| JPMorgan Chase Financial Company LLC |
May 2023 |
Preliminary Pricing Supplement
Registration Statement Nos. 333-270004 and
333-270004-01
Dated May 31, 2023
Filed pursuant to Rule 424(b)(2)
Structured
Investments
Opportunities in U.S. Equities
Dual Directional Trigger PLUS Based on the Performance
of the iShares® Russell 2000 Value ETF due December 5, 2024
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Fully and Unconditionally Guaranteed by JPMorgan Chase &
Co.
The Dual Directional Trigger PLUS, or “Trigger PLUS,” will pay
no interest and do not guarantee any return of your principal at maturity. At maturity, if the ETF Shares have appreciated in price,
investors will receive the stated principal amount of their investment plus leveraged upside performance of the ETF Shares, subject to
a maximum upside payment at maturity. If the ETF Shares have depreciated in price but by no more than 20%, investors will receive
at maturity the stated principal amount of the Trigger PLUS plus an unleveraged positive return equal to the absolute value of
the percentage decline, which will effectively be limited to a positive 20% return. However, if the ETF Shares have depreciated
in price by more than 20% in value, at maturity investors will lose the benefit of the absolute return feature and will lose 1% of the
stated principal amount for every 1% of decline in the price of the ETF Shares over the term of the Trigger PLUS. The Trigger PLUS are
for investors who are willing to risk their principal and forgo current income and upside above the maximum upside payment at maturity
in exchange for the leverage and absolute return features that in each case apply to a limited range of the performance of the ETF Shares.
The Trigger PLUS 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., issued as part of JPMorgan Financial’s
Medium-Term Notes, Series A, program. Any payment on the Trigger PLUS is subject to the credit risk of JPMorgan Financial, as issuer
of the Trigger PLUS, and the credit risk of JPMorgan Chase & Co., as guarantor of the Trigger PLUS. The investor may lose some or
all of the stated principal amount of the Trigger PLUS.
| FINAL TERMS |
| Issuer: |
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co. |
| Guarantor: |
JPMorgan Chase & Co. |
| ETF Shares: |
Shares of the iShares® Russell 2000 Value ETF (Bloomberg ticker: IWN UP Equity) |
| Aggregate principal amount: |
$10,150,000 |
| Payment at maturity: |
If the final share price is greater than the initial share price, for each $1,000 stated principal amount Trigger PLUS: |
| |
$1,000 + leveraged upside payment |
| |
In no event will the payment at maturity exceed the maximum upside payment at maturity. |
| |
If the final share price is less than or equal to the initial share price but is greater than or equal to the trigger level, for each $1,000 stated principal amount Trigger PLUS: |
| |
$1,000 + ($1,000 × absolute share return) |
| |
In this scenario, you will receive a 1% positive return on the Trigger PLUS for each 1% negative return on the ETF Shares. In no event will this amount exceed the stated principal amount plus $200.00. Accordingly, the maximum downside payment at maturity is $1,200.00 per Trigger PLUS |
| |
If the final share price is less than the trigger level, for each $1,000 stated principal amount Trigger PLUS: |
| |
$1,000 × share performance factor |
| |
This amount will be less than the stated principal amount of $1,000 per Trigger PLUS and will represent a loss of more than 20%, and possibly all, of your investment. |
| Leveraged upside payment: |
$1,000 × leverage factor × share percent change |
| Share percent change: |
(final share price – initial share price) / initial share price |
| Absolute share return: |
The absolute value of the share percent change. For example, a -5% share percent change will result in a +5% absolute share return. |
| Initial share price: |
The closing price of one ETF Share on the pricing date, which was $131.13 |
| Final share price: |
The closing price of one ETF Share on the valuation date |
| Share adjustment factor: |
The share adjustment factor is referenced in determining the closing price of one ETF Share and is set initially at 1.0 on the pricing date. The share adjustment factor is subject to adjustment in the event of certain events affecting the ETF Shares. |
| Trigger level: |
$104.904, which is 80% of the initial share price |
| Leverage factor: |
200% |
| Share performance factor: |
final share price / initial share price |
| Maximum upside payment at maturity: |
$1,174.00 (117.40% of the stated principal amount) per Trigger PLUS. |
| Stated principal amount: |
$1,000 per Trigger PLUS |
| Issue price: |
$1,000 per Trigger PLUS (see “Commissions and issue price” below) |
| Pricing date: |
May 31, 2023 |
| Original issue date (settlement date): |
June 5, 2023 |
| Valuation date*: |
December 2, 2024 |
| Maturity date*: |
December 5, 2024 |
| CUSIP / ISIN: |
48133WA73 / US48133WA734 |
| Listing: |
The Trigger PLUS will not be listed on any securities exchange. |
| Agent: |
J.P. Morgan Securities LLC (“JPMS”) |
| Commissions and issue price: |
Price to public(1) |
Fees and commissions |
Proceeds to issuer |
| Per Trigger PLUS |
$1,000.00 |
$20.00(2) |
$975.00 |
| |
|
$5.00(3) |
|
| Total |
$10,150,000.00 |
$253,750.00 |
$9,896,250.00 |
| (1) | See “Additional Information about the Trigger PLUS — Supplemental use of proceeds and hedging” in this document
for information about the components of the price to public of the Trigger PLUS. |
| (2) | JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions of $20.00 per $1,000 stated principal amount
Trigger PLUS it receives from us to Morgan Stanley Smith Barney LLC (“Morgan Stanley Wealth Management”). See “Plan
of Distribution (Conflicts of Interest)” in the accompanying product supplement. |
| (3) | Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $5.00 for each $1,000
stated principal amount Trigger PLUS |
* 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
The estimated value of the Trigger PLUS on the pricing date was $963.60
per $1,000 stated principal amount Trigger PLUS. See “Additional Information about the Trigger PLUS — The estimated value
of the Trigger PLUS” in this document for additional information.
Investing in the Trigger PLUS involves a number of risks. See “Risk
Factors” beginning on page S-2 of the accompanying prospectus supplement, “Risk Factors” beginning on page PS-11 of
the accompanying product supplement and “Risk Factors” beginning on page 5 of this document.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the Trigger PLUS or passed upon the accuracy or the adequacy of this
document or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation to the
contrary is a criminal offense.
The Trigger PLUS 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.
You should read this document together with the
related product supplement, underlying supplement, prospectus supplement and prospectus, each of which can be accessed via the hyperlinks
below. Please also see “Additional Information about the Trigger PLUS” at the end of this document.
