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.
Pricing supplement to product supplement no. 4-I dated
April 13, 2023, underlying supplement no. 1-I dated April 13, 2023
and the prospectus and prospectus supplement, each dated April 13, 2023
Key
Terms
Issuer:
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of
JPMorgan Chase & Co.
Guarantor:
JPMorgan Chase & Co.
Funds:
The Health Care Select Sector SPDR® Fund (Bloomberg ticker: XLV) and the
Utilities Select Sector SPDR® Fund (Bloomberg ticker: XLU)
Contingent
Interest Payments: If the notes have not been automatically called and the closing price of one share of each Fund on
any Review Date is greater than or equal to its Interest Barrier, you will receive on the applicable Interest Payment Date for each
$1,000 principal amount note a Contingent Interest Payment equal to at least $5.4167 (equivalent to a Contingent Interest Rate of
at least 6.50% per annum, payable at a rate of at least 0.54167% per month) (to be provided in the pricing supplement).
If the closing price of one share of either Fund on any Review
Date is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date.
Contingent
Interest Rate: At least 6.50% per annum, payable at a rate of at least 0.54167% per month
(to be provided in the pricing supplement)
Interest Barrier / Trigger Value:
With respect to each Fund, 80.00% of its Initial Value
Pricing
Date: On or about June 7, 2023
Original
Issue Date (Settlement Date): On or about June 12, 2023
Review
Dates*: July 7, 2023, August 7, 2023, September 7, 2023, October 9, 2023, November 7, 2023, December 7, 2023, January
8, 2024, February 7, 2024, March 7, 2024, April 8, 2024, May 7, 2024, June 7, 2024, July 8, 2024, August 7, 2024, September 9, 2024,
October 7, 2024, November 7, 2024 and December 9, 2024 (final Review Date)
Interest
Payment Dates*: July 12, 2023, August 10, 2023, September 12, 2023, October 12, 2023, November 10, 2023, December 12,
2023, January 11, 2024, February 12, 2024, March 12, 2024, April 11, 2024, May 10, 2024, June 12, 2024, July 11, 2024, August 12,
2024, September 12, 2024, October 10, 2024, November 13, 2024 and the Maturity Date
Maturity
Date*: December 12, 2024
Call Settlement Date*:
If the notes are automatically called on any Review Date (other than the first, second and final Review Dates), the first Interest
Payment Date immediately following that Review Date
* Subject to postponement in the event of a market
disruption event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes
Linked to Multiple Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying
product supplement |
Automatic Call:
If the closing price of one share of each Fund on any Review Date
(other than the first, second and final Review Dates) is greater than or equal to its Initial Value, the notes will be automatically
called for a cash payment, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment
applicable to that Review Date, payable on the applicable Call Settlement Date. No further payments will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final Value
of each Fund is greater than or equal to its Trigger Value, you will receive a cash payment at maturity, for each $1,000 principal
amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to the final Review Date.
If the notes have not been automatically called and the Final Value
of either Fund is less than its Trigger Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing
Fund Return)
If the notes have not been automatically called and the Final
Value of either Fund is less than its Trigger Value, you will lose more than 20.00% of your principal amount at maturity and could
lose all of your principal amount at maturity.
Lesser Performing Fund: The
Fund with the Lesser Performing Fund Return
Lesser Performing Fund Return: The
lower of the Fund Returns of the Funds
Fund Return:
With respect to each Fund,
(Final Value – Initial Value)
Initial Value
Initial
Value: With respect to each Fund, the closing price
of one share of that Fund on the Pricing Date
Final
Value: With respect to each Fund, the closing price of one share of that Fund on the final
Review Date
Share
Adjustment Factor: With respect to each Fund, the Share Adjustment Factor is referenced in determining the closing price
of one share of that Fund and is set equal to 1.0 on the Pricing Date. The Share Adjustment Factor of each Fund is subject to adjustment
upon the occurrence of certain events affecting that Fund. See “The Underlyings — Funds — Anti-Dilution Adjustments”
in the accompanying product supplement for further information.
|
PS-1
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Health Care Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund |
|
How
the Notes Work
Payments in Connection with the First and Second
Review Dates
Payments in Connection with Review Dates (Other
than the First, Second and Final Review Dates)
PS-2
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Health Care Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund |
|
Payment at Maturity If the
Notes Have Not Been Automatically Called
Total Contingent Interest Payments
The table below illustrates the hypothetical total Contingent
Interest Payments per $1,000 principal amount note over the term of the notes based on a hypothetical Contingent Interest Rate of 6.50%
per annum, depending on how many Contingent Interest Payments are made prior to automatic call or maturity. The actual Contingent Interest
Rate will be provided in the pricing supplement and will be at least 6.50% per annum.
