June 27, 2023 |
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
![](https://content.edgar-online.com/edgar_conv_img/2023/06/29/0001213900-23-052966_image_001.jpg)
JPMorgan Chase Financial Company LLC
Structured Investments
$395,000
Capped Dual Directional Buffered Return Enhanced
Notes Linked to the S&P 500® Index due January 2, 2025
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
| · | The notes are designed for investors who seek a capped return of 3.00 times any appreciation (with a Maximum Upside Return of 10.50%),
or a capped return equal to 50.00% of the absolute value of any depreciation (with a maximum downside return of 15.00%), of the S&P
500® Index at maturity. |
| · | Investors should be willing to forgo interest and dividend payments and be willing to lose up to 70.00% of their principal amount
at maturity. |
| · | The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial,
the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes is subject
to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor
of the notes. |
| · | Minimum denominations of $1,000 and integral multiples thereof |
| · | The notes priced on June 27, 2023 and are expected to settle on or about June 30, 2023. |
Investing in the notes involves a number of risks. See
“Risk Factors” beginning on page S-2 of the accompanying prospectus supplement, “Risk Factors” beginning on
page PS-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, underlying supplement, prospectus supplement and prospectus. Any representation to
the contrary is a criminal offense.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
Per note |
$1,000 |
$3 |
$997 |
Total |
$395,000 |
$1,185 |
$393,815 |
(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 $3.00 per $1,000 principal amount note it receives
from us to other affiliated or unaffiliated dealers. See “Plan of Distribution (Conflicts of Interest)” in the accompanying
product supplement. |
The estimated value of the notes, when the terms of the notes
were set, was $980.80 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, 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.
Index: The
S&P 500® Index (Bloomberg ticker: SPX)
Maximum Upside Return:
10.50% (corresponding to a maximum payment at maturity if the Index Return is positive
of $1,105.00 per $1,000 principal amount note)
Upside Leverage Factor:
3.00
Downside Participation:
50.00%
Buffer Amount: 30.00%
Pricing Date:
June 27, 2023
Original Issue
Date (Settlement Date): On or about June 30, 2023
Observation
Date*: December 27, 2024
Maturity Date*:
January 2, 2025
* 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
Payment at Maturity:
If the Final Value
is greater than the Initial Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000
+ ($1,000 × Index Return × Upside Leverage Factor), subject to the Maximum Upside Return
If the Final Value
is equal to the Initial Value or is less than the Initial Value by up to the Buffer Amount, your payment at maturity per $1,000 principal
amount note will be calculated as follows:
$1,000
+ ($1,000 × Absolute Index Return × Downside Participation)
This payout formula
results in an effective cap of 15.00% on your return at maturity if the Index Return is negative. Under these limited circumstances, your
maximum payment at maturity is $1,150.00 per $1,000 principal amount note.
If the Final Value
is less than the Initial Value by more than the Buffer Amount, your payment at maturity per $1,000 principal amount note will be calculated
as follows:
$1,000
+ [$1,000 × (Index Return + Buffer Amount)]
If the Final Value
is less than the Initial Value by more than the Buffer Amount, you will lose some or most of your principal amount at maturity.
Absolute Index
Return: The absolute value of the Index Return. For example, if the Index Return
is -5%, the Absolute Index Return will equal 5%.
Index Return:
(Final
Value – Initial Value)
Initial Value
Initial Value:
The closing level of the Index on the Pricing Date, which was 4,378.41
Final Value:
The closing level of the Index on the Observation Date
PS-1
| Structured Investments
Capped Dual Directional Buffered Return Enhanced Notes Linked
to the S&P 500® Index |
![](https://content.edgar-online.com/edgar_conv_img/2023/06/29/0001213900-23-052966_image_001.jpg) |
Hypothetical
Payout Profile
The following table and graph illustrate the hypothetical
total return and payment at maturity on the notes linked to a hypothetical Index. The “total return” as used in this pricing
supplement is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount note
to $1,000. The hypothetical total returns and payments set forth below assume the following:
| · | an Initial Value of 100.00; |
| · | a Maximum Upside Return of 10.50%; |
| · | an Upside Leverage Factor of 3.00; |
| · | a Downside Participation of 50.00%; and |
| · | a Buffer Amount of 30.00%. |
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 level of the 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 the Index, please see the historical information set forth under “The Index” in this
pricing supplement.
Each hypothetical total return or hypothetical payment
at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable
to a purchaser of the notes. The numbers appearing in the following table and graph have been rounded for ease of analysis.
