Pricing supplement
To prospectus dated April 13, 2023,
prospectus supplement dated April 13, 2023,
product supplement no. 3-I dated April 13, 2023 and
underlying supplement no. 1-I dated April 13, 2023 |
Registration Statement Nos. 333-270004 and 333-270004-01
Dated May 25, 2023
Rule 424(b)(2)
|
JPMorgan
Chase Financial Company LLC |
Structured
Investments
|
$1,125,000 |
Digital Knock-Out Notes Linked to the S&P 500® Index due June 10, 2024 |
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co. |
General
| · | The
notes are designed for investors who seek a fixed return of 27.00% at maturity, provided that, on any day during the Monitoring
Period, the closing level of the S&P 500® Index is not greater than the Upper Barrier (110.00% of the
Index Strike Level) or less than the Lower Barrier (80.00% of the Index Strike Level). |
| · | Investors
should be willing to forgo interest and dividend payments, while seeking full repayment of principal at maturity. |
| · | The
notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial,
the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes is subject to the
credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor of the notes. |
| · | Minimum
denominations of $10,000 and integral multiples of $1,000 in excess thereof |
Key Terms
Issuer: |
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co. |
Guarantor: |
JPMorgan Chase & Co. |
Index: |
The S&P 500® Index (Bloomberg ticker: SPX) |
Payment at Maturity:
|
At maturity, you will receive a cash payment, for each $1,000 principal
amount note, of $1,000 plus the Additional Amount, which may be zero and will not be greater than the Contingent Digital Return.
You are entitled to repayment of principal in full 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:
(i) if a Knock-Out Event has not occurred: $1,000
× the Contingent Digital Return; or
(ii) if a Knock-Out Event has occurred: $0 |
Knock-Out Event: |
A Knock-Out Event occurs if, on any day during the Monitoring Period, the closing level of the Index is greater than the Upper Barrier or less than the Lower Barrier. |
Upper Barrier: |
4,526.764, equal to 110.00% of the Index Strike Level |
Lower Barrier: |
3,292.192, equal to 80.00% of the Index Strike Level |
Contingent Digital Return: |
27.00%, which reflects the maximum return on the notes. Accordingly, the maximum payment at maturity per $1,000 principal amount note is $1,270.00. |
Monitoring Period: |
The period from, and including, the Strike Date to, and including, the Valuation Date |
Index Return: |
(Ending Index Level – Index Strike
Level)
Index Strike Level |
Index Strike Level: |
4,115.24, the closing level of the Index on the Strike Date. The Index Strike Level is not determined by reference to the closing level of the Index on the Pricing Date. |
Ending Index Level: |
The closing level of the Index on the Valuation Date |
Strike Date: |
May 24, 2023 |
Pricing Date: |
May 25, 2023 |
Original Issue Date: |
On or about May 31, 2023 (Settlement Date) |
Valuation Date*: |
June 5, 2024 |
Maturity Date*: |
June 10, 2024 |
CUSIP: |
48133XBX3 |
| * | Subject to postponement in the event of a market disruption event and as described under “General Terms of Notes — Postponement
of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity
Index)” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement |
Investing in the notes involves a number of risks. See “Risk
Factors” beginning on page S-2 of the accompanying prospectus supplement, “Risk Factors” beginning on page PS-12 of
the accompanying product supplement and “Selected Risk Considerations” beginning on page PS-5 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing
supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation to
the contrary is a criminal offense.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
Per note |
$1,000.00 |
$10.00 |
$990.00 |
Total |
$1,125,000.00 |
$11,250.00 |
$1,113,750.00 |
| (1) | See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price to public
of the notes. |
| (2) | J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions
of $10.00 per $1,000 principal amount note it receives from us to other affiliated or unaffiliated dealers. See “Plan of Distribution
(Conflicts of Interest)” in the accompanying product supplement. |
The estimated value of the notes, when the terms of the notes were
set, was $963.60 will be provided in the pricing supplement and will not be less than $950.00 per $1,000 principal amount note. See
“The Estimated Value of the Notes” in this pricing supplement for additional information.
The notes are not bank deposits, are not insured by the Federal
Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Additional Terms Specific to the
Notes
You 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.
| |
JPMorgan Structured Investments — | PS- 1 |
Digital Knock-Out Notes Linked to the S&P 500® Index | |
What Is the Total Return on the
Notes at Maturity, Assuming a Range of Performances for the Index?
The following table and examples illustrate the hypothetical
total return and the hypothetical payment at maturity on the notes. The “total return” as used in this pricing supplement
is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount note to $1,000.