Number
of Contingent
Interest Payments |
Total
Contingent Interest
Payments |
18 |
$97.5000
|
17 |
$92.0833
|
16 |
$86.6667
|
15 |
$81.2500
|
14 |
$75.8333
|
13 |
$70.4167
|
12 |
$65.0000
|
11 |
$59.5833
|
10 |
$54.1667
|
9 |
$48.7500
|
8 |
$43.3333
|
7 |
$37.9167
|
6 |
$32.5000
|
5 |
$27.0833
|
4 |
$21.6667
|
3 |
$16.2500
|
2 |
$10.8333
|
1 |
$5.4167
|
0 |
$0.0000 |
PS-3
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Health Care Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund |
|
Hypothetical
Payout Examples
The following examples illustrate payments on
the notes linked to two hypothetical Funds, assuming a range of performances for the hypothetical Lesser Performing Fund on the Review
Dates. Each hypothetical payment set forth below assumes that the closing price of one share of the Fund that is not the Lesser Performing
Fund on each Review Date is greater than or equal to its Initial Value (and therefore its Interest Barrier and Trigger Value).
In addition, the hypothetical payments set forth
below assume the following:
| · | an Initial Value for the
Lesser Performing Fund of $100.00; |
| · | an Interest Barrier and a
Trigger Value for the Lesser Performing Fund of $80.00 (equal to 80.00% of its hypothetical
Initial Value); and |
| · | a Contingent Interest Rate
of 6.50% per annum (payable at a rate of 0.54167% per month). |
The hypothetical Initial Value of the Lesser
Performing Fund of $100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial Value of either
Fund. The actual Initial Value of each Fund will be the closing price of one share of that Fund on the Pricing Date and will be provided
in the pricing supplement. For historical data regarding the actual closing prices of one share of each Fund, please see the historical
information set forth under “The Funds” in this pricing supplement.
Each hypothetical payment set forth below is
for illustrative purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing in the
following examples have been rounded for ease of analysis.
Example 1 — Notes are automatically called
on the third Review Date.
Date |
Closing
Price of One Share of
Lesser Performing Fund |
Payment
(per $1,000 principal amount note) |
First
Review Date |
$105.00 |
$5.4167 |
Second
Review Date |
$110.00 |
$5.4167 |
Third
Review Date |
$115.00 |
$1,005.4167 |
|
Total
Payment |
$1,016.25
(1.625% return) |
Because the closing price of one share of each
Fund on the third Review Date is greater than or equal to its Initial Value, the notes will be automatically called for a cash payment,
for each $1,000 principal amount note, of $1,005.4167 (or $1,000 plus the Contingent Interest Payment applicable to the third
Review Date), payable on the applicable Call Settlement Date. The notes are not automatically callable before the third Review Date,
even though the closing price of one share of each Fund on each of the first and second Review Dates is greater than its Initial Value.
When added to the Contingent Interest Payments received with respect to the prior Review Dates, the total amount paid, for each $1,000
principal amount note, is $1,016.25. No further payments will be made on the notes.
Example 2 — Notes have NOT been automatically
called and the Final Value of the Lesser Performing Fund is greater than or equal to its Trigger Value.
Date |
Closing
Price of One Share of
Lesser Performing Fund |
Payment
(per $1,000 principal amount note) |
First
Review Date |
$95.00 |
$5.4167 |
Second
Review Date |
$85.00 |
$5.4167
|
Third
through Seventeenth Review Dates |
Less
than Interest Barrier |
$0 |
Final
Review Date |
$90.00 |
$1,005.4167 |
|
Total
Payment |
$1,016.25
(1.625% return) |
Because the notes have not been automatically
called and the Final Value of the Lesser Performing Fund is greater than or equal to its Trigger Value, the payment at maturity, for
each $1,000 principal amount note, will be $1,005.4167 (or $1,000 plus the Contingent Interest Payment applicable to the final
Review Date). When added to the Contingent Interest Payments received with respect to the prior Review Dates, the total amount paid,
for each $1,000 principal amount note, is $1,016.25.
