accrued but unpaid interest, and assuming
no Make-Whole Event has occurred. Each hypothetical final payment set forth below assumes an Initial Reference Price of $130.00, a Threshold
Price of $175.50 (equal to 135% of the hypothetical Initial Reference Price) and that the Final Stock Price for each of the 20 relevant
Valuation Dates is as specified below. Each hypothetical final payment set forth below is for illustrative purposes only and may not be
the actual final payment applicable to a purchaser of the notes. There will be only one final payment on the notes at maturity or upon
optional early cash conversion, even though, assuming no Make-Whole Event has occurred, the final payment will be determined over 20 Valuation
Dates, with each Valuation Date determining 1/20th of the final payment. The numbers appearing in the following table and in the examples
below have been rounded for ease of analysis.
The original issue price of the notes is $1,050 per $1,000 principal
amount note, reflecting a 5% premium above the principal amount. Accordingly, you will lose some of your initial investment if the
total amount paid on your notes is less than $1,050.
Final Stock Price on All Valuation Dates |
Percentage Change from Initial Reference Price to Final Stock Price |
Sum of Alternative Settlement Amounts |
Final Payment at Maturity |
Final Payment upon Optional Early Cash Conversion |
$247.00 |
90.00% |
$1,407.41 |
$1,407.41 |
$1,407.41 |
$234.00 |
80.00% |
$1,333.33 |
$1,333.33 |
$1,333.33 |
$221.00 |
70.00% |
$1,259.26 |
$1,259.26 |
$1,259.26 |
$208.00 |
60.00% |
$1,185.19 |
$1,185.19 |
$1,185.19 |
$195.00 |
50.00% |
$1,111.11 |
$1,111.11 |
$1,111.11 |
$188.50 |
45.00% |
$1,074.07 |
$1,074.07 |
$1,074.07 |
$182.00 |
40.00% |
$1,037.04 |
$1,037.04 |
$1,037.04 |
$175.50 |
35.00% |
$1,000.00 |
$1,000.00 |
$1,000.00 |
$169.00 |
30.00% |
$962.96 |
$1,000.00 |
$962.96 |
$162.50 |
25.00% |
$925.93 |
$1,000.00 |
$925.93 |
$156.00 |
20.00% |
$888.89 |
$1,000.00 |
$888.89 |
$143.00 |
10.00% |
$814.81 |
$1,000.00 |
$814.81 |
$136.50 |
5.00% |
$777.78 |
$1,000.00 |
$777.78 |
$130.00 |
0.00% |
$740.74 |
$1,000.00 |
$740.74 |
$117.00 |
-10.00% |
$666.67 |
$1,000.00 |
$666.67 |
$104.00 |
-20.00% |
$592.59 |
$1,000.00 |
$592.59 |
$91.00 |
-30.00% |
$518.52 |
$1,000.00 |
$518.52 |
$78.00 |
-40.00% |
$444.44 |
$1,000.00 |
$444.44 |
$65.00 |
-50.00% |
$370.37 |
$1,000.00 |
$370.37 |
$52.00 |
-60.00% |
$296.30 |
$1,000.00 |
$296.30 |
$39.00 |
-70.00% |
$222.22 |
$1,000.00 |
$222.22 |
$26.00 |
-80.00% |
$148.15 |
$1,000.00 |
$148.15 |
$13.00 |
-90.00% |
$74.07 |
$1,000.00 |
$74.07 |
$0.00 |
-100.00% |
$0.00 |
$1,000.00 |
$0.00 |
JPMorgan Structured Investments — | PS-9 |
Cash-Settled Equity Linked Notes Linked to the Common Stock of The Boeing Company | |
Hypothetical Examples of Amount Payable at Maturity
The following examples illustrate how the payment at maturity in
different hypothetical scenarios is calculated, excluding accrued but unpaid interest and assuming no Make-Whole Event has occurred, an
Initial Reference Price of $130.00, a Threshold Price of $175.50 (equal to 135% of the hypothetical Initial Reference Price) and that
the Final Stock Price specified below is applicable on each of the 20 Valuation Dates immediately prior to the Maturity Date, other than
as specified in Example 4 below. There will be only one final payment on the notes at maturity, even though, assuming no Make-Whole
Event has occurred, the final payment will be determined over 20 Valuation Dates, with each Valuation Date determining 1/20th of the final
payment at maturity.
Example 1: The Reference Stock appreciates from the Initial Reference
Price of $130 to a Final Stock Price of $156.
Because the Final Stock Price is $156 on each Valuation Date, the
Alternative Settlement Amount for each Valuation Date is equal to $44.44, calculated as follows:
$50 ×
($156 / $175.50) = $44.44
Because the Alternative Settlement Amount for each Valuation Date
is less than $50, the Daily Value for each Valuation Date is $50, and even though the Reference Stock has appreciated by 20% from the
Initial Reference Price to the Final Stock Price, the payment at maturity is only $1,000 for each $1,000 principal amount note.
Example 2: The Reference Stock declines from the Initial Reference
Price of $130 to a Final Stock Price of $104.
Because the Final Stock Price is $104 on each Valuation Date, the
Alternative Settlement Amount for each Valuation Date is equal to $29.63, calculated as follows:
$50 ×
($104 / $175.50) = $29.63
Because the Alternative Settlement Amount for each Valuation Date
is less than $50, the Daily Value for each Valuation Date is $50, and the payment at maturity is $1,000 for each $1,000 principal amount
note.
Example 3: The Reference Stock appreciates from the Initial Reference
Price of $130 to a Final Stock Price of $234.
Because the Final Stock Price is $234 on each Valuation Date, the
Alternative Settlement Amount for each Valuation Date is equal to $66.67, calculated as follows:
$50 ×
($234 / $175.50) = $66.67
Because the Alternative Settlement Amount for each Valuation Date
is greater than $50, the Daily Value for each Valuation Date is $66.67, and even though the Reference Stock has appreciated by 80% from
the Initial Reference Price to the Final Stock Price, the payment at maturity is equal to $1,333.33 for each $1,000 principal amount note.
