| June 27, 2023 |
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
JPMorgan Chase Financial Company LLC
Structured Investments
$2,200,000
Auto Callable Capped Dual Directional Notes Linked to
the S&P 500® Index due December 27, 2024
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
| · | The notes are designed for investors who seek a capped return of 1.50 times any appreciation (with a Maximum Upside Return of 9.60%),
or a capped return equal to the absolute value of any depreciation (with a maximum downside return of 20.00%), of the S&P 500®
Index at maturity, if a Knock-Out Event has not occurred. A Knock-Out Event occurs if, on any day during the Monitoring Period, the closing
level of the Index is less than the Strike Value by more than the Knock-Out Percentage of 20.00%. |
| · | If a Knock-Out Event occurs, the notes will be automatically called and you will receive only the principal amount of your notes. |
| · | Investors should be willing to forgo interest and dividend payments, while seeking full repayment of principal at maturity or upon
automatic call. |
| · | If the notes are automatically called, the term of the notes may be reduced to as short as one week. |
| · | The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial,
the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes is subject
to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor
of the notes. |
| · | Minimum denominations of $1,000 and integral multiples thereof |
| · | The notes priced on June 27, 2023 (the “Pricing Date”) and are expected to settle on or about June 30, 2023. The Strike
Value has been determined by reference to the closing level of the Index on June 23, 2023 and not by reference to the closing level
of the Index on the Pricing Date. |
Investing in the notes involves a number of risks. See “Risk
Factors” beginning on page S-2 of the accompanying prospectus supplement, “Risk Factors” beginning on page PS-12 of
the accompanying product supplement and “Selected Risk Considerations” beginning on page PS-3 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing
supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation to
the contrary is a criminal offense.
| |
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
| Per note |
$1,000 |
$3 |
$997 |
| Total |
$2,200,000 |
$6,600 |
$2,193,400 |
|
(1) See “Supplemental Use of Proceeds” in this
pricing supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS,
acting as agent for JPMorgan Financial, will pay all of the selling commissions of $3.00 per $1,000 principal amount note it receives
from us to other affiliated or unaffiliated dealers. See “Plan of Distribution (Conflicts of Interest)” in the accompanying
product supplement. |
The estimated value of the notes, when the terms of the notes were set,
was $989.10 per $1,000 principal amount note. See “The Estimated Value of the Notes” in this pricing supplement for additional
information.
The notes are not bank deposits, are not insured by the Federal Deposit
Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Pricing supplement to product supplement no. 3-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.
Index:
The S&P 500® Index (Bloomberg ticker: SPX)
Maximum Upside Return:
9.60% (corresponding to a maximum payment at maturity if the Index Return is positive
and a Knock-Out Event has not occurred of $1,096.00 per $1,000 principal amount note)
Upside Leverage Factor:
1.50
Knock-Out
Percentage: 20.00%
Strike
Date: June 23, 2023
Pricing
Date: June 27, 2023
Original
Issue Date (Settlement Date): On or about June 30, 2023
Observation
Date*: December 23, 2024
Maturity
Date*: December 27, 2024
Call Settlement Date*:
If applicable, the third business day after the first day on which a Knock-Out Event occurs, provided that if the first day on
which a Knock-Out Event occurs is the Observation Date, the Call Settlement Date will be the Maturity 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 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 |
Automatic Call:
If a Knock-Out Event occurs, the notes will be automatically
called for a cash payment, for each $1,000 principal amount note, equal to $1,000, payable on the Call Settlement Date. No further payments
will be made on the notes.
Payment at Maturity:
If (i) a Knock-Out Event has not occurred and (ii) the Final
Value is greater than the Strike Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Index Return ×
Upside Leverage Factor), subject to the Maximum Upside Return
If (i) a Knock-Out Event has not occurred and (ii) the Final
Value is equal to or less than the Strike Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Absolute Index Return)
This payout formula results in an effective cap of 20.00% on your return
at maturity if the Index Return is negative and a Knock-Out Event has not occurred. Under these limited circumstances, your maximum payment
at maturity is $1,200.00 per $1,000 principal amount note.
You are entitled to repayment of principal in full at maturity,
subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
Knock-Out Event: A Knock-Out
Event occurs if, on any day during the Monitoring Period, the closing level of the Index is less than the Strike Value by more than the
Knock-Out Percentage.
