Key Terms
Issuer: |
JPMorgan Chase Financial Company LLC |
Guarantor: |
JPMorgan Chase & Co. |
Reference Rate: |
2-Year U.S. Dollar SOFR ICE Swap Rate (the “ICE Swap Rate”) determined as set forth under “Supplemental Terms of the Notes” in this pricing supplement |
Payment at Maturity: |
If the Final Reference Rate is greater than or equal to the Reference Strike
Rate or is less than the Reference Strike Rate by up to the Buffer Amount, at maturity you will receive a cash payment that provides you
with a return per $1,000 principal amount note equal to the Contingent Digital Return. Accordingly, under these circumstances, your payment
at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Contingent Digital Return) |
If the Final Reference Rate is less than the Reference Strike Rate by more
than the Buffer Amount, at maturity you will lose 2.00% of the principal amount of your notes for every 1% that the Final Reference Rate
is less than the Reference Strike Rate by more than the Buffer Amount. Under these circumstances, your payment at maturity per $1,000
principal amount note will be calculated as follows:
$1,000 + [$1,000 × (Reference Rate Return + Buffer
Amount) × Downside Leverage Factor]
If the Final Reference Rate is less than the Reference Strike Rate by
more than the Buffer Amount, you will lose some or all of your principal amount at maturity. |
Contingent Digital Return: |
At least 10.10%, which reflects the maximum return on the notes. Accordingly, assuming a Contingent Digital Return of 10.10%, the maximum payment at maturity per $1,000 principal amount note is $1,101.00. The actual Contingent Digital Return will be provided in the pricing supplement and will not be less than 10.10%. |
Buffer Amount: |
50.00% |
Downside Leverage Factor: |
2.00 |
Strike Date:
Pricing Date: |
February 6, 2023
On or about February 7, 2023 |
Original Issue Date: |
On or about February 10, 2023 (Settlement Date) |
Observation Date†: |
February 16, 2024 |
Maturity Date††: |
February 22, 2024 |
Other Key Terms |
See “Additional Key Terms” in this pricing supplement. |
| † | Subject to adjustment as described under “Supplemental Terms of the Notes” in this pricing supplement |
| †† | Subject
to postponement as described under “General Terms of Notes — Postponement of
a Payment Date” in the accompanying product supplement |
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-6 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, 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 |
$ |
$ |
Total |
$ |
$ |
$ |
| (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
it receives from us to other affiliated or unaffiliated dealers. In no event will these selling commissions exceed $10.00 per $1,000 principal
amount note. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement. |
If the notes priced today, the estimated
value of the notes would be approximately $981.50 per $1,000 principal amount note. The estimated value of the notes, when the terms of
the notes are set, will be provided in the pricing supplement and will not be less than $970.00 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.
Additional Terms Specific to the Notes
You may revoke your offer to purchase the notes at
any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of,
or reject any offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes, we will notify
you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes, in which
case we may reject your offer to purchase.
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which
these notes are a part, and the more detailed information contained in the accompanying product supplement. 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” section 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.
Additional Key Terms
Reference Rate Return: |
Final Reference Rate – Reference Strike Rate
Reference Strike Rate |
|
However, if the formula above would result in a percentage that is less the -100%, the Reference Rate Return will be deemed to be equal to -100%. |
Reference Strike Rate: |
4.474%, which is a rate of the 2-Year U.S. Dollar SOFR ICE Swap Rate determined
by reference to certain intraday rates of the 2-Year U.S. Dollar SOFR ICE Swap Rate on the Strike Date. The Reference Strike Rate is
not determined by reference to the Reference Rate on the Strike Date or the Pricing Date.
Although the calculation agent has made all determinations and has taken
all actions in relation to the establishment of the Reference Strike Rate in good faith, it should be noted that such discretion could
have an impact (positive or negative), on the value of your notes. The calculation agent is under no obligation to consider your interests
as a holder of the notes in taking any actions, including the determination of the Reference Strike Rate, that might affect the value
of your notes. |
Final Reference Rate: |
The Reference Rate on the Observation Date |
CUSIP: |
48133U3M2 |
Supplemental Terms of the Notes
The Observation Date is a Determination Date for purposes
of the accompanying product supplement, but is not subject to postponement under “General Terms of Notes — Postponement of
a Determination Date.” Instead, it is subject to adjustment as described below.