Product supplement no. 4-I dated April 13, 2023: http://www.sec.gov/Archives/edgar/data/19617/000121390023029539/ea152803_424b2.pdf
Underlying supplement no. 1-I dated April 13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000121390023029543/ea151873_424b2.pdf
Prospectus supplement and prospectus, each dated April
13, 2023: http://www.sec.gov/Archives/edgar/data/19617/000095010323005751/crt_dp192097-424b2.pdf
JPMorgan Chase Financial Company LLC
Dual Directional
Trigger PLUS Based on the Performance of the iShares® Russell 2000 Value
ETF due December 5, 2024
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Investment Summary
Dual Directional Trigger Performance Leveraged
Upside Securities
Principal at Risk Securities
The Dual Directional Trigger PLUS Based on the Performance of the
iShares® Russell 2000 Value ETF due December 5, 2024 (the “Trigger PLUS”) can be used:
| § | As an alternative to direct exposure to the ETF Shares that enhances returns for a certain range of positive performance of the ETF
Shares. |
| § | To enhance returns and potentially outperform the ETF Shares in a moderately bullish scenario. |
| § | To potentially achieve similar levels of upside exposure to the ETF Shares as a direct investment, subject to the maximum upside payment
at maturity, while using fewer dollars by taking advantage of the leverage factor. |
| § | To provide an unleveraged positive return in the event of a decline of the ETF Shares but only if the final share price is greater
than or equal to the trigger level. |
| Maturity: |
18 months |
| Leverage factor: |
200% (applicable only if the final share price is greater than the initial share price) |
| Trigger level: |
80% of the initial share price |
| Maximum upside payment at maturity: |
$1,174.00 (117.40% of the stated principal amount) per Trigger PLUS. |
| Minimum payment at maturity: |
None. Investors may lose their entire initial investment in the Trigger PLUS. |
Supplemental Terms of the Trigger PLUS
For purposes of the accompanying product supplement, the iShares®
Russell 2000 Value ETF is a “Fund.”
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Performance of the iShares® Russell 2000 Value
ETF due December 5, 2024
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Key Investment Rationale
Trigger PLUS offer leveraged upside exposure to an underlying asset
and the opportunity, through the absolute return feature, to earn a positive return at maturity for a limited range of negative performance
of the underlying asset. At maturity, if the underlying asset has appreciated, investors will receive the stated principal amount
of their investment plus leveraged upside performance of the underlying asset, subject to the maximum upside payment at maturity. At maturity,
if the underlying asset has depreciated in value but by no more than 20%, investors will receive the stated principal amount of
their investment plus an unleveraged positive return equal to the absolute value of the percentage decline in the underlying asset, which
will effectively be limited to a positive 20% return. However, at maturity, if the underlying asset has depreciated in value by
more than 20%, investors will lose the benefit of the absolute return feature and will lose 1% of the stated principal amount for every
1% of decline, without any buffer. Investors may lose some or all of the stated principal amount of the Trigger PLUS.
| Leveraged Upside Performance |
The Trigger PLUS offer investors an opportunity to capture enhanced returns for a certain range of positive performance relative to a direct investment in the ETF Shares. |
| Absolute Return Feature |
The Trigger PLUS offer investors an opportunity to earn an unleveraged positive return if the final share price is less than or equal to the initial share price but is greater than or equal to the trigger level. |
| Upside Scenario if the ETF Shares Appreciates |
The final share price is greater than the initial share price and, at maturity, the Trigger PLUS pay the stated principal amount of $1,000 plus a return equal to 200% of the share percent change, subject to the maximum upside payment at maturity of $1,174.00 (117.40% of the stated principal amount) per Trigger PLUS. |
| Absolute Return Scenario |
The final share price is less than or equal to the initial share price but is greater than or equal to the trigger level, which is 80% of the initial share price. In this case, the Trigger PLUS pay a 1% positive return for each 1% negative return of the ETF Shares. For example, if the final share price is 5% less than the initial share price, the Trigger PLUS will provide a total positive return of 5% at maturity. The maximum return you may receive in this scenario is a positive 20% return at maturity. |
| Downside Scenario |
The final share price is less than the trigger level. In this case, the Trigger PLUS pay an amount that is over 20% less than the stated principal amount and this decrease will be by an amount that is proportionate to the percentage decline in the final share price from the initial share price. (Example: if the ETF Shares decrease in value by 30%, the Trigger PLUS will pay an amount that is less than the stated principal amount by 30%, or $700.00 per Trigger PLUS.) |
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Performance of the iShares® Russell 2000 Value
ETF due December 5, 2024
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
How the Dual Directional Trigger PLUS Work
Payoff Diagram
The payoff diagram below illustrates the payment at maturity on the
Trigger PLUS based on the following terms:
| Stated principal amount: |
$1,000 per Trigger PLUS |
| Leverage factor: |
200% |
| Trigger level: |
80% of the initial share price |
| Maximum upside payment at maturity: |
$1,174.00 (117.40% of the stated principal amount) per Trigger PLUS |
| Dual Directional Trigger PLUS Payoff Diagram |
 |
How it works
| § | Upside
Scenario. If the final share price is greater than the initial share price, for each $1,000 principal amount Trigger PLUS,
investors will receive the $1,000 stated principal amount plus a return equal to 200% of the appreciation of the ETF Shares over
the term of the Trigger PLUS, subject to the maximum upside payment at maturity. Under the terms of the Trigger PLUS, an investor will
realize the maximum upside payment at maturity at a final share price of 108.70% of the initial share price. |
| § | For example, if the ETF Shares appreciate 5%, investors will
receive a 10% return, or $1,100.00 per Trigger PLUS. |
| § | Absolute
Return Scenario. If the final share price is less than or equal to the initial share price but is greater than or equal to
the trigger level, investors will receive a 1% positive return on the Trigger PLUS for each 1% negative return of the ETF Shares. |
| § | For example, if the ETF Shares depreciate 5%, investors will
receive a 5% return, or $1,050.00 per Trigger PLUS. |
| § | The maximum return you may receive in this scenario is a positive
20% return at maturity. |
| § | Downside
Scenario. If the final share price is less than the trigger level, investors will lose the benefit of the absolute return
feature and will instead receive an amount that is significantly less than the stated principal amount by an amount proportionate to
the percentage decrease of the final share price from the initial share price. This amount will be less than 80% of the stated principal
amount per Trigger PLUS. |
| § | For example, if the ETF Shares depreciate 50%, investors will
lose 50% of their principal and receive only $500.00 per Trigger PLUS at maturity, or 50% of the stated principal amount. |
The hypothetical returns and hypothetical payments
on the Trigger PLUS shown above apply only if you hold the Trigger PLUS 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.
