Additional
Information about JPMorgan Financial, JPMorgan Chase & Co. and the Securities
You may revoke your offer to purchase the Securities at any
time prior to the time at which we accept such offer by notifying the agent. We reserve the right to change the terms of, or reject any
offer to purchase, the Securities prior to their issuance. In the event of any changes to the terms of the Securities, we will notify
you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes, in which
case we may reject your offer to purchase.
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, the “Issuer,” “JPMorgan
Financial,” “we,” “us” and “our” refer to JPMorgan Chase Financial Company LLC.
Investor
Suitability
The Securities may be suitable for you if, among other considerations:
t You
fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire principal amount.
t You
can tolerate a loss of all or a substantial portion of your investment and are willing to make an investment that may have the same downside
market risk as a hypothetical investment in the Underlying.
t You
believe the level of the Underlying is likely to close at or above the Step Barrier on the Final Valuation Date.
t You
would be willing to invest in the Securities if the Step Return were set equal to the bottom of the range indicated on the cover hereof
(the actual Step Return will be finalized on the Trade Date and provided in the pricing supplement and will not be less than the bottom
of the range indicated on the cover hereof).
t You
can tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside fluctuations
in the level of the Underlying.
t You
do not seek current income from your investment and are willing to forgo dividends paid on the stocks included in the Underlying.
t You
are willing and able to hold the Securities to maturity.
t You
accept that there may be little or no secondary market for the Securities and that any secondary market will depend in large part on the
price, if any, at which J.P. Morgan Securities LLC, which we refer to as JPMS, is willing to trade the Securities.
t You
understand and accept the risks associated with the Underlying.
t You
are willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Securities,
and understand that if JPMorgan Financial and JPMorgan Chase & Co. default on their obligations, you may not receive any
amounts due to you including any repayment of principal. |
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The Securities may not be suitable for you if, among other considerations:
t You
do not fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire principal amount.
t You
require an investment designed to provide a full return of principal at maturity.
t You
cannot tolerate a loss of all or a substantial portion of your investment, or you are not willing to make an investment that may have
the same downside market risk as a hypothetical investment in the Underlying.
t You
believe the level of the Underlying is unlikely to close at or above the Step Barrier on the Final Valuation Date.
t You
believe the level of the Underlying will decline over the term of the Securities and is likely to close below the Downside Threshold on
the Final Valuation Date.
t You
would be unwilling to invest in the Securities if the Step Return were set equal to the bottom of the range indicated on the cover hereof
(the actual Step Return will be finalized on the Trade Date and provided in the pricing supplement and will not be less than the bottom
of the range indicated on the cover hereof).
t You
cannot tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside fluctuations
in the level of the Underlying.
t You
seek current income from your investment or prefer not to forgo dividends paid on the stocks included in the Underlying.
t You
are unwilling or unable to hold the Securities to maturity or seek an investment for which there will be an active secondary market.
t You
do not understand or accept the risks associated with the Underlying.
t You
are not willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Securities,
including any repayment of principal. |
The suitability considerations identified above are not exhaustive.
Whether or not the Securities are a suitable investment for you will depend on your individual circumstances, and you should reach an
investment decision only after you and your investment, legal, tax, accounting and other advisers have carefully considered the suitability
of an investment in the Securities in light of your particular circumstances. You should also review carefully the “Key Risks”
section of this pricing supplement and the “Risk Factors” sections of the accompanying prospectus supplement and the accompanying
product supplement for risks related to an investment in the Securities. For more information on the Underlying, please see the section
titled “The Underlying” below.
Issuer: |
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JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co. |
Guarantor: |
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JPMorgan Chase & Co. |
Issue Price: |
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$10.00 per Security (subject to a minimum purchase of 100 Securities or $1,000) |
Principal Amount: |
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$10.00 per Security. The payment at maturity will be based on the principal amount. |
Underlying: |
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S&P 500® Index |
Term1: |
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5 years |
Payment at Maturity (per $10 principal amount Security): |
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If the Final Value is greater than or equal to the Step Barrier,
JPMorgan Financial will pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00 + ($10.00 × the greater of (i)
the Step Return and (ii) the Underlying Return)
If the Final Value is less than the Step Barrier and greater
than or equal to the Downside Threshold, JPMorgan Financial will pay you a cash payment at maturity of $10.00 per $10 principal
amount Security.
