Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing
supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation to
the contrary is a criminal offense.
Pricing supplement to product supplement no. 3-I dated
April 13, 2023, underlying supplement no. 1-I dated April 13, 2023
and the prospectus and prospectus supplement, each dated April 13, 2023
Key Terms
Issuer:
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor:
JPMorgan Chase & Co.
Underlyings:
The EURO STOXX 50® Index (Bloomberg ticker: SX5E) (the “Index”) and the iShares®
MSCI EAFE ETF (Bloomberg ticker: EFA) (the “Fund”) (each of the Index and the Fund, an “Underlying” and collectively,
the “Underlyings”)
Participation
Rate: At least 101.00% (to be provided in the pricing supplement)
Pricing
Date: On or about June 30, 2023
Original
Issue Date (Settlement Date): On or about July 6, 2023
Observation
Date*: March 31, 2025
Maturity
Date*: April 3, 2025
* Subject to postponement in the event of a market disruption
event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple
Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement |
Payment at Maturity†:
If the Final Value of each Underlying is greater than its Initial Value,
at maturity, you will receive a cash payment, for each $1,000 principal amount note, of $1,000 plus the Additional Amount.
If (i) the Final Value of one Underlying is greater than its Initial
Value and the Final Value of the other Underlying is equal to its Initial Value or (ii) the Final Value of each Underlying is equal to
or less than its Initial Value, your payment at maturity will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing Underlying
Return)
In no event, however, will the payment at maturity be less than $950.00
per $1,000 principal amount note.
If the Final Value of either Underlying is less than its Initial Value,
you will lose up to 5.00% of your principal amount at maturity.
You are entitled to repayment of at least $950.00 per $1,000 principal
amount note at maturity, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
Additional Amount:
The Additional Amount payable at maturity
per $1,000 principal amount note will equal:
$1,000 × Lesser Performing Underlying Return
× Participation Rate
Lesser Performing Underlying: The
Underlying with the Lesser Performing Underlying Return
Lesser Performing Underlying Return: The
lower of the Underlying Returns of the Underlyings
Underlying Return:
With respect to each Underlying,
(Final Value – Initial Value)
Initial Value
Initial
Value: With respect to each Underlying, the closing
value of that Underlying on the Pricing Date
Final
Value: With respect to each Underlying, the closing value of that Underlying on the Observation
Date
Share
Adjustment Factor: The Share Adjustment Factor is referenced in determining the closing value of the Fund and is set equal
to 1.0 on the Pricing Date. The Share Adjustment Factor is subject to adjustment upon the occurrence of certain events affecting the Fund.
See “The Underlyings — Funds — Anti-Dilution Adjustments” in the accompanying product supplement for further information.
† Subject to the impact of a change-in-law event as
described under “General Terms of Notes — Consequences of a Change-in-Law Event” in the accompanying product supplement.
In the event of a change-in-law event, we have the right, but not the obligation, to cause the calculation agent to determine on the change-in-law
date, as defined in the accompanying product supplement, the payment at maturity. Under these circumstances, the payment at maturity
will be determined prior to, and without regard to the closing level of the Index on, the Observation Date.
|
PS-1
| Structured Investments
Notes Linked to the Lesser Performing of the EURO STOXX 50®
Index and the iShares® MSCI EAFE ETF |
|
Hypothetical Payout
Profile
The following table and graph illustrate the hypothetical
payment at maturity on the notes linked to two hypothetical Underlyings. The hypothetical payments set forth below assume the following:
| · | an Initial Value for the Lesser Performing Underlying of 100.00; and |
| · | a Participation Rate of 101.00%. |
The hypothetical Initial Value of the Lesser Performing
Underlying of 100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial Value of either Underlying.
The actual Initial Value of each Underlying will be the closing value of that Underlying on the Pricing Date and will be provided in the
pricing supplement. For historical data regarding the actual closing values of each Underlying, please see the historical information
set forth under “The Underlyings” in this pricing supplement.
Each hypothetical total return or hypothetical payment
at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable
to a purchaser of the notes. The numbers appearing in the following table and graph have been rounded for ease of analysis.
