June 18, 2024 |
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
JPMorgan Chase Financial Company LLC
Structured Investments
$500,000
Auto Callable Yield Notes Linked to the Common Stock
of The Walt Disney Company due June 24, 2026
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
| · | The notes are designed for investors who seek a higher interest rate than the yield on a conventional debt security with the same
maturity issued by us. The notes will pay 6.80% per annum interest over the term of the notes, assuming no automatic call, payable at
a rate of 0.56667% per month. |
| · | The notes will be automatically called if the closing price of one share of the Reference Stock on any Review Date (other than the
final Review Date) is greater than or equal to the Initial Value. |
| · | The earliest date on which an automatic call may be initiated is December 18, 2024. |
| · | Investors should be willing to accept the risk of losing some or all of their principal and be willing to forgo dividend payments,
in exchange for Interest Payments. |
| · | 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 $1,000 and integral multiples thereof |
| · | The notes priced on June 18, 2024 and are expected to settle on or about June 24, 2024. |
Investing in the notes involves a number of risks. See “Risk
Factors” beginning on page S-2 of the accompanying prospectus supplement, Annex A to the accompanying prospectus addendum, “Risk
Factors” beginning on page PS-11 of the accompanying product supplement and “Selected Risk Considerations” beginning
on page PS-4 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, prospectus supplement, prospectus and prospectus addendum. Any representation to the
contrary is a criminal offense.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
Per note |
$1,000 |
$17.50 |
$982.50 |
Total |
$500,000 |
$8,750 |
$491,250 |
(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 $17.50 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 $958.00 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.
Pricing supplement to product supplement no. 4-I dated April
13, 2023, the prospectus and prospectus supplement, each dated April 13, 2023,
and the prospectus addendum dated June 3, 2024
Key Terms
Issuer: JPMorgan Chase Financial
Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan Chase & Co.
Reference Stock: The common
stock of The Walt Disney Company, par value $0.01 per share (Bloomberg ticker: DIS). We refer to The Walt Disney Company as “Disney.”
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 $5.6667 (equivalent to an Interest Rate of 6.80% per annum, payable at a rate of 0.56667% per month).
Interest Rate: 6.80% per annum,
payable at a rate of 0.56667% per month
Trigger Value: 74.00% of the
Initial Value, which is $75.11
Pricing Date: June 18, 2024
Original Issue Date (Settlement Date):
On or about June 24, 2024
Review Dates*: December 18,
2024, January 21, 2025, February 18, 2025, March 18, 2025, April 21, 2025, May 19, 2025, June 18, 2025, July 18, 2025, August 18, 2025,
September 18, 2025, October 20, 2025, November 18, 2025, December 18, 2025, January 20, 2026, February 18, 2026, March 18, 2026, April
20, 2026, May 18, 2026 and June 18, 2026 (final Review Date)
Interest Payment Dates*: July
23, 2024, August 22, 2024, September 23, 2024, October 23, 2024, November 21, 2024, December 23, 2024, January 24, 2025, February 21,
2025, March 21, 2025, April 24, 2025, May 22, 2025, June 24, 2025, July 23, 2025, August 21, 2025, September 23, 2025, October 23, 2025,
November 21, 2025, December 23, 2025, January 23, 2026, February 23, 2026, March 23, 2026, April 23, 2026, May 21, 2026 and the Maturity
Date
Maturity Date*: June 24, 2026
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 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
Automatic Call:
If the closing price of one share of the Reference Stock on any Review
Date (other than the final 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, 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 is
greater than or equal to the Trigger Value, you will receive a cash payment at maturity, for each $1,000 principal amount note, equal
to (a) $1,000 plus (b) the Interest Payment applicable to the Maturity Date.
If the notes have not been automatically called and the Final Value is
less than the 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 × Stock Return)
If the notes have not been automatically called and the Final Value
is less than the Trigger Value, you will lose more than 26.00% of your principal amount at maturity and could lose all of your principal
amount at maturity.