If the Final Value is less than the Downside Threshold, JPMorgan
Financial will pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00 + ($10.00 × Underlying Return)
In this scenario, you will be exposed to the decline of the Underlying
and you will lose some or all of your principal amount in an amount proportionate to the negative Underlying Return. |
Underlying Return: |
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(Final Value – Initial Value)
Initial Value |
Step Return: |
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36.50% to 40.50%. The actual Step Return will be finalized on the Trade Date and provided in the pricing supplement and will not be less than 36.50%. |
Initial Value: |
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The closing level of the Underlying on the Trade Date |
Final Value: |
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The closing level of the Underlying on the Final Valuation Date |
Step Barrier: |
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100% of the Initial Value |
Downside Threshold: |
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75% of the Initial Value |
1 See footnote 1 under “Key Dates” on the front cover |
Trade Date |
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The Initial Value is observed. The Step Return is determined. |
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|
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Maturity Date |
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The Final Value and the Underlying Return are determined.
If the Final Value is greater than or equal to the Step Barrier,
JPMorgan Financial will pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00 + ($10.00 × the greater of (i) the
Step Return and (ii) the Underlying Return)
If the Final Value is less than the Step Barrier and greater than
or equal to the Downside Threshold, JPMorgan Financial will pay you a cash payment at maturity of $10.00 per $10 principal amount
Security.
If the Final Value is less than the Downside Threshold, JPMorgan
Financial will pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00 + ($10.00 × Underlying Return)
Under these circumstances, you will be exposed to the decline of the
Underlying and you will lose some or all of your principal amount. |
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INVESTING IN THE SECURITIES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE SOME
OR ALL OF YOUR PRINCIPAL AMOUNT. ANY PAYMENT ON THE SECURITIES, INCLUDING ANY REPAYMENT OF PRINCIPAL, IS SUBJECT TO THE CREDITWORTHINESS
OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. IF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. WERE TO DEFAULT
ON THEIR PAYMENT OBLIGATIONS, YOU MAY NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE SECURITIES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.
What
Are the Tax Consequences of the Securities?
You should review carefully the section entitled “Material U.S.
Federal Income Tax Consequences” in the accompanying product supplement no. UBS-1-I. The following discussion, when read in combination
with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S.
federal income tax consequences of owning and disposing of Securities.
Based on current market conditions, in the opinion of our special tax
counsel it is reasonable to treat the Securities as “open transactions” that are not debt instruments for U.S. federal income
tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders
— Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement. Assuming this
treatment is respected, the gain or loss on your Securities should be treated as long-term capital gain or loss if you hold your Securities
for more than a year, whether or not you are an initial purchaser of Securities at the issue price. However, the IRS or a court may not
respect this treatment, in which case the timing and character of any income or loss on the Securities 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 in particular on whether to require investors in these
instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the
character of income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property
to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors
should be subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership”
regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest
charge. While the notice requests comments on appropriate transition rules and effective dates, 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 Securities,
possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment
in the Securities, including possible alternative treatments and the issues presented by this notice.
Section 871(m) of the Code and Treasury regulations promulgated thereunder
(“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on dividend equivalents paid
or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include U.S.
equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked to certain broad-based
indices that meet requirements set forth in the applicable Treasury regulations. Additionally, a recent IRS notice excludes from the scope
of Section 871(m) instruments issued prior to January 1, 2025 that do not have a delta of one with respect to underlying securities that
could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on certain determinations
made by us, we expect that Section 871(m) will not apply to the Securities with regard to Non-U.S. Holders. Our determination is not binding
on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend on your particular
circumstances, including whether you enter into other transactions with respect to an Underlying Security. If necessary, further information
regarding the potential application of Section 871(m) will be provided in the pricing supplement for the Securities. You should consult
your tax adviser regarding the potential application of Section 871(m) to the Securities.
Key
Risks
An investment in the Securities involves significant risks. Investing
in the Securities is not equivalent to investing directly in the Underlying. These risks are explained in more detail in the “Risk
Factors” sections of the accompanying prospectus supplement and the accompanying product supplement. We also urge you to consult
your investment, legal, tax, accounting and other advisers before you invest in the Securities.
Risks Relating to the Securities Generally
| t | Your
Investment in the Securities May Result in a Loss — The Securities differ from ordinary debt securities in that we will not
necessarily repay the full principal amount of the Securities. We will pay you the principal amount of your Securities in cash only if
the Final Value has not declined below the Downside Threshold. If the Final Value is less than the Downside Threshold, you will be exposed
to the full decline of the Underlying and will lose some or all of your principal amount in an amount proportionate to the negative Underlying
Return. Accordingly, you could lose up to your entire principal amount. |
| t | Credit
Risks of JPMorgan Financial and JPMorgan Chase & Co. — The Securities are unsecured and unsubordinated debt obligations
of the Issuer, JPMorgan Chase Financial Company LLC, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co.