Each hypothetical total return or payment at maturity set forth below assumes a hypothetical Index Strike Level of 100.00 and reflects
the Upper Barrier of 110.00%, the Lower Barrier of 80.00% and the Contingent Digital Return of 27.00%. The hypothetical Index Strike Level
of 100.00 has been chosen for illustrative purposes only and does not represent the actual Index Strike Level. Each hypothetical total
return or payment at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity
applicable to a purchaser of the notes. The numbers appearing in the following table and in the examples below have been rounded for ease
of analysis.
|
|
A Knock-Out Event Has Not
Occurred (1) |
A Knock-Out Event Has
Occurred (1) |
Ending Index
Level |
Index
Return |
Total Return |
Payment at
Maturity |
Total Return |
Payment at
Maturity |
180.00 |
80.00% |
N/A |
N/A |
0.00% |
$1,000.00 |
170.00 |
70.00% |
N/A |
N/A |
0.00% |
$1,000.00 |
160.00 |
60.00% |
N/A |
N/A |
0.00% |
$1,000.00 |
150.00 |
50.00% |
N/A |
N/A |
0.00% |
$1,000.00 |
140.00 |
40.00% |
N/A |
N/A |
0.00% |
$1,000.00 |
130.00 |
30.00% |
N/A |
N/A |
0.00% |
$1,000.00 |
120.00 |
20.00% |
N/A |
N/A |
0.00% |
$1,000.00 |
110.00 |
10.00% |
27.00% |
$1,270.00 |
0.00% |
$1,000.00 |
105.00 |
5.00% |
27.00% |
$1,270.00 |
0.00% |
$1,000.00 |
102.50 |
2.50% |
27.00% |
$1,270.00 |
0.00% |
$1,000.00 |
100.00 |
0.00% |
27.00% |
$1,270.00 |
0.00% |
$1,000.00 |
97.50 |
-2.50% |
27.00% |
$1,270.00 |
0.00% |
$1,000.00 |
95.00 |
-5.00% |
27.00% |
$1,270.00 |
0.00% |
$1,000.00 |
90.00 |
-10.00% |
27.00% |
$1,270.00 |
0.00% |
$1,000.00 |
80.00 |
-20.00% |
27.00% |
$1,270.00 |
0.00% |
$1,000.00 |
70.00 |
-30.00% |
N/A |
N/A |
0.00% |
$1,000.00 |
60.00 |
-40.00% |
N/A |
N/A |
0.00% |
$1,000.00 |
50.00 |
-50.00% |
N/A |
N/A |
0.00% |
$1,000.00 |
40.00 |
-60.00% |
N/A |
N/A |
0.00% |
$1,000.00 |
30.00 |
-70.00% |
N/A |
N/A |
0.00% |
$1,000.00 |
20.00 |
-80.00% |
N/A |
N/A |
0.00% |
$1,000.00 |
10.00 |
-90.00% |
N/A |
N/A |
0.00% |
$1,000.00 |
0.00 |
-100.00% |
N/A |
N/A |
0.00% |
$1,000.00 |
(1) A Knock-Out Event occurs if, on any day during the Monitoring Period,
the closing level of the Index is greater than the Upper Barrier or less than the Lower Barrier.
| |
JPMorgan Structured Investments — | PS- 2 |
Digital Knock-Out Notes Linked to the S&P 500® Index | |
Hypothetical Examples of Amount
Payable at Maturity
The following examples illustrate how the total payment
at maturity in different hypothetical scenarios is calculated.
Example 1: The level of the Index increases from
the Index Strike Level of 100.00 to an Ending Index Level of 110.00. A Knock-Out Event occurred during the Monitoring Period.
Because a Knock-Out Event occurred during the Monitoring
Period, even though the Ending Index Level is not greater than the Upper Barrier, the Additional Amount equals zero and the total
Payment at Maturity will be $1,000.00 per $1,000 principal amount note.
Example 2: The level of the Index increases from
the Index Strike Level of 100.00 to an Ending Index Level of 110.00. A Knock-Out Event did not occur during the Monitoring Period.
Because a Knock-Out Event did not occur during the Monitoring
Period, the investor receives an Additional Amount of $270.00 per $1,000 principal amount note, calculated as follows:
$1,000 × 27.00% = $270.00
Accordingly, the total Payment at Maturity will be $1,270.00
per $1,000 principal amount note.
Example 3: The level of the Index decreases from
the Index Strike Level of 100.00 to an Ending Index Level of 80.00. A Knock-Out Event occurred during the Monitoring Period.