Final Value of the Lesser
Performing Underlying |
Lesser Performing
Underlying Return |
Additional Amount |
Payment at Maturity |
165.00 |
65.00% |
$656.50 |
$1,656.50 |
150.00 |
50.00% |
$505.00 |
$1,505.00 |
140.00 |
40.00% |
$404.00 |
$1,404.00 |
130.00 |
30.00% |
$303.00 |
$1,303.00 |
120.00 |
20.00% |
$202.00 |
$1,202.00 |
110.00 |
10.00% |
$101.00 |
$1,101.00 |
105.00 |
5.00% |
$50.50 |
$1,050.50 |
101.00 |
1.00% |
$10.10 |
$1,010.10 |
100.00 |
0.00% |
N/A |
$1,000.00 |
99.00 |
-1.00% |
N/A |
$990.00 |
97.50 |
-2.50% |
N/A |
$975.00 |
95.00 |
-5.00% |
N/A |
$950.00 |
90.00 |
-10.00% |
N/A |
$950.00 |
80.00 |
-20.00% |
N/A |
$950.00 |
70.00 |
-30.00% |
N/A |
$950.00 |
60.00 |
-40.00% |
N/A |
$950.00 |
50.00 |
-50.00% |
N/A |
$950.00 |
40.00 |
-60.00% |
N/A |
$950.00 |
30.00 |
-70.00% |
N/A |
$950.00 |
20.00 |
-80.00% |
N/A |
$950.00 |
10.00 |
-90.00% |
N/A |
$950.00 |
0.00 |
-100.00% |
N/A |
$950.00 |
PS-2
| Structured Investments
Notes Linked to the Lesser Performing of the EURO STOXX 50®
Index and the iShares® MSCI EAFE ETF |
|
The following graph demonstrates the hypothetical payments
at maturity on the notes for the Lesser Performing Underlying Returns detailed in the table above (-50% to 50%). There can be no assurance
that the performance of either Underlying will result in a payment at maturity in excess of $950.00 per $1,000 principal amount note,
subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
How the Notes
Work
Upside Scenario:
If the Final Value of each Underlying is greater than
its Initial Value, investors will receive at maturity the $1,000 principal amount plus the Additional Amount, which is equal to
$1,000 times the Lesser Performing Underlying Return times the Participation Rate of at least 101.00%.
| · | Assuming a hypothetical Participation Rate of 101.00%, if the closing value of the Lesser Performing Underlying increases 10.00%,
investors will receive at maturity a 10.10% return, or $1,101.00 per $1,000 principal amount note. |
Par Scenario:
If (i) the Final Value of one Underlying is greater than
its Initial Value and the Final Value of the other Underlying is equal to its Initial Value or (ii) the Final Value of each Underlying
is equal to its Initial Value, investors will receive at maturity the principal amount of their notes.
Downside Scenario:
If the Final Value of either Underlying is less than
its Initial Value, investors will lose 1% of the principal amount of their notes for every 1% that the Final Value of the Lesser Performing
Underlying is less than its Initial Value, provided that the payment at maturity will not be less than $950.00 per $1,000 principal
amount note.
| · | For example, if the closing value of the Lesser Performing Underlying declines 2.50%, investors will lose 2.50% of their principal
amount and receive only $975.00 per $1,000 principal amount note at maturity. |
| · | For example, if the closing value of the Lesser Performing Underlying declines 50.00%, investors will lose 5.00% of their principal
amount and receive only $950.00 per $1,000 principal amount note at maturity. |
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
Notes Linked to the Lesser Performing of the EURO STOXX 50®
Index and the iShares® MSCI EAFE ETF |
|
Selected
Risk Considerations
An investment in the notes involves significant risks.
These risks are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement and product
supplement.
Risks Relating to the Notes Generally
| · | THE NOTES MAY NOT PAY MORE THAN 95.00% OF THE PRINCIPAL AMOUNT AT MATURITY — |
If the Final Value
of either Underlying is less than its Initial Value, you will lose 1% of the principal amount of your
notes for every 1% that the Final Value of the Lesser Performing Underlying is less than its Initial Value, provided that the payment
at maturity will not be less than $950.00 per $1,000 principal amount note, subject to the credit risks of JPMorgan Financial and JPMorgan
Chase & Co. Accordingly, under these circumstances, you will lose up to 5.00% of your principal amount at maturity and you
will not be compensated for any loss in value due to inflation and other factors relating to the value of money over time.
| · | CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. — |
Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.’s
creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely affect the value of
the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed
to you under the notes and you could lose your entire investment.
| · | AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS — |
As a finance subsidiary of JPMorgan Chase & Co.,
we have no independent operations beyond the issuance and administration of our securities. Aside from the initial capital contribution
from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates to make payments under
loans made by us or other intercompany agreements. As a result, we are dependent upon payments from our affiliates to meet our obligations
under the notes. If these affiliates do not make payments to us and we fail to make payments on the notes, you may have to seek payment
under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu with all other unsecured
and unsubordinated obligations of JPMorgan Chase & Co.
| · | YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE VALUE OF EACH UNDERLYING — |
Payments on the notes are not linked to a
basket composed of the Underlyings and are contingent upon the performance of each individual Underlying. Poor performance by either of
the Underlyings over the term of the notes may negatively affect your payment at maturity and will not be offset or mitigated by positive
performance by the other Underlying.
| · | YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LESSER PERFORMING UNDERLYING. |
| · | THE NOTES DO NOT PAY INTEREST. |
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE FUND OR THE SECURITIES INCLUDED IN OR HELD BY EITHER UNDERLYING OR HAVE ANY RIGHTS WITH RESPECT
TO THE FUND OR THOSE SECURITIES. |
| · | WE MAY DETERMINE THE PAYMENT AT MATURITY FOR YOUR NOTES EARLY IF A CHANGE-IN-LAW EVENT OCCURS — |
If we or our affiliates are unable to effect
transactions necessary to hedge our obligations under the notes due to a change-in-law event, we may, in our sole and absolute discretion,
cause the calculation agent to determine the payment at maturity for your notes early based on the calculation agent’s good faith
determination of the option value for your notes (i.e., the price of the embedded option representing the amount payable on the notes
at maturity) and the value of the embedded fixed-income debt component at maturity, each as determined on the date on which the calculation
agent determines that a change-in-law event has occurred, which may be significantly earlier than the Observation Date. Under these
circumstances, the amount due and payable on your notes, will be due and payable only at maturity, and that amount will not reflect any
appreciation of the Underlyings after such early determination. See “General Terms of Notes — Consequences of a Change-in-Law
Event” in the accompanying product supplement for more information.
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.
PS-4
| Structured Investments
Notes Linked to the Lesser Performing of the EURO STOXX 50®
Index and the iShares® MSCI EAFE ETF |
|
| · | 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 Participation 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).
| · | 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.
PS-5
| Structured Investments
Notes Linked to the Lesser Performing of the EURO STOXX 50®
Index and the iShares® MSCI EAFE ETF |
|
| · | SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS — |
The secondary market price of the notes during
their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the
selling commissions, projected hedging profits, if any, estimated hedging costs and the values of the Underlyings. Additionally, independent
pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes
in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
— Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
Risks Relating to the Underlyings
| · | NON-U.S. SECURITIES RISK — |
The equity securities included in or held by
the Underlyings have been issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity securities
involve risks associated with the securities markets in the home countries of the issuers of those non-U.S. equity securities. Also, there
is generally less publicly available information about companies in some of these jurisdictions than there is about U.S. companies that
are subject to the reporting requirements of the SEC.
| · | NO DIRECT EXPOSURE TO FLUCTUATIONS IN FOREIGN EXCHANGE RATES WITH RESPECT TO THE INDEX — |
The value of your notes will not be adjusted
for exchange rate fluctuations between the U.S. dollar and the currencies upon which the equity securities included in the Index are based,
although any currency fluctuations could affect the performance of the Index.
| · | THERE ARE RISKS ASSOCIATED WITH THE FUND — |
The Fund is subject to management risk, which
is the risk that the investment strategies of the Fund’s investment adviser, the implementation of which is subject to a number
of constraints, may not produce the intended results. These constraints could adversely affect the market price of the shares of the Fund
and, consequently, the value of the notes.
| · | THE PERFORMANCE AND MARKET VALUE OF THE FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE
OF THE FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE — |
The Fund does not fully replicate its Underlying
Index (as defined under “The Underlyings” below) and may hold securities different from those included in its Underlying Index.
In addition, the performance of the Fund will reflect additional transaction costs and fees that are not included in the calculation of
its Underlying Index. All of these factors may lead to a lack of correlation between the performance of the Fund and its Underlying Index.
In addition, corporate actions with respect to the equity securities underlying the Fund (such as mergers and spin-offs) may impact the
variance between the performances of the Fund and its Underlying Index. Finally, because the shares of the Fund are traded on a securities
exchange and are subject to market supply and investor demand, the market value of one share of the Fund may differ from the net asset
value per share of the Fund.