The Securities will rank pari passu with all of our other unsecured and unsubordinated obligations, and the related guarantee
by JPMorgan Chase & Co. will rank pari passu with all of JPMorgan Chase & Co.’s other unsecured
and unsubordinated obligations. The Securities and related guarantees are not, either directly or indirectly, an obligation of any third
party. Any payment to be made on the Securities, including any repayment of principal, depends on the ability of JPMorgan Financial and
JPMorgan Chase & Co. to satisfy their obligations as they come due. As a result, the actual and perceived creditworthiness
of JPMorgan Financial and JPMorgan Chase & Co. may affect the market value of the Securities and, in the event JPMorgan
Financial and JPMorgan Chase & Co. were to default on their obligations, you may not receive any amounts owed to you under
the terms of the Securities and you could lose your entire investment. |
| t | As
a Finance Subsidiary, JPMorgan Financial Has No Independent Operations and 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 Securities. If these affiliates do not make payments to us and we fail to make payments on the Securities,
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. |
| t | The
Step Return Applies Only If You Hold the Securities to Maturity — You should be willing to hold your Securities to maturity.
If you are able to sell your Securities prior to maturity in the secondary market, if any, the price you receive likely will not reflect
the full economic value of the Step Return or the Securities themselves, and the return you realize may be less than the Underlying’s
return, even if that return is positive. You can receive the full benefit of the Step Return only if you hold your Securities to maturity. |
| t | The
Contingent Repayment of Principal Applies Only If You Hold the Securities to Maturity — You should be willing to hold your
Securities to maturity. If you are able to sell your Securities in the secondary market, if any, prior to maturity, you may have to sell
them at a loss relative to your initial investment even if the closing level of the Underlying is above the Downside Threshold. If you
hold the Securities to maturity, JPMorgan Financial will repay your principal amount as long as the Final Value is not below the Downside
Threshold. However, if the Final Value is less than the Downside Threshold, JPMorgan Financial will repay less than the principal amount,
if anything, resulting in a loss that is proportionate to the decline in the level of the Underlying from the Initial Value to the Final
Value. The contingent repayment of principal based on whether the Final Value is below the Downside Threshold applies only if you hold
your Securities to maturity. |
| t | Your
Ability to Receive the Step Return May Terminate on the Final Valuation Date — If the Final Value is less than the Step Barrier,
you will not be entitled to receive the Step Return on the Securities. Under these circumstances, if the Final Value is also less than
the Downside Threshold, you will lose some or all of your principal amount in an amount proportionate to the negative Underlying Return. |
| t | No
Interest Payments — JPMorgan Financial will not make any interest payments to you with respect to the Securities. |
| t | The
Probability That the Final Value Will Fall Below the Downside Threshold on the Final Valuation Date Will Depend on the Volatility of
the Underlying — “Volatility" refers to the frequency and magnitude of changes in the level of the Underlying. Greater
expected volatility with respect to the Underlying reflects a higher expectation as of the Trade Date that the Underlying could close
below the Downside Threshold on the Final Valuation Date of the Securities, resulting in the loss of some or all of your investment.