Because a Knock-Out Event occurred during the Monitoring
Period, even though the Ending Index Level is not less than the Lower Barrier, the Additional Amount equals zero and the total
Payment at Maturity will be $1,000.00 per $1,000 principal amount note.
Example 4: The level of the Index decreases from
the Index Strike Level of 100.00 to an Ending Index Level of 80.00. A Knock-Out Event did not occur during the Monitoring Period.
Because a Knock-Out Event did not occur during the Monitoring
Period, the investor receives an Additional Amount of $270.00 per $1,000 principal amount note, calculated as follows:
$1,000 × 27.00% = $270.00
Accordingly, the total Payment at Maturity will be $1,270.00
per $1,000 principal amount note.
The hypothetical returns and hypothetical payments on
the notes shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect fees or expenses
that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns and
hypothetical payments shown above would likely be lower.
| |
JPMorgan Structured Investments — | PS- 3 |
Digital Knock-Out Notes Linked to the S&P 500® Index | |
Selected Purchase Considerations
| · | FIXED APPRECIATION POTENTIAL
— If the closing level of the Index remains between the Upper Barrier and the Lower Barrier on each day during the Monitoring Period,
you will receive a fixed return equal to the Contingent Digital Return of 27.00% at maturity, which also reflects the maximum return on
the notes at maturity. Because the notes are our unsecured and unsubordinated obligations, the payment of which is fully and unconditionally
guaranteed by JPMorgan Chase & Co., payment of any amount on the notes is subject to our ability to pay our obligations as they become
due and JPMorgan Chase & Co.’s ability to pay its obligations as they become due. |
| · | RETURN LINKED TO THE S&P
500® INDEX — The S&P 500® Index consists of stocks of 500 companies selected to provide a
performance benchmark for the U.S. equity markets. For additional information about the S&P 500® Index, see “Equity
Index Descriptions — The S&P U.S. Indices” in the accompanying underlying supplement. |
| · | TAX TREATMENT —
There is uncertainty regarding the U.S. federal income tax consequences of an investment in the notes due to the lack of governing authority.
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, Latham & Watkins LLP, is of the opinion
that the notes should be treated for U.S. federal income tax purposes as debt instruments. Based on current market conditions, we intend
to treat the notes for U.S. federal income tax purposes as “contingent payment debt instruments.” Assuming this treatment
is respected, as discussed in that subsection, unlike a traditional debt instrument that provides for periodic payments of interest at
a single fixed rate, with respect to which a cash-method investor generally recognizes income only upon receipt of stated interest, 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. Special rules may
apply if the Additional Amount is treated as becoming fixed prior to maturity. You should consult your tax adviser concerning the application
of these rules. 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.
Our intended treatment of the notes as CPDIs will be binding on you, unless you properly disclose to the IRS an alternative treatment.
Also, the IRS may challenge the treatment of the notes as CPDIs. If the IRS successfully challenges the treatment of the notes as CPDIs,
then the notes will be treated as debt instruments that are not CPDIs and, would require the accrual of original issue discount as ordinary
interest income based on a yield to maturity higher than the comparable yield. Accordingly, under this treatment, your annual taxable
income from (and adjusted tax basis in) the notes would be higher than if the notes were treated as CPDIs, and any loss recognized upon
a disposition of the notes (including upon maturity) would be capital loss, the deductibility of which is subject to limitations. Accordingly,
this alternative treatment could result in adverse tax consequences to you. |
Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on dividend equivalents
paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include
U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked to certain broad-based
indices that meet requirements set forth in the applicable Treasury regulations. Additionally, a recent IRS notice excludes from the scope
of Section 871(m) instruments issued prior to January 1, 2025 that do not have a delta of one with respect to underlying securities that
could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on certain determinations
made by us, our special tax counsel is of the opinion that Section 871(m) should not apply to the notes with regard to Non-U.S. Holders.
Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application
may depend on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security.
You should consult your tax adviser regarding the potential application of Section 871(m) to the notes.
The 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, to the extent they reflect statements of law, constitute
the full opinion of Latham & Watkins LLP regarding the material U.S. federal income tax consequences of owning and disposing of the
notes.
| · | COMPARABLE YIELD AND PROJECTED
PAYMENT SCHEDULE — We have determined that the “comparable yield” is an annual rate of 5.23%, compounded semiannually.
