March 22, 2023 |
Registration Statement Nos. 333-236659 and 333-236659-01; Rule
424(b)(2)
|

JPMorgan
Chase Financial Company LLC
Structured Investments
$538,000
Capped Dual Directional Buffered Equity Notes Linked to the S&P
500® Index due September 26, 2024
Fully and
Unconditionally Guaranteed by JPMorgan
Chase & Co.
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● |
The
notes are designed for investors who seek a capped, unleveraged
exposure to any appreciation (with a Maximum Upside Return of
14.25%), or a capped, unleveraged return equal to the absolute
value of any depreciation (up to the Buffer Amount of 20.00%),
of the S&P 500® Index at
maturity. |
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● |
Investors should be willing to forgo interest and dividend
payments and be willing to lose up
to 80.00% of their principal amount at maturity. |
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The notes are unsecured and unsubordinated obligations of
JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan
Financial, the payment on which is fully and unconditionally
guaranteed by JPMorgan Chase & Co. Any payment on
the notes is subject to the credit risk of JPMorgan Financial, as
issuer of the notes, and the credit risk of JPMorgan
Chase & Co., as guarantor of the notes. |
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Minimum denominations of $1,000 and integral multiples
thereof |
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The
notes priced on March 22, 2023 and are expected to settle on or
about March 27, 2023. |
Investing in the notes involves a number of risks. See “Risk
Factors” beginning on page S-2 of the accompanying prospectus
supplement, “Risk Factors” beginning on page PS-12 of the
accompanying product supplement, “Risk Factors” beginning on page
US-3 of the accompanying underlying supplement and “Selected Risk
Considerations” beginning on page PS-4 of this pricing
supplement.
Neither the Securities and Exchange Commission (the “SEC”) nor any
state securities commission has approved or disapproved of the
notes or passed upon the accuracy or the adequacy of this pricing
supplement or the accompanying product supplement, underlying
supplement, prospectus supplement and prospectus. Any
representation to the contrary is a criminal offense.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
Per note |
$1,000 |
$6.50 |
$993.50 |
Total |
$538,000 |
$3,497 |
$534,503 |
(1) See “Supplemental Use of Proceeds” in this pricing supplement
for information about the components of the price to public of the
notes.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting
as agent for JPMorgan Financial, will pay all of the selling
commissions of $6.50 per $1,000 principal amount note it receives
from us to other affiliated or unaffiliated dealers. See “Plan of
Distribution (Conflicts of Interest)” in the accompanying product
supplement.
|
The estimated value of the notes, when the terms of the notes
were set, was $988.10 per $1,000 principal amount note. See “The
Estimated Value of the Notes” in this pricing supplement for
additional information.
The notes are not bank deposits, are not insured by the Federal
Deposit Insurance Corporation or any other governmental agency and
are not obligations of, or guaranteed by, a bank.
Pricing supplement to product supplement no. 4-II dated November 4,
2020, underlying supplement no. 1-II dated November 4, 2020 and the
prospectus and prospectus supplement, each dated April 8, 2020
Key Terms
Issuer:
JPMorgan
Chase Financial Company LLC, an indirect, wholly owned finance
subsidiary of JPMorgan Chase & Co.
Guarantor:
JPMorgan
Chase & Co.
Index:
The S&P 500®
Index (Bloomberg ticker: SPX)
Maximum
Upside Return:
14.25% (corresponding to a maximum payment at maturity of $1,142.50
per $1,000 principal amount note if the Index Return is
positive)
Buffer
Amount: 20.00%
Pricing Date:
March 22, 2023
Original Issue Date (Settlement Date):
On or about March 27, 2023
Observation Date*:
September 23, 2024
Maturity Date*:
September 26, 2024
* Subject to
postponement in the event of a market disruption event and as
described under “General Terms of Notes — Postponement of a
Determination Date — Notes Linked to a Single Underlying — Notes
Linked to a Single Underlying (Other Than a Commodity Index)” and
“General Terms of Notes — Postponement of a Payment Date” in the
accompanying product supplement
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Payment at Maturity:
If the Final
Value is greater than the Initial Value, your payment at maturity
per $1,000 principal amount note will be calculated as
follows:
$1,000 +
($1,000 × Index Return), subject to the Maximum Upside
Return
If the Final
Value is equal to the Initial Value or is less than the Initial
Value by up to the Buffer Amount, your payment at maturity per
$1,000 principal amount note will be calculated as
follows:
$1,000 +
($1,000 × Absolute Index Return)
This payout formula results in an effective cap of 20.00% on
your return at maturity if the
Index Return is negative. Under these limited circumstances,
your maximum payment at maturity is $1,200.00 per $1,000 principal
amount note.
