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. 1-I dated April 13, 2023
and the prospectus and prospectus supplement, each dated April 13, 2023
Key Terms
Issuer:
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor:
JPMorgan Chase & Co.
Indices:
The S&P 500® Index (Bloomberg ticker: SPX), the Nikkei 225 Index (Bloomberg ticker:
NKY) and the EURO STOXX 50® Index (Bloomberg ticker: SX5E)
Interest
Payments: If the notes have not been automatically called, you will receive on each Interest Payment Date for each $1,000 principal
amount note an Interest Payment equal to $20.125 (equivalent to an Interest Rate of 8.05% per annum, payable at a rate of 2.0125% per
quarter).
Interest
Rate: 8.05% per annum, payable at a rate of 2.0125% per quarter
Trigger Value: With respect
to each Index, 65.00% of its Initial Value, which is 2,698.332 for the S&P 500® Index, 20,020.7345 for the Nikkei 225
Index and 2,775.266 for the EURO STOXX 50® Index
Pricing
Date: May 25, 2023
Original
Issue Date (Settlement Date): On or about May 31, 2023
Review
Dates*: August 25, 2023, November 27, 2023, February 26, 2024 and May 28, 2024 (final Review Date)
Interest
Payment Dates*: August 30, 2023, November 30, 2023, February 29, 2024 and the Maturity Date
Maturity
Date*: May 31, 2024
Call Settlement Date*: If
the notes are automatically called on any Review Date (other than the final Review Date), 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 “General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple
Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
or early acceleration in the event of a change-in-law event as described under “General Terms of Notes — Consequences of a
Change-in-Law Event” in the accompanying product supplement and “Selected Risk Considerations — Risks Relating to the
Notes Generally — We May Accelerate Your Notes If a Change-in-Law Event Occurs” in this pricing supplement |
Automatic Call:
If the closing level of each Index on any Review Date (other than the
final Review Date) is greater than or equal to its 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 Interest Payment for the Interest Payment Date occurring on the
applicable Call Settlement Date, payable on that 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 of each
Index is greater than or equal to its Trigger Value, you will receive a cash payment at maturity, for each $1,000 principal amount note,
equal to (a) $1,000 plus (b) the Interest Payment applicable to the Maturity Date.
If the notes have not been automatically called and the Final Value of any
Index is less than its Trigger Value, your payment at maturity per $1,000 principal amount note, in addition to the Interest Payment applicable
to the Maturity Date, will be calculated as follows:
$1,000 + ($1,000 × Least Performing Index Return)
If the notes have not been automatically called and the Final Value of
any Index is less than its Trigger Value, you will lose more than 35.00% of your principal amount at maturity and could lose all of your
principal amount at maturity.
Least Performing Index: The
Index with the Least Performing Index Return
Least Performing Index Return: The
lowest of the Index Returns of the Indices
Index Return:
With respect to each Index,
(Final Value – Initial Value)
Initial Value
Initial
Value: With respect to each Index, the closing level
of that Index on the Pricing Date, which was 4,151.28 for the S&P 500® Index, 30,801.13 for the Nikkei 225 Index and
4,269.64 for the EURO STOXX 50® Index
Final
Value: With respect to each Index, the closing level of that Index on the final Review Date
|
PS-1
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the S&P 500® Index, the Nikkei 225 Index and the EURO STOXX 50® Index |
|
How the
Notes Work
Payments in Connection with Review Dates Preceding
the Final Review Date
Payment at Maturity If the Notes
Have Not Been Automatically Called
PS-2
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the S&P 500® Index, the Nikkei 225 Index and the EURO STOXX 50® Index |
|
Total Interest Payments
The table below illustrates the total Interest Payments
per $1,000 principal amount note over the term of the notes based on the Interest Rate of 8.05% per annum, depending on how many Interest
Payments are made prior to automatic call or maturity. If the notes have not been automatically called, the total Interest Payments per
$1,000 principal amount note over the term of the notes will be equal to the maximum amount shown in the table below.
Number of Interest
Payments |
Total Interest Payments |
4 |
$80.500 |
3 |
$60.375 |
2 |
$40.250 |
1 |
$20.125 |
Hypothetical
Payout Examples
The following examples illustrate payments on the notes
linked to three hypothetical Indices, assuming a range of performances for the hypothetical Least Performing Index on the Review Dates.
Each hypothetical payment set forth below assumes that the closing level of the Index that is not the Least Performing Index on each
Review Date is greater than or equal to its Initial Value.