PS-4
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Health Care Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund |
|
Example
3 — Notes have NOT been automatically called and the Final Value of the Lesser Performing Fund is less than its Trigger Value.
Date |
Closing
Price of One Share of
Lesser Performing Fund |
Payment
(per $1,000 principal amount note) |
First
Review Date |
$40.00 |
$0 |
Second
Review Date |
$45.00 |
$0 |
Third
through Seventeenth Review Dates |
Less
than Interest Barrier |
$0 |
Final
Review Date |
$50.00 |
$500.00 |
|
Total
Payment |
$500.00
(-50.00% return) |
Because the notes have not been automatically
called, the Final Value of the Lesser Performing Fund is less than its Trigger Value and the Lesser Performing Fund Return is -50.00%,
the payment at maturity will be $500.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)] = $500.00
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term or until automatically called. 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.
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
and product supplement.
Risks Relating to the Notes Generally
| · | YOUR INVESTMENT IN THE
NOTES MAY RESULT IN A LOSS — |
The notes do not guarantee any return
of principal. If the notes have not been automatically called and the Final Value of either Fund is less than its Trigger Value, you
will lose 1% of the principal amount of your notes for every 1% that the Final Value of the Lesser Performing Fund is less than its Initial
Value. Accordingly, under these circumstances, you will lose more than 20.00% of your principal amount at maturity and could lose all
of your principal amount at maturity.
| · | THE NOTES DO NOT GUARANTEE
THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL — |
If the notes have not been automatically
called, we will make a Contingent Interest Payment with respect to a Review Date only if the closing price of one share of each Fund
on that Review Date is greater than or equal to its Interest Barrier. If the closing price of one share of either Fund on that Review
Date is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date. Accordingly, if
the closing price of one share of either Fund on each Review Date is less than its Interest Barrier, you will not receive any interest
payments over the term of the notes.
| · | 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.
| · | 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.
PS-5
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Health Care Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund |
|
| · | THE APPRECIATION POTENTIAL
OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS THAT MAY BE PAID OVER
THE TERM OF THE NOTES, |
regardless of any appreciation of either
Fund, which may be significant. You will not participate in any appreciation of either Fund.
| · | YOU ARE EXPOSED TO THE
RISK OF DECLINE IN THE PRICE OF ONE SHARE OF EACH FUND — |
Payments on the notes are not linked to
a basket composed of the Funds and are contingent upon the performance of each individual Fund. Poor performance by either of the Funds
over the term of the notes may result in the notes not being automatically called on a Review Date, may negatively affect whether you
will receive a Contingent Interest Payment on any Interest Payment Date and your payment at maturity and will not be offset or mitigated
by positive performance by the other Fund.
| · | YOUR PAYMENT AT MATURITY
WILL BE DETERMINED BY THE LESSER PERFORMING FUND. |
| · | THE BENEFIT PROVIDED BY
THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE — |
If the Final Value of either Fund is less
than its Trigger Value and the notes have not been automatically called, the benefit provided by the Trigger Value will terminate and
you will be fully exposed to any depreciation of the Lesser Performing Fund.
| · | THE AUTOMATIC CALL FEATURE
MAY FORCE A POTENTIAL EARLY EXIT — |
If your notes are automatically called,
the term of the notes may be reduced to as short as approximately three months and you will not receive any Contingent Interest Payments
after the applicable Call Settlement Date. There is no guarantee that you would be able to reinvest the proceeds from an investment in
the notes at a comparable return and/or with a comparable interest rate for a similar level of risk. Even in cases where the notes are
called before maturity, you are not entitled to any fees and commissions described on the front cover of this pricing supplement.
| · | YOU WILL NOT RECEIVE DIVIDENDS
ON EITHER FUND OR THE SECURITIES HELD BY EITHER FUND OR HAVE ANY RIGHTS WITH RESPECT TO THE
FUNDS OR THOSE SECURITIES. |
| · | THE RISK OF THE CLOSING
PRICE OF ONE SHARE OF A FUND FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS GREATER
IF THE PRICE OF ONE SHARE OF THAT FUND IS VOLATILE. |
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.
| · | THE FINAL TERMS AND VALUATION
OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT — |
You should consider your potential investment
in the notes based on the minimums for the estimated value of the notes and the Contingent Interest Rate.
