Our Central Index Key, or CIK, on the SEC website is 1665650, and
JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, the “Issuer,” “JPMorgan Financial,”
“we,” “us” and “our” refer to JPMorgan Chase Financial Company LLC.
The suitability considerations identified above are not exhaustive.
Whether or not the Securities are a suitable investment for you will depend on your individual circumstances, and you should reach an
investment decision only after you and your investment, legal, tax, accounting and other advisers have carefully considered the suitability
of an investment in the Securities in light of your particular circumstances. You should also review carefully the “Key Risks”
section of this pricing supplement and the “Risk Factors” sections of the accompanying prospectus supplement, the accompanying
product supplement and the accompanying underlying supplement for risks related to an investment in the Securities. For more information
on the Underlying, please see the section titled “The Underlying” below.
Final
Terms |
Issuer: |
|
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co. |
Guarantor: |
|
JPMorgan Chase & Co. |
Issue Price: |
|
$10.00 per Security (subject to a minimum purchase of 100 Securities or $1,000) |
Principal Amount: |
|
$10.00 per Security. The payment at maturity will be based on the principal amount. |
Underlying: |
|
S&P 500® Index |
Term: |
|
Approximately 2 years |
Payment at Maturity (per $10 principal amount Security): |
|
If the Underlying Return
is positive, JPMorgan Financial will pay you a cash payment at maturity
per $10 principal amount Security equal to:
$10.00 + ($10.00 × Underlying Return ×
Upside Gearing)
provided, however, that in no event will JPMorgan Financial
pay you at maturity an amount greater than:
$10.00 + ($10.00 × Maximum Gain)
If the Underlying Return
is zero or negative but the Final Value is greater than or equal to the Downside Threshold, JPMorgan
Financial will pay you a cash payment at maturity of $10.00 per $10 principal amount Security.
If the Underlying Return
is negative, and the Final Value is less than the Downside Threshold, JPMorgan
Financial will pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00 + [$10.00 × (Underlying Return
+ Threshold Percentage) × Downside Gearing]
In this scenario, you will lose 1.17647% of your principal amount
for every 1% that the Underlying has declined by more than the Threshold Percentage. You will lose some or all of your principal amount. |
Underlying Return: |
|
(Final Value – Initial Value)
Initial Value |
Upside Gearing: |
|
3.00 |
Maximum Gain: |
|
28.40%. In no event will the return on the Principal Amount be greater than the Maximum Gain. |
Initial Value: |
|
The closing level of the Underlying on the Trade Date, as specified on the cover of this pricing supplement |
Final Value: |
|
The closing level of the Underlying on the Final Valuation Date |
Downside Threshold: |
|
85.00% of the Initial Value, as specified on the cover of this pricing supplement |
Threshold Percentage: |
|
15%, if held to maturity |
Downside Gearing: |
|
1.17647, equal to 1 / (100% - Threshold Percentage) |
|
|
|
|
|
|
Investment
Timeline |
|
|
|
Trade Date |
|
The Initial Value is observed. The Downside Threshold is determined and the Maximum Gain is finalized. |
|
|
Maturity Date |
|
The Final Value and the Underlying Return are determined.
If the Underlying Return
is positive, JPMorgan Financial will pay you a cash payment at maturity
per $10 principal amount Security equal to:
$10.00 + ($10.00 × Underlying Return ×
Upside Gearing),
provided, however, that in no event will JPMorgan Financial
pay you at maturity an amount greater than:
$10.00 + ($10.00 × Maximum Gain)
If the Underlying Return
is zero or negative but the Final Value is greater than or equal to the Downside Threshold, JPMorgan
Financial will pay you a cash payment at maturity of $10.00 per $10 principal amount Security.
