Neither the Securities and Exchange Commission
(the “SEC”) nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the
adequacy of this pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus.
Any representation to the contrary is a criminal offense.
Pricing supplement to product supplement
no. 4-I dated April 13, 2023, underlying supplement no. 5-I dated April 13, 2023
and the prospectus and prospectus supplement, each dated April 13, 2023
Key
Terms
Issuer:
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor:
JPMorgan Chase & Co.
Index:
The MerQube US Tech+ Vol Advantage Index (Bloomberg ticker: MQUSTVA). The level of the Index reflects
a deduction of 6.0% per annum that accrues daily.
Contingent
Interest Payments: If the notes have not been automatically called and the closing level of the Index 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 at least $25.00 (equivalent to a Contingent Interest Rate of at least 10.00% per annum, payable
at a rate of at least 2.50% per quarter) (to be provided in the pricing supplement).
If the closing level of the Index 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 10.00% per annum, payable at a rate of at least 2.50% per quarter (to
be provided in the pricing supplement)
Interest Barrier /
Buffer Threshold: 70.00% of the Initial Value
Buffer Amount:
30.00%
Pricing
Date: On or about June 27, 2023
Original
Issue Date (Settlement Date): On or about June 30, 2023
Review
Dates*: September 27, 2023, December 27, 2023, March 27, 2024, June 27, 2024, September 27,
2024, December 27, 2024, March 27, 2025, June 27, 2025, September 29, 2025, December 29, 2025, March 27, 2026, June 29, 2026, September
28, 2026, December 28, 2026, March 29, 2027, June 28, 2027, September 27, 2027, December 27, 2027, March 27, 2028 and June 27, 2028 (final
Review Date)
Interest
Payment Dates*: October 2, 2023, January 2, 2024, April 2, 2024, July 2, 2024, October 2, 2024, January 2, 2025, April 1, 2025,
July 2, 2025, October 2, 2025, January 2, 2026, April 1, 2026, July 2, 2026, October 1, 2026, December 31, 2026, April 1, 2027, July 1,
2027, September 30, 2027, December 30, 2027, March 30, 2028 and the Maturity Date
Maturity
Date*: June 30, 2028
Call
Settlement Date*: If the notes are automatically called on any Review Date (other than the first and final Review Dates),
the first Interest Payment Date immediately following that Review Date
* Subject to postponement in the event of a market
disruption event and as described under “Supplemental Terms of the Notes — Postponement of a Determination Date — Notes
Linked Solely to an Index” in the accompanying underlying supplement and “General Terms of Notes — Postponement of a
Payment Date” in the accompanying product supplement |
Automatic Call:
If the closing level of the Index on any Review Date
(other than the first and final Review Dates) is greater than or equal to the Initial Value, the notes will be automatically called for
a cash payment, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable
to that Review Date, payable on the applicable Call Settlement Date. No further payments will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called and
the Final Value is greater than or equal to the Buffer Threshold, 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 automatically called and
the Final Value is less than the Buffer Threshold, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + [$1,000 × (Index Return + Buffer Amount)]
If the notes have not been automatically called
and the Final Value is less than the Buffer Threshold, you will lose some or most of your principal amount at maturity.
Index Return:
(Final Value – Initial Value)
Initial Value
Initial
Value: The closing level of the Index on the Pricing Date
Final
Value: The closing level of the Index on the final Review Date
|
PS-1
| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the MerQube US Tech+ Vol Advantage Index |
|
The
MerQube US Tech+ Vol Advantage Index
The MerQube US Tech+ Vol Advantage
Index (the “Index”) was developed by MerQube (the “Index Sponsor” and “Index Calculation Agent”),
in coordination with JPMS, and is maintained by the Index Sponsor and is calculated and published by the Index Calculation Agent. The
Index was established on June 22, 2021. An affiliate of ours currently has a 10% equity interest in the Index Sponsor, with a right to
appoint an employee of JPMS, another of our affiliates, as a member of the board of directors of the Index Sponsor.