With respect to any day, the Reference Rate refers to
the rate for U.S. dollar swaps with a designated maturity of 2 years, referencing the Secured Overnight Financing Rate (“SOFR”)
(compounded in arrears for twelve months using standard market conventions), that appears on the Bloomberg Screen USISSO02 Page at approximately
11:00 a.m., New York City time, on that day, as determined by the calculation agent, provided that, if no such rate appears on
the Bloomberg Screen USISSO02 Page on that day at approximately 11:00 a.m., New York City time, then the calculation agent, after consulting
such sources as it deems comparable to the foregoing display page, or any such source it deems reasonable from which to estimate the relevant
rate for U.S. dollar swaps referencing SOFR, will determine the Reference Rate for that day in its sole discretion.
“Bloomberg Screen USISSO02 Page” means the
display designated as the Bloomberg screen “USISSO02” or such other page as may replace the Bloomberg screen “USISSO02”
on that service or such other service or services as may be nominated for the purpose of displaying rates for U.S. dollar swaps referencing
SOFR by ICE Benchmark Administration Limited (“IBA”) or its successor or such other entity assuming the responsibility of
IBA or its successor in calculating rates for U.S. dollar swaps referencing SOFR in the event IBA or its successor no longer does so.
Notwithstanding the foregoing paragraph:
(i) If the calculation agent determines
in its sole discretion on or prior to the relevant day that the relevant rate for U.S. dollar swaps referencing SOFR has been discontinued
or that rate has ceased to be published permanently or
indefinitely, then the calculation agent will use as the Reference Rate for
that day a substitute or successor rate that it has determined in its
| |
JPMorgan Structured Investments — | PS-1 |
Digital Notes Linked to the 2-Year U.S. Dollar SOFR ICE Swap Rate | |
sole discretion, after consulting an investment bank of
national standing in the United States (which may be an affiliate of ours) or any other source it deems reasonable, to be a commercially
reasonable replacement rate; and
(ii) If the calculation agent has determined a substitute
or successor rate in accordance with the foregoing, the calculation agent may determine in its sole discretion, after consulting an investment
bank of national standing in the United States (which may be an affiliate of ours) or any other source it deems reasonable, the definitions
of business day and Observation Date and any other relevant methodology for calculating that substitute or successor rate, including any
adjustment factor, spread and/or formula it determines is needed to make that substitute or successor rate comparable to the relevant
rate for U.S. dollar swaps referencing SOFR, in a manner that is consistent with industry-accepted practices for that substitute or successor
rate.
JPMS, one of our affiliates, will act as the calculation
agent for the notes. We may appoint a different calculation agent, including ourselves or another affiliate of ours, from time to time
after the date of this pricing supplement without your consent and without notifying you. See “General Terms of Notes —
Calculation Agent” in the accompanying product supplement.
| |
JPMorgan Structured Investments — | PS-2 |
Digital Notes Linked to the 2-Year U.S. Dollar SOFR ICE Swap Rate | |
What Is the Total Return on the Notes
at Maturity, Assuming a Range of Performances for the Reference Rate?
The following table and examples illustrate the hypothetical
total return and the hypothetical payment at maturity on the notes. 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.
Each hypothetical total return or payment at maturity set forth below assumes a Reference Strike Rate of 4.50% and a Contingent Digital
Return of 10.10% and reflects the Buffer Amount of 50.00% and the Downside Leverage Factor of 2.00. The actual Contingent Digital
Return will be provided in the pricing supplement and will not be less than 10.10%.
Each hypothetical total return or 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 examples have been rounded for ease of analysis.
Final Reference Rate |
Reference Rate
Return |
Total Return |
8.10000% |
80.00% |
10.10% |
7.42500% |
65.00% |
10.10% |
6.75000% |
50.00% |
10.10% |
6.30000% |
40.00% |
10.10% |
5.85000% |
30.00% |
10.10% |
5.40000% |
20.00% |
10.10% |
4.95000% |
10.00% |
10.10% |
4.72500% |
5.00% |
10.10% |
4.50000% |
0.00% |
10.10% |
4.27500% |
-5.00% |
10.10% |
4.05000% |
-10.00% |
10.10% |
3.60000% |
-20.00% |
10.10% |
3.15000% |
-30.00% |
10.10% |
2.70000% |
-40.00% |
10.10% |
2.25000% |
-50.00% |
10.10% |
2.24955% |
-50.01% |
-0.02% |
1.80000% |
-60.00% |
-20.00% |
1.35000% |
-70.00% |
-40.00% |
0.90000% |
-80.00% |
-60.00% |
0.45000% |
-90.00% |
-80.00% |
0.00000% |
-100.00% |
-100.000% |
-0.45000% |
-100.00% |
-100.000% |
-0.90000% |
-100.00% |
-100.000% |
-1.35000% |
-100.00% |
-100.000% |
Hypothetical Examples of Amount Payable
at Maturity
The following examples illustrate how the payment at maturity
in different hypothetical scenarios is calculated.