Example 4: The Reference Stock appreciates from the Initial Reference
Price of $130 to a Final Stock Price of $234 on 10 Valuation Dates and declines from the Initial Reference Price of $130 to a Final Stock
Price of $104 on 10 Valuation Dates.
Because the Final Stock Price is $234 on 10 Valuation Dates, the
Alternative Settlement Amount for each of those Valuation Dates is equal to $66.67, calculated as follows:
$50 ×
($234 / $175.50) = $66.67
Because the Final Stock Price is $104 on 10 Valuation Dates, the
Alternative Settlement Amount for each of those Valuation Dates is equal to $29.63, calculated as follows:
$50 ×
($117 / $175.50) = $29.63
Because the Alternative Settlement Amount for each of the 10 Valuation
Dates with a Final Stock Price of $234 is greater than $50, the Daily Value for each of those Valuation Dates is $66.67. Because the Alternative
Settlement Amount for each of the 10 Valuation Dates with a Final Stock Price of $104 is less than $50, the Daily Value for each of those
Valuation Dates is $50.00. The sum of the Daily Values for the 10 Valuation Dates with a Final Stock Price of $234 is $666.70, and the
sum of the Daily Values for the 10 Valuation Dates with a Final Stock Price of $104 is $500.00. Because the final payment at maturity
is equal to the sum of the Daily Values for all of the 20 Valuation Dates, and even though the Reference Stock has appreciated by 80%
from the Initial Reference Price to the Final Stock Price for 10 of the Valuation Dates, the payment at maturity is equal to the sum of
$666.70 and $500.00, or $1,166.70, for each $1,000 principal amount note.
Hypothetical Examples of Amount Payable upon Optional Early
Cash Conversion
The following examples illustrate how the payment upon optional early
cash conversion in different hypothetical scenarios is calculated, assuming no Make-Whole Event has occurred, an Initial Reference Price
of $130.00, a Threshold Price of $175.50 (equal to 135% of the hypothetical Initial Reference Price) and that the Final Stock Price specified
below is applicable on each of the 20 relevant Valuation Dates, other than as specified in Example 4 below. There will be only one
final payment on the notes upon optional early cash conversion, even though the final payment will be determined over 20 Valuation Dates,
with each Valuation Date determining 1/20th of the final payment upon optional early cash conversion.
Example 1: The Reference Stock appreciates from the Initial Reference
Price of $130 to a Final Stock Price of $156.
Because the Final Stock Price is $156 on each Valuation Date, the
Alternative Settlement Amount for each Valuation Date is equal to $44.44, calculated as follows:
$50 ×
($156 / $175.50) = $44.44
JPMorgan Structured Investments — | PS-10 |
Cash-Settled Equity Linked Notes Linked to the Common Stock of The Boeing Company | |
Because the Alternative Settlement Amount for each Valuation Date
is less than $50, and even though the Reference Stock has appreciated by 20% from the Initial Reference Price to the Final Stock Price,
the payment upon optional early cash conversion is less than the principal amount. The payment upon optional early cash conversion is
only $888.88 for each $1,000 principal amount note.
Example 2: The Reference Stock declines from the Initial Reference
Price of $130 to a Final Stock Price of $104.
Because the Final Stock Price is $104 on each Valuation Date, the
Alternative Settlement Amount for each Valuation Date is equal to $29.63, calculated as follows:
$50 ×
($104 / $175.50) = $29.63
Because the Alternative Settlement Amount for each Valuation Date
is less than $50, the payment upon optional early cash conversion is less than the principal amount. The payment upon optional early cash
conversion is $592.59 for each $1,000 principal amount note.
Example 3: The Reference Stock appreciates from the Initial Reference
Price of $130 to a Final Stock Price of $234.
Because the Final Stock Price is $234 on each Valuation Date, the
Alternative Settlement Amount for each Valuation Date is equal to $66.67, calculated as follows:
$50 ×
($234 / $175.50) = $66.67
Because the Alternative Settlement Amount for each Valuation Date
is $66.67, and even though the Reference Stock has appreciated by 80% from the Initial Reference Price to the Final Stock Price, the payment
at maturity is equal to $1,333.33 for each $1,000 principal amount note.
Example 4: The Reference Stock appreciates from the Initial Reference
Price of $130 to a Final Stock Price of $234 on 10 Valuation Dates and declines from the Initial Reference Price of $130 to a Final Stock
Price of $104 on 10 Valuation Dates.
Because the Final Stock Price is $234 on 10 Valuation Dates, the
Alternative Settlement Amount for each of those Valuation Dates is equal to $66.67, calculated as follows:
$50 ×
($234 / $175.50) = $66.67
Because the Final Stock Price is $104 on 10 Valuation Dates, the
Alternative Settlement Amount for each of those Valuation Dates is equal to $29.63, calculated as follows:
$50 ×
($104 / $175.50) = $29.63
The sum of the Alternative Settlement Amounts for the 10 Valuation
Dates with a Final Stock Price of $234 is $666.70, and the sum of the Alternative Settlement Amounts for the 10 Valuation Dates with a
Final Stock Price of $104 is $296.30. As a result, because the final payment upon optional early cash conversion is equal to the sum of
the Alternative Settlement Amounts for all of the 20 Valuation Dates, and even though the Reference Stock has appreciated by 80% from
the Initial Reference Price to the Final Stock Price for 10 of the Valuation Dates, the payment at maturity is equal to the sum of $666.70
and $296.30, or $963.00, for each $1,000 principal amount note.
The hypothetical payments on
the notes shown above apply only if no Make-Whole Event occurs and you hold the notes for their entire term or to the relevant Early
Cash Conversion Date, as applicable. These hypotheticals do not reflect fees or expenses that would be associated with any sale in
the secondary market. If these fees and expenses were included, the hypothetical returns and hypothetical payments shown above would likely
be lower.