The Index attempts to provide a dynamic
rules-based exposure to an unfunded rolling position in E-Mini Nasdaq-100 futures (the “Futures Contracts”), which reference
the Nasdaq-100 Index®, while targeting a level of implied volatility, with a maximum exposure to the Futures Contracts
of 500% and a minimum exposure to the Futures Contracts of 0%. The Index is subject to a 6.0% per annum daily deduction. The Nasdaq-100
Index® is a modified market capitalization-weighted index of 100 of the largest non-financial securities listed on The
Nasdaq Stock Market based on market capitalization. For more information about the Futures Contracts and the Nasdaq-100 Index®,
see “Background on E-Mini Nasdaq-100 Futures” and “Background on the Nasdaq-100 Index®,” respectively,
in the accompanying underlying supplement.
On each weekly Index rebalance day,
the exposure to the Futures Contracts is set equal to (a) the 35% implied volatility target (the “target volatility”) divided
by (b) the one-week implied volatility of the Invesco QQQ TrustSM, Series 1 (the “QQQ Fund”), subject to a
maximum exposure of 500%. For example, if the implied volatility of the QQQ Fund is equal to 17.5%, the exposure to the Futures Contracts
will equal 200% (or 35% / 17.5%) and if the implied volatility of the QQQ Fund is equal to 40%, the exposure to the Futures Contracts
will equal 87.5% (or 35% / 40%). The Index’s exposure to the Futures Contracts will be greater than 100% when the implied volatility
of the QQQ Fund is below 35%, and the Index’s exposure to the Futures Contracts will be less than 100% when the implied volatility
of the QQQ Fund is above 35%. In general, the Index’s target volatility feature is expected to result in the volatility of the Index
being more stable over time than if no target volatility feature were employed. No assurance can be provided that the volatility of the
Index will be stable at any time.
The investment objective of the QQQ
Fund is to seek to track the investment results, before fees and expenses, of the Nasdaq-100 Index®. For more information
about the QQQ Fund, see “Background on the Invesco QQQ TrustSM, Series 1” in the accompanying underlying supplement.
The Index uses the implied volatility of the QQQ Fund as a proxy for the volatility of the Futures Contracts.
The 6.0% per annum daily deduction
will offset any appreciation of the Futures Contracts, will heighten any depreciation of the Futures Contracts and will generally be a
drag on the performance of the Index. The Index will trail the performance of an identical index without a deduction.
Holding the estimated value of the
notes and market conditions constant, the Contingent Interest Rate, the Interest Barrier, the Trigger Value and the other economic terms
available on the notes are more favorable to investors than the terms that would be available on a hypothetical note issued by us linked
to an identical index without a daily deduction. However, there can be no assurance that any improvement in the terms of the notes derived
from the daily deduction will offset the negative effect of the daily deduction on the performance of the Index. The return on the notes
may be lower than the return on a hypothetical note issued by us linked to an identical index without a daily deduction.
The daily deduction and the volatility
of the Index (as influenced by the Index’s target volatility feature) are two of the primary variables that affect the economic
terms of the notes. Additionally, the daily deduction and volatility of the Index are two of the inputs our affiliates’ internal
pricing models use to value the derivative or derivatives underlying the economic terms of the notes for purposes of determining the estimated
value of the notes set forth on the cover of this pricing supplement. The daily deduction will effectively reduce the value of the
derivative or derivatives underlying the economic terms of the notes. See “The Estimated Value of the Notes” and “Selected
Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes” in this pricing supplement.
The Index is subject to risks
associated with the use of significant leverage. In addition, the Index may be significantly uninvested on any given day, and, in that
case, will realize only a portion of any gains due to appreciation of the Futures Contracts on that day. The index deduction is deducted
daily at a rate of 6.0% per annum, even when the Index is not fully invested.
No assurance can be given that
the investment strategy used to construct the Index will achieve its intended results or that the Index will be successful or will outperform
any alternative index or strategy that might reference the Futures Contracts.
For additional information about
the Index, see “The MerQube Vol Advantage Index Series” in the accompanying underlying supplement.