Based on our determination of the comparable yield, the “projected payment schedule” per $1,000 principal amount note consists
of a single payment at maturity, equal to $1,054.58. Assuming a semiannual accrual period, the following table sets out the amount of
OID that will accrue with respect to a note during each calendar period, based upon our determination of the comparable yield and projected
payment schedule. |
| |
JPMorgan Structured Investments — | PS- 4 |
Digital Knock-Out Notes Linked to the S&P 500® Index | |
Calendar Period |
Accrued OID During
Calendar Period
(Per $1,000
Principal Amount
Note) |
Total Accrued OID from
Original Issue Date (Per
$1,000 Principal Amount
Note) as of End of Calendar
Period |
May 31, 2023 through December 31, 2023 |
$30.62 |
$30.62 |
January 1, 2024 through June 10, 2024 |
$23.96 |
$54.58 |
Neither the comparable yield nor the projected payment
schedule constitutes a representation by us regarding the actual amount of the payment that we will make on the notes. The amount you
actually receive at maturity or earlier sale or exchange of your notes will affect your income for that year, as described above under
“Treatment as Contingent Payment Debt Instruments.
Selected Risk Considerations
An investment in the notes involves significant risks.
Investing in the notes is not equivalent to investing directly in the Index or any of the component securities of the Index. These risks
are explained in more detail in the “Risk Factors” section of the accompanying product supplement.
Risks Relating to the Notes Generally
| · | THE NOTES MAY NOT PAY
MORE THAN THE PRINCIPAL AMOUNT AT MATURITY — If a Knock-Out Event has occurred on any day during the Monitoring Period, you
will receive only the principal amount of your notes 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. |
| · | YOUR MAXIMUM GAIN ON THE
NOTES IS LIMITED TO THE CONTINGENT DIGITAL RETURN — If a Knock-Out Event has not occurred, for each $1,000 principal amount
note, you will receive at maturity $1,000 plus an Additional Amount equal to the Contingent Digital Return of 27.00%, regardless
of any appreciation of the Index, which may be significant. |
| · | A KNOCK-OUT EVENT MAY
OCCUR ON ANY DAY DURING THE MONITORING PERIOD, INCLUDING THE PERIOD BETWEEN THE STRIKE DATE AND THE SETTLEMENT DATE — The Monitoring
Period is the period from, and including, the Strike Date to, and including, the Valuation Date. If, on any day during the Monitoring
Period (including the period between the Strike Date and the Settlement Date), the closing level of the Index is greater than the Upper
Barrier or less than the Lower Barrier (i.e., a Knock-Out Event occurs), you will receive only the principal amount of your notes at maturity,
regardless of any appreciation or depreciation of the Index, which may be significant. Accordingly, your ability to earn any return on
the notes terminates if a Knock-Out Event occurs on any day during the Monitoring Period. |
| · | CREDIT RISKS OF JPMORGAN
FINANCIAL AND JPMORGAN CHASE & CO. — The notes are subject to our and JPMorgan Chase & Co.’s credit risks, and
our and JPMorgan Chase & Co.’s credit ratings and credit spreads may adversely affect the market value of the notes. Investors
are dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change
in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads, as determined by the market for taking that credit risk,
is likely to adversely affect the value of the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations,
you may not receive any amounts owed to you under the notes and you could lose your entire investment. |
| · | NO INTEREST OR DIVIDEND
PAYMENTS OR VOTING RIGHTS — As a holder of the notes, you will not receive interest payments, and you will not have voting rights
or rights to receive cash dividends or other distributions or other rights that holders of the securities included in the Index would
have. |
| · | 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. |
| · | LACK OF LIQUIDITY —
The notes will not be listed on any securities exchange. JPMS intends to offer to purchase the notes in the secondary market but is not
required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the notes easily.
Because other dealers are not likely to make a secondary market for the notes, the price at which you may be able to trade your notes
is likely to depend on the price, if any, at which JPMS is willing to buy the notes. |
Risks Relating to Conflicts of Interest
| · | POTENTIAL CONFLICTS
— We and our affiliates play a variety of roles in connection with the issuance of the notes, including acting as calculation agent
and as an agent of the offering of the notes, hedging our obligations under the notes and making the assumptions used to determine the
pricing of the notes and the estimated value of the notes when the terms of the notes are set, which we refer to as the estimated value
of the notes. In performing these |
| |
JPMorgan Structured Investments — | PS- 5 |
Digital Knock-Out Notes Linked to the S&P 500® Index | |
duties, our and JPMorgan Chase & Co.’s
economic interests and the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests
as an investor in the notes. In addition, our and JPMorgan Chase & Co.’s business activities, including hedging and trading
activities, could cause our and JPMorgan Chase & Co.’s economic interests to be adverse to yours and could adversely affect
any payment on the notes and the value of the notes. It is possible that hedging or trading activities of ours or our affiliates in connection
with the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer to “Risk
Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement for additional information about
these risks.
