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-II dated
November 4, 2020, underlying supplement no. 1-II dated November 4, 2020
and the prospectus and prospectus supplement, each dated April 8, 2020
Key Terms
Issuer:
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase &
Co.
Guarantor:
JPMorgan Chase & Co.
Underlyings: The S&P
500® Index (Bloomberg ticker: SPX) and the NASDAQ-100 Index® (Bloomberg ticker: NDX) (each
of the S&P 500® Index and the NASDAQ-100 Index®, an “Index” and collectively, the “Indices”)
and the iShares® Russell 2000 Value ETF (Bloomberg ticker: IWN) (the “Fund”) (each of the Indices and the Fund,
an “Underlying” and collectively, the “Underlyings”)
Maximum
Return: 18.90% (corresponding to a maximum payment at maturity of $1,189.00 per $1,000 principal
amount note)
Buffer Amount: 25.00%
Pricing
Date: February 1, 2023
Original
Issue Date (Settlement Date): On or about February 6, 2023
Observation
Date*: February 2, 2024
Maturity
Date*: February 7, 2024
* Subject to postponement in the event of a market disruption
event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple
Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement |
Payment at Maturity:
If the Final Value of each Underlying is greater than its Initial Value,
your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Least Performing Underlying
Return), subject to the Maximum Return
If (i) the Final Value of one or more Underlyings is greater than its
Initial Value and the Final Value of the other Underlying or Underlyings is equal to its Initial Value or is less than its Initial Value
by up to the Buffer Amount or (ii) the Final Value of each Underlying is equal to its Initial Value or is less than its Initial Value
by up to the Buffer Amount, you will receive the principal amount of your notes at maturity.
If the Final Value of any Underlying is less than its Initial Value
by more than the Buffer Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + [$1,000 × (Least Performing Underlying
Return + Buffer Amount)]
If the Final Value of any Underlying is less than its Initial Value
by more than the Buffer Amount, you will lose some or most of your principal amount at maturity.
Least Performing Underlying: The
Underlying with the Least Performing Underlying Return
Least Performing Underlying Return: The
lowest of the Underlying Returns of the Underlyings
Underlying Return:
With respect to each Underlying,
(Final Value – Initial Value)
Initial Value
Initial
Value: With respect to each Underlying, the closing
value of that Underlying on the Pricing Date, which was 4,119.21 for the S&P 500® Index, 12,363.10 for the NASDAQ-100
Index® and $153.88 for the Fund
Final
Value: With respect to each Underlying, the closing value of that Underlying on the Observation
Date
Share
Adjustment Factor: The Share Adjustment Factor is referenced in determining the closing value of the Fund and is set equal
to 1.0 on the Pricing Date. The Share Adjustment Factor is subject to adjustment upon the occurrence of certain events affecting the Fund.
See “The Underlyings — Funds — Anti-Dilution Adjustments” in the accompanying product supplement for further information.
|
PS-1
| Structured Investments
Capped Buffered Equity Notes Linked to the Least Performing
of the S&P 500® Index, the NASDAQ-100 Index® and the iShares® Russell 2000 Value ETF |
|
Hypothetical Payout
Profile
The following table and graph illustrate the hypothetical
total return and payment at maturity on the notes linked to three hypothetical Underlyings. The “total return” as used in
this pricing supplement is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal
amount note to $1,000. The hypothetical total returns and payments set forth below assume the following:
| · | an Initial Value for the Least Performing Underlying of 100.00; |
| · | a Maximum Return of 18.90%; and |
| · | a Buffer Amount of 25.00%. |
The hypothetical Initial Value of the Least Performing
Underlying of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value of any Underlying.
The actual Initial Value of each Underlying is the closing value of that Underlying on the Pricing Date and is specified under “Key
Terms — Initial Value” in this pricing supplement. For historical data regarding the actual closing values of each Underlying,
please see the historical information set forth under “The Underlyings” in this pricing supplement.
Each hypothetical total return or hypothetical payment
at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable
to a purchaser of the notes. The numbers appearing in the following table and graph have been rounded for ease of analysis.