PS-2
| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the MerQube US Tech+ Vol Advantage Index |
|
Supplemental
Terms of the Notes
The notes are not commodity futures
contracts or swaps and are not regulated under the Commodity Exchange Act of 1936, as amended (the “Commodity Exchange Act”).
The notes are offered pursuant to an exemption from regulation under the Commodity Exchange Act, commonly known as the hybrid instrument
exemption, that is available to securities that have one or more payments indexed to the value, level or rate of one or more commodities,
as set out in section 2(f) of that statute. Accordingly, you are not afforded any protection provided by the Commodity Exchange Act or
any regulation promulgated by the Commodity Futures Trading Commission.
How
the Notes Work
Payment in Connection with the
First Review Date
Payments in Connection with Review
Dates (Other than the First and Final Review Dates)
PS-3
| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the MerQube US Tech+ Vol Advantage Index |
|
Payment at Maturity If the Notes
Have Not Been Automatically Called
Total Contingent Interest Payments
The table below illustrates the hypothetical
total Contingent Interest Payments per $1,000 principal amount note over the term of the notes based on a hypothetical Contingent Interest
Rate of 10.00% per annum, depending on how many Contingent Interest Payments are made prior to automatic call or maturity. The actual
Contingent Interest Rate will be provided in the pricing supplement and will be at least 10.00% per annum.
Number of Contingent
Interest Payments |
Total Contingent Interest
Payments |
20 |
$500.00 |
19 |
$475.00 |
18 |
$450.00 |
17 |
$425.00 |
16 |
$400.00 |
15 |
$375.00 |
14 |
$350.00 |
13 |
$325.00 |
12 |
$300.00 |
11 |
$275.00 |
10 |
$250.00 |
9 |
$225.00 |
8 |
$200.00 |
7 |
$175.00 |
6 |
$150.00 |
5 |
$125.00 |
4 |
$100.00 |
3 |
$75.00 |
2 |
$50.00 |
1 |
$25.00 |
0 |
$0.00 |
PS-4
| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the MerQube US Tech+ Vol Advantage Index |
|
Hypothetical Payout Examples
The following examples illustrate
payments on the notes linked to a hypothetical Index, assuming a range of performances for the hypothetical Index on the Review Dates.
The hypothetical payments set forth below assume the following:
| · | an Initial Value of 100.00; |
| · | an Interest Barrier and a Buffer Threshold of 70.00 (equal to 70.00% of the hypothetical Initial Value); |
| · | a Buffer Amount of 30.00%; and |
| · | a Contingent Interest Rate of 10.00% per annum (payable at a rate of 2.50% per quarter). |
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 level of the Index on the Pricing Date and will be provided in the pricing supplement. For historical data regarding the actual
closing levels of the Index, please see the historical information set forth under “Hypothetical Back-Tested Data and Historical
Information” 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 are
automatically called on the second Review Date.
Date |
Closing Level |
Payment (per $1,000 principal amount note) |
First Review Date |
105.00 |
$25.00 |
Second Review Date |
110.00 |
$1,025.00 |
|
Total Payment |
$1,050.00 (5.00% return) |
Because the closing level of the
Index on the second Review Date is greater than or equal to the Initial Value, the notes will be automatically called for a cash payment,
for each $1,000 principal amount note, of $1,025.00 (or $1,000 plus the Contingent Interest Payment applicable to the second Review
Date), payable on the applicable Call Settlement Date. The notes are not automatically callable before the second Review Date, even though
the closing level of the Index on the first Review Date is greater than the Initial Value. 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 $1,050.00. No further
payments will be made on the notes.
Example 2 — Notes have NOT
been automatically called and the Final Value is greater than or equal to the Buffer Threshold.
Date |
Closing Level |
Payment (per $1,000 principal amount note) |
First Review Date |
95.00 |
$25.00 |
Second Review Date |
85.00 |
$25.00 |
Third through Nineteenth Review Dates |
Less than Interest Barrier |
$0 |
Final Review Date |
90.00 |
$1,025.00 |
|
Total Payment |
$1,075.00 (7.50% return) |
Because the notes have not been
automatically called and the Final Value is greater than or equal to the Buffer Threshold, the payment at maturity, for each $1,000 principal
amount note, will be $1,025.00 (or $1,000 plus the Contingent Interest Payment applicable to the final Review Date). When added
to the Contingent Interest Payments received with respect to the prior Review Dates, the total amount paid, for each $1,000 principal
amount note, is $1,075.00.