If the Underlying Return
is negative, and the Final Value is less than the Downside Threshold, JPMorgan
Financial will pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00 + [$10.00 × (Underlying Return + Threshold
Percentage) × Downside Gearing]
Under these circumstances, you will lose some or all of your
principal amount. |
|
|
|
INVESTING IN THE SECURITIES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE SOME OR ALL OF YOUR PRINCIPAL AMOUNT. ANY PAYMENT ON THE SECURITIES, INCLUDING ANY REPAYMENT OF PRINCIPAL, IS SUBJECT TO THE CREDITWORTHINESS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. IF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. WERE TO DEFAULT ON THEIR PAYMENT OBLIGATIONS, YOU MAY NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE SECURITIES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT. |
|
|
|
|
|
|
What Are
the Tax Consequences of the Securities? |
You should review carefully the section entitled “Material U.S.
Federal Income Tax Consequences” in the accompanying product supplement no. UBS-1-II. The following discussion, when read in combination
with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S.
federal income tax consequences of owning and disposing of Securities.
Based on current market conditions, in the opinion of our special tax
counsel it is reasonable to treat the Securities as “open transactions” that are not debt instruments for U.S. federal income
tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders
— Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement. Assuming this
treatment is respected, the gain or loss on your Securities should be treated as long-term capital gain or loss if you hold your Securities
for more than a year, whether or not you are an initial purchaser of Securities at the issue price. However, the IRS or a court may not
respect this treatment, in which case the timing and character of any income or loss on the Securities could be materially and adversely
affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of
“prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to require investors in these
instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the
character of income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property
to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors
should be subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership”
regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest
charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance
promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the Securities,
possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment
in the Securities, including possible alternative treatments and the issues presented by this notice.
Section 871(m) of the Code and Treasury regulations promulgated thereunder
(“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on dividend equivalents paid
or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include U.S.
equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked to certain broad-based
indices that meet requirements set forth in the applicable Treasury regulations. Additionally, a recent IRS notice excludes from
the scope of Section 871(m) instruments issued prior to January 1, 2023 that do not have a delta of one with respect to underlying securities
that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on
certain determinations made by us, our special tax counsel is of the opinion that Section 871(m) should not apply to the Securities with
regard to Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination.
Section 871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other transactions
with respect to an Underlying Security. You should consult your tax adviser regarding the potential application of Section 871(m) to the
Securities.
An investment in the Securities involves significant risks. Investing
in the Securities is not equivalent to investing directly in the Underlying. These risks are explained in more detail in the “Risk
Factors” sections of the accompanying prospectus supplement, the accompanying product supplement and the accompanying underlying
supplement. We also urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the Securities.
Risks Relating to the Securities Generally
| t | Your Investment in the Securities May Result in a Loss — The Securities differ from ordinary debt securities in that
we will not necessarily repay the full principal amount of the Securities. If the Underlying Return is negative, we will pay you the principal
amount of your Securities in cash only if the Final Value has not declined below the Downside Threshold. If the Underlying Return is negative
and the Final Value is less than the Downside Threshold, you will lose 1.17647% of your principal amount for every 1% that the Underlying
has declined by more than the Threshold Percentage. Accordingly, you could lose up to your entire principal amount. |
| t | Credit Risks of JPMorgan Financial and JPMorgan Chase & Co. — The Securities are unsecured and unsubordinated debt
obligations of the Issuer, JPMorgan Chase Financial Company LLC, the payment on which is fully and unconditionally guaranteed by JPMorgan
Chase & Co. The Securities will rank pari passu with all of our other unsecured and unsubordinated obligations, and the related
guarantee JPMorgan Chase & Co. will rank pari passu with all of JPMorgan Chase & Co.’s other unsecured and unsubordinated
obligations. The Securities and related guarantees are not, either directly or indirectly, an obligation of any third party. Any payment