Example 1: The Reference Rate increases from the Reference
Strike Rate of 4.50% to a Final Reference Rate of 4.725%. Because the Final Reference Rate of 4.725% is greater than the Reference
Strike Rate of 4.50%, regardless of the Reference Rate Return, the investor receives a payment at maturity of $1,101.00 per $1,000 principal
amount note, calculated as follows:
$1,000 + ($1,000 × 10.10%) =
$1,101.00
Example 2: The Reference Rate decreases from the Reference
Strike Rate of 4.50% to a Final Reference Rate of 2.25%. Although the Final Reference Rate of 2.25% is less than the Reference Strike
Rate of 4.50%, because the Final Reference Rate is not less than the Reference Strike Rate by more than the Buffer Amount of 50.00%, the
investor receives a payment at maturity of $1,101.00 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × 10.10%) =
$1,101.00
Example 3: The Reference Rate increases from the Reference
Strike Rate of 4.50% to a Final Reference Rate of 6.30%. Because the Final Reference Rate of 6.30% is greater than the Reference Strike
Rate of 4.50% and although the Reference Rate Return of 40% exceeds the Contingent Digital Return of 10.10%, the investor is entitled
to only the Contingent Digital Return and receives a payment at maturity of $1,101.00 per $1,000 principal amount note, calculated as
follows:
$1,000 + ($1,000 × 10.10%) =
$1,101.00
| |
JPMorgan Structured Investments — | PS-3 |
Digital Notes Linked to the 2-Year U.S. Dollar SOFR ICE Swap Rate | |
Example 4: The Reference Rate decreases from the Reference
Strike Rate of 4.50% to a Final Reference Rate of 1.80%. Because the Final Reference Rate of 1.80% is less than the Reference Strike
Rate of 4.50% by more than the Buffer Amount of 50.00% and the Reference Rate Return is -60%, the investor receives a payment at maturity
of $800.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-60% + 50%)
× 2.00] = $800.00
Example 5: The Reference Rate decreases from the Reference
Strike Rate of 4.50% to a Final Reference Rate of
-0.45%. Because the Final Reference Rate of -0.45% is less than the Reference Strike Rate of 4.50% by more than the Buffer Amount
of 50.00% and the Reference Rate Return would have been less than -100% but for the floor on the Reference Rate Return of -100%, the Reference
Rate Return is -100%. As a result, the investor receives a payment at maturity of $0, calculated as follows:
$1,000 + ($1,000 × -100%) = $0
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 fees or expenses that
would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns and hypothetical
payments shown above would likely be lower.
| |
JPMorgan Structured Investments — | PS-4 |
Digital Notes Linked to the 2-Year U.S. Dollar SOFR ICE Swap Rate | |
Selected Purchase Considerations
· | FIXED APPRECIATION POTENTIAL
— If the Final Reference Rate is greater than or equal to the Reference Strike Rate or is less than the Reference Strike Rate by
up to the Buffer Amount, you will receive a fixed return equal to the Contingent Digital Return of at least 10.10% at maturity, which
also reflects the maximum return on the notes at maturity. The actual Contingent Digital Return will be provided in the pricing supplement
and will not be less than 10.10%. Because the notes are our unsecured and unsubordinated obligations, the payment of which is fully
and unconditionally guaranteed by JPMorgan Chase & Co., payment of any amount on the notes is subject to our ability to pay our obligations
as they become due and JPMorgan Chase & Co.’s ability to pay its obligations as they become due. |
· | LIMITED PROTECTION AGAINST
LOSS — We will pay you your principal back plus the Contingent Digital Return at maturity if the Final Reference Rate
is greater than or equal to the Reference Strike Rate or is less than the Reference Strike Rate by up to the Buffer Amount of 50.00%.