During periods of market volatility, securities
underlying the Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately the net asset
value per share of the Fund and the liquidity of the Fund may be adversely affected. This kind of market volatility may also disrupt the
ability of market participants to create and redeem shares of the Fund. Further, market volatility may adversely affect, sometimes materially,
the prices at which market participants are willing to buy and sell shares of the Fund. As a result, under these circumstances, the market
value of shares of the Fund may vary substantially from the net asset value per share of the Fund. For all of the foregoing reasons, the
performance of the Fund may not correlate with the performance of its Underlying Index as well as the net asset value per share of the
Fund, which could materially and adversely affect the value of the notes in the secondary market and/or reduce any payment on the notes.
| · | THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK WITH RESPECT TO THE FUND — |
Because the prices
of the equity securities held by the Fund are converted into U.S. dollars for purposes of calculating the net asset value of the
Fund, holders of the notes will be exposed to currency exchange rate risk with respect to each of the currencies in which the equity securities
held by the Fund trade. Your net exposure will depend on the extent to which those currencies strengthen or weaken against the U.S. dollar
and the relative weight of equity securities held by the Fund denominated in each of those currencies. If, taking into account the relevant
weighting, the U.S. dollar strengthens against those currencies, the price of the Fund will be adversely affected and any payment on the
notes may be reduced.
| · | THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED — |
The calculation agent will make adjustments
to the Share Adjustment Factor for certain events affecting the shares of the Fund. However, the calculation agent will not make an adjustment
in response to all events that could affect the shares of the Fund. If an
PS-6
| Structured Investments
Notes Linked to the Lesser Performing of the EURO STOXX 50®
Index and the iShares® MSCI EAFE ETF |
|
event occurs that does not require the calculation agent to
make an adjustment, the value of the notes may be materially and adversely affected.
PS-7
| Structured Investments
Notes Linked to the Lesser Performing of the EURO STOXX 50®
Index and the iShares® MSCI EAFE ETF |
|
The Index consists of 50 component stocks of market
sector leaders from within the Eurozone. The Index and STOXX are the intellectual property (including registered trademarks) of STOXX
Limited, Zurich, Switzerland and/or its licensors (the “Licensors”), which are used under license. The notes based on the
Index are in no way sponsored, endorsed, sold or promoted by STOXX Limited and its Licensors and neither STOXX Limited nor any of its
Licensors shall have any liability with respect thereto. For additional information about the Index, see “Equity Index Descriptions
— The STOXX Benchmark Indices” in the accompanying underlying supplement.
The Fund is an exchange-traded fund of iShares®
Trust, a registered investment company, that seeks to track the investment results, before fees and expenses, of an index composed of
large- and mid-capitalization developed market equities, excluding the United States and Canada, which we refer to as the Underlying Index
with respect to the Fund. The Underlying Index for the Fund is currently the MSCI EAFE® Index. The MSCI EAFE®
Index is a free float-adjusted market capitalization index intended to measure the equity market performance of certain developed markets,
excluding the United States and Canada. For additional information about the Fund, see “Fund Descriptions — The iShares®
ETFs” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical performance
of each Underlying based on the weekly historical closing values from January 5, 2018 through May 26, 2023. The closing value of the Index
on May 26, 2023 was 4,337.50. The closing value of the Fund on May 26, 2023 was $72.14. We obtained the closing values above and below
from the Bloomberg Professional® service (“Bloomberg”), without independent verification. The closing values
of the Fund above and below may have been adjusted by Bloomberg for actions taken by the Fund, such as stock splits.
The historical closing values of each Underlying
should not be taken as an indication of future performance, and no assurance can be given as to the closing value of either Underlying
on the Pricing Date or the Observation Date. There can be no assurance that the performance of the Underlyings will result in a payment
at maturity in excess of $950.00 per $1,000 principal amount note, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
PS-8
| Structured Investments
Notes Linked to the Lesser Performing of the EURO STOXX 50®
Index and the iShares® MSCI EAFE ETF |
|
Tax Treatment
You should
review carefully the section entitled “Material U.S. Federal Income Tax Consequences,” and in particular the subsection thereof
entitled “Tax Consequences to U.S. Holders – Notes with a Term of More than One Year – Notes Treated as Contingent Payment
Debt Instruments” in the accompanying product supplement no. 3-I. Notwithstanding that the notes do not provide for the full repayment
of their principal amount at or prior to maturity, our special tax counsel, Davis Polk & Wardwell LLP, is of the opinion that the
notes should be treated for U.S. federal income tax purposes as “contingent payment debt instruments.” Assuming this treatment
is respected, as discussed in that subsection, you generally will be required to accrue original issue discount (“OID”) on
your notes in each taxable year at the “comparable yield,” as determined by us, although we will not make any payment with
respect to the notes until maturity. Upon sale or exchange (including at maturity), you will recognize taxable income or loss equal to
the difference between the amount received from the sale or exchange, and your adjusted basis in the note, which generally will equal
the cost thereof, increased by the amount of OID you have accrued in respect of the note. You generally must treat any income as interest
income and any loss as ordinary loss to the extent of previous interest inclusions, and the balance as capital loss. The deductibility
of capital losses is subject to limitations. The discussions herein and in the accompanying product supplement do not address the consequences
to taxpayers subject to special tax accounting rules under Section 451(b) of the Code. Purchasers who are not initial purchasers of notes
at their issue price should consult their tax advisers with respect to the tax consequences of an investment in notes, including the treatment
of the difference, if any, between the basis in their notes and the notes’ adjusted issue price.
