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.
Pricing supplement to product supplement no. 4-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.
Reference
Stock: The common stock of General Motors Company, par value $0.01 per share (Bloomberg ticker: GM). We refer to General Motors
Company as “General Motors.”
Contingent
Interest Payments: If the notes have not been previously redeemed early and the closing price of one share of the Reference
Stock on any Review Date is greater than or equal to the Interest Barrier, you will receive on the applicable Interest Payment Date for
each $1,000 principal amount note a Contingent Interest Payment equal to (i) with respect to the first Interest Payment Date, at least
$35.50 (equivalent to a rate of at least 3.55% for the first Interest Payment Date) and (ii) with respect to the final Interest Payment
Date, at least $23.6667 (equivalent to a rate of at least 2.36667% for the final Interest Payment Date) (to be provided in the pricing
supplement).
If the closing price of one share of the Reference Stock on any
Review Date is less than the Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date.
Contingent
Interest Rate: At least 5.91667% over the term of the notes, payable at a rate of (i) at least
3.55% for the first Interest Payment Date and (ii) at least 2.36667% for the final Interest Payment Date (to be provided in the pricing
supplement)
Interest Barrier / Trigger Value:
65.00% of the Initial Value
Pricing
Date: On or about March 22, 2023
Original
Issue Date (Settlement Date): On or about March 27, 2023
Review
Dates*: June 22, 2023 and August 24, 2023 (final Review Date)
Interest
Payment Dates*: June 27, 2023 and the Maturity Date
Maturity
Date*: August 29, 2023
* Subject to postponement in the event of a market disruption
event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single
Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General Terms of Notes —
Postponement of a Payment Date” in the accompanying product supplement |
Early Redemption:
We, at our election, may redeem the
notes early, in whole but not in part, on the first Interest Payment Date at a price, for each $1,000 principal amount note, equal to
$1,000 plus the Contingent Interest Payment, if any, applicable to the immediately preceding Review Date. If we intend to redeem
your notes early, we will deliver notice to The Depository Trust Company, or DTC, at least three business days before the first Interest
Payment Date.
Payment at Maturity:
If the notes have not been redeemed early and the Final Value is greater
than or equal to the Trigger Value, you will receive a cash payment at maturity, for each $1,000 principal amount note, equal to (a) $1,000
plus (b) the Contingent Interest Payment applicable to the final Review Date.
If the notes have not been redeemed early and the Final Value is less than
the Trigger Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Stock Return)
If the notes have not been redeemed early and the Final Value is less
than the Trigger Value, you will lose more than 35.00% of your principal amount at maturity and could lose all of your principal amount
at maturity.
Stock Return:
(Final Value – Initial Value)
Initial Value
Initial
Value: The closing price of one share of the Reference Stock on the Pricing Date
Final
Value: The closing price of one share of the Reference Stock on the final Review Date
Stock
Adjustment Factor: The Stock Adjustment Factor is referenced in determining the closing price of one share of the Reference
Stock and is set equal to 1.0 on the Pricing Date. The Stock Adjustment Factor is subject to adjustment upon the occurrence of certain
corporate events affecting the Reference Stock. See “The Underlyings — Reference Stocks — Anti-Dilution Adjustments”
and “The Underlyings — Reference Stocks — Reorganization Events” in the accompanying product supplement for further
information.
|
PS-1
| Structured Investments
Callable Contingent Interest Notes Linked to the
Common Stock of General Motors Company |
|
Supplemental Terms of the Notes
The Contingent Interest Payment, if any, payable on
each Interest Payment Date will be determined as set forth under “Key Terms — Contingent Interest Payments” in this
pricing supplement and not as set forth in the second paragraph under “Description of Notes — Payments on the Notes —
Interest Payments” in the accompanying product supplement.
How the Notes
Work
Payment in Connection with the First Review Date
Payment at Maturity If the Notes
Have Not Been Redeemed Early
PS-2
| Structured Investments
Callable Contingent Interest Notes Linked to the
Common Stock of General Motors Company |
|
Contingent Interest Payments
The table below illustrates the hypothetical Contingent Interest
Payment per $1,000 principal amount note potentially payable with respect to each Interest Payment Date based on a hypothetical Contingent
Interest Rate of at least 5.91667% over the term of the notes, payable at a rate of (i) at least 3.55% for the first Interest Payment
Date and (ii) at least 2.36667% for the final Interest Payment Date. The actual Contingent Interest Rate will be provided in the pricing
supplement and will be at least 5.91667% over the term of the notes. The total Contingent Interest Payments payable over the term of the
notes depend on when and how many Contingent Interest Payments are made prior to early redemption or maturity. Assuming a Contingent Interest
Rate of 5.91667% over the term of the notes, the maximum amount of Contingent Interest Payments payable over the term of the notes is
$59.1667 per $1,000 principal amount note.