Final Value of the
Least Performing
Underlying |
Least Performing
Underlying Return |
Total Return on the Notes |
Payment at Maturity |
180.00 |
80.00% |
18.90% |
$1,189.00 |
165.00 |
65.00% |
18.90% |
$1,189.00 |
150.00 |
50.00% |
18.90% |
$1,189.00 |
140.00 |
40.00% |
18.90% |
$1,189.00 |
130.00 |
30.00% |
18.90% |
$1,189.00 |
120.00 |
20.00% |
18.90% |
$1,189.00 |
118.90 |
18.90% |
18.90% |
$1,189.00 |
110.00 |
10.00% |
10.00% |
$1,100.00 |
105.00 |
5.00% |
5.00% |
$1,050.00 |
101.00 |
1.00% |
1.00% |
$1,010.00 |
100.00 |
0.00% |
0.00% |
$1,000.00 |
95.00 |
-5.00% |
0.00% |
$1,000.00 |
90.00 |
-10.00% |
0.00% |
$1,000.00 |
80.00 |
-20.00% |
0.00% |
$1,000.00 |
75.00 |
-25.00% |
0.00% |
$1,000.00 |
70.00 |
-30.00% |
-5.00% |
$950.00 |
60.00 |
-40.00% |
-15.00% |
$850.00 |
50.00 |
-50.00% |
-25.00% |
$750.00 |
40.00 |
-60.00% |
-35.00% |
$650.00 |
30.00 |
-70.00% |
-45.00% |
$550.00 |
20.00 |
-80.00% |
-55.00% |
$450.00 |
10.00 |
-90.00% |
-65.00% |
$350.00 |
0.00 |
-100.00% |
-75.00% |
$250.00 |
PS-2
| Structured Investments
Capped Buffered Equity Notes Linked to the Least Performing
of the S&P 500® Index, the NASDAQ-100 Index® and the iShares® Russell 2000 Value ETF |
|
The following graph demonstrates the hypothetical payments
at maturity on the notes for a sub-set of Least Performing Underlying Returns detailed in the table above (-50% to 50%). There can be
no assurance that the performance of the Least Performing Underlying will result in the return of any of your principal amount in excess
of $250.00 per $1,000 principal amount note, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
How the Notes
Work
Upside Scenario:
If the Final Value of each Underlying is greater than
its Initial Value, investors will receive at maturity the $1,000 principal amount plus a return equal to the Least Performing Underlying
Return, up to the Maximum Return of 18.90%. An investor will realize the maximum payment at maturity at a Final Value of the Least Performing
Underlying of 118.90% or more of its Initial Value.
| · | If the closing value of the Least Performing Underlying increases 10.00%, investors will receive at maturity a 10.00% return, or $1,100.00
per $1,000 principal amount note. |
| · | If the closing value of the Least Performing Underlying increases 40.00%, investors will receive at maturity a return equal to the
18.90% Maximum Return, or $1,189.00 per $1,000 principal amount note, which is the maximum payment at maturity. |
Par Scenario:
If (i) the Final Value of one or more Underlyings is
greater than its Initial Value and the Final Value of the other Underlying or Underlyings is equal to its Initial Value or is less than
its Initial Value by up to the Buffer Amount of 25.00% or (ii) the Final Value of each Underlying is equal to its Initial Value or is
less than its Initial Value by up to the Buffer Amount of 25.00%, investors will receive at maturity the principal amount of their notes.
Downside Scenario:
If the Final Value of any Underlying is less than its
Initial Value by more than the Buffer Amount of 25.00%, investors will lose 1% of the principal amount of their notes for every 1% that
the Final Value of the Least Performing Underlying is less than its Initial Value by more than the Buffer Amount.
| · | For example, if the closing value of the Least Performing Underlying declines 60.00%, investors will lose 35.00% of their principal
amount and receive only $650.00 per $1,000 principal amount note at maturity, calculated as follows: |
$1,000
+ [$1,000 × (-60.00% + 25.00%)] = $650.00
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect the fees or
expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns
and hypothetical payments shown above would likely be lower.
PS-3
| Structured Investments
Capped Buffered Equity Notes Linked to the Least Performing
of the S&P 500® Index, the NASDAQ-100 Index® and the iShares® Russell 2000 Value ETF |
|
Selected
Risk Considerations
An investment in the notes involves significant risks.
These risks are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement, product
supplement and underlying supplement.