If the Final Value is less than the Initial Value by more than the
Buffer Amount, your payment at maturity per $1,000 principal amount
note will be calculated as follows:
$1,000 + [$1,000 × (Index
Return + Buffer Amount)]
If the Final Value is less than the Initial Value by more than
the Buffer Amount, you will lose some or most of your principal
amount at maturity.
Absolute Index
Return: The
absolute value of the Index Return. For example, if the Index
Return is -5%, the Absolute Index Return will equal 5%.
Index Return:
(Final
Value – Initial Value)
Initial Value
Initial
Value: The
closing level of the Index on the Pricing Date, which was
3,936.97
Final
Value: The
closing level of the Index on the Observation Date
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PS-1
| Structured Investments
Capped Dual Directional Buffered Equity Notes Linked to the S&P
500® Index
|
 |
Hypothetical Payout Profile
The following table and graph illustrate the hypothetical total
return and payment at maturity on the notes linked to a
hypothetical Index. The “total return” as used in this pricing
supplement is the number, expressed as a percentage, that results
from comparing the payment at maturity per $1,000 principal amount
note to $1,000. The hypothetical total returns and payments set
forth below assume the following:
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an Initial Value of 100.00; |
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a Maximum Upside Return of 14.25%; and |
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a Buffer Amount of 20.00%. |
The hypothetical Initial Value of 100.00 has been chosen for
illustrative purposes only and does not represent the actual
Initial Value. The actual Initial Value is the closing level of the
Index on the Pricing Date and is specified under “Key Terms –
Initial Value” in this pricing supplement. For historical data
regarding the actual closing levels of the Index, please see the
historical information set forth under “The Index” in this pricing
supplement.
Each hypothetical total return or hypothetical payment at maturity
set forth below is for illustrative purposes only and may not be
the actual total return or payment at maturity applicable to a
purchaser of the notes. The numbers appearing in the following
table and graph have been rounded for ease of analysis.
Final Value |
Index Return |
Absolute Index Return |
Total Return on the
Notes |
Payment at Maturity |
180.00 |
80.00% |
N/A |
14.25% |
$1,142.50 |
165.00 |
65.00% |
N/A |
14.25% |
$1,142.50 |
150.00 |
50.00% |
N/A |
14.25% |
$1,142.50 |
140.00 |
40.00% |
N/A |
14.25% |
$1,142.50 |
130.00 |
30.00% |
N/A |
14.25% |
$1,142.50 |
120.00 |
20.00% |
N/A |
14.25% |
$1,142.50 |
114.25 |
14.25% |
N/A |
14.25% |
$1,142.50 |
110.00 |
10.00% |
N/A |
10.00% |
$1,100.00 |
105.00 |
5.00% |
N/A |
5.00% |
$1,050.00 |
101.00 |
1.00% |
N/A |
1.00% |
$1,010.00 |
100.00 |
0.00% |
0.00% |
0.00% |
$1,000.00 |
95.00 |
-5.00% |
5.00% |
5.00% |
$1,050.00 |
90.00 |
-10.00% |
10.00% |
10.00% |
$1,100.00 |
85.00 |
-15.00% |
15.00% |
15.00% |
$1,150.00 |
80.00 |
-20.00% |
20.00% |
20.00% |
$1,200.00 |
70.00 |
-30.00% |
N/A |
-10.00% |
$900.00 |
60.00 |
-40.00% |
N/A |
-20.00% |
$800.00 |
50.00 |
-50.00% |
N/A |
-30.00% |
$700.00 |
40.00 |
-60.00% |
N/A |
-40.00% |
$600.00 |
30.00 |
-70.00% |
N/A |
-50.00% |
$500.00 |
20.00 |
-80.00% |
N/A |
-60.00% |
$400.00 |
10.00 |
-90.00% |
N/A |
-70.00% |
$300.00 |
0.00 |
-100.00% |
N/A |
-80.00% |
$200.00 |
PS-2
| Structured Investments
Capped Dual Directional Buffered Equity Notes Linked to the S&P
500® Index
|
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The following graph demonstrates the hypothetical payments at
maturity on the notes for a range of Index Returns (-100% to 100%).