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Performance of the iShares® Russell 2000 Value
ETF due December 5, 2024
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Risk Factors
The following
is a non-exhaustive list of certain key risk factors for investors in the Trigger PLUS. For further discussion of these
and other risks, you should read the sections entitled “Risk Factors” of the accompanying prospectus supplement and the accompanying
product supplement. We urge you to consult your investment, legal, tax, accounting and other advisers in connection with your investment
in the Trigger PLUS.
Risks Relating to the
Trigger PLUS Generally
| § | The
Trigger PLUS do not pay interest or guarantee the return of any principal and your investment in the Trigger PLUS may result in a loss.
The terms of the Trigger PLUS differ from those of ordinary debt securities in that the Trigger PLUS do not pay interest or
guarantee the payment of any principal amount at maturity. If the final share price is less than the trigger level (which is 80% of the
initial share price), you will lose the benefit of the absolute return feature and the payment at maturity will be an amount in cash
that is over 20% less than the stated principal amount of each Trigger PLUS, and this decrease will be by an amount that is proportionate
to the decrease in the price of the ETF Shares and may be zero. There is no minimum payment at maturity on the Trigger PLUS, and, accordingly,
you could lose your entire initial investment in the Trigger PLUS. |
| § | The appreciation potential of the Trigger PLUS is limited by the maximum
upside payment at maturity if the ETF Shares have appreciated. The appreciation potential of the
Trigger PLUS is limited by the maximum upside payment at maturity of $1,174.00 (117.40% of the stated principal amount) per Trigger PLUS
if the ETF Shares have appreciated. Although the leverage factor provides 200% exposure to any increase in the final share price as compared
to the initial share price on the valuation date, because the maximum upside payment at maturity will be limited to 117.40% of the stated
principal amount for the Trigger PLUS, any increase in the final share price by more than 8.70% will not further increase the return on
the Trigger PLUS. |
| § | Your maximum downside gain on the Trigger PLUS is limited by the trigger
level. If the final share price is less than or equal to the initial share price and greater than or equal to the trigger level,
you will receive at maturity $1,000 plus a return equal to the absolute share return, which will reflect a 1% positive return for
each 1% negative return on the ETF Shares, subject to an effective limit of 20%. Because you will not receive a positive return
if the ETF Shares have depreciated below the trigger level, your maximum downside payment will be $1,200.00 per $1,000.00 stated principal
amount Trigger PLUS. |
| § | The
Trigger PLUS are subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co., and any actual or anticipated changes
to our or JPMorgan Chase & Co.’s credit ratings or credit spreads may adversely affect the market value of the Trigger PLUS.
Investors are dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts due on the Trigger PLUS. Any
actual or anticipated decline in our or JPMorgan Chase & Co.’s credit ratings or increase in our or JPMorgan Chase & Co.’s
credit spreads determined by the market for taking that credit risk is likely to adversely affect the market value of the Trigger PLUS.
If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed to you under the
Trigger PLUS 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 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 Trigger PLUS. If these affiliates do not make payments to us and we fail to make payments on the Trigger
PLUS, 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 benefit provided by the trigger level may terminate on the valuation
date. If the final share price is less than the trigger level, the benefit provided by the trigger
level will terminate and you will be fully exposed to any depreciation of the ETF Shares. |
| § | Secondary trading may be limited. The
Trigger PLUS will not be listed on a securities exchange. There may be little or no secondary market for the Trigger PLUS. Even if there
is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Trigger PLUS easily.
JPMS may act as a market maker for the Trigger PLUS, but is not required to do so. Because we do not expect that other market makers
will participate significantly in the secondary market for the Trigger PLUS, the price at which you may be able to trade your Trigger
PLUS is likely to depend on the price, if any, at which JPMS
is willing to buy the Trigger PLUS. If at any time JPMS
or another agent does not act as a market maker, it is likely that there would be little or no secondary market for the Trigger PLUS. |
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Performance of the iShares® Russell 2000 Value
ETF due December 5, 2024
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
| § | The tax consequences of an investment in the Trigger PLUS
are uncertain. There is no direct legal authority as to the proper U.S. federal income tax characterization of the Trigger PLUS,
and we do not intend to request a ruling from the IRS. The IRS might not accept, and a court might not uphold, the treatment of the Trigger
PLUS described in “Additional Information about the Trigger PLUS ― Additional Provisions ― Tax considerations”
in this document and in “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement. If the IRS
were successful in asserting an alternative treatment for the Trigger PLUS, the timing and character of any income or loss on the Trigger
PLUS could differ materially and adversely from our description herein. |
Even if the treatment of the Trigger PLUS
is respected, the IRS may assert that the Trigger PLUS constitute “constructive ownership transactions” within the meaning
of Section 1260 of the Internal Revenue Code of 1986, as amended (the “Code”), in which case any gain recognized in respect
of the Trigger PLUS that would otherwise be long-term capital gain and that is in excess of the “net underlying long-term capital
gain” (as defined in Section 1260) would be treated as ordinary income, and a notional interest charge would apply as if that income
had accrued for tax purposes at a constant yield over your holding period for the Trigger PLUS. Our special tax counsel has not expressed
an opinion with respect to whether the constructive ownership rules apply to the Trigger PLUS.
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 described above. 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 Trigger PLUS, possibly with retroactive effect.
You should review carefully the section
entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement and consult your tax adviser
regarding the U.S. federal income tax consequences of an investment in the Trigger PLUS, including the potential application of the constructive
ownership rules, possible alternative treatments and the issues presented by this notice.
Risks Relating to Conflicts
of Interest
| § | Economic interests of the issuer, the guarantor, the calculation agent, the agent of the offering of the Trigger PLUS and other
affiliates of the issuer may be different from those of investors. We
and our affiliates play a variety of roles in connection with the issuance of the Trigger PLUS, including acting as calculation agent
and as an agent of the offering of the Trigger PLUS, hedging our obligations under the Trigger PLUS and making the assumptions used to
determine the pricing of the Trigger PLUS and the estimated value of the Trigger PLUS, which we refer to as the estimated value of the
Trigger PLUS. 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 Trigger PLUS. The
calculation agent has determined the initial index value and the trigger level, will determine the final share price and will calculate
the amount of payment you will receive at maturity, if any. Determinations made by the calculation agent, including with respect to the
occurrence or non-occurrence of market disruption events, the selection of a successor to the ETF Shares or calculation of the final share
price in the event of a discontinuation of the ETF Shares, and any anti-dilution adjustments, may affect the payment to you at maturity. |
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 Trigger PLUS and the value of the Trigger PLUS. It is possible that hedging or
trading activities of ours or our affiliates in connection with the Trigger PLUS could result in substantial returns for us or our affiliates
while the value of the Trigger PLUS declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest”
in the accompanying product supplement for additional information about these risks.