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 Final Value of any Underlying is less than its Initial Value by more than 25.00%, you will lose 1% of the principal amount of your
notes for every 1% that the Final Value of the Least Performing Underlying is less than its Initial Value by more than 25.00%. Accordingly,
under these circumstances, you will lose up to 75.00% of your principal amount at maturity.
| · | YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE MAXIMUM RETURN, |
regardless of any appreciation of any Underlying,
which may be significant.
| · | 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.
| · | YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE VALUE OF EACH UNDERLYING — |
Payments on the notes are not linked to a basket
composed of the Underlyings and are contingent upon the performance of each individual Underlying. Poor performance by any of the Underlyings
over the term of the notes may negatively affect your payment at maturity and will not be offset or mitigated by positive performance
by any other Underlying.
| · | YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING UNDERLYING. |
| · | THE NOTES DO NOT PAY INTEREST. |
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE FUND OR THE SECURITIES INCLUDED IN OR HELD BY ANY UNDERLYING OR HAVE ANY RIGHTS WITH RESPECT
TO THE FUND OR 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.
PS-4
| Structured Investments
Capped Buffered Equity Notes Linked to the Least Performing
of the S&P 500® Index, the NASDAQ-100 Index® and the iShares® Russell 2000 Value ETF |
|
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 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 values of the Underlyings. 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.
PS-5
| Structured Investments
Capped Buffered Equity Notes Linked to the Least Performing
of the S&P 500® Index, the NASDAQ-100 Index® and the iShares® Russell 2000 Value ETF |
|
Risks Relating to the Underlyings
| · | JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500® 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 S&P 500® Index.
| · | NON-U.S. SECURITIES RISK WITH RESPECT TO THE NASDAQ-100 INDEX® — |
Some of
the equity securities included in the NASDAQ-100 Index® have been issued by non-U.S. companies. Investments in securities
linked to the value of such non-U.S. equity securities involve risks associated with the home countries of the issuers of those non-U.S.
equity securities.
| · | THERE ARE RISKS ASSOCIATED WITH THE FUND — |
The Fund
is subject to management risk, which is the risk that the investment strategies of the 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
price of the shares of the Fund and, consequently, the value of the notes.
| · | THE PERFORMANCE AND MARKET VALUE OF THE FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY,
MAY NOT CORRELATE WITH THE PERFORMANCE OF THE FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE — |
The Fund
does not fully replicate its Underlying Index (as defined under “The Underlyings” below) and may hold securities different
from those included in its Underlying Index. In addition, the performance of the 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 the Fund and its Underlying Index. In addition, corporate actions with respect to the equity securities underlying the Fund (such as
mergers and spin-offs) may impact the variance between the performances of the Fund and its Underlying Index. Finally, because the shares
of the Fund are traded on a securities exchange and are subject to market supply and investor demand, the market value of one share of
the Fund may differ from the net asset value per share of the Fund.
During
periods of market volatility, securities underlying the Fund may be unavailable in the secondary market, market participants may be unable
to calculate accurately the net asset value per share of the Fund and the liquidity of the Fund may be adversely affected. This kind of
market volatility may also disrupt the ability of market participants to create and redeem shares of the Fund. Further, market volatility
may adversely affect, sometimes materially, the prices at which market participants are willing to buy and sell shares of the Fund. As
a result, under these circumstances, the market value of shares of the Fund may vary substantially from the net asset value per share
of the Fund. For all of the foregoing reasons, the performance of the Fund may not correlate with the performance of its Underlying Index
as well as the net asset value per share of the Fund, which could materially and adversely affect the value of the notes in the secondary
market and/or reduce any payment on the notes.
| · | AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH RESPECT TO THE FUND — |
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.
PS-6
| Structured Investments
Capped Buffered Equity Notes Linked to the Least Performing
of the S&P 500® Index, the NASDAQ-100 Index® and the iShares® Russell 2000 Value ETF |
|
| · | THE INVESTMENT STRATEGY REPRESENTED BY THE FUND MAY NOT BE SUCCESSFUL — |
The
Fund 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 Fund 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 one share of the Fund and the value and return of the notes.
| · | THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED — |
The calculation
agent will make adjustments to the Share Adjustment Factor for certain events affecting the shares of the Fund. However, the calculation
agent will not make an adjustment in response to all events that could affect the shares of the Fund. 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-7
| Structured Investments
Capped Buffered Equity Notes Linked to the Least Performing
of the S&P 500® Index, the NASDAQ-100 Index® and the iShares® Russell 2000 Value ETF |
|
The Underlyings
The S&P 500® Index consists of stocks
of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For additional information about the S&P
500® Index, see “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying underlying
supplement.