There can be no assurance that the performance of the Index will
result in the return of any of your principal amount in excess of
$200.00 per $1,000.00 principal amount note, subject to the credit
risks of JPMorgan Financial and JPMorgan
Chase & Co.

How the Notes Work
Index Appreciation Upside Scenario:
If the Final Value is greater than the Initial Value, investors
will receive at maturity the $1,000 principal amount plus a
return equal to the Index Return, subject to the Maximum Upside
Return of 14.25%. An investor will realize the maximum upside
payment at maturity at a Final Value of 114.25% or more of the
Initial Value.
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If the closing level of the Index increases 5.00%, investors
will receive at maturity a return of 5.00%, or $1,050.00 per $1,000
principal amount note. |
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If the closing level of the Index increases 24.25%, investors
will receive at maturity a return equal to the Maximum Upside
Return of 14.25%, or $1,142.50 per $1,000 principal amount note,
which is the maximum payment at maturity if the Index Return is
positive. |
Index Par or Index Depreciation Upside Scenario:
If the Final Value is equal to the Initial Value or is less than
the Initial Value by up to the Buffer Amount of 20.00%,
investors will receive at maturity the $1,000 principal amount
plus a return equal to the Absolute Index Return.
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For
example, if the closing level of the Index declines 10.00%,
investors will receive at maturity a 10.00% return,
or $1,100.00 per $1,000 principal amount note. |
Downside Scenario:
If the Final Value is less than the Initial Value by more than the
Buffer Amount of 20.00%, investors will lose 1% of the principal
amount of their notes for every 1% that the Final Value is less
than the Initial Value by more than the Buffer Amount.
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For example, if the closing level of the Index declines
60.00%,
investors will lose 40.00%
of their principal amount and receive only $600.00
per $1,000 principal amount note at maturity. |
The hypothetical returns and hypothetical payments on the notes
shown above apply only if you hold the notes for their entire
term. These hypotheticals do not reflect the fees or expenses
that would be associated with any sale in the secondary market. If
these fees and expenses were included, the hypothetical returns and
hypothetical payments shown above would likely be lower.
PS-3
| Structured Investments
Capped Dual Directional Buffered Equity Notes Linked to the S&P
500® Index
|
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Selected Risk Considerations
An investment in the notes involves significant risks. These risks
are explained in more detail in the “Risk Factors” sections of the
accompanying prospectus supplement, product supplement and
underlying supplement.
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YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
The notes do not guarantee any return of principal. If the Final
Value is less than the Initial Value by more than 20.00%, you will
lose 1% of the principal amount of your notes for every 1% that the
Final Value is less than the Initial Value by
more than 20.00%. Accordingly, under these circumstances,
you will lose up
to 80.00% of your principal amount at maturity. |
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YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE MAXIMUM
UPSIDE RETURN IF THE INDEX RETURN IS POSITIVE,
regardless of the appreciation of the Index, which may be
significant. |
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YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE BUFFER
AMOUNT IF THE INDEX RETURN IS NEGATIVE —
Because the payment at maturity will not reflect the Absolute Index
Return if the Final Value is less than the Initial Value by more
than the Buffer Amount, the Buffer Amount is effectively a cap on
your return at maturity if the Index Return is negative. The
maximum payment at maturity if the Index Return is negative is
$1,200.00
per $1,000 principal amount note. |
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CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN
CHASE & CO. —
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. |
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AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO
INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS —
As a finance subsidiary of JPMorgan Chase & Co., we
have no independent operations beyond the issuance and
administration of our securities. Aside from the initial capital
contribution from JPMorgan Chase & Co., substantially
all of our assets relate to obligations of our affiliates to make
payments under loans made by us or other intercompany agreements.