Risks Relating to the Estimated
Value and Secondary Market Prices of the Notes
| · | THE ESTIMATED VALUE OF
THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES — The estimated value of the notes is only an
estimate determined by reference to several factors. The original issue price of the notes exceeds the estimated value of the notes because
costs associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include
the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our
obligations under the notes and the estimated cost of hedging our obligations under the notes. See “The Estimated Value of the Notes”
in this pricing supplement. |
| · | THE ESTIMATED VALUE OF
THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES — The estimated value of
the notes is determined by reference to internal pricing models of our affiliates when the terms of the notes are set. This estimated
value of the notes is based on market conditions and other relevant factors existing at that time and assumptions about market parameters,
which can include volatility, dividend rates, interest rates and other factors. Different pricing models and assumptions could provide
valuations for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions and other
relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could
change significantly based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness,
interest rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from
you in secondary market transactions. See “The Estimated Value of the Notes” in this pricing supplement. |
| · | THE ESTIMATED VALUE OF
THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE — The internal funding rate used in the determination of the estimated
value of the notes 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. 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. 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 notes from you in secondary market transactions, if at all, is likely to be lower
than the original issue price. Any sale by you prior to the Maturity Date could result in a substantial loss to you. See the immediately
following risk consideration for information about additional factors that will impact any secondary market prices of the notes. |
The notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your notes to maturity. See “— Lack of Liquidity”.
| · | 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.
| |
JPMorgan Structured Investments — | PS- 6 |
Digital Knock-Out Notes Linked to the S&P 500® Index | |
Risks Relating to the Index
| · | JPMORGAN CHASE & CO.
IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE INDEX — JPMorgan Chase & Co. is currently one of the companies that make
up the Index, but JPMorgan Chase & Co. will have no obligation to consider your interests as a holder of the notes in taking any corporate
action that might affect the value of the Index. |
| |
JPMorgan Structured Investments — | PS- 7 |
Digital Knock-Out Notes Linked to the S&P 500® Index | |
Historical Information
The following graph sets forth the historical performance
of the Index based on the weekly historical closing levels of the Index from January 5, 2018 through May 19, 2023. The closing level of
the Index on May 25, 2023 was 4,151.28.
We obtained the closing levels of the Index above
and below from the Bloomberg Professional® service (“Bloomberg”), without independent verification. The historical
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 Valuation Date. There can be no assurance that the performance of the Index will result in the return of any of your
principal amount.
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. See “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes — The Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ from
Others’ Estimates” in this pricing supplement.
The estimated value of the notes is lower than the original
issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue price
of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected profits,
if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated
cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market forces beyond
our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. We or one or more of
our affiliates will retain any profits realized in hedging our obligations under the notes. See “Selected Risk Considerations —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Lower Than
the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondary
market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
— Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
In addition, we generally expect that some of the costs included in the original issue price of the notes will be partially paid back
to you in connection with any repurchases
| |
JPMorgan Structured Investments — | PS- 8 |
Digital Knock-Out Notes Linked to the S&P 500® Index | |
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 “What Is the Total Return on the Notes at Maturity,
Assuming a Range of Performances for the Index?” and “Hypothetical Examples of Amount Payable at Maturity” in this pricing
supplement for an illustration of the risk-return profile of the notes and “Selected Purchase Considerations — Return Linked
to the S&P 500® 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.
Validity of the Notes and the Guarantee
In the opinion of Latham & Watkins LLP, as special
product counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by this pricing supplement have been executed
and issued by JPMorgan Financial and authenticated by the trustee pursuant to the indenture, and delivered against payment as contemplated
herein, such notes will be valid and binding obligations of JPMorgan Financial and the related guarantee will constitute a valid and binding
obligation of JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar
laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability (including,
without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such special product counsel expresses
no opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions
expressed above or (ii) any provision of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent transfer
or similar provision of applicable law by limiting the amount of JPMorgan Chase & Co.’s obligation under the related guarantee.
This opinion is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State
of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustee’s
authorization, execution and delivery of the indenture and its authentication of the notes and the validity, binding nature and enforceability
of the indenture with respect to the trustee, all as stated in the letter of such counsel dated February 24, 2023, which was filed as
an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24, 2023.
| |
JPMorgan Structured Investments — | PS- 9 |
Digital Knock-Out Notes Linked to the S&P 500® Index | |
JP Morgan Chase (NYSE:JPM)
Graphique Historique de l'Action
De Sept 2024 à Oct 2024
JP Morgan Chase (NYSE:JPM)
Graphique Historique de l'Action
De Oct 2023 à Oct 2024