Final Value |
Index Return |
Absolute Index Return |
Total Return on the Notes |
Payment at Maturity |
180.00 |
80.00% |
N/A |
10.50% |
$1,105.00 |
165.00 |
65.00% |
N/A |
10.50% |
$1,105.00 |
150.00 |
50.00% |
N/A |
10.50% |
$1,105.00 |
140.00 |
40.00% |
N/A |
10.50% |
$1,105.00 |
130.00 |
30.00% |
N/A |
10.50% |
$1,105.00 |
120.00 |
20.00% |
N/A |
10.50% |
$1,105.00 |
110.00 |
10.00% |
N/A |
10.50% |
$1,105.00 |
105.00 |
5.00% |
N/A |
10.50% |
$1,105.00 |
103.50 |
3.50% |
N/A |
10.50% |
$1,105.00 |
101.00 |
1.00% |
N/A |
3.00% |
$1,030.00 |
100.00 |
0.00% |
0.00% |
0.00% |
$1,000.00 |
95.00 |
-5.00% |
5.00% |
2.50% |
$1,025.00 |
90.00 |
-10.00% |
10.00% |
5.00% |
$1,050.00 |
80.00 |
-20.00% |
20.00% |
10.00% |
$1,100.00 |
70.00 |
-30.00% |
30.00% |
15.00% |
$1,150.00 |
60.00 |
-40.00% |
N/A |
-10.00% |
$900.00 |
50.00 |
-50.00% |
N/A |
-20.00% |
$800.00 |
40.00 |
-60.00% |
N/A |
-30.00% |
$700.00 |
30.00 |
-70.00% |
N/A |
-40.00% |
$600.00 |
20.00 |
-80.00% |
N/A |
-50.00% |
$500.00 |
10.00 |
-90.00% |
N/A |
-60.00% |
$400.00 |
0.00 |
-100.00% |
N/A |
-70.00% |
$300.00 |
PS-2
| Structured Investments
Capped Dual Directional Buffered Return Enhanced Notes Linked
to the S&P 500® Index |
![](https://content.edgar-online.com/edgar_conv_img/2023/06/29/0001213900-23-052966_image_001.jpg) |
The following graph demonstrates the hypothetical total
returns and hypothetical payments at maturity on the notes for a sub-set of Index Returns detailed in the table above (-80% to 50%). There
can be no assurance that the performance of the Index will result in the return of any of your principal amount in excess of $300.00 per
$1,000 principal amount note, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
![](https://content.edgar-online.com/edgar_conv_img/2023/06/29/0001213900-23-052966_image_002.jpg)
How the
Notes Work
Index Appreciation Upside Scenario:
If the Final Value is greater than the Initial Value,
investors will receive at maturity the $1,000 principal amount plus a return equal to the Index Return times the Upside
Leverage Factor of 3.00, subject to the Maximum Upside Return of 10.50%. An investor will realize the maximum upside payment at maturity
at a Final Value of 103.50% or more of the Initial Value.
| · | If the closing level of the Index increases 1.00%, investors will receive at maturity a 3.00% return,
or $1,030.00 per $1,000 principal amount note. |
| · | If the closing level of the Index increases 50.00%, investors will receive at maturity a return equal
to the 10.50% Maximum Upside Return, or $1,105.00 per $1,000 principal amount note, which is the maximum payment at maturity if the Index
Return is positive. |
Index Par or Index Depreciation Upside Scenario:
If the Final Value
is equal to the Initial Value or is less than the Initial Value by up to the Buffer Amount of 30.00%, investors will receive at maturity
the $1,000 principal amount plus a return equal to the Absolute Index Return times the Downside Participation of 50.00%.
| · | For example, if the closing level of the Index declines 10.00%, investors will receive at maturity a 5.00% return, or $1,050.00 per
$1,000 principal amount note. |
Downside Scenario:
If the Final Value is less than the Initial Value by
more than the Buffer Amount of 30.00%, investors will lose 1% of the principal amount of their notes for every 1% that the Final Value
is less than the Initial Value by more than the Buffer Amount.
| · | For example, if the closing level of the Index declines 60.00%,
investors will lose 30.00% of their principal amount and receive only $700.00 per $1,000 principal amount note at maturity, calculated
as follows: |
$1,000
+ [$1,000 × (-60.00% + 30.00%)] = $700.00
The hypothetical returns and hypothetical payments on
the notes shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect 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.
PS-3
| Structured Investments
Capped Dual Directional Buffered Return Enhanced Notes Linked
to the S&P 500® Index |
![](https://content.edgar-online.com/edgar_conv_img/2023/06/29/0001213900-23-052966_image_001.jpg) |
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 Final Value is less than the Initial Value by more than 30.00%, you will lose 1% of the principal amount of your notes for every
1% that the Final Value is less than the Initial Value by more than 30.00%. Accordingly, under these circumstances, you will lose up to
70.00% of your principal amount at maturity.
| · | YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE MAXIMUM UPSIDE RETURN IF THE INDEX RETURN IS POSITIVE, |
regardless of the appreciation of the Index,
which may be significant.
| · | YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE BUFFER AMOUNT AND THE DOWNSIDE PARTICIPATION
IF THE INDEX RETURN IS NEGATIVE — |
Because the payment at maturity will not reflect
the Absolute Index Return if the Final Value is less than the Initial Value by more than the Buffer Amount, the Buffer Amount and the
Downside Participation effectively cap your return at 15.00% at maturity if the Index Return is negative. The maximum payment at maturity
if the Index Return is negative is $1,150.00 per $1,000 principal amount note.
| · | 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 NOTES DO NOT PAY INTEREST. |
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN THE INDEX OR HAVE ANY RIGHTS
WITH RESPECT TO THOSE SECURITIES. |
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-4
| Structured Investments
Capped Dual Directional Buffered Return Enhanced Notes Linked
to the S&P 500® Index |
![](https://content.edgar-online.com/edgar_conv_img/2023/06/29/0001213900-23-052966_image_001.jpg) |
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 level of the Index. Additionally, independent
pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes
in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
— Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
Risks Relating to the Index
| · | JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE
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 Index.
PS-5
| Structured Investments
Capped Dual Directional Buffered Return Enhanced Notes Linked
to the S&P 500® Index |
![](https://content.edgar-online.com/edgar_conv_img/2023/06/29/0001213900-23-052966_image_001.jpg) |
The Index
The Index consists of stocks of 500 companies selected
to provide a performance benchmark for the U.S. equity markets. For additional information about the Index, see “Equity Index Descriptions
— The S&P U.S. Indices” in the accompanying underlying supplement.
Historical Information
The following graph sets forth the historical performance
of the Index based on the weekly historical closing levels of the Index from January 5, 2018 through June 16, 2023. The closing level
of the Index on June 27, 2023 was 4,378.41. We obtained the closing levels above and below from the Bloomberg Professional®
service (“Bloomberg”), without independent verification.
The historical closing levels of the Index should
not be taken as an indication of future performance, and no assurance can be given as to the closing level of the Index on the Observation
Date. There can be no assurance that the performance of the Index will result in the return of any of your principal amount in excess
of $300.00 per $1,000 principal amount note, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
![](https://content.edgar-online.com/edgar_conv_img/2023/06/29/0001213900-23-052966_image_003.jpg)
Tax Treatment
In determining
our reporting responsibilities, we intend to treat the notes for U.S. federal income tax purposes as “open transactions” that
are not debt instruments, as described in the section entitled “Material U.S. Federal Income Tax Consequences – Notes Treated
as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement no. 4-I. Based on the advice of Davis
Polk & Wardwell LLP, our special tax counsel, we believe that this is a reasonable treatment, but that there are other reasonable
treatments that the IRS or a court may adopt, in which case the timing and character of any income or loss on the notes could be materially
and adversely affected.
No statutory,
judicial or administrative authority directly addresses the characterization of the notes (or similar instruments) for U.S. federal income
tax purposes, and no ruling is being requested from the IRS with respect to their proper characterization and treatment. Assuming that
“open transaction” treatment is respected, the gain or loss on your notes should be treated as long-term capital gain or loss
if you hold your notes for more than a year, whether or not you are an initial purchaser of the notes at the issue price. However, the
IRS or a court may not respect the treatment of the notes as “open transactions,” in which case the timing and character of
any income or loss on the notes could be materially and adversely affected. For instance, the notes could be treated as contingent payment
debt instruments, in which case the gain on your notes would be treated as ordinary income and you would be required to accrue original
issue discount on your notes in each taxable year at the “comparable yield,” as determined by us, although we will not make
any payment with respect to the notes until maturity.
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
PS-6
| Structured Investments
Capped Dual Directional Buffered Return Enhanced Notes Linked
to the S&P 500® Index |
![](https://content.edgar-online.com/edgar_conv_img/2023/06/29/0001213900-23-052966_image_001.jpg) |
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 notes, possibly with retroactive effect. You should review carefully
the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement and consult your
tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments
and the issues presented by 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, 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 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 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
PS-7
| Structured Investments
Capped Dual Directional Buffered Return Enhanced Notes Linked
to the S&P 500® Index |
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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 “Hypothetical Payout Profile” and “How
the Notes Work” in this pricing supplement for an illustration of the risk-return profile of the notes and “The Index”
in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to
the estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus)
the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the
notes, plus the estimated cost of hedging our obligations under the notes.
Validity
of the Notes and the Guarantee
In the opinion of 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 well as any other written materials including preliminary or indicative pricing terms, correspondence,
trade ideas, structures for
PS-8
| Structured Investments
Capped Dual Directional Buffered Return Enhanced Notes Linked
to the S&P 500® Index |
![](https://content.edgar-online.com/edgar_conv_img/2023/06/29/0001213900-23-052966_image_001.jpg) |
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.
PS-9
| Structured Investments
Capped Dual Directional Buffered Return Enhanced Notes Linked
to the S&P 500® Index |
![](https://content.edgar-online.com/edgar_conv_img/2023/06/29/0001213900-23-052966_image_001.jpg) |
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