If the Final Reference Rate is less than the Reference Strike Rate by more than the Buffer Amount, you will lose 2.00% of your principal
amount at maturity for every 1% that the Final Reference Rate is less than the Reference Strike Rate by more than the Buffer Amount. Accordingly,
under these circumstances, you will lose some or all of your principal amount at maturity. In addition, because the return on the notes
is based on the percentage change of the Reference Rate from the Reference Strike Rate to the Final Reference Rate, rather than the percentage
point change in the Reference Rate, a very small percentage point decline in the Reference Rate can result in a significant loss on the
notes. Even if the Final Reference Rate is negative, your payment at maturity per $1,000 principal amount note will not be less than
$0. |
· | THE NOTES ARE NOT TRADITIONAL
FIXED INCOME SECURITIES — Traditional fixed income securities linked to an interest rate, commonly referred to as floating rate
notes, typically provide for the return of an investor’s principal amount at maturity and the payment of periodic interest that
depends on the performance of the interest rate to which the securities are linked. As a result, any decline in the interest rate would
potentially result in a reduction in the amount of any periodic interest paid on the securities, but would not adversely affect the return
of the investor’s principal amount at maturity. However, the notes offered by this pricing supplement do not pay periodic interest
and the amount an investor receives at maturity will depend on the performance of the Reference Rate. A decline from the Reference Strike
Rate to the Final Reference Rate by more than the Buffer Amount will result in the investors losing some or all of their principal amount
at maturity. |
· | RETURN DEPENDENT ON THE
2-YEAR U.S. DOLLAR SOFR ICE SWAP RATE — The ICE Swap Rate is a “constant
maturity swap rate” that measures the annual fixed rate of interest payable on a hypothetical fixed-for-floating U.S. dollar interest
rate swap transaction with a 2-year maturity. In such a hypothetical swap transaction, the fixed rate of interest, payable annually on
an actual / 360 basis (i.e., interest accrues based on the actual number of days elapsed, with a year assumed to comprise 360 days),
is exchangeable for a floating payment stream based on SOFR (compounded in arrears for twelve months using standard market conventions),
also payable annually on an actual / 360 basis. SOFR is intended to be a broad measure of the cost of borrowing cash overnight collateralized
by Treasury securities. For more information about SOFR, see “Annex A — SOFR” in this pricing supplement. The Contingent
Digital Return is a fixed return and will not vary based on the Reference Rate. |
· | 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, although not free from doubt, 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.
In addition, in 2007 Treasury and the
IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar
instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their
investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments;
the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which
income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments
are or should be subject to the “constructive ownership” regime, which very generally can operate to recharacterize certain
long-term capital gain as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate transition
rules and effective dates, any Treasury regulations or other
| |
JPMorgan Structured Investments — | PS-5 |
Digital Notes Linked to the 2-Year U.S. Dollar SOFR ICE Swap Rate | |
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 possible alternative
treatments and the issues presented by this notice.
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 the
accompanying product supplement and below.
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 Reference Rate is less than the Reference
Strike Rate by more than the Buffer Amount of 50.00%, you will lose 2.00% of your principal amount at maturity for every 1% that the Final
Reference Rate, which may be a negative rate, is less than the Reference Strike Rate by more than the Buffer Amount. In no event, however,
will the Reference Rate Return be less than -100%. Accordingly, under these circumstances, you will lose some or all of your principal
amount at maturity. |
In addition, because the return on the notes is based
on the percentage change of the Reference Rate from the Reference Strike Rate to the Final Reference Rate, rather than the percentage
point in the Reference Rate, a very small percentage point decline in the Reference Rate can result in a significant loss on the notes.
For example, assuming a Reference Strike Rate of 4.50%, if the Reference Rate were to decline by only 2.70 percentage points from the
Reference Strike Rate to a Final Reference Rate of 1.80%, that move would represent a 60% decline from the Reference Strike Rate and you
would lose approximately 20.00% of your principal amount at maturity.