As a result, we are dependent upon payments from our affiliates to
meet our obligations under the notes. If these affiliates do not
make payments to us and we fail to make payments on the notes, you
may have to seek payment under the related guarantee by JPMorgan
Chase & Co., and that guarantee will rank pari
passu with all other unsecured and unsubordinated obligations
of JPMorgan Chase & Co. |
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POTENTIAL CONFLICTS —
We and our affiliates play a variety of roles in connection with
the notes. In performing these duties, our and JPMorgan
Chase & Co.’s economic interests are potentially
adverse to your interests as an investor in 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. |
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JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE
COMPANIES THAT MAKE UP THE
INDEX,
but JPMorgan Chase & Co. will not have any obligation
to consider your interests in taking any corporate action that
might affect the level of the Index. |
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THE NOTES DO NOT PAY INTEREST. |
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YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN
THE INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE
SECURITIES. |
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LACK OF LIQUIDITY—
The notes will not be listed on any securities exchange.
Accordingly, 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. You may not be able to sell your 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. |
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THE ESTIMATED VALUE OF THE NOTES IS 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
exceeds the estimated value of the notes because costs associated
with selling, structuring and hedging the notes are included in the
original issue price of the notes. These costs include the selling
commissions, the projected profits, if any, that our affiliates
expect to realize for assuming risks inherent in hedging our
obligations under the notes and the estimated cost of hedging our
obligations under the notes. See “The Estimated Value of the Notes”
in this pricing supplement. |
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THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE
VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES —
See “The Estimated Value of the Notes” in this pricing
supplement. |
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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. |
PS-4
| Structured Investments
Capped Dual Directional Buffered Equity Notes Linked to the S&P
500® Index
|
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THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY
BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE
THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD
—
We generally expect that some of the costs included in the original
issue price of the notes will be partially paid back to you in
connection with any repurchases of your notes by JPMS in an amount
that will decline to zero over an initial predetermined period. See
“Secondary Market Prices of the Notes” in this pricing
supplement for additional information relating to this
initial period. Accordingly, the estimated value of your notes
during this initial period may be lower than the value of the notes
as published by JPMS (and which may be shown on your customer
account statements). |
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SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER
THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
Any secondary market prices of the notes will likely be lower than
the original issue price of the notes because, among other things,
secondary market prices take into account our internal secondary
market funding rates for structured debt issuances and, also,
because secondary market prices may exclude selling commissions,
projected hedging profits, if any, and estimated hedging costs that
are included in the original issue price of the notes. As a result,
the price, if any, at which JPMS will be willing to buy the 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. |
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SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY
MANY ECONOMIC AND MARKET FACTORS —
The secondary market price of the notes during their term will be
impacted by a number of economic and market factors, which may
either offset or magnify each other, aside from the selling
commissions, projected hedging profits, if any, estimated hedging
costs and the level of the Index. Additionally, independent pricing
vendors and/or third party broker-dealers may publish a price for
the notes, which may also be reflected on customer account
statements. This price may be different (higher or lower) than the
price of the notes, if any, at which JPMS may be willing to
purchase your notes in the secondary market. See “Risk Factors —
Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes — Secondary market prices of the notes will be
impacted by many economic and market factors” in the accompanying
product supplement. |
The Index
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 “Equity Index Descriptions — The S&P
U.S. Indices” in the accompanying underlying supplement.
Historical Information
The following graph sets forth the historical performance of the
Index based on the weekly historical closing levels of the Index
from January 5, 2018 through March 17, 2023. The closing level of
the Index on March 22, 2023 was 3,936.97. We obtained the closing
levels above and below from the Bloomberg Professional®
service (“Bloomberg”), without independent verification.
The historical closing levels of the Index should not be taken as
an indication of future performance, and no assurance can be given
as to the closing level of the Index on the Observation Date. There
can be no assurance that the performance of the Index will result
in the return of any of your principal amount in excess of $200.00
per $1,000.00 principal amount note, subject to the credit risks of
JPMorgan Financial and JPMorgan Chase & Co.