JPMorgan Structured Investments — | PS-11 |
Cash-Settled Equity Linked Notes Linked to the Common Stock of The Boeing Company | |
The Reference Stock
Public Information
All information contained herein on the Reference Stock and on the
Reference Stock Issuer is derived from publicly available sources, without independent verification. According to its publicly available
filings with the SEC, the Reference Stock Issuer is an aerospace firm that operates in four principal segments: commercial airplanes;
defense, space & security; global services; and Boeing Capital. The common stock of the Reference Stock Issuer, par value $5.00 per
share, is registered under the Securities Exchange Act of 1934, as amended, which we refer to as the Exchange Act, and is listed on the
New York Stock Exchange, which we refer to as the relevant exchange for purposes of the Reference Stock Issuer in the accompanying product
supplement. Information provided to or filed with the SEC by the Reference Stock Issuer pursuant to the Exchange Act can be located by
reference to SEC file number 001-00442, and can be accessed through www.sec.gov. We do not make any representation that these publicly
available documents are accurate or complete.
Historical Information Regarding the Reference Stock
The following graph sets forth the historical performance of the
Reference Stock based on the weekly historical closing prices of one share of the Reference Stock from January 6, 2017 through June 17,
2022. Any payment on the notes is linked to the VWAP of one share of the Reference Stock and not to the closing price of one share
of the Reference Stock. The VWAP of one share of the Reference Stock is determined in a manner that is different from the closing
price of one share of the Reference Stock, and the VWAP of one share of the Reference Stock will not necessarily correlate with the performance
of the closing price of one share of the Reference Stock. The closing price of one share of the Reference Stock may vary significantly
from the VWAP of one share of the Reference Stock. Therefore, any payment on the notes may be different from, and may be significantly
less than, the payment you would have received if that payment were determined by reference to the closing price of one share of the Reference
Stock. The VWAP of one share of the Reference Stock on June 22, 2022 was $136.8131, calculated in the manner set forth under “Annex
A — Supplemental Terms of Notes — Certain Definitions” in this pricing supplement.
We obtained the closing prices and the VWAP above and below from
the Bloomberg Professional® service (“Bloomberg”), without independent verification. The closing price and
the VWAP may have been adjusted by Bloomberg for corporate actions such as stock splits, public offerings, mergers and acquisitions, spin-offs,
delistings and bankruptcy.
Since its inception, the Reference Stock has experienced significant
fluctuations. The historical performance of the closing price and the VWAP of one share of the Reference Stock should not be taken as
an indication of future performance of the VWAP of one share of the Reference Stock, and no assurance can be given as to the VWAP of one
share of the Reference Stock on each applicable Valuation Date. There can be no assurance that the performance of the Reference Stock
will result a final payment per $1,000 principal amount note above $1,000 plus accrued and unpaid interest or, if the notes are converted
(for cash) early, the return of any of your principal amount.
JPMorgan Structured Investments — | PS-12 |
Cash-Settled Equity Linked Notes Linked to the Common Stock of The Boeing Company | |
The Estimated Value of the Notes
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 Considerations — The Estimated
Value of the Notes Is Derived by Reference to an Internal Funding Rate” in 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 Considerations —
The Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ from Others’ Estimates” in this
pricing supplement.
The estimated value of the notes will be 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 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. We or one or more of our affiliates will retain any profits realized in hedging our obligations
under the notes. See “Selected Risk Considerations — The Estimated Value of the Notes Will Be Lower Than the Original Issue
Price (Price to Public) of the Notes” in this pricing supplement.
Supplemental Use of Proceeds
The original issue price of the notes is equal to the estimated value
of the notes 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.
For purposes of the notes, the final sentence of the first paragraph
of the “Use of Proceeds and Hedging” section in the accompanying product supplement is deemed deleted in its entirety.
Reopening Issuances
We may, at our sole discretion, “reopen” the notes based
on market conditions at that time. These further issuances, if any, will be consolidated to form a single sub-series with the originally
issued notes and will have the same CUSIP number and will trade interchangeably with the notes immediately upon settlement. The price
of any additional offering will be determined at the time of pricing of that offering. We have no obligation to take your interests into
account when deciding to issue additional notes.
Supplemental Plan of Distribution
We expect that delivery of the notes will be made against payment
for the notes on or about the Original Issue Date set forth on the front cover of this pricing supplement, which will be the third business
day following the Pricing Date of the notes (this settlement cycle being referred to as “T+3”). 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 that trade expressly agree otherwise. Accordingly, purchasers who wish to trade notes on any date prior to two business days before
delivery will be required to specify an alternate settlement cycle at the time of any such trade to prevent a failed settlement and should
consult their own advisors.
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.