| § | Hedging and trading activities by the issuer and its affiliates could potentially affect the value of the Trigger
PLUS. The hedging or trading activities of the issuer’s affiliates and of any other hedging counterparty with respect
to the Trigger PLUS on or prior to the pricing date and prior
to maturity could have adversely affected, and may continue to adversely affect, the value of the ETF Shares and, as a result, could decrease
the amount an investor may receive on the Trigger PLUS at maturity, if any. Any of these hedging or trading activities on or prior
to the pricing date could have affected the initial share price and the trigger level and, therefore, could potentially increase the price
that the final share price must reach before you receive a payment at maturity that exceeds the issue price of the Trigger PLUS or so
that you |
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Performance of the iShares® Russell 2000 Value
ETF due December 5, 2024
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
do not suffer a loss on your initial investment
in the Trigger PLUS. Additionally, these hedging or trading activities during the term of the Trigger
PLUS, including on the valuation date, could adversely affect the final share price and, accordingly, the payment to you at maturity,
if any. It is possible that these hedging or trading activities could result in substantial returns for us or our affiliates while the
value of the Trigger PLUS declines.
Risks Relating to the
Estimated Value and Secondary Market Prices of the Trigger PLUS
| § | The estimated value of the Trigger PLUS is lower than the original issue
price (price to public) of the Trigger PLUS. The estimated value of the Trigger PLUS is only an
estimate determined by reference to several factors. The original issue price of the Trigger PLUS exceeds the estimated value of the Trigger
PLUS because costs associated with selling, structuring and hedging the Trigger PLUS are included in the original issue price of the Trigger
PLUS. These costs include the selling commissions, the structuring fee, the projected profits, if any, that our affiliates expect to realize
for assuming risks inherent in hedging our obligations under the Trigger PLUS and the estimated cost of hedging our obligations under
the Trigger PLUS. See “Additional Information about the Trigger PLUS — The estimated value of the Trigger PLUS” in this
document. |
| § | The estimated value of the Trigger PLUS does not represent future values
of the Trigger PLUS and may differ from others’ estimates. The estimated value of the Trigger
PLUS is determined by reference to internal pricing models of our affiliates. This estimated value of the Trigger PLUS is based on market
conditions and other relevant factors existing at the time of pricing 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 Trigger PLUS
that are greater than or less than the estimated value of the Trigger PLUS. 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 Trigger PLUS 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 the Trigger PLUS from you in secondary
market transactions. See “Additional Information about the Trigger PLUS — The estimated value of the Trigger PLUS” in
this document. |
| § | The estimated value of the Trigger PLUS is derived by reference to an internal
funding rate. The internal funding rate used in the determination of the estimated value of the
Trigger PLUS 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 Trigger PLUS as well as the higher issuance, operational and ongoing liability management costs of the Trigger PLUS
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 Trigger PLUS. The use of an internal funding rate and any potential changes to that rate may have
an adverse effect on the terms of the Trigger PLUS and any secondary market prices of the Trigger PLUS. See “Additional Information
about the Trigger PLUS — The estimated value of the Trigger PLUS” in this document. |
| § | The value of the Trigger PLUS as published by JPMS (and which may be reflected
on customer account statements) may be higher than the then-current estimated value of the Trigger PLUS for a limited time period.
We generally expect that some of the costs included in the original issue price of the Trigger PLUS
will be partially paid back to you in connection with any repurchases of your Trigger PLUS by JPMS in an amount that will decline to zero
over an initial predetermined period. These costs can include selling commissions, the structuring fee, projected hedging profits, if
any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates for structured debt issuances.
See “Additional Information about the Trigger PLUS — Secondary market prices of the Trigger PLUS” in this document for
additional information relating to this initial period. Accordingly, the estimated value of your Trigger PLUS during this initial period
may be lower than the value of the Trigger PLUS as published by JPMS (and which may be shown on your customer account statements). |
| § | Secondary market prices of the Trigger PLUS will likely be lower than the
original issue price of the Trigger PLUS. Any secondary market prices of the Trigger PLUS will likely
be lower than the original issue price of the Trigger PLUS 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,
the structuring fee, projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the
Trigger PLUS. As a result, the price, if any, at which JPMS will be willing to buy Trigger PLUS 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 Trigger PLUS. |
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Performance of the iShares® Russell 2000 Value
ETF due December 5, 2024
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
The Trigger
PLUS are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Trigger PLUS to maturity.
See “— Risks Relating to the Trigger PLUS Generally — Secondary trading may be limited” above.
| § | Secondary market prices of the Trigger PLUS will be impacted by many economic
and market factors. The secondary market price of the Trigger PLUS 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, structuring fee, projected
hedging profits, if any, estimated hedging costs and the price of the ETF Shares, including: |
| o | any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads; |
| o | customary bid-ask spreads for similarly sized trades; |
| o | our internal secondary market funding rates for structured debt issuances; |
| o | the actual and expected volatility of the ETF Shares; |
| o | the time to maturity of the Trigger PLUS; |
| o | the dividend rates on the ETF Shares and the equity securities underlying the ETF Shares; |
| o | interest and yield rates in the market generally; |
| o | the occurrence of certain events to the ETF Shares that may or may not require an adjustment to the
share adjustment factor; and |
| o | 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 Trigger PLUS, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the Trigger PLUS, if any, at which JPMS may be willing to purchase your
Trigger PLUS in the secondary market.
Risks Relating to the ETF Shares
| § | Investing in the Trigger PLUS is not equivalent to investing in the ETF
Shares. Investing in the Trigger PLUS is not equivalent to investing in the ETF Shares, the index
tracked by the ETF Shares, which we refer to as the underlying index, or the stocks underlying the ETF Shares or the underlying index.
Investors in the Trigger PLUS will not have voting rights or rights to receive dividends or other distributions or any other rights with
respect to the ETF Shares, the reference index or the stocks held by the ETF Shares or the underlying index. |
| § | Adjustments to the ETF Shares or the underlying index could adversely affect
the value of the Trigger PLUS. Those responsible for calculating and maintaining the ETF Shares and the underlying index, can
add, delete or substitute the components of the ETF Shares or the underlying index, or make other methodological changes that could change
the value of the ETF Shares or the underlying index. Any of these actions could adversely affect the price of the ETF Shares and, consequently,
the value of the Trigger PLUS. |
| § | There are risks associated with the ETF Shares. Although the ETF Shares are listed for trading on a securities exchange and
a number of similar products have been traded on various securities exchanges for varying periods of time, there is no assurance that
an active trading market will continue for the ETF Shares or that there will be liquidity in the trading market. The ETF Shares are subject
to management risk, which is the risk that the investment strategy of the investment adviser to the ETF Shares, the implementation of
which is subject to a number of constraints, may not produce the intended results. These constraints could adversely affect the market
price of the ETF Shares and, consequently, the value of the Trigger PLUS. |
| § | The performance and market value of the ETF Shares, particularly during
periods of market volatility, may not correlate with the performance of the underlying index as well as the net asset value per ETF Share.