Monitoring Period: The
period from but excluding the Original Issue Date to and including the Observation Date
Absolute Index Return:
The absolute value of the Index Return. For example, if the Index Return is -5%, the Absolute Index Return will equal 5%.
Index Return:
(Final Value – Strike Value)
Strike Value
Strike
Value: The closing level of the Index on the Strike Date, which was 4,348.33. The Strike
Value is not the closing level of the Index on the Pricing Date.
Final
Value: The closing level of the Index on the Observation Date
|
|
PS-1
| Structured Investments
Auto Callable Capped Dual Directional Notes Linked to the S&P
500® Index |
|
Hypothetical Payout
Profile
The following table illustrates the hypothetical
payment at maturity or upon automatic call on the notes linked to a hypothetical Index. The hypothetical payments set forth below assume
the following:
| · | a Strike Value of 100.00; |
| · | a Maximum Upside Return of 9.60%; |
| · | an Upside Leverage Factor of 1.50; and |
| · | a Knock-Out Percentage of 20.00%. |
The hypothetical Strike Value of 100.00 has been chosen
for illustrative purposes only and does not represent the actual Strike Value. The actual Strike Value is the closing level of the Index
on the Strike Date and is specified under “Key Terms — Strike Value” in this pricing supplement. For historical data
regarding the actual closing levels of the Index, please see the historical information set forth under “The Index” in this
pricing supplement.
Each hypothetical total return or hypothetical payment
at maturity or upon automatic call set forth below is for illustrative purposes only and may not be the actual total return or payment
at maturity or upon automatic call applicable to a purchaser of the notes. The numbers appearing in the following table have been rounded
for ease of analysis.
| |
|
|
A Knock-Out Event Has Not Occurred (1) |
A Knock-Out Event Occurs (1) |
| Final Value |
Index Return |
Absolute
Index Return |
Total Return on the
Notes |
Payment at
Maturity |
Total Return on
the Notes |
Payment upon
Automatic Call |
| 180.00 |
80.00% |
N/A |
9.60% |
$1,096.00 |
0.00% |
$1,000.00 |
| 165.00 |
65.00% |
N/A |
9.60% |
$1,096.00 |
0.00% |
$1,000.00 |
| 150.00 |
50.00% |
N/A |
9.60% |
$1,096.00 |
0.00% |
$1,000.00 |
| 140.00 |
40.00% |
N/A |
9.60% |
$1,096.00 |
0.00% |
$1,000.00 |
| 130.00 |
30.00% |
N/A |
9.60% |
$1,096.00 |
0.00% |
$1,000.00 |
| 120.00 |
20.00% |
N/A |
9.60% |
$1,096.00 |
0.00% |
$1,000.00 |
| 110.00 |
10.00% |
N/A |
9.60% |
$1,096.00 |
0.00% |
$1,000.00 |
| 106.40 |
6.40% |
N/A |
9.60% |
$1,096.00 |
0.00% |
$1,000.00 |
| 105.00 |
5.00% |
N/A |
7.50% |
$1,075.00 |
0.00% |
$1,000.00 |
| 101.00 |
1.00% |
N/A |
1.50% |
$1,015.00 |
0.00% |
$1,000.00 |
| 100.00 |
0.00% |
0.00% |
0.00% |
$1,000.00 |
0.00% |
$1,000.00 |
| 95.00 |
-5.00% |
5.00% |
5.00% |
$1,050.00 |
0.00% |
$1,000.00 |
| 90.00 |
-10.00% |
10.00% |
10.00% |
$1,100.00 |
0.00% |
$1,000.00 |
| 80.00 |
-20.00% |
20.00% |
20.00% |
$1,200.00 |
0.00% |
$1,000.00 |
| 79.99 |
-20.01% |
N/A |
N/A |
N/A |
0.00% |
$1,000.00 |
| 70.00 |
-30.00% |
N/A |
N/A |
N/A |
0.00% |
$1,000.00 |
| 60.00 |
-40.00% |
N/A |
N/A |
N/A |
0.00% |
$1,000.00 |
| 50.00 |
-50.00% |
N/A |
N/A |
N/A |
0.00% |
$1,000.00 |
| 40.00 |
-60.00% |
N/A |
N/A |
N/A |
0.00% |
$1,000.00 |
| 30.00 |
-70.00% |
N/A |
N/A |
N/A |
0.00% |
$1,000.00 |
| 20.00 |
-80.00% |
N/A |
N/A |
N/A |
0.00% |
$1,000.00 |
| 10.00 |
-90.00% |
N/A |
N/A |
N/A |
0.00% |
$1,000.00 |
| 0.00 |
-100.00% |
N/A |
N/A |
N/A |
0.00% |
$1,000.00 |
(1) A Knock-Out Event occurs if, on any day during
the Monitoring Period, the closing level of the Index is less than the Strike Value by more than the Knock-Out Percentage. The notes will
be automatically called if a Knock-Out Event occurs.