to be made on the Securities, including any repayment of principal, depends on the ability of JPMorgan Financial and JPMorgan Chase &
Co. to satisfy their obligations as they come due. As a result, the actual and perceived creditworthiness of JPMorgan Financial and JPMorgan
Chase & Co. may affect the market value of the Securities and, in the event JPMorgan Financial and JPMorgan Chase & Co. were to
default on their obligations, you may not receive any amounts owed to you under the terms of the Securities and you could lose your entire
investment. |
| t | As a Finance Subsidiary, JPMorgan Financial Has No Independent Operations and Limited Assets — As a finance subsidiary
of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of our securities. Aside from the
initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates to
make payments under loans made by us or other intercompany agreements. As a result, we are dependent upon payments from our affiliates
to meet our obligations under the Securities. If these affiliates do not make payments to us and we fail to make payments on the Securities,
you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu with
all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. |
| t | The Appreciation Potential of the Securities Is Limited by the Maximum Gain
— The appreciation potential of the Securities is limited by the Maximum Gain of 28.40%. Accordingly, the appreciation potential
of the Securities will be limited by the Maximum Gain even if the Underlying Return times the Upside Gearing is greater than the Maximum
Gain. |
| t | The Upside Gearing Applies Only If You Hold the Securities to Maturity — You should
be willing to hold your Securities to maturity. If you are able to sell your Securities prior to maturity in the secondary market, if
any, the price you receive likely will not reflect the full economic value of the Upside Gearing or the Securities themselves, and the
return you realize may be less than the product of the performance of the Underlying and the Upside Gearing and may be less than the Underlying’s
return, even if that return is positive and does not exceed the Maximum Gain. You can receive the full benefit of the Upside Gearing,
subject to the Maximum Gain, only if you hold your Securities to maturity. |
| t | The Contingent Repayment of Principal Applies Only If You Hold the Securities to Maturity —
You should be willing to hold your Securities to maturity. If you are able to sell your Securities in the secondary market, if any, prior
to maturity, you may have to sell them at a loss relative to your initial investment even if the closing level of the Underlying is above
the Downside Threshold. If you hold the Securities to maturity, JPMorgan Financial will repay your principal amount as long as the Final
Value is not below the Downside Threshold. However, if the Underlying Return is negative and the Final Value is less than the Downside
Threshold, JPMorgan Financial will repay less than your principal amount at maturity, resulting in a loss of 1.17647% of your principal
amount for every 1% that the Underlying has declined by more than the Threshold Percentage. |
| t | No Interest Payments — JPMorgan Financial will not make any interest payments to you with respect to the Securities. |
| t | The Probability That the Final Value Will Fall Below the Downside Threshold on the Final Valuation Date Will Depend on the Volatility
of the Underlying — “Volatility" refers to the frequency and magnitude of changes in the level of the Underlying.
Greater expected volatility with respect to the Underlying reflects a higher expectation as of the Trade Date that the Underlying could
close below the Downside Threshold on the Final Valuation Date of the Securities, resulting in the loss of some or all of your investment.
However, the Underlying’s volatility can change significantly over the term of the Securities. The level of the Underlying could
fall sharply, which could result in a significant loss of principal. |
| t | Investing in the Securities Is Not Equivalent to Investing in the Stocks Composing
the Underlying — Investing in the Securities is not equivalent to investing in the stocks included in the Underlying. As
an investor in the Securities, you will not have any ownership interest or rights in the stocks included in the Underlying, such as voting
rights, dividend payments or other distributions. |
| t | We Cannot Control Actions by the Sponsor of the Underlying and That Sponsor
Has No Obligation to Consider Your Interests — We and our affiliates are not affiliated with the sponsor of the Underlying
and have no ability to control or predict its actions, including any errors in or discontinuation of public disclosure regarding methods
or policies relating to the calculation of the Underlying. The sponsor of the Underlying is not involved in this Security offering in
any way and has no obligation to consider your interest as an owner of the Securities in taking any actions that might affect the market
value of your Securities. |
| t | Your Return on the Securities Will Not Reflect Dividends on the Stocks Composing
the Underlying — Your return on the Securities will not reflect the return you would realize if you actually owned the stock
included in the Underlying and received the dividends on the stock included in the Underlying. This is because the calculation agent will
calculate the amount payable to you at maturity of the Securities by reference to the Final Value, which reflects the closing level of
the Underlying on the Final Valuation Date without taking into consideration the value of dividends on the stock included in the Underlying. |