The iShares® Russell 2000 Value ETF does not fully replicate the underlying index and may hold securities different from
those included in the underlying index. In addition, the performance of the ETF Shares will reflect additional transaction costs and fees
that are not included in the calculation of the underlying index. All of these factors may lead to a lack of correlation between the performance
of the ETF Shares and the underlying index. In addition, corporate actions with respect to the equity securities underlying the ETF Shares
(such as mergers and spin-offs) may impact the variance between the performances of the ETF Shares and the underlying index. Finally,
because the ETF Shares are |
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Performance of the iShares® Russell 2000 Value
ETF due December 5, 2024
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
traded on a securities exchange and are
subject to market supply and investor demand, the market value of one ETF Share may differ from the net asset value per ETF Share.
During periods of market volatility, securities
underlying the ETF Shares may be unavailable in the secondary market, market participants may be unable to calculate accurately the net
asset value per ETF Share and the liquidity of the ETF Shares may be adversely affected. This kind of market volatility may also disrupt
the ability of market participants to create and redeem ETF Shares. Further, market volatility may adversely affect, sometimes materially,
the prices at which market participants are willing to buy and sell ETF Shares. As a result, under these circumstances, the market value
of ETF Shares may vary substantially from the net asset value per ETF Share. For all of the foregoing reasons, the performance of the
ETF Shares may not correlate with the performance of the underlying index as well as its net asset value per ETF Share, which could materially
and adversely affect the value of the Trigger PLUS in the secondary market and/or reduce any payment on the Trigger PLUS.
| § | The Trigger PLUS are subject to risks associated with small capitalization stocks. The stocks underlying the ETF Shares
are issued by companies with relatively small market capitalization. The stock prices of smaller companies may be more volatile
than stock prices of large capitalization companies. Small capitalization companies may be less able to withstand adverse economic,
market, trade and competitive conditions relative to larger companies. Small capitalization companies are less likely to pay dividends
on their stocks, and the presence of a dividend payment could be a factor that limits downward stock price pressure under adverse market
conditions. |
| § | The investment strategy represented by ETF Shares may not be successful.
The iShares® Russell 2000 Value ETF seeks to track the investment results, before fees and expenses, of an index
composed of small capitalization U.S. equities that exhibit value characteristics, which is currently the Russell 2000®
Value Index. The Russell 2000® Value Index measures the capitalization-weighted price performance of the stocks included
in the Russell 2000® Index that are determined by FTSE Russell to be value oriented, with lower price-to-book ratios and
lower forecasted growth values. A “value” investment strategy is premised on the goal of investing in stocks that are
determined to be relatively cheap or “undervalued” under the assumption that the value of those stocks will increase over
time as the market comes to reflect the “fair” market value of those stocks. However, the value characteristics referenced
by the Russell 2000® Value Index may not be accurate predictors of undervalued stocks, and there is no guarantee that undervalued
stocks will appreciate. In addition, the Russell 2000® Value Index’s selection methodology includes a significant
bias against stocks with strong growth characteristics, and stocks with strong growth characteristics may outperform stocks with weak
growth characteristics. There is no assurance that the iShares® Russell 2000 Value ETF will outperform any other
index, exchange-traded fund or strategy that tracks U.S. stocks selected using other criteria and may underperform the Russell 2000®
Index as a whole. It is possible that the stock selection methodology of the Russell 2000® Value Index will adversely
affect its return and, consequently, the level of the Russell 2000® Value Index, the price of the ETF Shares and the value
and return of the Trigger PLUS. |
| § | Governmental legislative and
regulatory actions, including sanctions, could adversely affect your investment in the Trigger PLUS. Governmental legislative
and regulatory actions, including, without limitation, sanctions-related actions by the U.S. or a foreign government, could prohibit or
otherwise restrict persons from holding the Trigger PLUS or the ETF Shares, or engaging in transactions in them, and any such action could
adversely affect the value of the Trigger PLUS or the ETF Shares. These legislative and regulatory actions could result in restrictions
on the Trigger PLUS. You may lose a significant portion or all of your initial investment in the Trigger PLUS if you are forced
to divest the Trigger PLUS due to the government mandates, especially if such divestment must be made at a time when the value of the
Trigger PLUS has declined. |
| § | The anti-dilution protection for the ETF Shares is limited. The
calculation agent will make adjustments to the share adjustment factor for certain events affecting the ETF Shares. However, the calculation
agent will not make an adjustment in response to all events that could affect the ETF Shares. If an event occurs that does not require
the calculation agent to make an adjustment, the value of the Trigger PLUS may be materially and adversely affected. |
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Performance of the iShares® Russell 2000 Value
ETF due December 5, 2024
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
iShares® Russell 2000 Value ETF Overview
The iShares® Russell 2000 Value ETF is an exchange-traded
fund of the iShares® Trust, a registered investment company, that seeks to track investment results, before fees and expenses,
of an index composed of small capitalization U.S. equities that exhibit value characteristics, which we refer to as the underlying index
with respect to the iShares® Russell 2000 Value ETF. The underlying index for the iShares® Russell
2000 Value ETF is currently the Russell 2000® Value Index. Information provided to or filed with the SEC by iShares
pursuant to the Securities Act of 1933 and the Investment Company Act of 1940 can be located by reference to the SEC file numbers 333-92935
and 811-09729, respectively, through the SEC’s website at http://www.sec.gov. For additional information about the iShares®
Russell 2000 Value ETF, see “Fund Descriptions — The iShares® ETFs” in the accompanying underlying supplement.