· | YOUR MAXIMUM GAIN ON THE
NOTES IS LIMITED TO THE CONTINGENT DIGITAL RETURN — If the Final Reference Rate is greater than or equal to the Reference Strike
Rate or is less than the Reference Strike Rate by up to the Buffer Amount, for each $1,000 principal amount note, you will receive at
maturity $1,000 plus an additional return equal to the Contingent Digital Return, regardless of any increase in the Reference Rate,
which may be significant. The Contingent Digital Return is a fixed return and will not vary based on the Reference Rate. |
· | YOUR ABILITY TO RECEIVE
THE CONTINGENT DIGITAL RETURN MAY TERMINATE ON THE OBSERVATION DATE — If the Final Reference Rate is less than the Reference
Strike Rate by more than the Buffer Amount, you will not be entitled to receive the Contingent Digital Return at maturity. Under
these circumstances, you will lose some or all of your principal amount at maturity. |
· | CREDIT RISKS OF JPMORGAN
FINANCIAL AND JPMORGAN CHASE & CO. — The notes are subject to our and JPMorgan Chase & Co.’s credit risks, and
our and JPMorgan Chase & Co.’s credit ratings and credit spreads may adversely affect the market value of the notes. 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. |
· | THE NOTES ARE NOT TRADITIONAL
FIXED INCOME SECURITIES — Traditional fixed income securities linked to an interest rate, commonly referred to as floating rate
notes, typically provide for the return of an investor’s principal amount at maturity and the payment of periodic interest that
depends on the performance of the interest rate to which the securities are linked. As a result, any decline in the interest rate would
potentially result in a reduction in the amount of any periodic interest paid on the securities, but would not adversely affect the return
of the investor’s principal amount at maturity. However, the notes offered by this pricing supplement do not pay periodic interest
and the amount an investor receives at maturity will depend on the performance of the Reference Rate. A decline from the Reference Strike
Rate to the Final Reference Rate by more than the Buffer Amount will result in the investors losing some or all of their principal amount
at maturity. |
· | LACK OF LIQUIDITY —
The notes will not be listed on any securities exchange. JPMS intends to offer to purchase the notes in the secondary market but is not
required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the notes easily.
Because other dealers are not likely to make a secondary market for the notes, 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. |
· | THE FINAL TERMS AND VALUATION
OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT — The final terms of the notes will be based on relevant market conditions
when the terms of the notes are set and will be provided in the pricing supplement. In particular, each of the estimated value of the
notes and the Contingent Digital |
| |
JPMorgan Structured Investments — | PS-6 |
Digital Notes Linked to the 2-Year U.S. Dollar SOFR ICE Swap Rate | |
Return will be provided in the pricing supplement and each
may be as low as the applicable minimum set forth on the cover of this pricing supplement. Accordingly, you should consider your potential
investment in the notes based on the minimums for the estimated value of the notes and the Contingent Digital Return.
Risks Relating
to Conflicts of Interest
· | POTENTIAL CONFLICTS — We and our affiliates
play a variety of roles in connection with the issuance of the notes, including acting as calculation agent and as an agent of the offering
of the notes, hedging our obligations under the notes and making the assumptions used to determine the pricing of the notes and the estimated
value of the notes when the terms of the notes are set, which we refer to as the estimated value of the notes. For example, if on
the Observation Date, the Reference Rate cannot be determined by reference to the applicable Bloomberg page, the calculation agent will
determine the Reference Rate for the Observation Date in its sole discretion, after consulting such sources as it deems comparable to
the foregoing page, or any such other source it deems reasonable from which to estimate the relevant rate for U.S. dollar swaps.
In performing these duties, our and JPMorgan Chase & Co.’s economic interests and the economic interests of the calculation
agent and other affiliates of ours are potentially adverse to your interests as an investor in the notes. In addition, our and JPMorgan
Chase & Co.’s business activities, including hedging and trading activities, could cause our and JPMorgan Chase & Co.’s
economic interests to be adverse to yours and could adversely affect any payment on the notes and the value of 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 for additional information about these risks. |
In addition, although the calculation agent has made all
determinations and has taken all actions in relation to the establishment of the Reference Strike Rate in good faith, it should be noted
that such discretion could have an impact (positive or negative), on the value of your notes. The calculation agent is under no obligation
to consider your interests as a holder of the notes in taking any actions, including the determination of the Reference Strike Rate, that
might affect the value of your notes.
Risks Relating to
the Estimated Value and Secondary Market Prices of the Notes
· | THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE
ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES — The estimated value of the notes is only an estimate determined by reference
to several factors. The original issue price of the notes will exceed the estimated value of the notes because costs associated with selling,
structuring and hedging the notes are included in the original issue price of the notes. These costs include the selling commissions,
the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the
notes and the estimated cost of hedging our obligations under the notes. See “The Estimated Value of the Notes” in this pricing
supplement. |
· | THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE
VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES — The estimated value of the notes is determined by reference
to internal pricing models of our affiliates when the terms of the notes are set. This estimated value of the notes is based on market
conditions and other relevant factors existing at that time and assumptions about market parameters, which can include volatility, interest
rates and other factors. 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. 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 is 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-rate debt of JPMorgan Chase
& Co. 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.