JPMorgan Structured Investments — | PS-13 |
Cash-Settled Equity Linked Notes Linked to the Common Stock of The Boeing Company | |
Annex A
Supplemental Terms of Notes
Optional Early Cash Conversion
Until a Make-Whole Event has occurred, you may convert (for cash)
all or any portion of your notes early on any business day on or after the Original Issue Date and prior to 4:00 p.m., New York City time,
on the business day immediately preceding the 21st scheduled trading day immediately preceding the Maturity Date, subject to the procedures
and terms set forth below, and only if the conditions set forth in clause (1), clause (2) or clause (3) below are met:
(1) The notes may be converted (for cash) early at any time during
the five business day period immediately after any five consecutive trading day period (the “Measurement Period”) in
which the Notes Trading Price (as defined below) per $1,000 principal amount note, as determined following a request by a holder of notes
in accordance with this provision, for each trading day of the Measurement Period was less than 98% of (x) $1,000, multiplied by
(y) the product of the Stock Adjustment Factor and the Current Market Price (as defined below) of the Reference Stock on each such trading
day, divided by (z) the Threshold Price on each such Trading Day (the calculation in clauses (x) through (z), the “Parity
Price”). The “Notes Trading Price” per $1,000 principal amount note on any date of determination means the
average of the secondary market bid quotations obtained by the calculation agent for $5,000,000 principal amount of notes at approximately
3:30 p.m., New York City time, on such date of determination from three nationally recognized securities dealers (one of which may include
the calculation agent and/or its affiliates) the calculation agent selects for this purpose; provided that if three such bids cannot
reasonably be obtained by the calculation agent but two such bids are obtained, then the average of the two bids will be used, and if
only one such bid can reasonably be obtained by the calculation agent, that one bid will be used. If the calculation agent cannot reasonably
obtain at least one bid for $5,000,000 principal amount of notes from a nationally recognized securities dealer (including the calculation
agent and/or its affiliates) on any date of determination, then the “Notes Trading Price” per $1,000 principal amount note
on such date of determination will be deemed to be less than 98% of the Parity Price on such date of determination. The calculation agent
will have no obligation to determine the Notes Trading Price per $1,000 principal amount note unless a holder provides us with reasonable
evidence that the Notes Trading Price per $1,000 principal amount note on any trading day would be less than 98% of the Parity Price on
that trading day, at which time the calculation agent will determine the Notes Trading Price per $1,000 principal amount note beginning
on the next trading day and on each successive trading day until the Notes Trading Price per $1,000 principal amount note is greater than
or equal to 98% of the Parity Price on a trading day. If the calculation agent fails to make such determination when obligated as provided
in the preceding sentence, then the Notes Trading Price per $1,000 principal amount note will be deemed to be less than 98% of the Parity
Price on each trading day of such failure.
(2) The notes may be converted (for cash) early at any time during
any calendar quarter commencing after the calendar quarter ending on September 30, 2022 (and only during such calendar quarter), if the
product of the Stock Adjustment Factor and the Current Market Price of the Reference Stock for at least 20 trading days (whether or not
consecutive) during the period of 30 consecutive trading days ending on, and including, the last trading day of the immediately preceding
calendar quarter is greater than or equal to 130% of the Threshold Price on each applicable trading day.
(3) (a) If the Reference Stock Issuer elects to:
| · | issue to all or substantially all holders of the Reference
Stock any rights, options or warrants entitling them, for a period of not more than 45 calendar days after the announcement date of such
issuance, to subscribe for or purchase shares of Reference Stock at a price per share that is less than the average of the Current Market
Prices of the Reference Stock for the 10 consecutive trading day period ending on, and including, the trading day immediately preceding
the date of announcement of such issuance; or |
| · | distribute to all or substantially all holders of the Reference
Stock assets or securities of the Reference Stock Issuer or rights to purchase the Reference Stock Issuer’s securities, which distribution
has a per share value, as determined by the calculation agent, exceeding 10% of the Current Market Price of the Reference Stock on the
trading day preceding the date of announcement for such distribution, |
in each case, as determined by the calculation agent, then, in either
case, the notes may be converted (for cash) early at any time from the later of (i) the 30th scheduled trading day prior to the ex-dividend
date for such issuance or distribution and (ii) the date the Reference Stock Issuer announces such issuance or distribution until the
earlier of (x) 4:00 p.m., New York City time, on the business day immediately preceding the ex-dividend date for such issuance or distribution
and (y) the Reference Stock Issuer’s announcement that such issuance or distribution will not take place.
(3) (b) If the Reference Stock Issuer is a party to a consolidation,
merger, binding share exchange, or transfer or lease of all or substantially all of its assets (in each case, other than a Make-Whole
Event) that occurs prior to the 21st scheduled trading day immediately preceding the Maturity Date, in each case, pursuant to which the
Reference Stock would be converted into cash, securities or other assets, the notes may be converted (for cash) early at any time from
or after the effective date of such transaction until 35 trading days after such effective date, all as determined by the calculation
agent.
Any Early Cash Conversion Notice (as defined below) delivered in
accordance with the procedures and terms set forth below will be irrevocable. To convert your notes (for cash) early, you must take the
following steps:
·
send a notice of optional early cash conversion, substantially
in the form attached as Annex B to this pricing supplement (an “Early Cash Conversion Notice”), to us via email at
synthetic.convert.repurchase@jpmchase.com, with “Cash-Settled Equity Linked Notes due June 15, 2027 Linked to the Common Stock of
The Boeing Company, CUSIP No. 48133DL24” as the subject line; and
JPMorgan Structured Investments — | A-1 |
Cash-Settled Equity Linked Notes Linked to the Common Stock of The Boeing Company | |
·
deliver, or cause the delivery of, the principal amount
of the notes to be converted (for cash) early to us concurrently with the delivery of the Early Cash Conversion Notice.
If we receive your Early Cash Conversion Notice, together with the
notes to be converted (for cash), at or after 4:00 p.m., New York City time, on any business day or on a day that is not a business day,
that Early Cash Conversion Notice will be deemed to have been given, and/or that delivery will be deemed to have been made, as applicable,
on the immediately following business day. If you do not deliver an Early Cash Conversion Notice prior to 4:00 p.m., New York City time,
on the business day immediately preceding the 21st scheduled trading day immediately preceding the Maturity Date, together with the notes
to be converted (for cash), in accordance with the above procedures, then your Early Cash Conversion Notice will not be effective, and
we will not convert your notes (for cash) early. Once validly given, an Early Cash Conversion Notice may not be revoked.
The date on which a holder satisfies the requirements for early cash
conversion as specified above will be the “Early Cash Conversion Date” for all purposes under the notes. Upon an early cash
conversion of notes, the relevant holder will no longer be a holder of record of the notes surrendered for cash conversion as of the relevant
Early Cash Conversion Date.