Information as of market close on May 31, 2023:
| Bloomberg Ticker Symbol: |
IWN |
52 Week High (on 8/16/2022): |
$159.38 |
| Current Closing Price: |
$131.13 |
52 Week Low (on 9/30/2022): |
$128.93 |
| 52 Weeks Ago (on 5/31/2022): |
$151.69 |
|
|
The following table sets forth the published high and low closing
prices, as well as end-of-quarter closing prices, of one ETF Share for each quarter in the period from January 1, 2018 through May 31,
2023. The closing price of one ETF Share on May 31, 2023 was $131.13. The associated graph shows the closing prices of one ETF Share for
each day in the same period. We obtained the closing price information above and in the table and graph below from the Bloomberg Professional®
service (“Bloomberg”), without independent verification. The closing prices may have been adjusted by Bloomberg for actions
taken relating to the ETF Shares, such as stock splits. The historical closing prices of the ETF Shares should not be taken as an indication
of future performance, and no assurance can be given as to the closing price of one ETF Share on the valuation date.
| iShares® Russell 2000 Value ETF |
High |
Low |
Period End |
| 2018 |
|
|
|
| First Quarter |
$130.86 |
$118.48 |
$121.88 |
| Second Quarter |
$135.64 |
$119.36 |
$131.92 |
| Third Quarter |
$137.10 |
$132.46 |
$133.00 |
| Fourth Quarter |
$131.92 |
$102.04 |
$107.54 |
| 2019 |
|
|
|
| First Quarter |
$125.80 |
$107.18 |
$119.90 |
| Second Quarter |
$126.06 |
$114.14 |
$120.50 |
| Third Quarter |
$123.96 |
$110.84 |
$119.41 |
| Fourth Quarter |
$129.00 |
$115.48 |
$128.58 |
| 2020 |
|
|
|
| First Quarter |
$129.50 |
$71.79 |
$82.03 |
| Second Quarter |
$109.12 |
$74.44 |
$97.46 |
| Third Quarter |
$108.28 |
$91.58 |
$99.33 |
| Fourth Quarter |
$132.30 |
$100.90 |
$131.75 |
| 2021 |
|
|
|
| First Quarter |
$169.53 |
$130.00 |
$159.47 |
| Second Quarter |
$173.97 |
$156.91 |
$165.77 |
| Third Quarter |
$167.43 |
$152.99 |
$160.23 |
| Fourth Quarter |
$176.88 |
$157.31 |
$166.05 |
| 2022 |
|
|
|
| First Quarter |
$169.21 |
$151.25 |
$161.40 |
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Performance of the iShares® Russell 2000 Value
ETF due December 5, 2024
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
| iShares® Russell 2000 Value ETF |
High |
Low |
Period End |
| Second Quarter |
$162.71 |
$134.47 |
$136.15 |
| Third Quarter |
$159.38 |
$128.93 |
$128.93 |
| Fourth Quarter |
$149.64 |
$131.32 |
$138.67 |
| 2023 |
|
|
|
| First Quarter |
$156.96 |
$130.78 |
$137.02 |
| Second Quarter (through May 31, 2023) |
$136.85 |
$128.93 |
$131.13 |
|
iShares®
Russell 2000 Value ETF Historical Performance – Daily Closing Prices*
January 2, 2018 to May 31, 2023 |
|
*The dotted line in the graph indicates
the trigger level, equal to 80% of the initial share price. |
This document relates only to the Trigger PLUS offered hereby
and does not relate to the ETF Shares. We have derived all disclosures contained in this document regarding the iShares®
Russell 2000 Value ETF from the publicly available documents described in the first paragraph under this “iShares®
Russell 2000 Value ETF Overview” section, without independent verification. In connection with the offering of the Trigger PLUS,
neither we nor the agent has participated in the preparation of such documents or made any due diligence inquiry with respect to the iShares®
Russell 2000 Value ETF. Neither we nor the agent makes any representation that such publicly available documents or any other publicly
available information regarding the iShares® Russell 2000 Value ETF is accurate or complete. Furthermore, we cannot give
any assurance that all events occurring prior to the date hereof (including events that would affect the accuracy or completeness of the
publicly available documents described in the first paragraph under this “iShares® Russell 2000 Value ETF Overview”
section) that would affect the trading price of the ETF Shares (and therefore the price of the ETF Shares at the time the Trigger PLUS
are priced) have been publicly disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material
future events concerning the iShares® Russell 2000 Value ETF could affect the value received at maturity, if any, with
respect to the Trigger PLUS and therefore the trading prices of the Trigger PLUS.
Neither we nor any of our affiliates makes any representation
to you as to the performance of the ETF Shares.
The Russell 2000® Value Index. The Russell
2000® Value Index measures the capitalization-weighted price performance of the stocks included in the Russell 2000®
Index that are determined by FTSE Russell to be value oriented, with lower price-to-book ratios and lower forecasted growth values. For
additional information about the Russell 2000® Value Index, see “Equity Index Descriptions — The Russell Style
Indices” in the accompanying underlying supplement.
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Performance of the iShares® Russell 2000 Value
ETF due December 5, 2024
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Additional Information about the Trigger PLUS
Please read this information in conjunction with the summary terms
on the front cover of this document.
| Additional Provisions: |
| Postponement of maturity date: |
If the scheduled maturity date is not a business day, then the maturity date will be the following business day. If the scheduled valuation date is not a trading day or if a market disruption event occurs on that day so that the valuation date is postponed and falls less than three business days prior to the scheduled maturity date, the maturity date of the Trigger PLUS will be postponed to the third business day following the valuation date as postponed. |
| Minimum ticketing size: |
$1,000 / 1 Trigger PLUS |
| Trustee: |
Deutsche Bank Trust Company Americas (formerly Bankers Trust Company) |
| Calculation agent: |
JPMS |
| The estimated value of the Trigger PLUS: |
The estimated value of the Trigger PLUS set forth on the cover
of this document 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 Trigger PLUS, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the Trigger PLUS. The estimated value of the Trigger PLUS does not represent a minimum price at which JPMS would
be willing to buy your Trigger PLUS in any secondary market (if any exists) at any time. The internal funding rate used in the determination
of the estimated value of the Trigger PLUS 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 Trigger PLUS as well as the higher issuance, operational and ongoing liability management costs of the
Trigger PLUS 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 Trigger PLUS. The use of an internal funding rate and any potential changes to that rate may have
an adverse effect on the terms of the Trigger PLUS and any secondary market prices of the Trigger PLUS. For additional information, see
“Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Trigger PLUS — The estimated
value of the Trigger PLUS is derived by reference to an internal funding rate” in this document. The value of the derivative or
derivatives underlying the economic terms of the Trigger PLUS 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 Trigger PLUS on the pricing date is based on market
conditions and other relevant factors and assumptions existing at that time. See “Risk Factors — Risks Relating to the Estimated
Value and Secondary Market Prices of the Trigger PLUS — The estimated value of the Trigger PLUS does not represent future values
of the Trigger PLUS and may differ from others’ estimates” in this document.