Stock Return:
(Final Value – Initial Value)
Initial Value
Initial Value: The closing
price of one share of the Reference Stock on the Pricing Date, which was $101.50
Final Value: The closing price
of one share of the Reference Stock on the final Review Date
Stock Adjustment Factor: The
Stock Adjustment Factor is referenced in determining the closing price of one share of the Reference Stock and is set equal to 1.0 on
the Pricing Date. The Stock Adjustment Factor is subject to adjustment upon the occurrence of certain corporate events affecting the Reference
Stock. See “The Underlyings — Reference Stocks — Anti-Dilution Adjustments” and “The Underlyings —
Reference Stocks — Reorganization Events” in the accompanying product supplement for further information.
PS-1
| Structured Investments
Auto Callable Yield Notes Linked to the Common Stock of The
Walt Disney Company |
|
Supplemental
Terms of the Notes
Any values of the Reference Stock, and any values derived
therefrom, included in this pricing supplement may be corrected, in the event of manifest error or inconsistency, by amendment of this
pricing supplement and the corresponding terms of the notes. Notwithstanding anything to the contrary in the indenture governing the notes,
that amendment will become effective without consent of the holders of the notes or any other party.
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 Common Stock of The
Walt Disney Company |
|
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 6.80% 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 |
24 |
$136.0000 |
23 |
$130.3333 |
22 |
$124.6667 |
21 |
$119.0000 |
20 |
$113.3333 |
19 |
$107.6667 |
18 |
$102.0000 |
17 |
$96.3333 |
16 |
$90.6667 |
15 |
$85.0000 |
14 |
$79.3333 |
13 |
$73.6667 |
12 |
$68.0000 |
11 |
$62.3333 |
10 |
$56.6667 |
9 |
$51.0000 |
8 |
$45.3333 |
7 |
$39.6667 |
6 |
$34.0000 |
Hypothetical
Payout Examples
The following examples illustrate payments on the notes
linked to a hypothetical Reference Stock, assuming a range of performances for the hypothetical Reference Stock on the Review Dates.
The hypothetical payments set forth below assume the
following:
| · | an Initial Value of $100.00; |
| · | a Trigger Value of $74.00 (equal to 74.00% of the hypothetical Initial Value); and |
| · | an Interest Rate of 6.80% per annum. |
The hypothetical Initial Value of $100.00 has been
chosen for illustrative purposes only and does not represent the actual Initial Value. The actual Initial Value is the closing price of
one share of the Reference Stock on the Pricing Date and is specified under “Key Terms — Initial Value” in this pricing
supplement. For historical data regarding the actual closing prices of one share of the Reference Stock, please see the historical information
set forth under “The Reference Stock” in this pricing supplement.
Each hypothetical payment set forth below is for illustrative
purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing in the following examples
have been rounded for ease of analysis.
PS-3
| Structured Investments
Auto Callable Yield Notes Linked to the Common Stock of The
Walt Disney Company |
|
Example 1 — Notes are automatically called
on the first Review Date.
Date |
Closing Price |
|
First Review Date |
$105.00 |
Notes are automatically called |
|
Total Payment |
$1,034.00 (3.40% return) |
Because the closing price of one share of the Reference
Stock on the first 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 $1,005.6667 (or $1,000 plus the Interest Payment applicable to the corresponding Interest
Payment Date), payable on the applicable Call Settlement 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 $1,034.00. 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 Trigger Value.
Date |
Closing Price |
|
First Review Date |
$95.00 |
Notes NOT automatically called |
Second Review Date |
$85.00 |
Notes NOT automatically called |
Third through Eighteenth Review Dates |
Less than Initial Value |
Notes NOT automatically called |
Final Review Date |
$90.00 |
Notes NOT automatically called |
|
Total Payment |
$1,136.00 (13.60% return) |
Because the notes have not been automatically called
and the Final Value is greater than or equal to the Trigger Value, the payment at maturity, for each $1,000 principal amount note, will
be $1,005.6667 (or $1,000 plus the Interest Payment 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 $1,136.00.