Your payment upon optional early cash conversion, for each $1,000
principal amount note, will be an amount in cash equal to the sum of the Alternative Settlement Amounts for each of the 20 relevant Valuation
Dates and will be paid on the Optional Early Cash Conversion Payment Date, which will be the second business day immediately following
the relevant final Valuation Date.
Upon an early cash conversion of notes, the converting holder will
not receive any separate cash payment for accrued and unpaid interest. Our payment of the full amount due upon the early cash conversion
will be deemed to satisfy in full our obligation to pay the principal amount of the note and accrued and unpaid interest, if any, to,
but not including, the relevant Early Cash Conversion Date. As a result, accrued and unpaid interest, if any, to, but not including, the
relevant Early Cash Conversion Date will be deemed to be paid in full rather than cancelled, extinguished or forfeited.
The calculation agent will, in its sole discretion, resolve any
questions that may arise as to the validity of an Early Cash Conversion Notice and the timing of receipt of an Early Cash Conversion
Notice or as to whether and when the required deliveries have been made. Questions about the optional early cash conversion requirements
should be directed to synthetic.convert.repurchase@jpmchase.com.
If a Make-Whole Event occurs prior to the 21st scheduled trading
day immediately preceding the Maturity Date, the notes will no longer be able to be converted for cash, whether prior to or at maturity
of the notes.
Interest Calculation
Each interest payment on the notes will be calculated as follows,
instead of in the manner set forth under “Description of Notes — Payments on the Notes — Interest Payments” in
the accompanying product supplement:
$1,000 × Interest Rate × (number
of days in the Interest Period / 360),
where the number of days in each Interest Period will be calculated
on the basis of a year of 360 days with twelve months of thirty days each and where an “Interest Period” is (a) the period
beginning on, and including, the Original Issue Date and ending on, but excluding, the first Interest Payment Date and (b) each successive
period beginning on, and including, an Interest Payment Date and ending on, but excluding, the next succeeding Interest Payment Date.
Make-Whole Payment
If a Make-Whole Event occurs prior to the 21st
scheduled trading day immediately preceding the Maturity Date, you will receive on the Make-Whole Payment Date a cash payment per $1,000
principal amount note equal to (a) the Make-Whole Event Intrinsic Value, plus (b) the product of (i) the number of Additional Shares
(expressed as a number of shares, for the avoidance of doubt) and (ii) the Applicable Price. Thereafter, the notes will no longer be able
to be converted for cash, whether prior to or at maturity of the notes.
As determined by the
calculation agent in its sole discretion, a “Make-Whole Event” will occur if:
| (i) | any “person” or “group” (within the meaning of Section 13(d) or 14(d) of the Securities
Exchange Act of 1934, as amended (the “Exchange Act”)) becomes the beneficial owner (as defined in Rules 13d-3 and
13d-5 under the Exchange Act), directly or indirectly, of shares of the Reference Stock representing 50% or more of the total voting power
of the Reference Stock; |
| (ii) | the Reference Stock Issuer consummates (A) any recapitalization, reclassification or change of the Reference
Stock (other than changes resulting from a subdivision or combination) as a result of which the Reference Stock would be converted into,
or exchanged for, stock, other securities, other property or assets; (B) any share exchange, consolidation or merger of the Reference
Stock Issuer pursuant to which the Reference Stock will be converted into cash, securities or other property or assets; or (C) any sale,
lease or other transfer in one transaction or a series of transactions of all or substantially all of the consolidated assets of the Reference
Stock Issuer and its subsidiaries, taken as a whole, to any person other than one of the Reference Stock Issuer’s wholly owned subsidiaries; |
| (iii) | the holders of the Reference Stock Issuer’s Capital Stock approve any plan or proposal for the liquidation
or dissolution of the Reference Stock Issuer; or |
| (iv) | the Reference Stock (or other common stock underlying the notes) ceases to be listed or quoted on any of
The New York Stock Exchange, The Nasdaq Global Select Market or The Nasdaq Global Market (or any of their respective successors). |
Notwithstanding the foregoing, a Make-Whole Event
shall not be deemed to have occurred pursuant to clause (i) or clause (ii) above if at least 90% of the consideration, excluding cash
payments for fractional shares of the Reference Stock and cash payments made pursuant to dissenters’ appraisal rights, in a transaction
otherwise constituting a Make-Whole Event consists of shares of common stock traded on The New York Stock Exchange, The Nasdaq Global
Select Market or The Nasdaq Global
JPMorgan Structured Investments — | A-2 |
Cash-Settled Equity Linked Notes Linked to the Common Stock of The Boeing Company | |
Market (or any of their respective successors) or
will be so traded immediately following such transaction, and such consideration becomes the Exchange Property for the notes as described
in the accompanying product supplement.
“Capital Stock” means any and
all shares, interests, participations or other equivalents (however designated) of capital stock of the Reference Stock Issuer.
Certain Definitions
The definitions of “VWAP,” “Current Market Price,”
“trading day,” “scheduled trading day,” “Fair Market Value” and “ex-dividend date” contained
in the accompanying product supplement will not apply to the notes. Instead, the following definitions will apply for purposes of the
notes:
The “VWAP” of one share of the Reference Stock
(or one unit of any other security for which a VWAP must be determined) on any relevant trading day means the per share volume-weighted
average price of the Reference Stock (or such other security) as displayed under the heading “Bloomberg VWAP” on Bloomberg
Page BA Equity AQR (or its equivalent successor if such page is not available, or the Bloomberg Page for any other such security) in respect
of the period from the scheduled open of trading until the scheduled close of trading of the primary trading session on such trading day,
without regard to after-hours trading or any trading outside the regular trading session, or, if such volume-weighted average price is
unavailable, the market value of one share of the Reference Stock (or such other security) on such trading day as determined by the calculation
agent in good faith in a commercially reasonable manner, using a volume-weighted average price method, if practicable, in each case, multiplied
by the then-current Stock Adjustment Factor, subject to “The Underlying — Reference Stocks — Reorganization Events”
in the accompanying product supplement.