|
PS-2
| Structured Investments
Auto Callable Capped Dual Directional Notes Linked to the S&P
500® Index |
|
Knock-Out Event / Automatic Call Scenario:
If a Knock-Out Event occurs, the notes will be automatically
called and investors will receive $1,000 per $1,000 principal amount note on the Call Settlement Date. No further payments will
be made on the notes. A Knock-Out Event occurs if, on any day during the Monitoring Period, the closing level of the Index is less than
the Strike Value by more than the Knock-Out Percentage of 20.00%.
No Knock-Out Event / Index Appreciation Upside Scenario:
If (i) a Knock-Out Event has not occurred and (ii) the
Final Value is greater than the Strike Value, investors will receive at maturity the $1,000 principal amount plus a return equal
to the Index Return times the Upside Leverage Factor of 1.50, subject to the Maximum Upside Return of 9.60%. An investor will realize
the maximum upside payment at maturity at a Final Value of 106.40% or more of the Strike Value.
| · | For example, if (i) a Knock-Out Event has not occurred and (ii) the closing level of the Index increases 1.00%, investors will receive
at maturity a 1.50% return, or $1,015.00 per $1,000 principal amount note. |
| · | For example, if (i) a Knock-Out Event has not occurred and (ii) the closing level of the Index increases 50.00%, investors will receive
at maturity a return equal to the 9.60% Maximum Upside Return, or $1,096.00 per $1,000 principal amount note, which is the maximum payment
at maturity if the Index Return is positive and a Knock-Out Event has not occurred. |
No Knock-Out Event / Par or Index Depreciation Upside
Scenario:
If (i) a Knock-Out Event has not occurred and (ii) the
Final Value is equal to or less than the Strike Value, investors will receive at maturity the $1,000 principal amount plus a return
equal to the Absolute Index Return.
| · | For example, if (i) a Knock-Out Event has not occurred and (ii) the closing level of the Index declines 5.00%, investors will receive
at maturity a 5.00% return, or $1,050.00 per $1,000 principal amount note. |
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
| · | THE NOTES WILL NOT PAY MORE THAN THE PRINCIPAL AMOUNT UPON AUTOMATIC CALL AND MAY NOT PAY MORE THAN THE PRINCIPAL AMOUNT AT MATURITY
— |
If a Knock-Out Event occurs, the notes will
be automatically called and you will receive only the principal amount of your notes on the Call Settlement Date. In addition, if a Knock-Out
Event has not occurred and the Final Value is equal to the Strike Value, you will receive only the principal amount of your notes at maturity.
You will not be compensated for any loss in value due to inflation and other factors relating to the value of money over time.
| · | YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE MAXIMUM UPSIDE RETURN IF THE INDEX RETURN IS POSITIVE AND A KNOCK-OUT EVENT HAS
NOT OCCURRED, |
regardless of the appreciation
of the Index, which may be significant.
| · | YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE KNOCK-OUT PERCENTAGE IF THE INDEX RETURN IS NEGATIVE — |
Because the payment at maturity will not reflect
the Absolute Index Return if a Knock-Out Event has occurred, the Knock-Out Percentage is effectively a cap on your return at maturity.
The maximum payment at maturity if the Index Return is negative and a Knock-Out Event has not occurred is $1,200.00 per $1,000 principal
amount note.
| · | 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.
|
PS-3
| Structured Investments
Auto Callable Capped Dual Directional Notes Linked to the S&P
500® Index |
|
| · | 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.
| · | 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 one week. There is no guarantee that you would be able to reinvest the proceeds from an
investment in the notes at a comparable return 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.
| · | A KNOCK-OUT EVENT MAY OCCUR ON ANY DAY DURING THE MONITORING PERIOD — |
If, on any day during the Monitoring Period,
the closing level of the Index is less than the Strike Value by more than the Knock-Out Percentage (i.e., a Knock-Out Event occurs),
the notes will be automatically called and you will receive at maturity only the principal amount of your notes, and you will not participate
in the Index Return or the Absolute Index Return, regardless of any appreciation or depreciation of the Index, which may be significant.
| · | THE NOTES DO NOT PAY INTEREST. |
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN THE INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES. |
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.