However, the Underlying’s volatility can change significantly over the term of the Securities. The level of the Underlying could
fall sharply, which could result in a significant loss of principal. |
| t | Investing
in the Securities Is Not Equivalent to Investing in the Stocks Composing the Underlying — Investing in the Securities is not
equivalent to investing in the stocks included in the Underlying. As an investor in the Securities, you will not have any ownership interest
or rights in the stocks included in the Underlying, such as voting rights, dividend payments or other distributions. |
| t | We
Cannot Control Actions by the Sponsor of the Underlying and That Sponsor Has No Obligation to Consider Your Interests — We
and our affiliates are not affiliated with the sponsor of the Underlying and have no ability to control or predict its actions, including
any errors in or discontinuation of public disclosure regarding methods or policies relating to the calculation of the Underlying. The
sponsor of the Underlying is not involved in this Security offering in any way and has no obligation to consider your interest as an
owner of the Securities in taking any actions that might affect the market value of your Securities. |
| t | Your
Return on the Securities Will Not Reflect Dividends on the Stocks Composing the Underlying — Your return on the Securities
will not reflect the return you would realize if you actually owned the stock included in the Underlying and received the dividends on
the stock included in the Underlying. This is because the calculation agent will calculate the amount payable to you at maturity of the
Securities by reference to the Final Value, which reflects the closing level of the Underlying on the Final Valuation Date without taking
into consideration the value of dividends on the stock included in the Underlying. |
| t | Lack
of Liquidity — The Securities will not be listed on any securities exchange. JPMS intends to offer to purchase the Securities
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 Securities easily. Because other dealers are not likely to make a secondary market for the Securities, the price
at which you may be able to trade your Securities is likely to depend on the price, if any, at which JPMS is willing to buy the Securities. |
| t | Tax
Treatment — Significant aspects of the tax treatment of the Securities are uncertain. You should consult your tax adviser about
your tax situation. |
| t | The
Final Terms and Valuation of the Securities Will Be Finalized on the Trade Date and Provided in the Pricing Supplement — The
final terms of the Securities will be based on relevant market conditions when the terms of the Securities are set and will be finalized
on the Trade Date and provided in the pricing supplement. In particular, each of the estimated value of the Securities and the Step
Return will be finalized on the Trade Date and provided in the pricing supplement and each may
be as low as the applicable minimum set forth on the cover of this pricing supplement. Accordingly, you should consider your potential
investment in the Securities based on the minimums for the estimated value of the Securities and the Step Return. |
Risks Relating to Conflicts of Interest
| t | Potential
Conflicts — We and our affiliates play a variety of roles in connection with the issuance of the Securities, including acting
as calculation agent and hedging our obligations under the Securities and making the assumptions used to determine the pricing of the
Securities and the estimated value of the Securities when the terms of the Securities are set, which we refer to as the estimated value
of the Securities. In performing these 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 Securities.
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 Securities and the value of the Securities. It is possible that hedging or trading activities of ours or our affiliates in connection
with the Securities could result in substantial returns for us or our affiliates while the value of the Securities declines. Please refer
to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement for additional information
about these risks. |
| t | Potentially
Inconsistent Research, Opinions or Recommendations by JPMS, UBS or Their Affiliates — JPMS, UBS or their affiliates may publish
research, express opinions or provide recommendations that are inconsistent with investing in or holding the Securities, and that may
be revised at any time. Any such research, opinions or recommendations may or may not recommend that investors buy or hold investments
linked to the Underlying and could affect the value of the Underlying, and therefore the market value of the Securities. |
| t | Potential
JPMorgan Financial Impact on the Market Price of the Underlying — Trading or transactions by JPMorgan Financial or its affiliates
in the Underlying or in futures, options or other derivative products on the Underlying may adversely affect the market value of the
Underlying and, therefore, the market value of the Securities. |
Risks Relating to the Estimated Value and Secondary Market Prices
of the Securities
| t | The
Estimated Value of the Securities Will Be Lower Than the Original Issue Price (Price to Public) of the Securities — The estimated
value of the Securities is only an estimate determined by reference to several factors. The original issue price of the Securities will
exceed the estimated value of the Securities because costs associated with selling, structuring and hedging the Securities are included
in the original issue price of the Securities. 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 Securities and the estimated cost of hedging our obligations
under the Securities. See “The Estimated Value of the Securities” in this pricing supplement. |
| t | The
Estimated Value of the Securities Does Not Represent Future Values of the Securities and May Differ from Others’ Estimates
— The estimated value of the Securities is determined by reference to internal pricing models of our affiliates when the terms
of the Securities are set. This estimated value of the Securities 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 Securities that are greater than or less than the estimated value of