| t | Lack of Liquidity — The Securities will not be listed on any securities exchange. JPMS intends to offer to purchase the
Securities 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 Securities easily. Because other dealers are not likely to make a secondary market for the Securities,
the price at which you may be able to trade your Securities is likely to depend on the price, if any, at which JPMS is willing to buy
the Securities. |
| t | Tax Treatment — Significant aspects of the tax treatment of the Securities are uncertain. You should consult your tax
adviser about your tax situation. |
Risks Relating to Conflicts of Interest
| t | Potential Conflicts — We
and our affiliates play a variety of roles in connection with the issuance of the Securities, including acting as calculation agent and
hedging our obligations under the Securities and making the assumptions used to determine the pricing of the Securities and the estimated
value of the Securities when the terms of the Securities are set, which we refer to as the estimated value of the Securities. 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 Securities. 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 Securities and the value of the Securities. It is possible
that hedging or trading activities of ours or our affiliates in connection with the Securities could result in substantial returns for
us or our affiliates while the value of the Securities declines. Please refer to “Risk Factors — Risks Relating to Conflicts
of Interest” in the accompanying product supplement for additional information about these risks. |
| t | Potentially Inconsistent Research, Opinions or Recommendations by JPMS, UBS or Their Affiliates — JPMS, UBS or their
affiliates may publish research, express opinions or provide recommendations that are inconsistent with investing in or holding the Securities,
and that may be revised at any time. Any such research, opinions or recommendations may or may not recommend that investors buy or hold
investments linked to the Underlying and could affect the value of the Underlying, and therefore the market value of the Securities. |
| t | Potential JPMorgan Financial Impact on the Market Price of the Underlying — Trading or transactions by JPMorgan Financial
or its affiliates in the Underlying or in futures, options or other derivative products on the Underlying may adversely affect the market
value of the Underlying and, therefore, the market value of the Securities. |
Risks Relating to the Estimated Value and Secondary
Market Prices of the Securities
| t | The Estimated Value of the Securities Is Lower Than the Original Issue Price (Price to Public) of the Securities — The
estimated value of the Securities is only an estimate determined by reference to several factors. The original issue price of the Securities
exceeds the estimated value of the Securities because costs associated with structuring and hedging the Securities are included in the
original issue price of the Securities. These costs include the projected profits, if any, that our affiliates expect to realize for assuming
risks inherent in hedging our obligations under the Securities and the estimated cost of hedging our obligations under the Securities.
See “The Estimated Value of the Securities” in this pricing supplement. |
| t | The Estimated Value of the Securities Does Not Represent Future Values of the Securities and May Differ from Others’ Estimates
— The estimated value of the Securities is determined by reference to internal pricing models of our affiliates when the terms of
the Securities are set. This estimated value of the Securities 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 Securities that are greater than or less than the estimated value of the
Securities. 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 Securities 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 Securities from you in secondary market transactions. See “The Estimated Value of
the Securities” in this pricing supplement. |
| t | The Estimated Value of the Securities Is Derived by Reference to an Internal
Funding Rate — The internal funding rate used in the determination of the estimated value of the Securities 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 Securities as well
as the higher issuance, operational and ongoing liability management costs of the Securities 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 Securities. The use of
an internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the Securities and any secondary
market prices of the Securities. See “The Estimated Value of the Securities” in this pricing supplement. |
| t | The Value of the Securities as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than
the Then-Current Estimated Value of the Securities for a Limited Time Period — We generally expect that some of the costs included
in the original issue price of the Securities will be partially paid back to you in connection with any repurchases of your Securities
by JPMS in an amount that will decline to zero over an initial predetermined period. These costs can include projected |
hedging profits, if any, and, in some circumstances,
estimated hedging costs and our internal secondary market funding rates for structured debt issuances. See “Secondary Market Prices
of the Securities” in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated
value of your Securities during this initial period may be lower than the value of the Securities as published by JPMS (and which may
be shown on your customer account statements).