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 IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES — |
The estimated value of the notes is only an
estimate determined by reference to several factors. The original issue price of the notes exceeds the estimated value of the notes because
costs associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include
the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our
obligations under the notes and the estimated cost of hedging our obligations under the notes. See “The Estimated Value of the Notes”
in this pricing supplement.
| · | 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
|
PS-4
| Structured Investments
Auto Callable Capped Dual Directional Notes Linked to the S&P
500® Index |
|
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 level of the Index. Additionally, independent
pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes
in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
— Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
Risks Relating to
the Index
| · | JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE INDEX, |
but JPMorgan Chase & Co. will
not have any obligation to consider your interests in taking any corporate action that might affect the level of the Index.
|
PS-5
| Structured Investments
Auto Callable Capped Dual Directional Notes Linked to the S&P
500® Index |
|
The Index
The Index consists of stocks of 500 companies selected
to provide a performance benchmark for the U.S. equity markets. For additional information about the Index, see “Equity Index Descriptions
— The S&P U.S. Indices” in the accompanying underlying supplement.
Historical Information
The following graph sets forth the historical performance
of the Index based on the weekly historical closing levels of the Index from January 5, 2018 through June 23, 2023. The closing level
of the Index on June 23, 2023 was 4,348.33. We obtained the closing levels above and below from the Bloomberg Professional®
service (“Bloomberg”), without independent verification.
The historical closing levels of the Index should
not be taken as an indication of future performance, and no assurance can be given as to the closing level of the Index on the Observation
Date or any day during the Monitoring Period. There can be no assurance that the performance of the Index will result in a payment at
maturity in excess of your principal amount, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
Treatment as
Contingent Payment Debt Instruments
You should
review carefully the section entitled “Material U.S. Federal Income Tax Consequences,” and in particular the subsection thereof
entitled “— Tax Consequences to U.S. Holders — Notes with a Term of More than One Year — Notes Treated as Contingent
Payment Debt Instruments,” in the accompanying product supplement no. 3-I. Unlike a traditional debt instrument that provides
for periodic payments of interest at a single fixed rate, with respect to which a cash-method investor generally recognizes income only
upon receipt of stated interest, our special tax counsel, Davis Polk & Wardwell LLP, is of the opinion that the notes will be treated
for U.S. federal income tax purposes as “contingent payment debt instruments.” As discussed in that subsection, you
generally will be required to accrue original issue discount (“OID”) on your notes in each taxable year at the “comparable
yield,” as determined by us, although we will not make any payment with respect to the notes except upon an automatic call or at
maturity. Upon sale or exchange (including an automatic call or at maturity), you will recognize taxable income or loss equal to
the difference between the amount received from the sale or exchange and your adjusted basis in the note, which generally will equal the
cost thereof, increased by the amount of OID you have accrued in respect of the note. You generally must treat any income as interest
income and any loss as ordinary loss to the extent of previous interest inclusions, and the balance as capital loss. The deductibility
of capital losses is subject to limitations. Special rules may apply if any payment in excess of the principal amount of your note
is treated as becoming fixed prior to maturity. You should consult your tax adviser concerning the application of these rules.
The discussions herein and in the accompanying product supplement do not address the consequences to taxpayers subject to special tax
accounting rules under Section 451(b) of the Code. Purchasers who are not initial purchasers of notes at their issue price should
consult their tax advisers with respect to the tax consequences of an investment in notes, including the treatment of the difference,
if any, between the basis in their notes and the notes’ adjusted issue price.
Section 871(m)
of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless
an income tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments
linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this
|
PS-6
| Structured Investments
Auto Callable Capped Dual Directional Notes Linked to the S&P
500® Index |
|
withholding regime, including for instruments linked to certain broad-based
indices that meet requirements set forth in the applicable Treasury regulations. Additionally, a recent IRS notice excludes from
the scope of Section 871(m) instruments issued prior to January 1, 2025 that do not have a delta of one with respect to underlying securities
that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on
certain determinations made by us, our special tax counsel is of the opinion that Section 871(m) should not apply to the notes with regard
to Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section
871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other transactions
with respect to an Underlying Security. You should consult your tax adviser regarding the potential application of Section 871(m)
to the notes.