These costs can include projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary
market funding rates for structured debt issuances. 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 (a) exclude selling commissions and (b) may |
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exclude 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
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. See the immediately following risk consideration for information about
additional factors that will impact any secondary market prices of the 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. See “— Lack of Liquidity”
below.
· | 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 Reference Rate, including: |
| · | any actual or potential change
in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads; |
| · | customary bid-ask spreads for
similarly sized trades; |
| · | our internal secondary market
funding rates for structured debt issuances; |
| · | the actual and expected volatility
of the Reference Rate; |
| · | the time to maturity of the
notes; |
| · | interest and yield rates in
the market generally; and |
| · | a variety of other economic,
financial, political, regulatory and judicial events. |
Additionally, independent pricing vendors
and/or third party broker-dealers may publish a price for the 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.
Risks Relating
to the Reference Rate
· | THE REFERENCE RATE WILL
BE AFFECTED BY A NUMBER OF FACTORS — The Reference Rate will depend on a number of factors, including, but not limited to: |
| · | supply and demand for overnight
U.S. Treasury repurchase agreements; |
| · | sentiment regarding underlying
strength in the U.S. and global economies; |
| · | expectations regarding the
level of price inflation; |
| · | sentiment regarding credit
quality in the U.S. and global credit markets; |
| · | central bank policy regarding
interest rates; |
| · | inflation and expectations
concerning inflation; |
| · | performance of capital markets;
and |
| · | any statements from public
government officials regarding the cessation of the Reference Rate and/or SOFR. |
These and other factors may have a negative
effect on the performance of the Reference Rate and on the value of the notes in the secondary market.
· | THE REFERENCE RATE MAY BE
VOLATILE — The Reference Rate is subject to volatility due to a variety of factors affecting interest rates generally, including,
but not limited to: |
| · | sentiment regarding underlying
strength in the U.S. and global economies; |
| · | expectations regarding the
level of price inflation; |
| · | sentiment regarding credit
quality in U.S. and global credit markets; |
| · | central bank policy regarding
interest rates; and |
| · | performance of capital markets. |
The Reference Rate may be negative. A Final
Reference Rate that is less than the Reference Strike Rate by more than the Buffer Amount will result in a reduction of principal payment
at maturity. In addition, these and other factors may have a negative impact on the value of your notes in the secondary market.
· | THE REFERENCE RATE AND THE
MANNER IN WHICH IT IS CALCULATED MAY CHANGE IN THE FUTURE — There can be no assurance that the method by which the Reference
Rate is calculated will continue in its current form. Any changes in the method of calculation could reduce the Reference Rate. |
· | THE REFERENCE RATE AND SOFR
HAVE LIMITED HISTORIES AND FUTURE PERFORMANCE CANNOT BE PREDICTED BASED ON HISTORICAL PERFORMANCE — The publication of the U.S.
Dollar SOFR ICE Swap Rate began in November 2021, and, therefore, has a limited history. IBA launched the U.S. Dollar SOFR ICE Swap
Rate for use as a reference rate for financial instruments in order to aid the market’s transition to SOFR and away from LIBOR.
However, the composition and characteristics of SOFR differ from those of LIBOR in material respects, and the historical performance of
LIBOR and the U.S. Dollar LIBOR ICE Swap Rate will have no bearing on the performance of SOFR or the Reference Rate. |
In addition, the publication of SOFR
began in April 2018, and, therefore, it has a limited history. The future performance of the Reference Rate and SOFR cannot be predicted
based on the limited historical performance. The levels of Reference Rate and SOFR during the term of the notes may bear little
or no relation to the historical actual or historical indicative data. Prior observed patterns, if any, in the behavior of market
variables and their relation to Reference Rate and SOFR, such as correlations, may change in the future. While some pre-publication
historical data for SOFR has
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been released by the Federal Reserve Bank of New York (“FRBNY”),
production of such historical indicative SOFR data inherently involves assumptions, estimates and approximations.