Example
3 — Notes have NOT been automatically called and the Final Value is less than the Buffer Threshold.
Date |
Closing Level |
Payment (per $1,000 principal amount note) |
First Review Date |
40.00 |
$0 |
Second Review Date |
45.00 |
$0 |
Third through Nineteenth Review Dates |
Less than Interest Barrier |
$0 |
Final Review Date |
50.00 |
$800.00 |
|
Total Payment |
$800.00 (-20.00% return) |
Because the notes have not been
automatically called, the Final Value is less than the Buffer Threshold and the Index Return is -50.00%, the payment at maturity will
be $800.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00%
+ 30.00%)] = $800.00
The hypothetical returns and hypothetical
payments on the notes shown above apply only if you hold the notes for their entire term
PS-5
| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the MerQube US Tech+ Vol Advantage Index |
|
or until automatically called. These hypotheticals
do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included,
the hypothetical returns and hypothetical payments shown above would likely be lower.
Selected
Risk Considerations
An investment in the notes involves
significant risks. These risks are explained in more detail in the “Risk Factors” sections of the accompanying prospectus
supplement, product supplement and underlying supplement.
Risks Relating to the Notes Generally
| · | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — |
The notes do not guarantee
any return of principal. If the notes have not been automatically called and the Final Value is less than the Buffer Threshold, you will
lose 1% of the principal amount of your notes for every 1% that the Final Value is less than the Initial Value by more than 30.00%. Accordingly,
under these circumstances, you will lose up to 70.00% 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
automatically called, we will make a Contingent Interest Payment with respect to a Review Date only if the closing level of the Index
on that Review Date is greater than or equal to the Interest Barrier. If the closing level of the Index 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 level
of the Index on each Review Date is less than the Interest Barrier, you will not receive any interest payments over the term of the notes.
| · | THE LEVEL OF THE INDEX WILL INCLUDE A 6.0% PER ANNUM DAILY DEDUCTION — |
The Index is subject to a
6.0% per annum daily deduction. The level of the Index will trail the value of an identically constituted synthetic portfolio that is
not subject to any such deduction.
The index deduction will place
a significant drag on the performance of the Index, potentially offsetting positive returns on the Index’s investment strategy,
exacerbating negative returns of its investment strategy and causing the level of the Index to decline steadily if the return of its investment
strategy is relatively flat. The Index will not appreciate unless the return of its investment strategy is sufficient to offset the negative
effects of the index deduction, and then only to the extent that the return of its investment strategy is greater than the index deduction.
As a result of the index deduction, the level of the Index may decline even if the return of its investment strategy is positive.
The daily deduction is one
of the inputs our affiliates’ internal pricing models use to value the derivative or derivatives underlying the economic terms of
the notes for purposes of determining the estimated value of the notes set forth on the cover of this pricing supplement. The daily deduction
will effectively reduce the value of the derivative or derivatives underlying the economic terms of the notes. See “The Estimated
Value of the Notes” and “— Risks Relating to the Estimated Value and Secondary Market Prices of the Notes” in
this pricing supplement.
| · | 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.
PS-6
| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the MerQube US Tech+ Vol Advantage Index |
|
| · | 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 Index, which may be significant. You will not participate in any appreciation of the Index.
| · | THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT — |
If your notes are automatically
called, the term of the notes may be reduced to as short as approximately six months and you will not receive any Contingent Interest
Payments after the applicable Call Settlement 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 the notes
are called 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 OR OTHER DISTRIBUTIONS ON THE SECURITIES UNDERLYING THE NASDAQ-100 INDEX®
OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES OR THE FUTURES CONTRACTS UNDERLYING THE INDEX. |
| · | THE RISK OF THE CLOSING LEVEL OF THE INDEX FALLING BELOW THE INTEREST BARRIER OR THE BUFFER THRESHOLD
IS GREATER IF THE LEVEL OF THE INDEX IS VOLATILE. |
| · | JPMS AND ITS AFFILIATES MAY HAVE PUBLISHED RESEARCH, EXPRESSED OPINIONS OR PROVIDED RECOMMENDATIONS THAT
ARE INCONSISTENT WITH INVESTING IN OR HOLDING THE NOTES, AND MAY DO SO IN THE FUTURE — |
Any research, opinions or
recommendations could affect the market value of the notes. Investors should undertake their own independent investigation of the
merits of investing in the notes, the Index and the futures contracts composing the Index.