Example
3 — Notes have NOT been automatically called and the Final Value is less than the Trigger Value.
Date |
Closing Price |
|
First Review Date |
$40.00 |
Notes NOT automatically called |
Second Review Date |
$45.00 |
Notes NOT automatically called |
Third through Eighteenth Review Dates |
Less than Initial Value |
Notes NOT automatically called |
Final Review Date |
$40.00 |
Notes NOT automatically called |
|
Total Payment |
$536.00 (-46.40% return) |
Because the notes have not been automatically called,
the Final Value is less than the Trigger Value and the Stock Return is -60.00%, the payment at maturity will be $405.6667 per $1,000 principal
amount note, calculated as follows:
$1,000 + [$1,000 × (-60.00%)] + $5.6667 = $405.6667
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 $536.00.
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 and in Annex A to the accompanying prospectus addendum.
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 Trigger Value, you will lose 1% of the principal
amount of your notes for every 1% that the Final Value is less than the Initial
PS-4
| Structured Investments
Auto Callable Yield Notes Linked to the Common Stock of The
Walt Disney Company |
|
Value. Accordingly, under these circumstances,
you will lose more than 26.00% 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 and the collection of intercompany obligations.
Aside from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations
of JPMorgan Chase & Co. to make payments under loans made by us to JPMorgan Chase & Co. or under other intercompany
agreements. As a result, we are dependent upon payments from JPMorgan Chase & Co. to meet our obligations under the notes.
We are not a key operating subsidiary of JPMorgan Chase & Co. and in a bankruptcy or resolution of JPMorgan Chase & Co.
we are not expected to have sufficient resources to meet our obligations in respect of the notes as they come due. If JPMorgan Chase & Co.
does not make payments to us and we are unable 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. For more information, see the accompanying prospectus addendum.
| · | 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 the Reference
Stock, which may be significant. You will not participate in any appreciation of the Reference Stock.
| · | THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE — |
If the Final Value is less than the Trigger
Value and the notes have not been automatically called, the benefit provided by the Trigger Value will terminate and you will be fully
exposed to any depreciation of the Reference Stock.
| · | 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 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 REFERENCE STOCK OR HAVE ANY RIGHTS WITH RESPECT TO THE REFERENCE STOCK. |
| · | THE RISK OF THE CLOSING PRICE OF ONE SHARE OF THE REFERENCE STOCK FALLING BELOW THE TRIGGER VALUE IS GREATER IF THE PRICE OF ONE
SHARE OF THE REFERENCE STOCK IS VOLATILE. |
The notes will not be listed on any securities
exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS
is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your notes to maturity.
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.
PS-5
| Structured Investments
Auto Callable Yield Notes Linked to the Common Stock of The
Walt Disney Company |
|
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 —
|
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 price of one share of the Reference Stock. Additionally,
independent pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer
account statements. This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to
purchase your notes in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying
product supplement.
Risks Relating to the Reference Stock
| · | NO AFFILIATION WITH THE REFERENCE STOCK ISSUER — |
We have
not independently verified any of the information about the Reference Stock issuer contained in this pricing supplement. You should undertake
your own investigation into the Reference Stock and its issuer. We are not responsible for the Reference Stock issuer’s public disclosure
of information, whether contained in SEC filings or otherwise.