the Securities. 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 Securities 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 Securities from you in secondary market transactions. See “The
Estimated Value of the Securities” in this pricing supplement. |
| t | The
Estimated Value of the Securities Is Derived by Reference to an Internal Funding Rate — The internal funding rate used in the
determination of the estimated value of the Securities 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 Securities as well as the higher issuance, operational and ongoing liability
management costs of the Securities 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 Securities. The use of an internal funding rate and any potential changes to that
rate may have an adverse effect on the terms of the Securities and any secondary market prices of the Securities. See “The
Estimated Value of the Securities” in this pricing supplement. |
| t | The
Value of the Securities as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current
Estimated Value of the Securities for a Limited Time Period — We generally expect that some of the costs included in the original
issue price of the Securities will be partially paid back to you in connection with any repurchases of your Securities 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 Securities” in this pricing supplement for additional information relating
to this initial period. Accordingly, the estimated value of your Securities during this initial period may be lower than the value of
the Securities as published by JPMS (and which may be shown on your customer account statements). |
| t | Secondary
Market Prices of the Securities Will Likely Be Lower Than the Original Issue Price of the Securities — Any secondary market
prices of the Securities will likely be lower than the original issue price of the Securities 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 Securities. As a result, the price, if any, at which JPMS will be willing to buy Securities 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 factor for information about additional factors that will impact
any secondary market prices of the Securities. |
| | The Securities are not designed to be short-term trading instruments. Accordingly, you should be
able and willing to hold your Securities to maturity. See “— Risks Relating to the Securities Generally — Lack of
Liquidity” above. |
| t | Many
Economic and Market Factors Will Impact the Value of the Securities — As described under “The Estimated Value of the
Securities” in this pricing supplement, the Securities can be thought of as securities that combine a fixed-income debt component
with one or more derivatives. As a result, the factors that influence the values of fixed-income debt and derivative instruments will
also influence the terms of the Securities at issuance and their value in the secondary market. Accordingly, the secondary market price
of the Securities 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 Underlying,
including: |
t any
actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
t customary
bid-ask spreads for similarly sized trades;
t our
internal secondary market funding rates for structured debt issuances;
t the
actual and expected volatility in the level of the Underlying;
t the
time to maturity of the Securities;
t the
dividend rates on the equity securities included in the Underlying;
t interest
and yield rates in the market generally; and
t a
variety of other economic, financial, political, regulatory and judicial events.
Additionally, independent pricing vendors
and/or third party broker-dealers may publish a price for the Securities, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the Securities, if any, at which JPMS may be willing to purchase your
Securities in the secondary market.
Risks Relating to the Underlying
| ¨ | JPMorgan
Chase & Co. Is Currently One of the Companies that Make Up the Underlying — JPMorgan Chase & Co.
is currently one of the companies that make up the Underlying. JPMorgan Chase & Co. will not have any obligation to consider
your interests as a holder of the Securities in taking any corporate action that might affect the value of the Underlying and the Securities. |
.
Hypothetical
Examples and Return Table
Hypothetical terms only. Actual terms may vary.
See the cover page for actual offering terms.
The following table and hypothetical examples below illustrate the payment
at maturity per $10.00 principal amount Security for a hypothetical range of Underlying Returns from -100.00% to +100.00% on an offering
of the Securities linked to a hypothetical Underlying, and assume a hypothetical Initial Value of 100, a hypothetical Step Barrier of
100, a hypothetical Downside Threshold of 90 and a hypothetical Step Return of 20.00%. The hypothetical Initial Value of 100 has been
chosen for illustrative purposes only and may not represent a likely actual Initial Value. The actual Initial Value will be based on the
closing level of the Underlying on the Trade Date and will be provided in the pricing supplement. For historical data regarding the actual
closing levels of the Underlying, please see the historical information set forth under “The Underlying” in this pricing supplement.
The actual Step Barrier and Downside Threshold are specified on the cover of this pricing supplement. The actual Step Return will be finalized
on the Trade Date and provided in the pricing supplement. The hypothetical payment at maturity examples set forth below are for illustrative
purposes only and may not be the actual returns applicable to a purchaser of the Securities. The actual payment at maturity may be more
or less than the amounts displayed below and will be determined based on the actual terms of the Securities, including the Initial Value,
the Step Barrier, the Downside Threshold and the Step Return to be finalized on the Trade Date and provided in the pricing supplement
and the Final Value on the Final Valuation Date. You should consider carefully whether the Securities are suitable to your investment
goals. The numbers appearing in the table below have been rounded for ease of analysis.