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.
An affiliate of ours currently
has a 10% equity interest in the Index Sponsor, with a right to appoint an employee of JPMS, another of our affiliates, as a member of
the board of directors of the Index Sponsor. The Index Sponsor can implement policies, make judgments or enact changes to the Index methodology
that could negatively affect the performance of the Index. The Index Sponsor can also alter, discontinue or suspend calculation or dissemination
of the Index. Any of these actions could adversely affect the value of the notes. The Index Sponsor has no obligation to consider your
interests in calculating, maintaining or revising the Index, and we, JPMS, our other affiliates and our respective employees are under
no obligation to consider your interests as an investor in the notes in connection with the role of our affiliate as an owner of an equity
interest in the Index Sponsor or the role of an employee of JPMS as a member of the board of directors of the Index Sponsor.
In addition JPMS worked with
the Index Sponsor in developing the guidelines and policies governing the composition and calculation of the Index. Although judgments,
policies and determinations concerning the Index were made by JPMS, JPMorgan Chase & Co., as the parent company of JPMS,
ultimately controls JPMS. The policies and judgments for which JPMS was responsible could have an impact, positive or negative, on the
level of the Index and the value of your notes. JPMS is under no obligation to consider your interests as an investor in the notes in
its role in developing the guidelines and policies governing the Index or making judgments that may affect the level of the Index.
PS-7
| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the MerQube US Tech+ Vol Advantage Index |
|
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.
| · | SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS — |
The secondary market price
of the notes during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other,
aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and the level of the Index. Additionally,
independent pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer
account statements. This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to
purchase your notes in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying
product supplement.
Risks Relating to the Index
| · | THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED IN RESPECT
OF THE FUTURES CONTRACTS — |
No assurance can be given
that the investment strategy on which the Index is based will be successful or that the Index will outperform any alternative strategy
that might be employed with respect to the Futures Contracts.
PS-8
| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the MerQube US Tech+ Vol Advantage Index |
|
| · | THE INDEX MAY NOT APPROXIMATE ITS TARGET VOLATILITY — |
No assurance can be given
that the Index will maintain an annualized realized volatility that approximates its target volatility of 35%. The Index’s target
volatility is a level of implied volatility and therefore the actual realized volatility of the Index may be greater or less than the
target volatility. On each weekly Index rebalance day, the Index’s exposure to the Futures Contracts is set equal to (a) the 35%
implied volatility target divided by (b) the one-week implied volatility of the QQQ Fund, subject to a maximum exposure of 500%. The Index
uses the implied volatility of the QQQ Fund as a proxy for the volatility of the Futures Contracts. However, there is no guarantee that
the methodology used by the Index to determine the implied volatility of the QQQ Fund will be representative of the implied or realized
volatility of the Futures Contracts. The performance of the QQQ Fund may not correlate with the performance of the Futures Contracts,
particularly during periods of market volatility. In addition, the volatility of the Futures Contracts on any day may change quickly and
unexpectedly and realized volatility may differ significantly from implied volatility. In general, over time, the realized volatilities
of the QQQ Fund and the Futures Contracts have tended to be lower than their respective implied volatilities; however, at any time those
realized volatilities may exceed their respective implied volatilities, particularly during periods of market volatility. Accordingly,
the actual realized annualized volatility of the Index may be greater than or less than the target volatility, which may adversely affect
the level of the Index and the value of the notes.