| t | Secondary Market Prices of the Securities Will Likely Be Lower Than the Original Issue Price of the Securities — Any
secondary market prices of the Securities will likely be lower than the original issue price of the Securities because, among other things,
secondary market prices take into account our internal secondary market funding rates for structured debt issuances and, also, because
secondary market prices may exclude projected hedging profits, if any, and estimated hedging costs that are included in the original issue
price of the Securities. As a result, the price, if any, at which JPMS will be willing to buy Securities from you in secondary market
transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the Maturity Date could result
in a substantial loss to you. See the immediately following risk factor for information about additional factors that will impact any
secondary market prices of the Securities. |
The Securities are not designed to be short-term
trading instruments. Accordingly, you should be able and willing to hold your Securities to maturity. See “— Risks Relating
to the Securities Generally — Lack of Liquidity” above.
| t | Many Economic and Market Factors Will Impact the Value of the Securities — As described under “The Estimated Value
of the Securities” in this pricing supplement, the Securities can be thought of as securities that combine a fixed-income debt component
with one or more derivatives. As a result, the factors that influence the values of fixed-income debt and derivative instruments will
also influence the terms of the Securities at issuance and their value in the secondary market. Accordingly, the secondary market price
of the Securities during their term will be impacted by a number of economic and market factors, which may either offset or magnify each
other, aside from the projected hedging profits, if any, estimated hedging costs and the level of the Underlying, including: |
| t | any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads; |
| t | customary bid-ask spreads for similarly sized trades; |
| t | our internal secondary market funding rates for structured debt issuances; |
| t | the actual and expected volatility in the level of the Underlying; |
| t | the time to maturity of the Securities; |
| t | the dividend rates on the equity securities included in the Underlying; |
| t | interest and yield rates in the market generally; and |
| t | a variety of other economic, financial, political, regulatory and judicial events. |
Additionally, independent pricing vendors
and/or third party broker-dealers may publish a price for the Securities, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the Securities, if any, at which JPMS may be willing to purchase your
Securities in the secondary market.
Risks Relating to the Underlying
| t | JPMorgan Chase & Co. Is Currently One of the Companies that Make Up the Underlying — JPMorgan Chase & Co. is
currently one of the companies that make up the Underlying. JPMorgan Chase & Co. will not have any obligation to consider your interests
as a holder of the Securities in taking any corporate action that might affect the value of the Underlying and the Securities. |
Hypothetical
Examples and Return Table |
Hypothetical terms only. Actual terms
may vary. See the cover page for actual offering terms.
The following table and hypothetical examples below illustrate the
payment at maturity per $10.00 principal amount Security for a hypothetical range of Underlying Returns from -100.00% to +100.00% on an
offering of the Securities linked to a hypothetical Underlying, and assume a hypothetical Initial Value of 100, a hypothetical Downside
Threshold of 90, a hypothetical Upside Gearing of 1.10, a hypothetical Maximum Gain of 10.00%, a hypothetical Downside Gearing of 1.11111
and a hypothetical Threshold Percentage of 10%. The hypothetical Initial Value of 100 has been chosen for illustrative purposes only and
does not represent the actual Initial Value. The actual Initial Value is based on the closing level of the Underlying on the Trade Date
and is specified on the cover of this pricing supplement. For historical data regarding the actual closing levels of the Underlying, please
see the historical information set forth under “The Underlying” in this pricing supplement. The actual Maximum Gain, Downside
Threshold, Upside Gearing, Downside Gearing and Threshold Percentage are specified on the cover of this pricing supplement. The hypothetical
payment at maturity examples set forth below are for illustrative purposes only and may not be the actual returns applicable to a purchaser
of the Securities. The actual payment at maturity may be more or less than the amounts displayed below and will be determined based on
the actual terms of the Securities, including the Initial Value, the Downside Threshold, the Upside Gearing, the Downside Gearing, the
Threshold Percentage and the Maximum Gain and the Final Value on the Final Valuation Date. You should consider carefully whether the Securities
are suitable to your investment goals. The numbers appearing in the table below have been rounded for ease of analysis.