In addition, the hypothetical payments set forth below
assume the following:
| · | an Initial Value for the Least Performing Index of 100.00; |
| · | a Trigger Value for the Least Performing Index of 65.00 (equal to 65.00% of its hypothetical Initial Value); and |
| · | an Interest Rate of 8.05% per annum (payable at a rate of 2.0125% per quarter). |
The hypothetical Initial Value of the Least Performing
Index of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value of any Index. The actual
Initial Value of each Index is the closing level of that Index on the Pricing Date and is specified under “Key Terms — Initial
Value” in this pricing supplement. For historical data regarding the actual closing levels of each Index, please see the historical
information set forth under “The Indices” 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 first Review Date.
Date |
Closing Level of Least
Performing Index |
|
First Review Date |
105.00 |
Notes are automatically called |
|
Total Payment |
$1,020.125 (2.0125% return) |
Because the closing level of each Index on the first
Review Date is greater than or equal to its Initial Value, the notes will be automatically called for a cash payment, for each $1,000
principal amount note, of $1,020.125 (or $1,000 plus the Interest Payment applicable to the corresponding Interest Payment Date),
payable on the applicable Call Settlement Date. No further payments will be made on the notes.
Example 2 — Notes have NOT been automatically
called and the Final Value of the Least Performing Index is greater than or equal to its Trigger Value.
Date |
Closing Level of Least
Performing Index |
|
First Review Date |
95.00 |
Notes NOT automatically called |
Second Review Date |
90.00 |
Notes NOT automatically called |
Third Review Date |
50.00 |
Notes NOT automatically called |
Final Review Date |
80.00 |
Final Value of the Least Performing Index is greater than or equal to its Trigger Value |
|
Total Payment |
$1,080.50 (8.05% return) |
Because the notes have not been automatically called
and the Final Value of the Least Performing Index is greater than or equal to its Trigger Value, the payment at maturity, for each $1,000
principal amount note, will be $1,020.125 (or $1,000 plus the Interest Payment
PS-3
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the S&P 500® Index, the Nikkei 225 Index and the EURO STOXX 50® Index |
|
applicable to the Maturity Date). When added to the Interest Payments
received with respect to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $1,080.50.
Example 3 — Notes have NOT been automatically
called and the Final Value of the Least Performing Index is less than its Trigger Value.
Date |
Closing Level of Least
Performing Index |
|
First Review Date |
40.00 |
Notes NOT automatically called |
Second Review Date |
45.00 |
Notes NOT automatically called |
Third Review Date |
40.00 |
Notes NOT automatically called |
Final Review Date |
50.00 |
Final Value of the Least Performing Index is less than its Trigger Value |
|
Total Payment |
$580.50 (-41.95% return) |
Because the notes have not been automatically called,
the Final Value of the Least Performing Index is less than its Trigger Value and the Least Performing Index Return is -50.00%, the payment
at maturity will be $520.125 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)] + $20.125 = $520.125
When added to the Interest Payments received with respect
to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $580.50.
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term 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 and product
supplement.
Risks Relating to the Notes Generally
| · | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — |
The notes do not guarantee any return of principal.
If the notes have not been automatically called and the Final Value of any Index is less than its Trigger Value, you will lose 1% of the
principal amount of your notes for every 1% that the Final Value of the Least Performing Index is less than its Initial Value. Accordingly,
under these circumstances, you will lose more than 35.00% of your principal amount at maturity and could lose all of your principal amount
at maturity.
| · | CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. — |
Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.’s
creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely affect the value of
the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed
to you under the notes and you could lose your entire investment.
| · | AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS — |
As a finance subsidiary of JPMorgan Chase & Co.,
we have no independent operations beyond the issuance and administration of our securities. Aside from the initial capital contribution
from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates to make payments under
loans made by us or other intercompany agreements. As a result, we are dependent upon payments from our affiliates to meet our obligations
under the notes. If these affiliates do not make payments to us and we fail to make payments on the notes, you may have to seek payment
under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu with all other unsecured
and unsubordinated obligations of JPMorgan Chase & Co.
| · | THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF THE INTEREST PAYMENTS PAID OVER THE TERM OF THE NOTES, |
regardless of any appreciation of any Index,
which may be significant. You will not participate in any appreciation of any Index.