The “Current Market Price” of the Reference Stock
or any other security or property means, as of any date, the last reported per share sale price of one share of the Reference Stock or
such other security or property on such date (or if no last reported sale price is reported, the average of the bid and ask prices or,
if more than one in either case, the average of the average bid and the average ask prices on such date) as reported on the relevant exchange,
or, if the Reference Stock or such other security or property is not listed on the relevant exchange, as reported by the principal United
States national or regional securities exchange or quotation system on which the Reference Stock or such other security or property is
then listed or quoted; provided, however, that, in the absence of such quotations, the calculation agent will make a determination
of the Current Market Price in good faith.
A “trading day” for a listed or traded security
means a day on which (i) there is no market disruption event, (ii) trading in the Reference Stock (or any security that is part of the
Exchange Property (as defined in the accompanying product supplement), if applicable) generally occurs on the relevant exchange or, if
the Reference Stock (or such other Exchange Property) is not then listed on the relevant exchange, on the principal other United States
national or regional securities exchange on which the Reference Stock (or such other Exchange Property) is then listed or, if the Reference
Stock (or such other Exchange Property) is not then listed on a United States national or regional securities exchange, on the principal
other market on which the Reference Stock (or such other Exchange Property) is then traded, and (iii) the scheduled closing time for regular
trading on the relevant market or exchange is 4:00 p.m., New York City time, or the then-standard closing time for regular trading on
such relevant exchange or market. If the Reference Stock (or such other Exchange Property) is not so listed or traded, “trading
day” means a business day.
A “scheduled trading day” means any day that is
scheduled to be a trading day.
With respect to the Reference Stock, the “Fair Market Value”
of any distribution means the value of that distribution on the ex-dividend date for that distribution, as determined by the calculation
agent. If that distribution consists of property traded on the ex-dividend date on a U.S. national securities exchange, the Fair Market
Value will equal the opening price of that distributed property on that ex-dividend date, as determined by the calculation agent.
The “ex-dividend date,” with respect to a dividend
or other distribution for the Reference Stock, means the first trading day on which transactions in the shares of the Reference Stock
trade, regular way, on the relevant exchange without the right to receive that dividend or other distribution.
Anti-Dilution Adjustments
The following provisions will apply to the notes instead of those
set forth under “The Underlying — Reference Stocks — Anti-Dilution Adjustments” in the accompanying product supplement:
The Stock Adjustment Factor is subject to adjustment by the calculation
agent as a result of the anti-dilution adjustments described in this section.
Unless otherwise specified below, no adjustments to the Stock Adjustment
Factor will be required unless the Stock Adjustment Factor adjustment would require a change of at least 0.1% in the Stock Adjustment
Factor then in effect; provided that the calculation agent will carry forward any adjustments that are less than 0.1% of the Stock
Adjustment Factor and all such carried-forward adjustments will be made on each Valuation Date. The Stock Adjustment Factor resulting
from any of the adjustments specified in this section will be rounded to the nearest ten-thousandth with five one hundred-thousandths
being rounded upward. The calculation agent will not be required to make any adjustments to the Stock Adjustment Factor after the close
of business on the business day immediately preceding the Maturity Date or, if a Make-Whole Event occurs, the Make-Whole Payment Date.
No adjustments to the Stock Adjustment Factor will be required other
than those specified below. The required adjustments specified in this section do not cover all events that could affect the VWAP or other
price or value of one share of the Reference Stock on any relevant day during the term of the notes. No adjustments will be made for certain
other events, such as offerings of common stock by the Reference Stock Issuer for cash or in connection with acquisitions or otherwise
or the occurrence of a partial tender or exchange offer for the Reference Stock by the Reference Stock Issuer or any third party.
JPMorgan Structured Investments — | A-3 |
Cash-Settled Equity Linked Notes Linked to the Common Stock of The Boeing Company | |
The calculation agent will be solely responsible for the determination
and calculation of any adjustment to the Stock Adjustment Factor and of any related determinations and calculations with respect to any
distributions of stock, other securities or other property or assets, including cash, in connection with any corporate event described
in this section, and its determinations and calculations will be conclusive absent manifest error.
The calculation agent will provide information as to any adjustments
to the Stock Adjustment Factor as described below upon written request by any holder of the notes.
Stock Splits and Reverse Stock Splits
If the Reference Stock is subject to a stock split or reverse stock
split, then once that split has become effective, the Stock Adjustment Factor will be adjusted so that the new Stock Adjustment Factor
will equal the product of:
·
the prior Stock Adjustment Factor, and
·
the number of shares that a holder of one share of the
Reference Stock before the effective date of the stock split or reverse stock split would have owned immediately following the applicable
effective date.
Stock Dividends or Distributions
If the Reference Stock is subject to (i) a stock dividend, i.e.,
an issuance of additional shares of the Reference Stock that is given ratably to all or substantially all holders of shares of the Reference
Stock or (ii) a distribution of shares of the Reference Stock as a result of the triggering of any provision of the corporate charter
of the Reference Stock Issuer, then, once the dividend or distribution has become effective and the shares of the Reference Stock are
trading ex-dividend, the Stock Adjustment Factor will be adjusted so that the new Stock Adjustment Factor will equal the prior Stock Adjustment
Factor plus the product of:
| · | the prior Stock Adjustment Factor, and |
| · | the number of additional shares issued in the stock dividend
or distribution with respect to one share of the Reference Stock. |
Non-Cash Dividends or Distributions
If the Reference Stock Issuer distributes shares of capital stock,
evidences of indebtedness or other assets or property of the Reference Stock Issuer to all or substantially all holders of shares of the
Reference Stock (other than (i) dividends, distributions, rights or warrants referred to under “— Stock Splits and Reverse
Stock Splits” or “— Stock Dividends or Distributions” above or “— Distributions of Rights, Options
or Warrants” below, (ii) Spin-Offs referred to under “— Spin-Offs” below and (iii) cash dividends or distributions
referred under “— Cash Dividends or Distributions” below), then, once the distribution has become effective and the
shares of the Reference Stock are trading ex-dividend, the Stock Adjustment Factor will be adjusted so that the new Stock Adjustment Factor
will equal the product of:
| · | the prior Stock Adjustment Factor, and |
| · | a fraction, the numerator of which is the average of the
Current Market Prices of the Reference Stock over the 10 consecutive trading days ending on, and including, the trading day immediately
preceding the ex-dividend date for the distribution (the “Ex-Dividend Average Current Market Price”) and the denominator
of which is the amount by which the Ex-Dividend Average Current Market Price exceeds the Fair Market Value of that distribution. |
Notwithstanding the foregoing, a distribution on the Reference Stock
described in clause (a) or (d) of the section entitled “— Reorganization Events” in the accompanying product supplement
that also would require an adjustment under this section will not cause an adjustment to the Stock Adjustment Factor and will only be
treated as a Reorganization Event pursuant to clause (a) or (d) under the section entitled “— Reorganization Events.”