PS-6
| Structured Investments
Auto Callable Yield Notes Linked to the Common Stock of The
Walt Disney Company |
|
| · | LIMITED TRADING HISTORY — |
On
March 20, 2019, Disney acquired all of the outstanding shares of Twenty-First Century Fox, Inc. and TWDC Enterprises 18 Corp. (formerly
known as The Walt Disney Company) (“Legacy Disney”), and Disney became the successor SEC registrant to Legacy Disney. The
Reference Stock commenced trading on the New York Stock Exchange on March 20, 2019 and therefore has limited historical performance. Past
performance should not be considered indicative of future performance.
| · | THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY
— |
The calculation
agent will not make an adjustment in response to all events that could affect the Reference Stock. The calculation agent may make adjustments
in response to events that are not described in the accompanying product supplement to account for any diluting or concentrative effect,
but the calculation agent is under no obligation to do so or to consider your interests as a holder of the notes in making these determinations.
PS-7
| Structured Investments
Auto Callable Yield Notes Linked to the Common Stock of The
Walt Disney Company |
|
The Reference
Stock
All information
contained herein on the Reference Stock and on Disney is derived from publicly available sources, without independent verification. According
to its publicly available filings with the SEC, Disney is an entertainment company with operations in three segments: Entertainment, Sports
and Experiences. The common stock of Disney, par value $0.01 per share (Bloomberg ticker: DIS), is registered under the Securities Exchange
Act of 1934, as amended, which we refer to as the Exchange Act, and is listed on the New York Stock Exchange, which we refer to as the
relevant exchange for purposes of Disney in the accompanying product supplement. Information provided to or filed with the SEC by Disney
pursuant to the Exchange Act can be located by reference to the SEC file number 001-38842, and can be accessed through www.sec.gov. We
do not make any representation that these publicly available documents are accurate or complete.
Historical Information
The following graph sets forth the historical performance
of the common stock of Legacy Disney, par value $0.01 per share, based on the weekly closing prices of one share of the common stock of
Legacy Disney from January 4, 2019 through March 15, 2019 and the historical performance of the Reference Stock based on the weekly historical
closing prices of one share of the Reference Stock from March 22, 2019 through June 14, 2024. The Reference Stock commenced trading on
the New York Stock Exchange under the ticker symbol “DIS” on March 20, 2019, the same symbol under which the common stock
of Legacy Disney previously traded on the New York Stock Exchange, and therefore has limited historical performance. The closing price
of one share of the Reference Stock on June 18, 2024 was $101.50. We obtained the closing prices above and below from the Bloomberg Professional®
service (“Bloomberg”), without independent verification. The closing prices above and below may have been adjusted by Bloomberg
for corporate actions, such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
The historical closing prices of one share of the Reference
Stock should not be taken as an indication of future performance, and no assurance can be given as to the closing price of one share of
the Reference Stock on any Review Date. There can be no assurance that the performance of the Reference Stock will result in the return
of any of your principal amount.
†The vertical line in the graph indicates
March 20, 2019. In the graph, the performance to the left of the vertical line reflects the common stock of Legacy Disney and the
performance to the right of the vertical line reflects the Reference Stock.
PS-8
| Structured Investments
Auto Callable Yield Notes Linked to the Common Stock of The
Walt Disney Company |
|
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 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) and the degree, if any, to which income realized by non-U.S. investors should
be subject to withholding tax. While it is not clear whether the notes would be viewed as similar to the typical prepaid forward
contract described in the 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 a portion of each Interest Payment equal to approximately 5.68% per annum times the amount of the Deposit times the number
of days in the applicable period divided by 365 as interest on the Deposit (so that the amount allocated as interest on the Deposit will
vary from Interest Payment to Interest Payment depending on the number of days in the applicable period) and the remainder of each Interest
Payment 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, 2027 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
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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 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 Reference
Stock” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the
estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus) the
projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes,
plus the estimated cost of hedging our obligations under the notes.
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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, the accompanying prospectus addendum and the more detailed information contained in the accompanying product supplement.
This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous
oral statements as well as any other written materials including 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 and in Annex A to the accompanying prospectus addendum, 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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Exhibit 107.1
The pricing supplement to which this Exhibit is
attached is a final prospectus for the related offering(s). The maximum aggregate offering price of the related offering(s) is $500,000.
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