The NASDAQ-100 Index® is a modified
market capitalization-weighted index of 100 of the largest non-financial securities listed on The NASDAQ Stock Market based on market
capitalization. For additional information about the NASDAQ-100 Index®, see “Equity Index Descriptions — The
NASDAQ-100 Index®” in the accompanying underlying supplement.
The Fund is an exchange-traded fund of iShares®
Trust, a registered investment company, that 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 we refer to as the Underlying Index with respect to the Fund.
The Underlying Index for the Fund 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. For additional information about
the Fund, see “Fund Descriptions — The iShares® ETFs” in the accompanying underlying supplement. For
purposes of the accompanying underlying supplement, the Fund is an “iShares® ETF.” For additional information
about the Russell 2000® Value Index, see Annex A in this pricing supplement.
Historical Information
The following graphs set forth the historical performance
of each Underlying based on the weekly historical closing values from January 5, 2018 through January 27, 2023. The closing value of the
S&P 500® Index on February 1, 2023 was 4,119.21. The closing value of the NASDAQ-100 Index® on February
1, 2023 was 12,363.10. The closing value of the Fund on February 1,
2023 was $153.88. We obtained the closing values above and below from the Bloomberg Professional® service (“Bloomberg”),
without independent verification. The closing values of the Fund above and below may have been adjusted by Bloomberg for actions taken
by the Fund, such as stock splits.
The historical closing values of each Underlying
should not be taken as an indication of future performance, and no assurance can be given as to the closing value of any Underlying on
the Observation Date. There can be no assurance that the performance of the Underlyings will result in the return of any of your principal
amount in excess of $250.00 per $1,000 principal amount note, subject to the credit risks of JPMorgan Financial and JPMorgan Chase &
Co.
PS-8
| Structured Investments
Capped Buffered Equity Notes Linked to the Least Performing
of the S&P 500® Index, the NASDAQ-100 Index® and the iShares® Russell 2000 Value ETF |
|
Tax Treatment
In determining
our reporting responsibilities, we intend to treat the notes for U.S. federal income tax purposes as “open transactions” that
are not debt instruments, as described in the section entitled “Material U.S. Federal Income Tax Consequences– Notes Treated
as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement. no. 4-II. 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
and adversely affected.
No statutory,
judicial or administrative authority directly addresses the characterization of the notes (or similar instruments) for U.S. federal income
tax purposes, and no ruling is being requested from the IRS with respect to their proper characterization and treatment. Assuming that
“open transaction” treatment is respected, subject to the possible application of the “constructive ownership”
rules described below, the gain or loss on your notes should be treated as long-term capital gain or loss if you hold your notes for more
than a year, whether or not you are an initial purchaser of the notes at the issue price. However, the IRS or a court may not respect
the treatment of the notes as “open transactions,” in which case the timing and character of any income or loss on the notes
could be materially and adversely affected. For instance, the notes could be treated as contingent payment debt instruments, in which
case the gain on your notes would be treated as ordinary income and you would be required to accrue original issue discount 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 until maturity.
PS-9
| Structured Investments
Capped Buffered Equity Notes Linked to the Least Performing
of the S&P 500® Index, the NASDAQ-100 Index® and the iShares® Russell 2000 Value ETF |
|
In addition,
assuming that “open transaction” treatment is respected, the notes 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 notes 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 notes. Our special tax counsel has not expressed an opinion with respect to whether the constructive ownership
rules apply to the notes. Accordingly, U.S. Holders should consult their tax advisers regarding the potential application of the constructive
ownership rules.
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 notes, 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 notes, 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 notes with regard to Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree
with this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including whether
you enter into other transactions with respect to an Underlying Security. You should consult your tax adviser regarding the potential
application of Section 871(m) to the notes.
The Estimated
Value of the Notes
The estimated value of the notes set forth on the
cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component
with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing to
buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated
value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by
JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’ view of
the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison
to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based on certain
market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement funding
rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms
of the notes and any secondary market prices of the notes. For additional information, see “Selected Risk Considerations —
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.
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of the S&P 500® Index, the NASDAQ-100 Index® and the iShares® Russell 2000 Value ETF |
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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 Underlyings”
in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the
estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus) the
projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes,
plus the estimated cost of hedging our obligations under the notes.