Risks Relating to Conflicts of Interest
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.
Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes
| · | THE ESTIMATED VALUE OF
THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES —
|
The estimated value of the notes is only
an estimate determined by reference to several factors. The original issue price of the notes will exceed the estimated value of the
notes because costs associated with selling, structuring and hedging the notes are included in the original issue price of the notes.
These costs include the 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.
PS-6
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Health Care Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund |
|
| · | 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.
| · | 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.
| · | 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).
| · | 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.
| · | 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 prices of one share of the Funds. 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.
Risks Relating to the Funds
| · | THERE ARE RISKS ASSOCIATED
WITH THE FUNDS — |
The Funds are subject to management risk,
which is the risk that the investment strategies of the applicable Fund’s investment adviser, the implementation of which is subject
to a number of constraints, may not produce the intended results. These constraints could adversely affect the market prices of the shares
of the Funds and, consequently, the value of the notes.
| · | THE PERFORMANCE AND MARKET
VALUE OF EACH FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH
THE PERFORMANCE OF THAT FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER
SHARE — |
Each Fund does not fully replicate its
Underlying Index (as defined under “The Funds” below) and may hold securities different from those included in its Underlying
Index. In addition, the performance of each Fund will reflect additional transaction costs and fees that are not included in the calculation
of its Underlying Index. All of these factors may lead to a lack of correlation between the performance of each Fund and its Underlying
Index. In addition, corporate actions with respect to the equity securities underlying a Fund (such as mergers and spin-offs) may impact
the variance between the performances of that Fund and its
PS-7
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Health Care Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund |
|
Underlying Index. Finally, because the shares of each Fund are traded on a
securities exchange and are subject to market supply and investor demand, the market value of one share of each Fund may differ from
the net asset value per share of that Fund.
During periods of market volatility, securities
underlying each Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately the net asset
value per share of that Fund and the liquidity of that Fund may be adversely affected. This kind of market volatility may also disrupt
the ability of market participants to create and redeem shares of a Fund. Further, market volatility may adversely affect, sometimes
materially, the prices at which market participants are willing to buy and sell shares of a Fund. As a result, under these circumstances,
the market value of shares of a Fund may vary substantially from the net asset value per share of that Fund. For all of the foregoing
reasons, the performance of each Fund may not correlate with the performance of its Underlying Index as well as the net asset value per
share of that Fund, which could materially and adversely affect the value of the notes in the secondary market and/or reduce any payment
on the notes.
| · | RISKS
ASSOCIATED WITH THE HEALTH CARE SECTOR WITH RESPECT TO THE HEALTH CARE SELECT SECTOR SPDR®
FUND — |
All or substantially all of the equity
securities held by the Health Care Select Sector SPDR® Fund are issued by companies whose primary line of business is
directly associated with the health care sector. As a result, the value of the notes may be subject to greater volatility and be more
adversely affected by a single economic, political or regulatory occurrence affecting this sector than a different investment linked
to securities of a more broadly diversified group of issuers. Companies in the health care sector are subject to extensive government
regulation and their profitability can be significantly affected by restrictions on government reimbursement for medical expenses, rising
costs of medical products and services, pricing pressure (including price discounting), limited product lines and an increased emphasis
on the delivery of healthcare through outpatient services. Companies in the health care sector are heavily dependent on obtaining and
defending patents, which may be time consuming and costly, and the expiration of patents may also adversely affect the profitability
of these companies. Health care companies are also subject to extensive litigation based on product liability and similar claims. In
addition, their products can become obsolete due to industry innovation, changes in technologies or other market developments. Many new
products in the health care sector require significant research and development and may be subject to regulatory approvals, all of which
may be time consuming and costly with no guarantee that any product will come to market. These factors could affect the health care sector
and could affect the value of the equity securities held by the Health Care Select Sector SPDR® Fund and the price of
the Health Care Select Sector SPDR® Fund during the term of the notes, which may adversely affect the value of your notes.