| · | THE INDEX IS SUBJECT TO RISKS ASSOCIATED WITH THE USE OF SIGNIFICANT LEVERAGE — |
On a weekly Index rebalance
day, the Index will employ leverage to increase the exposure of the Index to the Futures Contracts if the implied volatility of the QQQ
Fund is below 35%, subject to a maximum exposure of 500%. Under normal market conditions in the past, the QQQ Fund has tended to exhibit
an implied volatility below 35%. Accordingly, the Index has generally employed leverage in the past, except during periods of elevated
volatility. When leverage is employed, any movements in the prices of the Futures Contracts will result in greater changes in the level
of the Index than if leverage were not used. In particular, the use of leverage will magnify any negative performance of the Futures Contracts,
which, in turn, would negatively affect the performance of the Index. Because the Index’s leverage is adjusted only on a weekly
basis, in situations where a significant increase in volatility is accompanied by a significant decline in the value of the Futures Contracts,
the level of the Index may decline significantly before the following Index rebalance day when the Index’s exposure to the Futures
Contracts would be reduced.
| · | THE INDEX MAY BE SIGNIFICANTLY UNINVESTED — |
On a weekly Index rebalance
day, the Index’s exposure to the Futures Contracts will be less than 100% when the implied volatility of the QQQ Fund is above 35%.
If the Index’s exposure to the Futures Contracts is less than 100%, the Index will not be fully invested, and any uninvested portion
will earn no return. The Index may be significantly uninvested on any given day, and will realize only a portion of any gains due to appreciation
of the Futures Contracts on any such day. The 6.0% per annum deduction is deducted daily, even when the Index is not fully invested.
| · | THE INDEX MAY BE ADVERSELY AFFECTED IF LATER FUTURES CONTRACTS HAVE HIGHER PRICES THAN AN EXPIRING FUTURES
CONTRACT INCLUDED IN THE INDEX — |
As the Futures Contracts included
in the Index come to expiration, they are replaced by Futures Contracts that expire three months later. This is accomplished by synthetically
selling the expiring Futures Contract and synthetically purchasing the Futures Contract that expires three months from that time. This
process is referred to as “rolling.” Excluding other considerations, if the market for the Futures Contracts is in “contango,”
where the prices are higher in the distant delivery months than in the nearer delivery months, the purchase of the later Futures Contract
would take place at a price that is higher than the price of the expiring Futures Contract, thereby creating a negative “roll yield.”
In addition, excluding other considerations, if the market for the Futures Contracts is in “backwardation,” where the prices
are lower in the distant delivery months than in the nearer delivery months, the purchase of the later Futures Contract would take place
at a price that is lower than the price of the expiring Futures Contract, thereby creating a positive “roll yield.” The presence
of contango in the market for the Futures Contracts could adversely affect the level of the Index and, accordingly, any payment on the
notes.
| · | THE INDEX IS AN EXCESS RETURN INDEX THAT DOES NOT REFLECT “TOTAL RETURNS” — |
The
Index is an excess return index that does not reflect total returns. The return from investing in futures contracts derives from three
sources: (a) changes in the price of the relevant futures contracts (which is known as the “price return”); (b) any profit
or loss realized when rolling the relevant futures contracts (which is known as the “roll return”); and (c) any interest earned
on the cash deposited as collateral for the purchase of the relevant futures contracts (which is known as the “collateral return”).
The
Index measures the returns accrued from investing in uncollateralized futures contracts (i.e., the sum of the price return and
the roll return associated with an investment in the Futures Contracts). By contrast, a total return index, in addition to reflecting
those returns, would also reflect interest that could be earned on funds committed to the trading of the Futures Contracts (i.e.,
the collateral return associated with an investment in the Futures Contracts). Investing in the notes will not generate the same return
as would be generated from investing in a total return index related to the Futures Contracts.