Supplemental
Plan of Distribution
We expect that delivery of the notes will be made against
payment for the notes on or about the Original Issue Date set forth on the front cover of this pricing supplement, which will be the third
business day following the Pricing Date of the notes (this settlement cycle being referred to as “T+3”). Under Rule 15c6-1
of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in two business days,
unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade notes on any date prior to two business
days before delivery will be required to specify an alternate settlement cycle at the time of any such trade to prevent a failed settlement
and should consult their own advisors.
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| Structured Investments
Capped Buffered Equity Notes Linked to the Least Performing
of the S&P 500® Index, the NASDAQ-100 Index® and the iShares® Russell 2000 Value ETF |
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Supplemental
Information About the Form of the Notes
The notes will initially be represented by a type of
global security that we refer to as a master note. A master note represents multiple securities that may be issued at different
times and that may have different terms. The trustee and/or paying agent will, in accordance with instructions from us, make appropriate
entries or notations in its records relating to the master note representing the notes to indicate that the master note evidences the
notes.
Validity
of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as
special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by this pricing supplement have been
issued by JPMorgan Financial pursuant to the indenture, the trustee and/or paying agent has made, in accordance with the instructions
from JPMorgan Financial, the appropriate entries or notations in its records relating to the master global note that represents such notes
(the “master note”), and such notes have been delivered against payment as contemplated herein, such notes will be valid and
binding obligations of JPMorgan Financial and the related guarantee will constitute a valid and binding obligation of JPMorgan Chase &
Co., enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’
rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts
of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion as to (i) the effect of
fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above or (ii) any provision
of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law
by limiting the amount of JPMorgan Chase & Co.’s obligation under the related guarantee. This opinion is given as of the
date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware
Limited Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustee’s authorization,
execution and delivery of the indenture and its authentication of the master note and the validity, binding nature and enforceability
of the indenture with respect to the trustee, all as stated in the letter of such counsel dated May 6, 2022, which was filed as an exhibit
to a Current Report on Form 8-K by JPMorgan Chase & Co. on May 6, 2022.
Additional
Terms Specific to the Notes
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which
these notes are a part, and the more detailed information contained in the accompanying product supplement and the accompanying underlying
supplement. This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all other
prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence,
trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You should
carefully consider, among other things, the matters set forth in the “Risk Factors” sections of the accompanying prospectus
supplement, the accompanying product supplement and the accompanying underlying supplement, as the notes involve risks not associated
with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest
in the notes.
You may access these documents on the SEC website at
www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is
1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us” and
“our” refer to JPMorgan Financial.
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Capped Buffered Equity Notes Linked to the Least Performing
of the S&P 500® Index, the NASDAQ-100 Index® and the iShares® Russell 2000 Value ETF |
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Annex
A
The Russell 2000® Value Index
All information contained in this pricing supplement
regarding the Russell 2000® Value Index (the “Value Index”), including, without limitation, its make-up, method
of calculation and changes in its components, has been derived from publicly available information, without independent verification.
This information reflects the policies of, and is subject to change by, FTSE Russell. The Value Index is calculated, maintained and published
by FTSE Russell. FTSE Russell has no obligation to publish, and may discontinue the publication of, the Value Index.
The Value Index is reported by Bloomberg under the
ticker symbol “RUJ.”
The Value Index measures the capitalization-weighted
price performance of the stocks included in the Russell 2000® Index (each, a “Russell 2000 Component Stock”
and collectively, the “Russell 2000 Component Stocks”) that are determined by FTSE Russell to be value oriented, with lower
price-to-book ratios and lower forecasted growth values. The Russell 2000® Index measures the capitalization-weighted price
performance of 2,000 U.S. small-capitalization stocks listed on eligible U.S. exchanges. For more information about the Russell 2000®
Index, see “Equity Index Descriptions — The Russell Indices” in the accompanying underlying supplement.
FTSE Russell uses a “non-linear probability”
method to assign stocks to the Value Index and the Russell 2000® Growth Index (the “Growth Index”), an index
that measures the capitalization-weighted price performance of the Russell 2000 Component Stocks determined by FTSE Russell to be growth
oriented, with higher price-to-book ratios and higher forecasted growth values. The term “probability” is used to indicate
the degree of certainty that a stock is value or growth based on its relative book-to-price (B/P) ratio, I/B/E/S forecast medium-term
growth (2 year) and sales per share historical growth (5 year). This method allows stocks to be represented as having both growth and
value characteristics, while preserving the additive nature of the indices.