Final Value |
Underlying Return (%) |
Payment at Maturity ($) |
Return at Maturity per
$10.00 issue price (%) |
200.00 |
100.00% |
$11.0000 |
10.00% |
190.00 |
90.00% |
$11.0000 |
10.00% |
180.00 |
80.00% |
$11.0000 |
10.00% |
170.00 |
70.00% |
$11.0000 |
10.00% |
160.00 |
60.00% |
$11.0000 |
10.00% |
150.00 |
50.00% |
$11.0000 |
10.00% |
140.00 |
40.00% |
$11.0000 |
10.00% |
130.00 |
30.00% |
$11.0000 |
10.00% |
120.00 |
20.00% |
$11.0000 |
10.00% |
110.00 |
10.00% |
$11.0000 |
10.00% |
109.09 |
9.09% |
$11.0000 |
10.00% |
108.00 |
8.00% |
$10.8800 |
8.80% |
106.00 |
6.00% |
$10.6600 |
6.60% |
104.00 |
4.00% |
$10.4400 |
4.40% |
102.00 |
2.00% |
$10.2200 |
2.20% |
100.00 |
0.00% |
$10.0000 |
0.00% |
95.00 |
-5.00% |
$10.0000 |
0.00% |
90.00 |
-10.00% |
$10.0000 |
0.00% |
80.00 |
-20.00% |
$8.8889 |
-11.11% |
70.00 |
-30.00% |
$7.7778 |
-22.22% |
60.00 |
-40.00% |
$6.6667 |
-33.33% |
50.00 |
-50.00% |
$5.5556 |
-44.44% |
40.00 |
-60.00% |
$4.4444 |
-55.56% |
30.00 |
-70.00% |
$3.3333 |
-66.67% |
20.00 |
-80.00% |
$2.2222 |
-77.78% |
10.00 |
-90.00% |
$1.1111 |
-88.89% |
0.00 |
-100.00% |
$0.0000 |
-100.00% |
Example 1 — The level of the Underlying increases by 2% from the
Initial Value of 100 to the Final Value of 102.
Because the Upside Gearing of 1.10 times the Underlying Return of 2%
is less than the Maximum Gain of 10.00%, JPMorgan Financial will pay you your principal amount plus a return equal to the Underlying
Return times the Upside Gearing, resulting in a payment at maturity of $10.22 per $10 principal amount Security, calculated as
follows:
$10.00 + ($10.00 × Underlying Return ×
Upside Gearing)
$10.00 + ($10.00 × 2% × 1.10) = $10.22
Example 2 — The level of the Underlying increases by 20% from
the Initial Value of 100 to the Final Value of 120.
Because the Upside Gearing of 1.10 times the Underlying Return of 20%
is greater than the Maximum Gain of 10.00%, JPMorgan Financial will pay you your principal amount plus a return equal to the Maximum
Gain of 10.00%, resulting in a payment at maturity of $11.00 per $10 principal amount Security, calculated as follows:
$10.00 + ($10.00 × Maximum Gain)
$10.00 + ($10.00 × 10.00%) = $11.00
Example 3 — The level of the Underlying decreases by 5% from the
Initial Value of 100 to the Final Value of 95.
Because the Underlying Return is negative and the Final Value is greater
than the Downside Threshold, at maturity, JPMorgan Financial will pay you your principal amount of $10.00 per $10 principal amount Security.
Example 4 — The level of the Underlying decreases by 40% from
the Initial Value of 100 to the Final Value of 60.
Because the Underlying Return is -40% and the Final Value is less than
the Downside Threshold of 90%, at maturity, JPMorgan Financial will pay you a payment at maturity of $6.6667 per $10 principal amount
Security, calculated as follows:
$10.00 + [$10.00 × (Underlying Return + Threshold
Percentage) × Downside Gearing]
$10.00 + [$10.00 × (-40.00% + 10.00%) × 1.11111] = $6.6667
If the Underlying Return is negative and the Final Value is less
than the Downside Threshold, investors will lose more than 1% of their principal amount for every 1% that the Underlying has declined
in excess of the Threshold Percentage. Investors could lose some or all of their principal amount.
The hypothetical returns and hypothetical payments on the Securities
shown above apply only if you hold the Securities for their entire term. These hypotheticals do not reflect fees or expenses that
would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns and hypothetical
payments shown above would likely be lower.
The S&P 500® Index consists of stocks of 500 companies
selected to provide a performance benchmark for the U.S. equity markets. For additional information about the S&P 500®
Index, see the information set forth under “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying
underlying supplement.