The estimated value of the Trigger PLUS is lower than the original
issue price of the Trigger PLUS because costs associated with selling, structuring and hedging the Trigger PLUS are included in the original
issue price of the Trigger PLUS. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers,
the structuring fee, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the Trigger PLUS and the estimated cost of hedging our obligations under the Trigger PLUS. 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 Trigger PLUS 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 “Risk
Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Trigger PLUS — The estimated value of the
Trigger PLUS is lower than the original issue price (price to public) of the Trigger PLUS” in this document. |
| Secondary market prices of the Trigger PLUS: |
For information about factors that will impact any secondary market prices of the Trigger PLUS, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Trigger PLUS — Secondary market prices of the Trigger PLUS will be impacted by many economic and market factors” in this document. In addition, we generally expect that some of the costs included in the original issue price of the Trigger PLUS will be |
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Performance of the iShares® Russell 2000 Value
ETF due December 5, 2024
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
| |
partially paid back to you in connection with any repurchases of your Trigger PLUS by JPMS in an amount that will decline to zero over an initial predetermined period that is intended to be the shorter of two years and one-half of the stated term of the Trigger PLUS. The length of any such initial period reflects the structure of the Trigger PLUS, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the Trigger PLUS and when these costs are incurred, as determined by our affiliates. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Trigger PLUS — The value of the Trigger PLUS as published by JPMS (and which may be reflected on customer account statements) may be higher than the then-current estimated value of the Trigger PLUS for a limited time period.” |
| Tax considerations: |
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. 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 the Trigger PLUS.
Based on current market conditions, in the opinion of our
special tax counsel, your Trigger PLUS should be treated 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, subject to the possible application of the “constructive ownership” rules, the gain or loss on
your Trigger PLUS should be treated as long-term capital gain or loss if you hold your Trigger PLUS for more than a year, whether or not
you are an initial purchaser of the Trigger PLUS at the issue price. The Trigger PLUS could be treated as “constructive ownership
transactions” within the meaning of Section 1260 of the Code, in which case any gain recognized in respect of the Trigger PLUS that
would otherwise be long-term capital gain and that was in excess of the “net underlying long-term capital gain” (as defined
in Section 1260) would be treated as ordinary income, and a notional interest charge would apply as if that income had accrued for tax
purposes at a constant yield over your holding period for the Trigger PLUS. Our special tax counsel has not expressed an opinion with
respect to whether the constructive ownership rules apply to the Trigger PLUS. Accordingly, U.S. Holders should consult their tax advisers
regarding the potential application of the constructive ownership rules.
The IRS or a court may not respect the treatment of the Trigger
PLUS described above, in which case the timing and character of any income or loss on your Trigger PLUS 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 described
above. 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 Trigger
PLUS, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment
in the Trigger PLUS, including the potential application of the constructive ownership rules, 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 Trigger
PLUS 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 Trigger PLUS. |
| Supplemental use of proceeds and hedging: |
The Trigger PLUS are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the Trigger PLUS. See “How the Trigger PLUS Work” in this document for an illustration of the risk-return profile of the Trigger PLUS |
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Performance of the iShares® Russell 2000 Value
ETF due December 5, 2024
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
| |
and
“iShares® Russell 2000 Value ETF Overview” in this document for a description of the market exposure provided
by the Trigger PLUS.
The
original issue price of the Trigger PLUS is equal to the estimated value of the Trigger PLUS plus the selling commissions paid to
JPMS and other affiliated or unaffiliated dealers and the structuring fee, plus (minus) the projected profits (losses) that our affiliates
expect to realize for assuming risks inherent in hedging our obligations under the Trigger PLUS, plus the estimated cost of hedging
our obligations under the Trigger PLUS. |
| Benefit
plan investor considerations: |
See
“Benefit Plan Investor Considerations” in the accompanying product supplement. |
| Supplemental
plan of distribution: |
Subject
to regulatory constraints, JPMS intends to use its reasonable efforts to offer to purchase the Trigger PLUS in the secondary market,
but is not required to do so. JPMS, acting as agent for JPMorgan Financial, will pay all of
the selling commissions it receives from us to Morgan Stanley Wealth Management. In addition, Morgan Stanley Wealth Management
will receive a structuring fee as set forth on the cover of this document for each Trigger PLUS. |
| |
We
or our affiliate may enter into swap agreements or related hedge transactions with one of our other affiliates or unaffiliated counterparties
in connection with the sale of the Trigger PLUS and JPMS and/or an affiliate may earn additional income as a result of payments pursuant
to the swap or related hedge transactions. See “— Supplemental use of proceeds and hedging” above and
“Use of Proceeds and Hedging” in the accompanying product supplement. |
| |
Canada |
| |
The
Trigger PLUS may be sold only to purchasers purchasing, or deemed to be purchasing, as principal that are accredited investors, as
defined in National Instrument 45-106 Prospectus Exemptions (“NI 45-106”) or subsection 73.3(1) of the Securities
Act (Ontario) (the “OSA”), and are permitted clients, as defined in National Instrument 31-103 Registration Requirements,
Exemptions and Ongoing Registrant Obligations (“NI-33-103”). |
| |
Accordingly,
by placing a purchase order for Trigger PLUS, each purchaser of Trigger PLUS in Canada will be deemed to have represented to the
issuer, the guarantor and each agent and dealer participating in the sale of the Trigger PLUS that such purchaser: |
| |
● |
is
an “accredited investor” as defined in section 1.1 of NI 45-106 or subsection 73.3(1) of the OSA and is either purchasing
the Trigger PLUS as principal for its own account, or is deemed to be purchasing the Trigger PLUS as principal by applicable law; |
| |
● |
is
a “permitted client” as defined in section 1.1 of NI 31-103 and, in particular, if the purchaser is an individual, he
or she beneficially owns financial assets (as defined in section 1.1 of NI 45-106) having an aggregate realizable value that, before
taxes but net of any related liabilities, exceeds CAD$5,000,000; |
| |
● |
is
not a company or other entity created or being used solely to purchase or hold Trigger PLUS as an “accredited investor”;
and |
| |
● |
is
not an “insider” of the issuer or the guarantor and is not registered as a dealer, adviser or otherwise under the securities
laws of any province or territory of Canada. |
| |
The
Trigger PLUS are being distributed in Canada on a private placement basis only and therefore any resale of the Trigger PLUS must
be made in accordance with an exemption from, or in a transaction not subject to, the prospectus requirements of applicable securities
laws. Each of the issuer and the guarantor is not a reporting issuer in any province or territory in Canada and the Trigger PLUS
are not listed on any stock exchange in Canada and there is currently no public market for the Trigger PLUS in Canada. Each of the
issuer and the guarantor currently has no intention of becoming a reporting issuer in Canada, filing a prospectus with any securities
regulatory authority in Canada to qualify the resale of the Trigger PLUS to the public, or listing its Trigger PLUS on any stock