Interest Payment Date |
Contingent Interest
Payment (If Payable) |
First |
$35.5000 |
Final |
$23.6667 |
Hypothetical
Payout Examples
The following examples illustrate payments on the notes
linked to a hypothetical Reference Stock, assuming a range of performances for the hypothetical Reference Stock on the Review Dates. The
hypothetical payments set forth below assume the following:
| · | the notes have not been redeemed early; |
| · | an Initial Value of $100.00; |
| · | an Interest Barrier and a Trigger Value of $65.00 (equal to 65.00% of the hypothetical Initial Value); and |
| · | a Contingent Interest Rate of 5.91667% over the term of the notes (payable at a rate of (i) 3.55% for the first Interest Payment Date
and (ii) 2.36667% for the final Interest Payment Date). |
The hypothetical Initial Value of $100.00 has been
chosen for illustrative purposes only and may not represent a likely actual Initial Value. The actual Initial Value will be the closing
price of one share of the Reference Stock on the Pricing Date and will be provided in the pricing supplement. For historical data regarding
the actual closing prices of one share of the Reference Stock, please see the historical information set forth under “The Reference
Stock” in this pricing supplement.
Each hypothetical payment set forth below is for illustrative
purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing in the following examples
have been rounded for ease of analysis.
Example 1 — Notes have NOT been redeemed early
and the Final Value is greater than or equal to the Trigger Value.
Date |
Closing Price |
Payment (per $1,000 principal amount note) |
First Review Date |
$95.00 |
$35.50 |
Final Review Date |
$90.00 |
$1,023.6667 |
|
Total Payment |
$1,059.1667 (5.91667% return) |
Because the notes have not been redeemed
early and the Final Value is greater than or equal to the Trigger Value, the payment at maturity, for each $1,000 principal amount note,
will be $1,035.50 (or $1,000 plus the Contingent Interest Payment applicable to the final Review Date). When added to the Contingent
Interest Payment received with respect to the prior Review Date, the total amount paid, for each $1,000 principal amount note, is $1,059.1667.
Example 2 — Notes have NOT been redeemed early
and the Final Value is less than the Trigger Value.
Date |
Closing Price |
Payment (per $1,000 principal amount note) |
First Review Date |
$40.00 |
$0 |
Final Review Date |
$50.00 |
$500.00 |
|
Total Payment |
$500.00 (-50.00% return) |
Because the notes have not been redeemed early, the
Final Value is less than the Trigger Value and the Stock Return is -50.00%, the payment at maturity will be $500.00 per $1,000 principal
amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)] = $500.00
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term. 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
Callable Contingent Interest Notes Linked to the
Common Stock of General Motors Company |
|
Selected
Risk Considerations
An investment in the notes involves significant risks.
These risks are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement and product
supplement.
Risks Relating to the Notes Generally
| · | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — |
The notes do not guarantee any return of principal.
If the notes have not been redeemed early and the Final Value is less than the Trigger Value, you will lose 1% of the principal amount
of your notes for every 1% that the Final Value is less than the Initial Value. Accordingly, under these circumstances, you will lose
more than 35.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
| · | THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL — |
If the notes have not been redeemed early, we
will make a Contingent Interest Payment with respect to a Review Date only if the closing price of one share of the Reference Stock on
that Review Date is greater than or equal to the Interest Barrier. If the closing price of one share of the Reference Stock on that Review
Date is less than the Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date. Accordingly, if
the closing price of one share of the Reference Stock on each Review Date is less than the Interest Barrier, you will not receive any
interest payments over the term of the notes.
| · | CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. — |
Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.’s
creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely affect the value of
the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed
to you under the notes and you could lose your entire investment.
| · | AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS — |
As a finance subsidiary of JPMorgan Chase & Co.,
we have no independent operations beyond the issuance and administration of our securities. Aside from the initial capital contribution
from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates to make payments under
loans made by us or other intercompany agreements. As a result, we are dependent upon payments from our affiliates to meet our obligations
under the notes. If these affiliates do not make payments to us and we fail to make payments on the notes, you may have to seek payment
under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu with all other unsecured
and unsubordinated obligations of JPMorgan Chase & Co.
| · | THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS THAT MAY BE PAID OVER THE TERM
OF THE NOTES, |
regardless of any appreciation of the Reference
Stock, which may be significant. You will not participate in any appreciation of the Reference Stock.
| · | THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE — |
If the Final Value is less than the Trigger
Value and the notes have not been redeemed early, the benefit provided by the Trigger Value will terminate and you will be fully exposed
to any depreciation of the Reference Stock.
| · | THE OPTIONAL EARLY REDEMPTION FEATURE MAY FORCE A POTENTIAL EARLY EXIT — |
If we elect to redeem your notes early, the
term of the notes may be reduced to as short as approximately three months and you will not receive any Contingent Interest Payment after
the first Interest Payment Date. There is no guarantee that you would be able to reinvest the proceeds from an investment in the notes
at a comparable return and/or with a comparable interest rate for a similar level of risk. Even in cases where we elect to redeem your
notes before maturity, you are not entitled to any fees and commissions described on the front cover of this pricing supplement.