Historical Performance of the S&P 500®
Index

Source: Bloomberg
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PS-5
| Structured Investments
Capped Dual Directional Buffered Equity Notes Linked to the S&P
500® Index
|
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Tax Treatment
You should review carefully the section entitled “Material U.S.
Federal Income Tax Consequences” in the accompanying product
supplement no. 4-II. The following discussion, when read in
combination with that section, constitutes the full opinion of our
special tax counsel, Davis Polk & Wardwell LLP, regarding the
material U.S. federal income tax consequences of owning and
disposing of notes.
Based on current market conditions, in the opinion of our special
tax counsel it is reasonable to treat the notes as “open
transactions” that are not debt instruments for U.S. federal income
tax purposes, as more fully described in “Material U.S. Federal
Income Tax Consequences — Tax Consequences to U.S. Holders — Notes
Treated as Open Transactions That Are Not Debt Instruments” in the
accompanying product supplement. Assuming this treatment is
respected, the gain or loss on your notes should be treated as
long-term capital gain or loss if you hold your notes for more than
a year, whether or not you are an initial purchaser of notes at the
issue price. However, the IRS or a court may not respect this
treatment, in which case the timing and character of any income or
loss on the notes could be materially and adversely affected. In
addition, in 2007 Treasury and the IRS released a notice requesting
comments on the U.S. federal income tax treatment of “prepaid
forward contracts” and similar instruments. The notice focuses in
particular on whether to require investors in these instruments to
accrue income over the term of their investment. It also asks for
comments on a number of related topics, including the character of
income or loss with respect to these instruments; the relevance of
factors such as the nature of the underlying property to which the
instruments are linked; the degree, if any, to which income
(including any mandated accruals) realized by non-U.S. investors
should be subject to withholding tax; and whether these instruments
are or should be subject to the “constructive ownership” regime,
which very generally can operate to recharacterize certain
long-term capital gain as ordinary income and impose a notional
interest charge. While the notice requests comments on appropriate
transition rules and effective dates, any Treasury regulations or
other guidance promulgated after consideration of these issues
could materially and adversely affect the tax consequences of an
investment in the notes, possibly with retroactive effect. You
should consult your tax adviser regarding the U.S. federal income
tax consequences of an investment in the notes, including possible
alternative treatments and the issues presented by this notice.
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, 2025 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 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. You should consult your tax
adviser regarding the potential application of Section 871(m) to
the notes.
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.
PS-6
| Structured Investments
Capped Dual Directional Buffered Equity Notes Linked to the S&P
500® Index
|
 |
The estimated value of the notes does not represent future values
of the notes and may differ from others’ estimates. 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.
The estimated value of the notes is lower than the original issue
price of the notes because costs associated with selling,
structuring and hedging the notes are included in the original
issue price of the notes. These costs include the selling
commissions paid to JPMS and other affiliated or unaffiliated
dealers, the projected profits, if any, that our affiliates expect
to realize for assuming risks inherent in hedging our obligations
under the notes and the estimated cost of hedging our obligations
under the notes. Because hedging our obligations entails risk and
may be influenced by market forces beyond our control, this hedging
may result in a profit that is more or less than expected, or it
may result in a loss. A portion of the profits, if any, realized in
hedging our obligations under the notes may be allowed to other
affiliated or unaffiliated dealers, and we or one or more of our
affiliates will retain any remaining hedging profits. See “Selected
Risk Considerations — The Estimated Value of the Notes Is Lower
Than the Original Issue Price (Price to Public) of the Notes” in
this pricing supplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondary market
prices of the notes, see “Risk Factors — Risks Relating to the
Estimated Value and Secondary Market Prices of the Notes —
Secondary market prices of the notes will be impacted by many
economic and market factors” in the accompanying product
supplement. In addition, we generally expect that some of the costs
included in the original issue price of the notes will be partially
paid back to you in connection with any repurchases of your notes
by JPMS in an amount that will decline to zero over an initial
predetermined period. These costs can include selling commissions,
projected hedging profits, if any, and, in some circumstances,
estimated hedging costs and our internal secondary market funding
rates for structured debt issuances. This initial predetermined
time period is intended to be the shorter of six months and
one-half of the stated term of the notes. The length of any such
initial period reflects the structure of the notes, whether our
affiliates expect to earn a profit in connection with our hedging
activities, the estimated costs of hedging the notes and when these
costs are incurred, as determined by our affiliates. See “Selected
Risk Considerations — The Value of the Notes as Published by JPMS
(and Which May Be Reflected on Customer Account Statements) May Be
Higher Than the Then-Current Estimated Value of the Notes for a
Limited Time Period” in this pricing supplement.