PS-9
| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the MerQube US Tech+ Vol Advantage Index |
|
| · | AN INVESTMENT IN THE NOTES WILL BE SUBJECT TO RISKS ASSOCIATED WITH
NON-U.S. SECURITIES — |
Some
of the equity securities composing the Nasdaq-100 Index® are issued by non-U.S.
companies. Investments in securities linked to the value of such non-U.S. equity securities involve risks associated with the home countries
of the issuers of those non-U.S. equity securities. The prices of securities issued by non-U.S. companies may be affected by political,
economic, financial and social factors in the home countries of those issuers, or global regions, including changes in government, economic
and fiscal policies and currency exchange laws.
| · | CONCENTRATION RISKS ASSOCIATED WITH THE INDEX MAY ADVERSELY AFFECT THE VALUE OF YOUR NOTES — |
The Index generally provides
exposure to a single futures contract on the Nasdaq-100 Index® that trades on the Chicago Mercantile Exchange. Accordingly,
the notes are less diversified than other funds, investment portfolios or indices investing in or tracking a broader range of products
and, therefore, could experience greater volatility. You should be aware that other indices may be more diversified than the Index in
terms of both the number and variety of futures contracts. You will not benefit, with respect to the notes, from any of the advantages
of a diversified investment and will bear the risks of a highly concentrated investment.
| · | THE INDEX IS SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FUTURES CONTRACTS, INCLUDING VOLATILITY — |
The Index tracks the returns
of futures contracts. The price of a futures contract depends not only on the price of the underlying asset referenced by the futures
contract, but also on a range of other factors, including but not limited to changing supply and demand relationships, interest rates,
governmental and regulatory policies and the policies of the exchanges on which the futures contracts trade. In addition, the futures
markets are subject to temporary distortions or other disruptions due to various factors, including the lack of liquidity in the markets,
the participation of speculators and government regulation and intervention. These factors and others can cause the prices of futures
contracts to be volatile.
| · | SUSPENSION OR DISRUPTIONS OF MARKET TRADING IN FUTURES CONTRACTS MAY ADVERSELY AFFECT THE VALUE OF YOUR
NOTES — |
Futures markets like the Chicago
Mercantile Exchange, the market for the Futures Contracts, are subject to temporary distortions or other disruptions due to various factors,
including the lack of liquidity in the markets, the participation of speculators, and government regulation and intervention. In addition,
futures exchanges have regulations that limit the amount of fluctuation in some futures contract prices that may occur during a single
day. These limits are generally referred to as “daily price fluctuation limits” and the maximum or minimum price of a contract
on any given day as a result of these limits is referred to as a “limit price.” Once the limit price has been reached in a
particular contract, no trades may be made at a price beyond the limit, or trading may be limited for a set period of time. Limit prices
have the effect of precluding trading in a particular contract or forcing the liquidation of contracts at potentially disadvantageous
times or prices. These circumstances could affect the level of the Index and therefore could affect adversely the value of your notes.
| · | THE OFFICIAL SETTLEMENT PRICE AND INTRADAY TRADING PRICES OF THE RELEVANT FUTURES CONTRACTS MAY NOT BE
READILY AVAILABLE — |
The official settlement price
and intraday trading prices of the Futures Contracts are calculated and published by the Chicago Mercantile Exchange and are used to calculate
the levels of the Index. Any disruption in trading of the Futures Contracts could delay the release or availability of the official settlement
price and intraday trading prices and may delay or prevent the calculation of the Index.
| · | CHANGES IN THE MARGIN REQUIREMENTS FOR THE FUTURES CONTRACTS INCLUDED IN THE INDEX MAY ADVERSELY AFFECT
THE VALUE OF THE NOTES — |
Futures exchanges require
market participants to post collateral in order to open and to keep open positions in futures contracts. If an exchange changes the amount
of collateral required to be posted to hold positions in the Futures Contracts, market participants may adjust their positions, which
may affect the prices of the Futures Contracts. As a result, the level of the Index may be affected, which may adversely affect the value
of the notes.
| · | HYPOTHETICAL BACK-TESTED DATA RELATING TO THE INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA AND ARE SUBJECT
TO INHERENT LIMITATIONS — |
The hypothetical back-tested
performance of the Index set forth under “Hypothetical Back-Tested Data and Historical Information” in this pricing supplement
is purely theoretical and does not represent the actual historical performance of the Index and has not been verified by an independent
third party. Hypothetical back-tested performance measures have inherent limitations. Hypothetical back-tested performance is derived
by means of the retroactive application of a back-tested model that has been designed with the benefit of hindsight. Alternative modelling
techniques might produce significantly different results and may prove to be more appropriate. Past performance, and especially hypothetical
back-tested performance, is not indicative of future results.