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE REFERENCE STOCK OR HAVE ANY RIGHTS WITH RESPECT TO THE REFERENCE STOCK. |
PS-4
| Structured Investments
Callable Contingent Interest Notes Linked to the
Common Stock of General Motors Company |
|
| · | THE RISK OF THE CLOSING PRICE OF ONE SHARE OF THE REFERENCE STOCK FALLING BELOW THE INTEREST BARRIER OR THE TRIGGER VALUE IS GREATER
IF THE PRICE OF ONE SHARE OF THE REFERENCE STOCK IS VOLATILE. |
The notes will not be listed on any securities
exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS
is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your notes to maturity.
| · | THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT — |
You should consider your potential investment
in the notes based on the minimums for the estimated value of the notes and the Contingent Interest Rate.
Risks Relating to Conflicts of Interest
We and our affiliates play a variety of roles
in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests are potentially
adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours or our affiliates in
connection with the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer
to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement.
Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes
| · | THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES — |
The estimated value of the notes is only an
estimate determined by reference to several factors. The original issue price of the notes will exceed the estimated value of the notes
because costs associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These
costs include the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent
in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. See “The Estimated
Value of the Notes” in this pricing supplement.
| · | 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).
PS-5
| Structured Investments
Callable Contingent Interest Notes Linked to the
Common Stock of General Motors Company |
|
| · | 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 price of one share of the Reference Stock. Additionally,
independent pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer
account statements. This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to
purchase your notes in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying
product supplement.
Risks Relating to
the Reference Stock
| · | NO AFFILIATION WITH THE REFERENCE STOCK ISSUER — |
We have not independently verified any of the
information about the Reference Stock issuer contained in this pricing supplement. You should undertake your own investigation into the
Reference Stock and its issuer. We are not responsible for the Reference Stock issuer’s public disclosure of information, whether
contained in SEC filings or otherwise.
| · | THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY — |
The calculation agent will not make an adjustment
in response to all events that could affect the Reference Stock. The calculation agent may make adjustments in response to events that
are not described in the accompanying product supplement to account for any diluting or concentrative effect, but the calculation agent
is under no obligation to do so or to consider your interests as a holder of the notes in making these determinations.
PS-6
| Structured Investments
Callable Contingent Interest Notes Linked to the
Common Stock of General Motors Company |
|
The Reference
Stock
All information contained herein on the Reference Stock and
on General Motors is derived from publicly available sources, without independent verification. According to its publicly available filings
with the SEC, General Motors designs, builds and sells trucks, crossovers, cars and automobile parts and provides software-enabled services
and subscriptions. It also provides automotive financing services through General Motors Financial Company, Inc. The common stock of General
Motors, par value $0.01 per share (Bloomberg ticker: GM), is registered under the Securities Exchange Act of 1934, as amended, which we
refer to as the Exchange Act, and is listed on the New York Stock Exchange, which we refer to as the relevant exchange for purposes of
General Motors in the accompanying product supplement. Information provided to or filed with the SEC by General Motors pursuant to the
Exchange Act can be located by reference to the SEC file number 001-34960, and can be accessed through www.sec.gov. We do not make any
representation that these publicly available documents are accurate or complete.
Historical Information
The following graph sets forth the historical performance
of the Reference Stock based on the weekly historical closing prices of one share of the Reference Stock from January 5, 2018 through
March 17, 2023. The closing price of one share of the Reference Stock on March 21, 2023 was $35.10. We obtained the closing prices above
and below from the Bloomberg Professional® service (“Bloomberg”), without independent verification. The closing
prices above and below may have been adjusted by Bloomberg for corporate actions, such as stock splits, public offerings, mergers and
acquisitions, spin-offs, delistings and bankruptcy.
The historical closing prices of one share of the
Reference Stock should not be taken as an indication of future performance, and no assurance can be given as to the closing price of one
share of the Reference Stock on the Pricing Date or any Review Date. There can be no assurance that the performance of the Reference Stock
will result in the return of any of your principal amount or the payment of any interest.