Final Value |
Underlying Return (%) |
Payment at Maturity ($) |
Return at Maturity per
$10.00 issue price (%) |
200.00 |
100.00% |
$20.000 |
100.00% |
190.00 |
90.00% |
$19.000 |
90.00% |
180.00 |
80.00% |
$18.000 |
80.00% |
170.00 |
70.00% |
$17.000 |
70.00% |
160.00 |
60.00% |
$16.000 |
60.00% |
150.00 |
50.00% |
$15.000 |
50.00% |
140.00 |
40.00% |
$14.000 |
40.00% |
130.00 |
30.00% |
$13.000 |
30.00% |
120.00 |
20.00% |
$12.000 |
20.00% |
110.00 |
10.00% |
$12.000 |
20.00% |
105.00 |
5.00% |
$12.000 |
20.00% |
100.00 |
0.00% |
$12.000 |
20.00% |
95.00 |
-5.00% |
$10.000 |
0.00% |
90.00 |
-10.00% |
$10.000 |
0.00% |
89.99 |
-10.01% |
$8.999 |
-10.01% |
80.00 |
-20.00% |
$8.000 |
-20.00% |
70.00 |
-30.00% |
$7.000 |
-30.00% |
60.00 |
-40.00% |
$6.000 |
-40.00% |
50.00 |
-50.00% |
$5.000 |
-50.00% |
40.00 |
-60.00% |
$4.000 |
-60.00% |
30.00 |
-70.00% |
$3.000 |
-70.00% |
20.00 |
-80.00% |
$2.000 |
-80.00% |
10.00 |
-90.00% |
$1.000 |
-90.00% |
0.00 |
-100.00% |
$0.000 |
-100.00% |
Example 1 — The level of the Underlying increases by 10% from
the Initial Value of 100 to the Final Value of 110. Because the Final Value is greater than or equal to the Step Barrier and the Underlying
Return of 10% is positive but is less than the Step Return of 20.00%, at maturity, JPMorgan Financial will pay you your principal amount
plus a return equal to the Step Return of 20.00%, resulting in a payment at maturity of $12.00 per $10 principal amount Security,
calculated as follows:
$10.00 + ($10.00 × the greater of (i) the
Step Return and (ii) the Underlying Return)
$10.00 + ($10.00 × 20.00%) = $12.00
Example 2 — The level of the Underlying increases by 50% from
the Initial Value of 100 to the Final Value of 150. Because the Final Value is greater than or equal to the Step Barrier and the Underlying
Return of 50% is greater than the Step Return of 20.00%, at maturity, JPMorgan Financial will pay you your principal amount plus a
return equal to the Underlying Return of 50.00%, resulting in a payment at maturity of $15.00 per $10 principal amount Security, calculated
as follows:
$10.00 + ($10.00 × the greater of (i) the
Step Return and (ii) the Underlying Return)
$10.00 + ($10.00 × 50.00%) = $15.00
Example 3 —
The level of the Underlying decreases by 5% from the Initial Value of 100 to the Final Value of 95. Even though the level of the Underlying
has declined, because the Final Value is greater than or equal to the Downside Threshold, at maturity, JPMorgan Financial will pay you
your principal amount of $10.00 per $10 principal amount Security.
Example 4 —
The level of the Underlying decreases by 60% from the Initial Value of 100 to the Final Value of 40. Because the Final Value is less
than the Downside Threshold and the Underlying Return is -60%, at maturity, JPMorgan Financial will pay you a payment at maturity of $4.00
per $10 principal amount Security, calculated as follows:
$10.00 +
($10.00 × Underlying Return)
$10.00 + ($10.00 × -60%) = $4.00
If the Final Value is less than the Downside
Threshold, investors will be exposed to the negative Underlying Return at maturity, resulting in a loss of principal that is proportionate
to the Underlying’s decline from the Initial Value to the Final Value. Investors could lose some or all of their principal amount.
The hypothetical returns and hypothetical payments on the Securities
shown above apply only if you hold the Securities 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.
The
Underlying
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 the information set forth under “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying
underlying supplement.
Historical Information
The graph below illustrates the daily performance of the Underlying
from January 2, 2013 through June 28, 2023, based on information from the Bloomberg Professional® service (“Bloomberg”),
without independent verification. The closing level of the Underlying on June 28, 2023 was 4,376.86. The actual Initial Value will be
the closing level of the Underlying on the Trade Date. We obtained the closing levels of the Underlying above and below from Bloomberg,
without independent verification.
The dotted lines represent a hypothetical Step Barrier of
4,376.86 and a hypothetical Downside Threshold of 3,282.65, equal to 100% and 75%, respectively, of the closing level of the Underlying
on June 28, 2023. The actual Step Barrier and Downside Threshold will be based on the Initial Value and will be finalized on the Trade
Date and provided in the pricing supplement.
Past performance of the Underlying is not indicative of the future performance of the Underlying.
The historical performance of the Underlying should not be taken as an
indication of future performance, and no assurance can be given as to the closing level of the Underlying on the Trade Date or the Final
Valuation Date. There can be no assurance that the performance of the Underlying will result in the return of any of your principal amount.