No future performance of the Reference
Rate or SOFR may be inferred from any of the historical actual or historical indicative SOFR data. Hypothetical or historical performance
data are not indicative of, and have no bearing on, the potential performance of Reference Rate or SOFR. Changes in the levels of
SOFR will affect the Reference Rate and, therefore, the return on the notes and the trading price of the notes, but it is impossible to
predict whether such levels will rise or fall. There can be no assurance that the Reference Rate or SOFR will be positive.
· | ANY
FAILURE OF SOFR TO GAIN MARKET ACCEPTANCE COULD ADVERSELY AFFECT THE NOTES — According to the ARRC, SOFR was developed for
use in certain U.S. dollar derivatives and other financial contracts as an alternative to LIBOR in part because it is considered a good
representation of general funding conditions in the overnight U.S. Treasury repurchase agreement market. However, as a rate based on
transactions secured by U.S. Treasury securities, it does not measure bank-specific credit risk and, as a result, is less likely to correlate
with the unsecured short-term funding costs of banks than competing replacement rates for LIBOR that reflect bank-specific credit risk.
This may mean that market participants would not consider SOFR a suitable substitute, replacement or successor for all of the purposes
for which LIBOR historically has been used (including, without limitation, as a representation of the unsecured short-term funding costs
of banks), which may, in turn, lessen market acceptance of SOFR. Any failure of SOFR to gain market acceptance could adversely affect
the Reference Rate, the return on and value of the notes and the price at which investors can sell the notes in the secondary market. |
· | THE ADMINISTRATOR OF SOFR
MAY MAKE CHANGES THAT COULD ADVERSELY AFFECT THE LEVEL OF SOFR OR DISCONTINUE SOFR AND HAS NO OBLIGATION TO CONSIDER YOUR INTEREST IN
DOING SO — SOFR is a relatively new rate, and FRBNY (or a successor),
as administrator of SOFR, may make methodological or other changes that could change the value of SOFR, including changes related to the
method by which SOFR is calculated, eligibility criteria applicable to the transactions used to calculate SOFR, or timing related to the
publication of SOFR. If the manner in which SOFR is calculated is changed, that change may result in a reduction in the Reference Rate
and may adversely affect any payment on the notes, which may adversely affect the trading prices of the notes. The administrator of SOFR
may withdraw, modify, amend, suspend or discontinue the calculation or dissemination of SOFR in its sole discretion and without notice
and has no obligation to consider the interests of holders of the notes in calculating, withdrawing, modifying, amending, suspending or
discontinuing SOFR. In that case, the method by which the Reference Rate is calculated will change, which could reduce the Reference Rate. |
· | THE REFERENCE RATE MAY BE
DETERMINED BY THE CALCULATION AGENT IN ITS SOLE DISCRETION OR, IF IT IS DISCONTINUED OR CEASED TO BE PUBLISHED PERMANENTLY OR INDEFINITELY,
REPLACED BY A SUCCESSOR OR SUBSTITUTE RATE — If no relevant rate appears on the Bloomberg Screen USISSO02 Page on a relevant
day at approximately 11:00 a.m., New York City time, then the calculation agent, after consulting such sources as it deems comparable
to the foregoing display page, or any such source it deems reasonable from which to estimate the relevant rate for U.S. dollar swaps referencing
SOFR, will determine the Reference Rate for that relevant day in its sole discretion. Notwithstanding the foregoing, if the calculation
agent determines in its sole discretion on or prior to the relevant day that the relevant rate for U.S. dollar swaps referencing SOFR
has been discontinued or that rate has ceased to be published permanently or indefinitely, then the calculation agent will use as the
Reference Rate for that day a substitute or successor rate that it has determined in its sole discretion, after consulting an investment
bank of national standing in the United States (which may be an affiliate of ours) or any other source it deems reasonable, to be a commercially
reasonable replacement rate. If the calculation agent has determined a substitute or successor rate in accordance with the foregoing,
the calculation agent may determine in its sole discretion, after consulting an investment bank of national standing in the United States
(which may be an affiliate of ours) or any other source it deems reasonable, the definitions of business day and Observation Date and
any other relevant methodology for calculating that substitute or successor rate, including any adjustment factor it determines is needed
to make that substitute or successor rate comparable to the relevant rate for U.S. dollar swaps referencing SOFR, in a manner that is
consistent with industry-accepted practices for that substitute or successor rate. |
Any of the foregoing determinations or
actions by the calculation agent could result in adverse consequences to the value of the Reference Rate used on the Observation Date,
which could adversely affect the return on and the market value of the notes.