| · | RISKS ASSOCIATED WITH THE
UTILITIES SECTOR WITH RESPECT TO THE UTILITIES SELECT SECTOR SPDR® FUND — |
All or substantially all of the equity
securities held by the Utilities Select Sector SPDR® Fund are issued by companies whose primary line of business is directly
associated with the utilities sector. As a result, the value of the notes may be subject to greater volatility and be more adversely
affected by a single economic, political or regulatory occurrence affecting this sector than a different investment linked to securities
of a more broadly diversified group of issuers. Utility companies are affected by supply and demand, operating costs, government
regulation, environmental factors, liabilities for environmental damage and general civil liabilities and rate caps or rate changes.
Although rate changes of a regulated utility usually fluctuate in approximate correlation with financing costs, due to political and
regulatory factors, rate changes ordinarily occur only following a delay after the changes in financing costs. This factor will
tend to favorably affect a regulated utility company’s earnings and dividends in times of decreasing costs, but conversely, will
tend to adversely affect earnings and dividends when costs are rising. The value of regulated utility equity securities may tend
to have an inverse relationship to the movement of interest rates. Certain utility companies have experienced full or partial deregulation
in recent years. These utility companies are frequently more similar to industrial companies in that they are subject to greater
competition and have been permitted by regulators to diversify outside of their original geographic regions and their traditional lines
of business. These opportunities may permit certain utility companies to earn more than their traditional regulated rates of return.
Some companies, however, may be forced to defend their core business and may be less profitable. In addition, natural disasters,
terrorist attacks, government intervention or other factors may render a utility company’s equipment unusable or obsolete and negatively
impact profitability. Among the risks that may affect utility companies are the following: risks of increases in fuel and other
operating costs; the high cost of borrowing to finance capital construction during inflationary periods; restrictions on operations and
increased costs and delays associated with compliance with environmental and nuclear safety regulations; and the difficulties involved
in obtaining natural gas for resale or fuel for generating electricity at reasonable prices. Other risks include those related
to the construction and operation of nuclear power plants, the effects of energy conservation and the effects of regulatory changes.
These factors could affect the utilities sector and could affect the value of the equity securities held by the Utilities Select Sector
SPDR® Fund and the price of the Utilities Select Sector SPDR® Fund during the term of the notes, which
may adversely affect the value of your notes.
PS-8
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Health Care Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund |
|
| · | THE ANTI-DILUTION PROTECTION
FOR THE FUNDS IS LIMITED — |
The calculation agent will make adjustments
to the Share Adjustment Factor for each Fund for certain events affecting the shares of that Fund. However, the calculation agent will
not make an adjustment in response to all events that could affect the shares of the Funds. If an event occurs that does not require
the calculation agent to make an adjustment, the value of the notes may be materially and adversely affected.
PS-9
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Health Care Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund |
|
The
Funds
The Health Care Select Sector SPDR®
Fund is an exchange-traded fund of the Select Sector SPDR® Trust, a registered investment company, that seeks to
provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities
of companies in the Health Care Select Sector Index, which we refer to as the Underlying Index with respect to the Health Care Select
Sector SPDR® Fund. The Health Care Select Sector Index is a modified market capitalization-based index that measures the
performance of the GICS® health care sector of the S&P 500® Index, which currently includes companies
in the following industries: pharmaceuticals; health care equipment & supplies; health care providers & services; biotechnology;
life sciences tools & services; and health care technology. For additional information about the Health Care Select Sector SPDR®
Fund, see “Fund Descriptions — The Select Sector SPDR® Funds” in the accompanying underlying supplement.
The Utilities Select Sector SPDR®
Fund is an exchange-traded fund of the Select Sector SPDR® Trust, a registered investment company, that seeks to provide
investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities
of companies in the Utilities Select Sector Index, which we refer to as the Underlying Index with respect to the Utilities Select Sector
SPDR® Fund. The Utilities Select Sector Index is a modified market capitalization-based index that measures the performance
of the GICS® utilities sector of the S&P 500® Index, which currently includes companies in the following
industries: electric utilities; water utilities; multi-utilities; independent power and renewable electricity producers; and gas utilities.