PS-4
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the S&P 500® Index, the Nikkei 225 Index and the EURO STOXX 50® Index |
|
| · | YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX — |
Payments on the notes are not linked to a basket
composed of the Indices and are contingent upon the performance of each individual Index. Poor performance by any of the Indices over
the term of the notes may result in the notes not being automatically called on a Review Date, may negatively affect your payment at maturity
and will not be offset or mitigated by positive performance by any other Index.
| · | YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING INDEX. |
| · | THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE — |
If the Final Value of any Index is less than
its Trigger Value and the notes have not been automatically called, the benefit provided by the Trigger Value will terminate and you will
be fully exposed to any depreciation of the Least Performing 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 three months and you will not receive any 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 ON THE SECURITIES INCLUDED IN ANY INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES. |
| · | THE RISK OF THE CLOSING LEVEL OF AN INDEX FALLING BELOW ITS TRIGGER VALUE IS GREATER IF THE LEVEL OF THAT INDEX IS VOLATILE. |
| · | WE MAY ACCELERATE YOUR NOTES IF A CHANGE-IN-LAW EVENT OCCURS — |
Upon the announcement or occurrence of legal or regulatory
changes that the calculation agent determines are likely to interfere with your or our ability to transact in or hold the notes or our
ability to hedge or perform our obligations under the notes, we may, in our sole and absolute discretion, accelerate the payment on your
notes and pay you an amount determined in good faith and in a commercially reasonable manner by the calculation agent. If the payment
on your notes is accelerated, your investment may result in a loss and you may not be able to reinvest your money in a comparable investment.
Please see “General Terms of Notes — Consequences of a Change-in-Law Event” in the accompanying product supplement for
more information.
The notes will not be listed on any securities
exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS
is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your notes to maturity.
Risks Relating to Conflicts of Interest
We and our affiliates play a variety of roles
in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests are potentially
adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours or our affiliates in
connection with the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer
to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement.
Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes
| · | THE ESTIMATED VALUE OF THE NOTES 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.
PS-5
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the S&P 500® Index, the Nikkei 225 Index and the EURO STOXX 50® Index |
|
| · | 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 levels of the Indices. 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 Indices
| · | JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500® INDEX, |
but JPMorgan Chase & Co. will
not have any obligation to consider your interests in taking any corporate action that might affect the level of the S&P 500®
Index.
| · | NON-U.S. SECURITIES RISK WITH RESPECT TO THE NIKKEI 225 INDEX AND THE EURO STOXX 50® INDEX — |
The equity securities included in the Nikkei
225 Index and the EURO STOXX 50® Index have been issued by non-U.S. companies. Investments in securities linked to the
value of such non-U.S. equity securities involve risks associated with the securities markets in the home countries of the issuers of
those non-U.S. equity securities. Also, there is generally less publicly available information about companies in some of these jurisdictions
than there is about U.S. companies that are subject to the reporting requirements of the SEC.
| · | NO DIRECT EXPOSURE TO FLUCTUATIONS IN FOREIGN EXCHANGE RATES WITH RESPECT TO THE NIKKEI 225 INDEX
AND THE EURO STOXX 50® INDEX — |
PS-6
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the S&P 500® Index, the Nikkei 225 Index and the EURO STOXX 50® Index |
|
The value of your notes will not be adjusted
for exchange rate fluctuations between the U.S. dollar and the currencies upon which the equity securities included in the Nikkei 225
Index and the EURO STOXX 50® Index are based, although any currency fluctuations could affect the performance of the Nikkei
225 Index or the EURO STOXX 50® Index.
PS-7
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the S&P 500® Index, the Nikkei 225 Index and the EURO STOXX 50® 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.
The Nikkei 225 Index is a stock index that measures
the composite price performance of selected Japanese stocks. The Nikkei 225 Index is a stock index that measures the composite price performance
of selected Japanese stocks. The Nikkei 225 Index is based on 225 underlying stocks (the “Nikkei underlying stocks”) trading
on the Tokyo Stock Exchange (“TSE”) Prime Market, representing a broad cross-section of Japanese industries. All Nikkei underlying
stocks are stocks listed on the TSE Prime Market. Stocks listed on the TSE Prime Market are among the most actively traded stocks on the
TSE. For additional information about the Nikkei 225 Index, see “Equity Index Descriptions ― The Nikkei 225 Index” in
the accompanying underlying supplement.