Tax Treatment
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-II. In determining our reporting
responsibilities we intend to treat (i) the notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent
coupons and (ii) any Contingent Interest Payments as ordinary income, as described in the section entitled “Material U.S. Federal
Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated Contingent
Coupons” in the accompanying product supplement. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel,
we believe that this is a reasonable treatment, but that there are other reasonable treatments that the IRS or a court may adopt, in which
case the timing and character of any income or loss on the notes could be materially affected. In addition, in 2007 Treasury and the IRS
released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar
instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their
investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments
and the relevance of factors such as the nature of the underlying property to which the instruments are linked. While the notice requests
comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration
of these issues could materially affect the tax consequences of an investment in the notes, possibly with retroactive effect. The discussions
above and in the accompanying
PS-7
| Structured Investments
Callable Contingent Interest Notes Linked to the
Common Stock of General Motors Company |
|
product supplement do not address the consequences to taxpayers subject
to special tax accounting rules under Section 451(b) of the Code. You should consult your tax adviser regarding the U.S. federal income
tax consequences of an investment in the notes, including possible alternative treatments and the issues presented by the notice described
above.
Non-U.S.
Holders — Tax Considerations. The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and although
we believe it is reasonable to take a position that Contingent Interest Payments are not subject to U.S. withholding tax (at least if
an applicable Form W-8 is provided), it is expected that withholding agents will (and we, if we are the withholding agent, intend to)
withhold on any Contingent Interest Payment paid to a Non-U.S. Holder generally at a rate of 30% or at a reduced rate specified by an
applicable income tax treaty under an “other income” or similar provision. We will not be required to pay any additional amounts
with respect to amounts withheld. In order to claim an exemption from, or a reduction in, the 30% withholding tax, a Non-U.S. Holder of
the notes must comply with certification requirements to establish that it is not a U.S. person and is eligible for such an exemption
or reduction under an applicable tax treaty. If you are a Non-U.S. Holder, you should consult your tax adviser regarding the tax treatment
of the notes, including the possibility of obtaining a refund of any withholding tax and the certification requirement described above.
Section 871(m) of the Code and Treasury regulations
promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on
dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or
indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked
to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations. Additionally, a recent IRS notice
excludes from the scope of Section 871(m) instruments issued prior to January 1, 2025 that do not have a delta of one with respect to
underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”).
Based on certain determinations made by us, we expect that Section 871(m) will not apply to the notes with regard to Non-U.S. Holders.
Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application
may depend on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security.
If necessary, further information regarding the potential application of Section 871(m) will be provided in the pricing supplement for
the notes. You should consult your tax adviser regarding the potential application of Section 871(m) to the notes.
In the event of any
withholding on the notes, we will not be required to pay any additional amounts with respect to amounts so withheld.
The Estimated Value of the Notes
The estimated value of the notes set forth on the
cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component
with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing to
buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated
value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by
JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding
rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing
market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an
adverse effect on the terms of the notes and any secondary market prices of the notes. For additional information, see “Selected
Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value
of the Notes Is Derived by Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives underlying
the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as
the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which
can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments.
Accordingly, the estimated value of the notes is determined when the terms of the notes are set based on market conditions and other relevant
factors and assumptions existing at that time.
The estimated value of the notes does not represent
future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide valuations
for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant factors
in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly
based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest
rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in
secondary market transactions.
PS-8
| Structured Investments
Callable Contingent Interest Notes Linked to the
Common Stock of General Motors Company |
|
The estimated value of the notes will be lower than the
original issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original
issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected
profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the
estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market
forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. A portion
of the profits, if any, realized in hedging our obligations under the notes may be allowed to other affiliated or unaffiliated dealers,
and we or one or more of our affiliates will retain any remaining hedging profits. See “Selected Risk Considerations — Risks
Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Will Be Lower Than the
Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact any
secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying
product supplement. In addition, we generally expect that some of the costs included in the original issue price of the notes will be
partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial
predetermined period. These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated
hedging costs and our internal secondary market funding rates for structured debt issuances. This initial predetermined time period is
intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects
the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs
of hedging the notes and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Value of the Notes as Published by JPMS (and
Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited
Time Period” in this pricing supplement.
Supplemental
Use of Proceeds
The notes are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the notes. See “How the Notes Work” and “Hypothetical
Payout Examples” in this pricing supplement for an illustration of the risk-return profile of the notes and “The Reference
Stock” 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.
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
PS-9
| Structured Investments
Callable Contingent Interest Notes Linked to the
Common Stock of General Motors Company |
|
preliminary or indicative pricing terms, correspondence, trade ideas,
structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You should carefully
consider, among other things, the matters set forth in the “Risk Factors” sections of the accompanying prospectus supplement
and the accompanying product supplement, as the notes involve risks not associated with conventional debt securities. We urge you to consult
your investment, legal, tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC website at
www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is
1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us”
and “our” refer to JPMorgan Financial.
PS-10
| Structured Investments
Callable Contingent Interest Notes Linked to the
Common Stock of General Motors Company |
|
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