Historical Information
The following table sets forth the quarterly high and low closing levels
of the Underlying, based on daily closing levels of the Underlying as reported by the Bloomberg Professional® service (“Bloomberg”),
without independent verification. The information given below is for the four calendar quarters in each of 2017, 2018, 2019, 2020 and
2021 and the first and second calendar quarters of 2022. Partial data is provided for the third calendar quarter of 2022. The closing
level of the Underlying on August 9, 2022 was 4,122.47. We obtained the closing levels of the Underlying above and below from Bloomberg,
without independent verification. You should not take the historical levels of the Underlying as an indication of future performance.
Quarter Begin |
Quarter End |
Quarterly Closing High |
Quarterly Closing Low |
Close |
1/1/2017 |
3/31/2017 |
2,395.96 |
2,257.83 |
2,362.72 |
4/1/2017 |
6/30/2017 |
2,453.46 |
2,328.95 |
2,423.41 |
7/1/2017 |
9/30/2017 |
2,519.36 |
2,409.75 |
2,519.36 |
10/1/2017 |
12/31/2017 |
2,690.16 |
2,529.12 |
2,673.61 |
1/1/2018 |
3/31/2018 |
2,872.87 |
2,581.00 |
2,640.87 |
4/1/2018 |
6/30/2018 |
2,786.85 |
2,581.88 |
2,718.37 |
7/1/2018 |
9/30/2018 |
2,930.75 |
2,713.22 |
2,913.98 |
10/1/2018 |
12/31/2018 |
2,925.51 |
2,351.10 |
2,506.85 |
1/1/2019 |
3/31/2019 |
2,854.88 |
2,447.89 |
2,834.40 |
4/1/2019 |
6/30/2019 |
2,954.18 |
2,744.45 |
2,941.76 |
7/1/2019 |
9/30/2019 |
3,025.86 |
2,840.60 |
2,976.74 |
10/1/2019 |
12/31/2019 |
3,240.02 |
2,887.61 |
3,230.78 |
1/1/2020 |
3/31/2020 |
3,386.15 |
2,237.40 |
2,584.59 |
4/1/2020 |
6/30/2020 |
3,232.39 |
2,470.50 |
3,100.29 |
7/1/2020 |
9/30/2020 |
3,580.84 |
3,115.86 |
3,363.00 |
10/1/2020 |
12/31/2020 |
3,756.07 |
3,269.96 |
3,756.07 |
1/1/2021 |
3/31/2021 |
3,974.54 |
3,700.65 |
3,972.89 |
4/1/2021 |
6/30/2021 |
4,297.50 |
4,019.87 |
4,297.50 |
7/1/2021 |
9/30/2021 |
4,536.95 |
4,258.49 |
4,307.54 |
10/1/2021 |
12/31/2021 |
4,793.06 |
4,300.46 |
4,766.18 |
1/1/2022 |
3/31/2022 |
4,796.56 |
4,170.70 |
4,530.41 |
4/1/2022 |
6/30/2022 |
4,582.64 |
3,666.77 |
3,785.38 |
7/1/2022 |
8/9/2022* |
4,155.17 |
3,790.38 |
4,122.47 |
| * | As of the date of this pricing supplement, available information for the third calendar quarter of 2022
includes data for the period from July 1, 2022 through August 9, 2022. Accordingly, the “Quarterly Closing High,” “Quarterly
Closing Low” and “Close” data indicated are for this shortened period only and do not reflect complete data for the
third calendar quarter of 2022. |
The graph below illustrates the daily performance of the Underlying
from January 3, 2012 through August 9, 2022, based on information from Bloomberg, without independent verification. The dotted line represents
the Downside Threshold of 3,504.10, equal to 85% of the closing level of the Underlying on August 9, 2022.
Past performance of the Underlying is not indicative
of the future performance of the Underlying.
The historical performance of the Underlying should not be
taken as an indication of future performance, and no assurance can be given as to the closing level of the Underlying on the Final Valuation
Date. There can be no assurance that the performance of the Underlying will result in the return of any of your principal amount.