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Historical Information
The following graph sets forth the historical weekly
performance of the Reference Rate from November 19, 2021 (the first Friday on which the Reference Rates were published by Bloomberg Professional®
service (“Bloomberg”)) through February 3, 2023. The Reference Rate on February 6, 2023 was 4.436%. We obtained the levels
of the Reference Rate above and below from Bloomberg, without independent verification.
The historical levels of the Reference Rate should
not be taken as an indication of future performance, and no assurance can be given as to the level of the Reference Rate on the Observation
Date. There can be no assurance that the performance of the Reference Rate will result in the return of any of your principal amount.
You should note that publication of the U.S. Dollar SOFR ICE Swap Rate began on November 8, 2021, and it therefore has a limited history.
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 is 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-rate
debt of JPMorgan Chase & Co. 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, 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. See “Selected
Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value
of the Notes Does Not Represent Future Values of the Notes and May Differ from Others’ Estimates” in this pricing supplement.
The estimated value of the notes will be lower than the
original issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original
issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected
profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the
estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market
forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. We or one
or more of our affiliates will retain any profits realized in hedging our obligations under the notes. See “Selected Risk Considerations
— Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Will Be
Lower Than the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
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Secondary Market Prices of the Notes
For information about factors that will impact any secondary
market prices of the notes, see “Selected Risk Considerations — 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 this pricing
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 that 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.”
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 “What Is the Total Return on the Notes at Maturity,
Assuming a Range of Performances for the Reference Rate?” and “Hypothetical Examples of Amount Payable at Maturity”
in this pricing supplement for an illustration of the risk-return profile of the notes and “Selected Purchase Considerations —
Return Dependent on the 2-Year U.S. Dollar SOFR ICE Swap Rate” in this pricing supplement for a description of the market exposure
provided by the notes.
The original issue price of the notes is equal to the estimated
value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus) the projected
profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes, plus the
estimated cost of hedging our obligations under the notes.
Supplemental Plan of Distribution
We expect that delivery of the notes will be made against
payment for the notes on or about the Original Issue Date set forth on the front cover of this pricing supplement, which will be the third
business day following the Pricing Date of the notes (this settlement cycle being referred to as “T+3”). Under Rule 15c6-1
of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in two business days,
unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade notes on any date prior to two business
days before delivery will be required to specify an alternate settlement cycle at the time of any such trade to prevent a failed settlement
and should consult their own advisors.
Supplemental Information About the
Form of the Notes
The notes will initially be represented by a type of global
security that we refer to as a master note. A master note represents multiple securities that may be issued at different times and
that may have different terms. The trustee and/or paying agent will, in accordance with instructions from us, make appropriate entries
or notations in its records relating to the master note representing the notes to indicate that the master note evidences the notes.
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Annex A —
SOFR
SOFR is published by the Federal Reserve Bank of New
York (“FRBNY”) and is intended to be a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities.
FRBNY reports that SOFR includes all trades in the Broad General Collateral Rate, plus bilateral Treasury repurchase agreement (“repo”)
transactions cleared through the delivery-versus-payment service offered by the Fixed Income Clearing Corporation (the “FICC”),
a subsidiary of The Depository Trust & Clearing Corporation (“DTCC”). SOFR is filtered by FRBNY to remove a portion of
the foregoing transactions considered to be “specials.” According to FRBNY, “specials” are repos for specific-issue
collateral which take place at cash-lending rates below those for general collateral repos because cash providers are willing to accept
a lesser return on their cash in order to obtain a particular security.
FRBNY reports that SOFR is calculated as a volume-weighted
median of transaction-level tri-party repo data collected from The Bank of New York Mellon, which currently acts as the clearing bank
for the tri-party repo market, as well as General Collateral Finance Repo transaction data and data on bilateral Treasury repo transactions
cleared through the FICC’s delivery-versus-payment service. FRBNY notes that it obtains information from DTCC Solutions LLC, an
affiliate of DTCC.
FRBNY currently publishes SOFR daily on its website.
FRBNY states on its publication page for SOFR that use of SOFR is subject to important disclaimers, limitations and indemnification obligations,
including that FRBNY may alter the methods of calculation, publication schedule, rate revision practices or availability of SOFR at any
time without notice. Information contained in the publication page for SOFR is not incorporated by reference in, and should not be considered
part of, this pricing supplement.
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