A distribution on the Reference Stock described in the section entitled “— Distributions of Rights, Options or Warrants”
that also would require an adjustment under this section will cause an adjustment only pursuant to the section entitled “—Distributions
of Rights, Options or Warrants.”
Spin-Offs
With respect to an adjustment pursuant to “— Non-Cash
Dividends or Distributions” above where there has been a payment of a dividend or other distribution on the Reference Stock of shares
of capital stock of any class or series, or similar equity interest, of or relating to a subsidiary or other business unit of the Reference
Stock Issuer (a “Spin-Off”), the Stock Adjustment Factor will be adjusted so that the new Stock Adjustment Factor will
equal the product of:
| · | the prior Stock Adjustment Factor, and |
| · | a fraction, the numerator of which is the sum of (x) the
average of the Current Market Prices of the capital stock or similar equity interests distributed to holders of the Reference Stock applicable
to one share of the Reference Stock over the first 10 consecutive trading days commencing on, and including, the ex-dividend date for
the Spin-Off (the “Spin-Off Valuation Period”) and (y) the average of the Current Market Prices of the Reference Stock
over the Spin-Off Valuation Period and the denominator of which is the average of the Current Market Prices of the Reference Stock over
the Spin-Off Valuation Period. |
The adjustment to the Stock Adjustment Factor under the preceding
paragraph will be made immediately after the open of business on the day after the last day of the Spin-Off Valuation Period, but will
be given effect as of the open of business on the ex-dividend date for the Spin-Off. If the ex-dividend date for the Spin-Off is less
than 10 trading days prior to, and including, the final Valuation Date in respect of any optional early cash conversion of notes or upon
cash conversion at maturity, references within this “— Spin-Offs” section to 10 trading days will be deemed replaced,
for purposes of calculating the VWAPs in respect of any Valuation Dates, with such lesser number of trading days as have elapsed from,
and including, the ex-dividend date for the Spin-Off to, and including, the final Valuation Date for purposes of the relevant cash conversion
of notes.
JPMorgan Structured Investments — | A-4 |
Cash-Settled Equity Linked Notes Linked to the Common Stock of The Boeing Company | |
Cash Dividends or Distributions
If the Reference Stock Issuer pays a dividend or makes a distribution
consisting exclusively of cash to all or substantially all holders of shares of the Reference Stock (other than (i) any dividend or distribution
in connection with liquidation, dissolution or winding up of the Reference Stock Issuer or (ii) any Ordinary Dividend on the Reference
Stock that does not exceed the Base Dividend), then, once the dividend or distribution has become effective and the shares of the Reference
Stock are trading ex-dividend, the Stock Adjustment Factor will be adjusted so that the new Stock Adjustment Factor will equal the product
of:
| · | the prior Stock Adjustment Factor, and |
| · | a fraction, the numerator of which is the Ex-Dividend Average
Current Market Price of the Reference Stock and the denominator of which is the amount by which the Ex-Dividend Average Current Market
Price exceeds the aggregate amount in cash per share of the Reference Stock distributed in that cash dividend or distribution in excess
of the Base Dividend. |
The Base Dividend is subject to adjustment in a manner inversely
proportional to adjustments to the Stock Adjustment Factor; provided that no adjustment will be made to the Base Dividend for any
adjustment to the Stock Adjustment Factor under this subsection.
Distributions of Rights, Options or Warrants
If the Reference Stock Issuer distributes any rights, options or
warrants on all or substantially all of the shares of the Reference Stock entitling the holders of shares of the Reference Stock for a
period of not more than 60 calendar days from the ex-dividend date for such distribution to subscribe for or purchase shares of the Reference
Stock (or securities convertible into the Reference Stock), at a price per share (or a conversion price per share) less than the average
of the Current Market Prices of the Reference Stock for the 10 consecutive trading days ending on, and including, the trading day immediately
preceding the date of announcement of such distribution (the “Announcement Average Current Market Price”), then the
Stock Adjustment Factor will be adjusted so that the new Stock Adjustment Factor will equal the product of:
| · | the prior Stock Adjustment Factor, and |
| · | a fraction, the numerator of which is the sum of (x) the
number of shares of the Reference Stock outstanding immediately prior to the close of business on the ex-dividend date for such distribution
and (y) the total number of shares of the Reference Stock issuable pursuant to such options, rights or warrants and the denominator of
which is the sum of (x) the number of shares of the Reference Stock outstanding immediately prior to the close of business on the ex-dividend
date for such distribution and (y) the number of shares of the Reference Stock equal to the quotient of (A) the aggregate price payable
to exercise such rights, options or warrants divided by (B) the Announcement Average Current Market Price. |
To the extent that such rights, options or warrants are not exercised
prior to their expiration or shares of the Reference Stock are otherwise not delivered pursuant to such rights, options or warrants, upon
the expiration, termination or maturity of such rights, options or warrants (except in a case where other consideration has been given
in lieu of delivery of such Reference Stock, in which case adjustment will be as otherwise provided by the applicable clause of this section),
the Stock Adjustment Factor will be readjusted to the Stock Adjustment Factor that would then be in effect had the adjustments made upon
the issuance of such rights, options or warrants been made on the basis of the delivery of only the number of shares of the Reference
Stock actually delivered.