The discussions
in the preceding paragraphs, when read in combination with the section entitled “Material U.S. Federal Income Tax Consequences”
(and in particular the subsection thereof entitled “— Tax Consequences to U.S. Holders — Notes with a Term of More than
One Year — Notes Treated as Contingent Payment Debt Instruments”) in the accompanying product supplement, constitute the full
opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal income tax consequences of owning and disposing of notes.
Comparable
Yield and Projected Payment Schedule
We have determined
that the “comparable yield” is an annual rate of 5.85%, compounded semiannually. Based on our determination of the comparable
yield, the “projected payment schedule” per $1,000 principal amount note consists of a single payment at maturity, equal to
$1,089.89. Assuming a semiannual accrual period, the following table sets out the amount of OID that will accrue with respect to a note
during each calendar period, based upon our determination of the comparable yield and projected payment schedule.
| Calendar Period |
Accrued OID During
Calendar Period (Per
$1,000 Principal Amount
Note) |
Total Accrued OID from Original
Issue Date (Per $1,000 Principal
Amount Note) as of End of
Calendar Period |
| June
30, 2023 through December 31, 2023 |
$29.27 |
$29.27 |
| January
1, 2024 through December 27, 2024 |
$60.62 |
$89.89 |
The comparable
yield and projected payment schedule are determined solely to calculate the amount on which you will be taxed with respect to the notes
in each year and are neither a prediction nor a guarantee of what the actual yield or timing of the payment or payments will be. The amount
you actually receive at maturity or earlier sale or exchange of your notes will affect your income for that year, as described above under
“Treatment as Contingent Payment Debt Instruments.”
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.
|
PS-7
| Structured Investments
Auto Callable Capped Dual Directional Notes Linked to the S&P
500® Index |
|
The estimated value of the notes does not represent
future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide valuations
for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant factors
in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly
based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest
rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in
secondary market transactions.
The estimated value of the notes is lower than the
original issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original
issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected
profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the
estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market
forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. A portion
of the profits, if any, realized in hedging our obligations under the notes may be allowed to other affiliated or unaffiliated dealers,
and we or one or more of our affiliates will retain any remaining hedging profits. See “Selected Risk Considerations — Risks
Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Lower Than the Original
Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact any
secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying
product supplement. In addition, we generally expect that some of the costs included in the original issue price of the notes will be
partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial
predetermined period. These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated
hedging costs and our internal secondary market funding rates for structured debt issuances. This initial predetermined time period is
intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects
the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs
of hedging the notes and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations —
Risks Relating to the Estimated Value and Secondary Market Prices 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 “Hypothetical Payout Profile” and “How
the Notes Work” in this pricing supplement for an illustration of the risk-return profile of the notes and “The Index”
in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the
estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus) the
projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes,
plus the estimated cost of hedging our obligations under the notes.
Validity
of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as
special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by this pricing supplement
have been issued by JPMorgan Financial pursuant to the indenture, the trustee and/or paying agent has made, in accordance with the instructions
from JPMorgan Financial, the appropriate entries or notations in its records relating to the master global note that represents such notes
(the “master note”), and such notes have been delivered against payment as contemplated herein, such notes will be valid and
binding obligations of JPMorgan Financial and the related guarantee will constitute a valid and binding obligation of JPMorgan Chase & Co.,
enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights
generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good
faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion as to (i) the effect of fraudulent
conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above or (ii) any provision of the
indenture that purports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law by limiting
the amount of JPMorgan Chase & Co.’s obligation under the related guarantee. This opinion is given as of the date
hereof and is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited
Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution
and delivery of the indenture and its authentication of the master note and the validity, binding nature and enforceability of the indenture
with respect to the trustee, all as stated in the letter of such counsel dated February 24, 2023, which
|
PS-8
| Structured Investments
Auto Callable Capped Dual Directional Notes Linked to the S&P
500® Index |
|
was filed as an exhibit to the Registration Statement on Form S-3 by
JPMorgan Financial and JPMorgan Chase & Co. on February 24, 2023.
Additional
Terms Specific to the Notes
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which
these notes are a part, and the more detailed information contained in the accompanying product supplement and the accompanying underlying
supplement. This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all other
prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence,
trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You should
carefully consider, among other things, the matters set forth in the “Risk Factors” sections of the accompanying prospectus
supplement 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-9
| Structured Investments
Auto Callable Capped Dual Directional Notes Linked to the S&P
500® Index |
|
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