exchange in Canada. Canadian purchasers are advised to seek legal advice prior to any resale of the Trigger PLUS. |
| |
Securities
legislation in certain provinces or territories of Canada may provide a purchaser with remedies for rescission or damages if this
document (including any amendment thereto) contains a misrepresentation, provided that the remedies for rescission or damages are
exercised by the purchaser within the time limit prescribed by the securities legislation of the purchaser’s province or territory. The
purchaser should refer to any applicable provisions of the securities legislation of the purchaser’s province or territory
for particulars of these rights |
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Performance of the iShares® Russell 2000 Value
ETF due December 5, 2024
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
| |
or consult with a legal advisor. |
| |
The issuer, the guarantor, the agents and the dealers are relying on the statutory exemption contained in section 3A.3 of National Instrument 33-105 Underwriting Conflicts (“NI 33-105”), which provides that the disclosure requirements of NI 33-105 regarding underwriter conflicts of interest in connection with this offering are not applicable. |
| |
By purchasing Trigger PLUS, the purchaser acknowledges that the issuer, the guarantor, the agents and the dealers and their respective agents and advisers may each collect, use and disclose its name, telephone number, address, the number and value of any Trigger PLUS purchased and other specified personally identifiable information (the “personal information”), including the principal amount of Trigger PLUS that it has purchased and whether the purchaser is an “insider” of the issuer or the guarantor or a “registrant” for purposes of meeting legal, regulatory and audit requirements and as otherwise permitted or required by law or regulation. By purchasing Trigger PLUS, the purchaser consents to the foregoing collection, use and disclosure of the personal information pertaining to the purchaser. |
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Furthermore, by purchasing Trigger PLUS, the purchaser acknowledges that the personal information concerning the purchaser (A) will be disclosed to the relevant Canadian securities regulatory authorities and may become available to the public in accordance with the requirements of applicable securities and freedom of information laws and the purchaser consents to the disclosure of the personal information; (B) is being collected indirectly by the applicable Canadian securities regulatory authority under the authority granted to it in securities legislation; and (C) is being collected for the purposes of the administration and enforcement of the applicable Canadian securities legislation. By purchasing Trigger PLUS, the purchaser shall be deemed to have authorized such indirect collection of the personal information by the relevant Canadian securities regulatory authorities. |
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Questions about the indirect collection of personal information should be directed to the securities regulatory authority in the province of the purchaser, using the following contact information: in British Columbia, the British Columbia Securities Commission can be contacted at P.O. Box 10142, Pacific Center, 701 West Georgia Street, Vancouver, British Columbia V7Y 1L2 or at (604) 899-6500 or 1-800-373-6393; in Alberta, the Alberta Securities Commission can be contacted at Suite 600, 250 – 5th Street SW, Calgary, Alberta T2P 0R4 or at (403) 297-6454 or 1-877-355-0585; in Saskatchewan, the Financial and Consumer Affairs Authority of Saskatchewan can be contacted at Suite 601 – 1919 Saskatchewan Drive, Regina, Saskatchewan S4P 4H2 or at (306) 787-5842; in Manitoba, The Manitoba Securities Commission can be contacted at 500 – 400 St. Mary Avenue, Winnipeg, Manitoba R3C 4K5 or at (204) 945-2561 or 1-800-655-5244; in Ontario, the Ontario Securities Commission can be contacted at 20 Queen Street West, 22nd Floor, Toronto, Ontario M5H 3S8 or at (416) 593-8314 or 1-877-785-1555; in Québec, the Autorité des marchés financiers can be contacted at 800, Square Victoria, 22e étage, C.P. 246, Tour de la Bourse, Montréal, Québec H4Z 1G3 or at (514) 395-0337 or 1-877-525-0337; in New Brunswick, the Financial and Consumer Services Commission (New Brunswick) can be contacted at 85 Charlotte Street, Suite 300, Saint John, New Brunswick E2L 2J2 or at (506) 658-3060 or 1-866-933-2222; in Nova Scotia, the Nova Scotia Securities Commission can be contacted at Suite 400, 5251 Duke Street, Duke Tower, P.O. Box 458, Halifax, Nova Scotia B3J 2P8 or at (902) 424-7768; in Prince Edward Island, the Prince Edward Island Securities Office can be contacted at 95 Rochford Street, 4th Floor Shaw Building, P.O. Box 2000, Charlottetown, Prince Edward Island C1A 7N8 or at (902) 368-4569; and in Newfoundland and Labrador, the Director of Securities of the Government of Newfoundland and Labrador’s Financial Services Regulation Division can be contacted at P.O. Box 8700, Confederation Building, 2nd Floor, West Block, Prince Philip Drive, St. John's, Newfoundland and Labrador A1B 4J6 or at (709) 729-4189; and (b) has authorized the indirect collection of the personal information by the securities regulatory authority or regulator in the local jurisdiction. |
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The purchaser acknowledges that each of the issuer and the guarantor is an entity formed under the laws of a jurisdiction outside of Canada. Some or all of the managers and officers of the issuer or the guarantor may be located outside Canada and, as a result, it may not be possible for purchasers to effect service of process within Canada upon such entity or such persons. All or a substantial portion of the assets of each of the issuer and the guarantor may be located outside of Canada and, as a result, it may not be possible to satisfy a judgment in Canada against the issuer, the guarantor or their respective directors and officers or to enforce a judgment obtained in Canadian courts against the issuer, the guarantor or such persons outside of Canada. The Trigger PLUS will not be governed by the |
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Performance of the iShares® Russell 2000 Value
ETF due December 5, 2024
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
| |
laws of any province or territory of Canada. Accordingly, it may not be possible to enforce Trigger PLUS in accordance with their terms in a Canadian court. |
| |
This document does not address the Canadian tax consequences of ownership of Trigger PLUS. Prospective purchasers should consult their own tax advisors with respect to the Canadian and other tax considerations applicable to them. |
| Validity of the Trigger PLUS and the guarantee: |
In the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the Trigger PLUS 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 Trigger PLUS (the “master note”), and such Trigger PLUS have been delivered against payment as contemplated herein, such Trigger PLUS 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 February 24, 2023, which was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24, 2023. |
| Where
you can find more information: |
You should read this document together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which these Trigger
PLUS are a part, and the more detailed information contained in the accompanying product supplement and the accompanying underlying supplement.
This document, together with the documents listed below, contains
the terms of the Trigger PLUS 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, stand-alone
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 and the accompanying product supplement, as the Trigger
PLUS 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 Trigger PLUS.
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. 4-I dated April 13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000121390023029539/ea152803_424b2.pdf
• Underlying supplement no. 1-I dated April 13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000121390023029543/ea151873_424b2.pdf
• Prospectus supplement and prospectus, each dated
April 13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000095010323005751/crt_dp192097-424b2.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 document, “we,” “us,” and
“our” refer to JPMorgan Financial.
“Performance Leveraged Upside SecuritiesSM”
and “PLUSSM” are service marks of Morgan Stanley. |
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