For additional information about the Utilities Select Sector SPDR® Fund, see “Fund Descriptions — The Select
Sector SPDR® Funds” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical
performance of each Fund based on the weekly historical closing prices of one share of each Fund from January 5, 2018 through June 2,
2023. The closing price of one share of the Health Care Select Sector SPDR® Fund on June 2, 2023 was $130.32. The closing
price of one share of the Utilities Select Sector SPDR® Fund on June 2, 2023 was $65.12. We obtained the closing prices
above and below from the Bloomberg Professional® service (“Bloomberg”), without independent verification.
The closing prices above and below may have been adjusted by Bloomberg for actions taken by the Funds, such as stock splits.
The historical closing prices of one share
of each Fund should not be taken as an indication of future performance, and no assurance can be given as to the closing price of one
share of either Fund on the Pricing Date or any Review Date. There can be no assurance that the performance of the Funds will result
in the return of any of your principal amount or the payment of any interest.
PS-10
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Health Care Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund |
|
Tax
Treatment
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. In determining our reporting
responsibilities we intend to treat (i) the notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent
coupons and (ii) any Contingent Interest Payments as ordinary income, as described in the section entitled “Material U.S. Federal
Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated Contingent
Coupons” in the accompanying product supplement. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel,
we believe that this is a reasonable treatment, but that there are other reasonable treatments that the IRS or a court may adopt, in
which case the timing and character of any income or loss on the notes could be materially 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 and the relevance of factors such as the nature of the underlying property to which the instruments are linked.
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 affect the tax consequences of an investment in the notes, possibly with retroactive
effect. The discussions above and in the accompanying product supplement do not address the consequences to taxpayers subject to special
tax accounting rules under Section 451(b) of the Code. 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 the notice described above.
Non-U.S. Holders — Tax Considerations.
The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and although we believe it is reasonable to take
a position that Contingent Interest Payments are not subject to U.S. withholding tax (at least if an applicable Form W-8 is provided),
it is expected that withholding agents will (and we, if we are the withholding agent, intend to) withhold on any Contingent Interest
Payment paid to a Non-U.S. Holder generally at a rate of 30% or at a reduced rate specified by an applicable income tax treaty under
an “other income” or similar provision. We will not be required to pay any additional amounts with respect to amounts withheld.
In order to claim an exemption from, or a reduction in, the 30% withholding tax, a Non-U.S. Holder of the notes must comply with certification
requirements to establish that it is not a U.S. person and is eligible for such an exemption or reduction under an applicable tax treaty.
If you are a Non-U.S. Holder, you should consult your tax adviser regarding the tax treatment of the notes, including the possibility
of obtaining a refund of any withholding tax and the certification requirement described above.
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, we expect that Section 871(m) will not apply to the notes with regard to
Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex
and its application may depend on your particular circumstances, including whether you
PS-11
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Health Care Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund |
|
enter into other transactions with respect to an Underlying
Security. If necessary, further information regarding the potential application of Section 871(m) will be provided in the pricing supplement
for the notes. You should consult your tax adviser regarding the potential application of Section 871(m) to the notes.
In the event
of any withholding on the notes, we will not be required to pay any additional amounts with respect to amounts so withheld.
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 — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — 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.
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 will be lower
than the original issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the
original issue price of the notes. These costs include the 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 —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Will Be 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 —
Risks Relating to the Estimated Value and Secondary Market Prices
PS-12
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Health Care Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund |
|
of the Notes — 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 “How the Notes Work” and
“Hypothetical Payout Examples” in this pricing supplement for an illustration of the risk-return profile of the notes and
“The Funds” 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.
Additional
Terms Specific to the Notes
You may revoke your offer to purchase the notes
at any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms
of, or reject any offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes, we will
notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes,
in which case we may reject your offer to purchase.
You should read this pricing supplement together
with the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes
of which these notes are a part, and the more detailed information contained in the accompanying product supplement 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 and the accompanying product supplement, as the notes involve risks not associated with conventional debt securities.
We urge you to consult your investment, legal, tax, 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-13
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the Health Care Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund |
|
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