The EURO STOXX 50® Index consists
of 50 component stocks of market sector leaders from within the Eurozone. The EURO STOXX 50® Index and STOXX are the intellectual
property (including registered trademarks) of STOXX Limited, Zurich, Switzerland and/or its licensors (the “Licensors”), which
are used under license. The notes based on the EURO STOXX 50® Index are in no way sponsored, endorsed, sold or promoted
by STOXX Limited and its Licensors and neither STOXX Limited nor any of its Licensors shall have any liability with respect thereto. For
additional information about the EURO STOXX 50® Index, see “Equity Index Descriptions — The STOXX Benchmark
Indices” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical performance
of each Index based on the weekly historical closing levels from January 5, 2018 through May 19, 2023. The closing level of the S&P
500® Index on May 25, 2023 was 4,151.28. The closing level of the Nikkei 225 Index on May 25, 2023 was 30,801.13. The closing
level of the EURO STOXX 50® Index on May 25, 2023 was 4,269.64. We obtained the closing levels above and below from the
Bloomberg Professional® service (“Bloomberg”), without independent verification.
The historical closing levels of each Index should
not be taken as an indication of future performance, and no assurance can be given as to the closing level of any Index on any Review
Date. There can be no assurance that the performance of the Indices will result in the return of any of your principal amount.
PS-8
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the S&P 500® Index, the Nikkei 225 Index and the EURO STOXX 50® Index |
|
Tax Treatment
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. Based on the advice
of Davis Polk & Wardwell LLP, our special tax counsel, and on current market conditions, in determining our reporting responsibilities
we intend to treat the notes for U.S. federal income tax purposes as units each comprising: (x) a cash-settled Put Option written by you
that is terminated if an automatic call occurs and that, if not terminated, in circumstances where the payment due at maturity is less
than $1,000 (excluding accrued but unpaid interest), requires you to pay us an amount equal to that difference and (y) a Deposit of $1,000
per $1,000 principal amount note to secure your potential obligation under the Put Option, as more fully described in “Material
U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Units Each Comprising a Put Option
and a Deposit” in the accompanying product supplement, and in particular in the subsection thereof entitled “— Notes
with a Term of Not More than One Year.” By purchasing the notes, you agree (in the absence
of an administrative determination or judicial ruling to the contrary) to follow this treatment and the allocation described in the following
paragraph. However, there are other reasonable treatments that the IRS or a court may adopt, in which case the timing and character
of any income or loss on the notes could be materially and adversely affected. 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 on a number of issues, the most relevant of which for investors in the notes are the character of income or loss (including
whether the Put Premium might be currently included as ordinary income); the degree, if any, to which income realized by non-U.S. investors
should be subject to withholding tax; and whether investors in short-term instruments should be required to accrue income. While it is
not clear whether the notes would be viewed as similar to the typical prepaid forward contract described in the
PS-9
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the S&P 500® Index, the Nikkei 225 Index and the EURO STOXX 50® Index |
|
notice, it is possible that any Treasury regulations or other guidance
promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the notes,
possibly with retroactive effect.
In determining our reporting responsibilities, we
intend to treat approximately 76.89% of each Interest Payment as interest on the Deposit and the remainder as Put Premium. Assuming that
the treatment of the notes as units each comprising a Put Option and a Deposit is respected, amounts treated as interest on the Deposit
will be taxed as ordinary income, while the Put Premium will not be taken into account prior to sale or settlement, including a settlement
following an automatic call.
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 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 all aspects of the U.S. federal income tax consequences of an investment in the notes, including
possible alternative treatments and the issues presented by the 2007 notice. Purchasers who are not initial purchasers of notes at the
issue price should also consult their tax advisers with respect to the tax consequences of an investment in the notes, including possible
alternative treatments, as well as the allocation of the purchase price of the notes between the Deposit and the Put Option.
The Estimated
Value of the Notes
The estimated value of the notes set forth on the
cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component
with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing to
buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated
value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by
JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding
rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing
market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an
adverse effect on the terms of the notes and any secondary market prices of the notes. For additional information, see “Selected
Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value
of the Notes Is Derived by Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives underlying
the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as
the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which
can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments.
Accordingly, the estimated value of the notes is determined when the terms of the notes are set based on market conditions and other relevant
factors and assumptions existing at that time.
The estimated value of the notes does not represent
future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide valuations
for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant factors
in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly
based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest
rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in
secondary market transactions.
The estimated value of the notes 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
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Auto Callable Yield Notes Linked to the Least Performing of
the S&P 500® Index, the Nikkei 225 Index and the EURO STOXX 50® Index |
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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 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 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 Indices”
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 Davis Polk & Wardwell LLP, as
special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by this pricing supplement
have been issued by JPMorgan Financial pursuant to the indenture, the trustee and/or paying agent has made, in accordance with the instructions
from JPMorgan Financial, the appropriate entries or notations in its records relating to the master global note that represents such notes
(the “master note”), and such notes have been 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 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 master note 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.
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
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Auto Callable Yield Notes Linked to the Least Performing of
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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.
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