Section 871(m)
of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless
an income tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments
linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this 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.
The discussions
in the preceding paragraphs, when read in combination with the section entitled “Material U.S. Federal Income Tax Consequences”
(and in particular the subsection thereof entitled “— Tax Consequences to U.S. Holders — Notes with a Term of More than
One Year — Notes Treated as Contingent Payment Debt Instruments”) in the accompanying product supplement, constitute the full
opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal income tax consequences of owning and disposing of notes.
PS-9
| Structured Investments
Notes Linked to the Lesser Performing of the EURO STOXX 50®
Index and the iShares® MSCI EAFE ETF |
|
Comparable
Yield and Projected Payment Schedule
We will determine
the comparable yield for the notes and will provide that comparable yield and the related projected payment schedule (or information about
how to obtain them) in the pricing supplement for the notes, which we will file with the SEC. The comparable yield for the notes
will be determined based upon a variety of factors, including actual market conditions and our borrowing costs for debt instruments of
comparable maturities at the time of issuance. The comparable yield and projected payment schedule are determined solely to calculate
the amount on which you will be taxed with respect to the notes in each year and are neither a prediction nor a guarantee of what the
actual yield will be.
The Estimated
Value of the Notes
The estimated value of the notes set forth on the
cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component
with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing to
buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated
value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by
JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding
rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing
market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an
adverse effect on the terms of the notes and any secondary market prices of the notes. For additional information, see “Selected
Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value
of the Notes Is Derived by Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives underlying
the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as
the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which
can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments.
Accordingly, the estimated value of the notes is determined when the terms of the notes are set based on market conditions and other relevant
factors and assumptions existing at that time.
The estimated value of the notes does not represent
future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide valuations
for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant factors
in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly
based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest
rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in
secondary market transactions.
The estimated value of the notes will be lower than
the original issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original
issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected
profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the
estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market
forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. A portion
of the profits, if any, realized in hedging our obligations under the notes may be allowed to other affiliated or unaffiliated dealers,
and we or one or more of our affiliates will retain any remaining hedging profits. See “Selected Risk Considerations — Risks
Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Will Be Lower Than the
Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact any
secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying
product supplement. In addition, we generally expect that some of the costs included in the original issue price of the notes will be
partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial
predetermined period. These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated
hedging costs and our internal secondary market funding rates for structured debt issuances. This initial predetermined time period is
intended to be the shorter of six months and one-half of the
PS-10
| Structured Investments
Notes Linked to the Lesser Performing of the EURO STOXX 50®
Index and the iShares® MSCI EAFE ETF |
|
stated term of the notes. The length of any such initial period reflects
the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs
of hedging the notes and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Value of the Notes as Published by JPMS (and
Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited
Time Period” in this pricing supplement.
Supplemental
Use of Proceeds
The notes are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the notes. See “Hypothetical Payout Profile” and “How
the Notes Work” in this pricing supplement for an illustration of the risk-return profile of the notes and “The Underlyings”
in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to
the estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus)
the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the
notes, plus the estimated cost of hedging our obligations under the notes.
Additional
Terms Specific to the Notes
You may revoke your offer to purchase the notes at
any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of,
or reject any offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes, we will notify
you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes, in which
case we may reject your offer to purchase.
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which
these notes are a part, and the more detailed information contained in the accompanying product supplement and the accompanying underlying
supplement. This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all other
prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence,
trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You should
carefully consider, among other things, the matters set forth in the “Risk Factors” sections of the accompanying prospectus
supplement and the accompanying product supplement, as the notes involve risks not associated with conventional debt securities. We urge
you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC website at
www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is
1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us”
and “our” refer to JPMorgan Financial.
PS-11
| Structured Investments
Notes Linked to the Lesser Performing of the EURO STOXX 50®
Index and the iShares® MSCI EAFE ETF |
|
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