PS-10
| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the MerQube US Tech+ Vol Advantage Index |
|
This type of information has inherent limitations
and you should carefully consider these limitations before placing reliance on such information.
o
THE INDEX WAS ESTABLISHED ON JUNE 22, 2021, AND MAY PERFORM IN UNANTICIPATED WAYS.
o
THE NOTES ARE NOT REGULATED BY THE COMMODITY FUTURES TRADING COMMISSION.
o
HISTORICAL PERFORMANCE OF THE INDEX SHOULD NOT BE TAKEN AS AN INDICATION OF THE FUTURE PERFORMANCE OF THE INDEX DURING THE TERM
OF THE NOTES.
Please refer to the “Risk
Factors” section of the accompanying underlying supplement for more details regarding the above-listed and other risks.
PS-11
| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the MerQube US Tech+ Vol Advantage Index |
|
Hypothetical Back-Tested Data
and Historical Information
The following graph sets forth the
hypothetical back-tested performance of the Index based on the hypothetical back-tested weekly closing levels of the Index from January
5, 2018 through June 18, 2021, and the historical performance of the Index based on the weekly historical closing levels of the Index
from June 25, 2021 through May 26, 2023. The Index was established on June 22, 2021, as represented by the vertical line in the following
graph. All data to the left of that vertical line reflect hypothetical back-tested performance of the Index. All data to the right of
that vertical line reflect actual historical performance of the Index. The closing level of the Index on May 26, 2023 was 7,946.68. We
obtained the closing levels above and below from the Bloomberg Professional® service (“Bloomberg”), without
independent verification.
The
data for the hypothetical back-tested performance of the Index set forth in the following graph are purely theoretical and do not represent
the actual historical performance of the Index. See “Selected Risk Considerations — Risks Relating to the Index — Hypothetical
Back-Tested Data Relating to the Index Do Not Represent Actual Historical Data and Are Subject to Inherent Limitations” above.
The hypothetical back-tested and
historical closing levels of the Index should not be taken as an indication of future performance, and no assurance can be given as to
the closing level of the Index on the Pricing Date or any Review Date. There can be no assurance that the performance of the Index will
result in the return of any of your principal amount in excess of $300.00 per $1,000 principal amount note, subject to the credit risks
of JPMorgan Financial and JPMorgan Chase & Co., or the payment of any interest.
The hypothetical back-tested closing
levels of the Index have inherent limitations and have not been verified by an independent third party. These hypothetical back-tested
closing levels are determined by means of a retroactive application of a back-tested model designed with the benefit of hindsight. Hypothetical
back-tested results are neither an indicator nor a guarantee of future returns. No representation is made that an investment in the notes
will or is likely to achieve returns similar to those shown. Alternative modeling techniques or assumptions would produce different hypothetical
back-tested closing levels of the Index that might prove to be more appropriate and that might differ significantly from the hypothetical
back-tested closing levels of the Index set forth above.
Tax
Treatment
You should review carefully the section
entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. 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
PS-12
| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the MerQube US Tech+ Vol Advantage Index |
|
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 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
PS-13
| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the MerQube US Tech+ Vol Advantage Index |
|
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 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 MerQube US Tech+ Vol Advantage Index” in this pricing supplement for a description of the market exposure provided
by the notes.
The original issue price of the
notes is equal to the estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers,
plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes, plus the estimated cost of hedging our obligations under the notes.
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, the accompanying product supplement and the accompanying underlying supplement, as the notes involve risks not
associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before
you invest in the notes.
PS-14
| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the MerQube US Tech+ Vol Advantage Index |
|
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-15
| Structured Investments
Auto Callable Contingent Interest Notes Linked
to the MerQube US Tech+ Vol Advantage Index |
|
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
Von Mär 2024 bis Apr 2024
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
Von Apr 2023 bis Apr 2024