For purposes of this subsection, in determining whether any rights,
options or warrants entitle the holders to subscribe for or purchase the Reference Stock at less than the average of the Announcement
Average Current Market Price, there will be taken into account any consideration the Reference Stock Issuer receives for such rights,
options or warrants and any amount payable on exercise thereof, with the value of such consideration, if other than cash, to be determined
by the calculation agent.
Reorganization Events
Neither (x) clause (e) of the first paragraph set forth under “The
Underlying — Reference Stocks — Reorganization Events” in the accompanying product supplement nor (y) the second sentence
of the second paragraph under such section will apply to the notes. The following provisions will apply to the notes in addition to those
set forth under “The Underlying — Reference Stocks — Reorganization Events” in the accompanying product supplement:
If a Reorganization Event (as defined in the accompanying product
supplement, as modified by this pricing supplement) with respect to the Reference Stock occurs, then, for purposes of any determination
with respect to the Reference Stock on or after the effective date of that Reorganization Event, the VWAP of one share of the Reference
Stock on any relevant day will equal the VWAP of the Exchange Property (as defined in the accompanying product supplement) on that day.
On any relevant day, the “VWAP” of the Exchange Property
means the product of:
| · | the VWAP of one share of any Exchange Traded Securities
(as defined in the accompanying product supplement) composing the Exchange Property on that day multiplied by the quantity of the
applicable Exchange Traded Securities received for each share of the Reference Stock; and |
| · | the aggregate cash amount of any Exchange Property (other
than Exchange Traded Securities), including the aggregate cash amount resulting from the valuation of the Liquidation Property (as defined
in the accompanying product supplement) as described above; and |
| · | the Stock Adjustment Factor for the Reference Stock as of
the effective date for the Reorganization Event. |
JPMorgan Structured Investments — | A-5 |
Cash-Settled Equity Linked Notes Linked to the Common Stock of The Boeing Company | |
Postponement of a Determination Date and Payment Dates
The provisions set forth 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)” in the accompanying product supplement will not apply to the notes.
The following provisions will apply to the notes instead of those
set forth under the first paragraph of “General Terms of Notes — Postponement of a Payment Date” in the accompanying
product supplement:
If any scheduled Payment Date is not a business day, then that Payment
Date will be the next succeeding business day following the scheduled Payment Date. If any Payment Date is adjusted as the result of a
non-business day or otherwise, any payment due on that Payment Date will be made on that Payment Date as adjusted, with the same force
and effect as if that Payment Date had not been adjusted, but no interest will accrue or be payable as a result of the delayed payment.
Market Disruption Events
The following provisions will apply to the notes instead of those
set forth under “The Underlying — Reference Stocks — Market Disruption Events for a Reference Stock” in the accompanying
product supplement:
With respect to the Reference Stock (or any other security for which
a VWAP must be determined), a “market disruption event” means: (i) a failure by the relevant exchange to open for trading
during its regular trading session or (ii) the occurrence or existence prior to 1:00 p.m., New York City time, on any scheduled trading
day for shares of the Reference Stock for more than one half-hour period in the aggregate during regular trading hours of any suspension
or limitation imposed on trading (by reason of movements in price exceeding limits permitted by the relevant stock exchange or otherwise)
in shares of Reference Stock or in any options contracts or futures contracts relating to the Reference Stock.
JPMorgan Structured Investments — | A-6 |
Cash-Settled Equity Linked Notes Linked to the Common Stock of The Boeing Company | |
Annex B
FORM OF EARLY CASH CONVERSION NOTICE
To: synthetic.convert.repurchase@jpmchase.com
Subject: Cash-Settled Equity Linked Notes due June 15, 2027 Linked
to the Common Stock of The Boeing Company, CUSIP No. 48133DL24
Ladies and Gentlemen:
The undersigned holder of JPMorgan Chase Financial
Company LLC’s Medium-Term Notes, Series A, Cash-Settled Equity Linked Notes due June 15, 2027 Linked to the Common Stock of
The Boeing Company, CUSIP No. 48133DL24, fully and unconditionally guaranteed by JPMorgan Chase & Co. (the “notes”), hereby
irrevocably elects to exercise, with respect to the number of the notes indicated below, as of the date hereof, such holder’s early
cash conversion right as of the Early Cash Conversion Date specified below as described in the product supplement no. 3-II, as supplemented
by the pricing supplement dated June , 2022 relating to the notes (collectively, the “Supplement”).
Terms not defined herein have the meanings given to such terms in the Supplement.
The undersigned certifies to you that it will,
concurrently with the delivery of this Early Cash Conversion Notice, deliver, or cause the delivery of, the principal amount of the notes
to be converted (for cash) early to you.
Very truly yours,
[NAME OF HOLDER]
Name:
Title:
Telephone:
Fax:
Email:
Number of notes surrendered for optional early cash conversion:
Applicable Early Cash Conversion Date: _________________, 20__*
DTC # (and any relevant sub-account):
Contact Name:
Telephone:
Acknowledgment: I acknowledge that the notes specified above will
not be converted (for cash) early unless all of the requirements specified in the Supplement are satisfied.
Questions regarding the early cash conversion requirements of your
notes should be directed to synthetic.convert.repurchase@jpmchase.com.
*Subject to adjustment as described in the Supplement.
JPMorgan Structured Investments — | B-1 |
Cash-Settled Equity Linked Notes Linked to the Common Stock of The Boeing Company | |
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