Supplemental Use of Proceeds
The notes are offered to meet investor demand for products that
reflect the risk-return profile and market exposure provided by the
notes. See “Hypothetical Payout Profile” and “How the Notes Work”
in this pricing supplement for an illustration of the risk-return
profile of the notes and “The Index” in this pricing supplement for
a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the estimated
value of the notes plus the selling commissions paid to JPMS and
other affiliated or unaffiliated dealers, plus (minus) the
projected profits (losses) that our affiliates expect to realize
for assuming risks inherent in hedging our obligations under the
notes, plus the estimated cost of hedging our obligations under the
notes.
Supplemental 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.
PS-7
| Structured Investments
Capped Dual Directional Buffered Equity Notes Linked to the S&P
500® Index
|
 |
Validity of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as special
products counsel to JPMorgan Financial and JPMorgan
Chase & Co., when the notes offered by this pricing
supplement have been issued by JPMorgan Financial pursuant to the
indenture, the trustee and/or paying agent has made, in accordance
with the instructions from JPMorgan Financial, the appropriate
entries or notations in its records relating to the master global
note that represents such notes (the “master note”), and such notes
have been delivered against payment as contemplated herein, such
notes will be valid and binding obligations of JPMorgan Financial
and the related guarantee will constitute a valid and binding
obligation of JPMorgan Chase & Co., enforceable in
accordance with their terms, subject to applicable bankruptcy,
insolvency and similar laws affecting creditors’ rights generally,
concepts of reasonableness and equitable principles of general
applicability (including, without limitation, concepts of good
faith, fair dealing and the lack of bad faith), provided
that such counsel expresses no opinion as to (i) the effect of
fraudulent conveyance, fraudulent transfer or similar provision of
applicable law on the conclusions expressed above or (ii) any
provision of the indenture that purports to avoid the effect of
fraudulent conveyance, fraudulent transfer or similar provision of
applicable law by limiting the amount of JPMorgan
Chase & Co.’s obligation under the related guarantee.
This opinion is given as of the date hereof and is limited to the
laws of the State of New York, the General Corporation Law of the
State of Delaware and the Delaware Limited Liability Company Act.
In addition, this opinion is subject to customary assumptions about
the trustee’s authorization, execution and delivery of the
indenture and its authentication of the master note and the
validity, binding nature and enforceability of the indenture with
respect to the trustee, all as stated in the letter of such counsel
dated May 6, 2022, which was filed as an exhibit to a Current
Report on Form 8-K by JPMorgan Chase & Co. on May 6,
2022.
Additional Terms Specific to the Notes
You should read this pricing supplement together with the
accompanying prospectus, as supplemented by the accompanying
prospectus supplement relating to our Series A medium-term notes of
which these notes are a part, and the more detailed information
contained in the accompanying product supplement and the
accompanying underlying supplement. This pricing supplement,
together with the documents listed below, contains the terms of the
notes and supersedes all other prior or contemporaneous oral
statements as well as any other written materials including
preliminary or indicative pricing terms, correspondence, trade
ideas, structures for implementation, sample structures, fact
sheets, brochures or other educational materials of ours. You
should carefully consider, among other things, the matters set
forth in the “Risk Factors” sections of the accompanying prospectus
supplement, the accompanying product supplement and the
accompanying underlying supplement, as the notes involve risks not
associated with conventional debt securities. We urge you to
consult your investment, legal, tax, accounting and other advisers
before you invest in the notes.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our
filings for the relevant date on the SEC website):
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.
PS-8
| Structured Investments
Capped Dual Directional Buffered Equity Notes Linked to the S&P
500® Index
|
 |
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