The process for assigning growth and value weights
is applied separately to the Russell 2000 Component Stocks. The Russell 2000 Component Stocks are ranked by their adjusted book-to-price
ratio (B/P), their I/B/E/S forecast medium-term growth (2 year) and sales per share historical growth (5 year). These rankings are converted
to standardized units, where the value variable represents 50% of the score and the two growth variables represent the remaining 50%.
They are then combined to produce a Composite Value Score (“CVS”).
The Russell 2000 Component Stocks are then ranked by
their CVS, and a probability algorithm is applied to the CVS distribution to assign growth and value weights to each stock. In general,
a stock with a lower CVS is considered growth, a stock with a higher CVS is considered value, and a stock with a CVS in the middle range
is considered to have both growth and value characteristics, and is weighted proportionately in the growth and value indices. Stocks are
always fully represented by the combination of their growth and value weights (e.g., a stock that is given a 20% weight in the Value Index
will have an 80% weight in the Growth Index).
Stock A, in the figure below, is a security with 20%
of its available shares assigned to the Value Index and the remaining 80% assigned to the Growth Index. Hence, the sum of a stock’s
market capitalization in the Value Index and the Growth Index will always equal its market capitalization in the Russell 2000®
Index.
In the figure above, the quartile breaks are calculated
such that approximately 25% of the available market capitalization lies in each quartile. Stocks at the median are divided 50% in each
of the Value Index and the Growth Index. Stocks below the first quartile are 100% in the Growth Index. Stocks above the third quartile
are 100% in the Value Index. Stocks falling between the first and third quartile breaks are in both the Value Index and the Growth Index
to varying degrees, depending on how far they are above or below the median and how close they are to the first or third quartile breaks.
PS-13
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Capped Buffered Equity Notes Linked to the Least Performing
of the S&P 500® Index, the NASDAQ-100 Index® and the iShares® Russell 2000 Value ETF |
|
Roughly 70% of the available market capitalization
is classified as all growth or all value. The remaining 30% have some portion of their market value in either the Value Index or the Growth
Index, depending on their relative distance from the median value score. Note that there is a small position cutoff rule. If a stock’s
weight is more than 95% in one index, its weight is increased to 100% in that index.
In an effort to mitigate unnecessary turnover, FTSE
Russell implements a banding methodology at the CVS level of the growth and value style algorithm. If a company’s CVS change from
the previous year is greater than or equal to +/- 0.10 and if the company remains in the same core index (i.e., the Russell 2000®
Index), then the CVS remains unchanged during the next reconstitution process. Keeping the CVS static for these companies does not mean
the probability (growth/value) will remain unchanged in all cases due to the relation of a CVS score to the overall index. However, this
banding methodology is intended to reduce turnover caused by smaller, less meaningful movements while continuing to allow the larger,
more meaningful changes to occur, signaling a true change in a company’s relation to the market.
In calculating growth and value weights, stocks with
missing or negative values for B/P, or missing values for I/B/E/S growth, or missing sales per share historical growth (6 years of quarterly
numbers are required), are allocated by using the mean value score of the base index (the Russell 2000® Index), the Russell
Global Sectors (ICB) industry, subsector or sector group into which the company falls. Each missing (or negative B/P) variable is substituted
with the industry, subsector or sector group independently. An industry must have five members or the substitution reverts to the subsector,
and so forth to the sector. In addition, a weighted value score is calculated for securities with low analyst coverage for I/B/E/S medium-term
growth. For securities with coverage by a single analyst, 2/3 of the industry, subsector, or sector group value score is weighted with
1/3 the security’s independent value score. For those securities with coverage by two analysts, 2/3 of the independent security’s
value score is used and only 1/3 of the industry, subsector, or sector group is weighted. For those securities with at least three analysts
contributing to the I/B/E/S medium-term growth, 100% of the independent security’s value score is used.
For more information about the index calculation methodology
used for the Value Index, see “Equity Index Descriptions — The Russell Indices” in the accompanying underlying supplement.
For purposes of this pricing supplement, all references to the Russell Indices contained in the above-referenced section are deemed to
include the Value Index.
PS-14
| Structured Investments
Capped Buffered Equity Notes Linked to the Least Performing
of the S&P 500® Index, the NASDAQ-100 Index® and the iShares® Russell 2000 Value ETF |
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