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 Securities
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 Securities and supersedes all other prior
or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence,
trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You
should carefully consider, among other things, the matters set forth in the “Risk Factors” sections of the accompanying prospectus
supplement and the accompanying product supplement, as the Securities involve risks not associated with conventional debt securities.
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 up to 85% of your principal amount.
t You
can tolerate a loss of a substantial portion of your investment and are willing to make an investment that may have similar downside market
risk as a hypothetical investment in the Underlying, subject to the Buffer.
t You
believe the level of the Underlying will increase over the term of the Securities and that the appreciation is unlikely to exceed an amount
equal to the Maximum Gain indicated on the cover hereof.
t You
understand and accept that your potential return is limited by the Maximum Gain and you are willing to invest in the Securities based
on the Maximum Gain 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. |
|
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 up to 85% of your principal
amount.
t You
require an investment designed to provide a full return of principal at maturity.
t You
cannot tolerate a loss of a substantial portion of your investment, or you are not willing to make an investment that may have similar
downside market risk as a hypothetical investment in the Underlying, subject to the Buffer.
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, or you believe the Underlying will appreciate over the term of the Securities by more than the Maximum Gain
indicated on the cover hereof.
t You
seek an investment that has unlimited return potential without a cap on appreciation.
t You
are unwilling to invest in the Securities based on the Maximum Gain 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: |
|
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co. |
| Guarantor: |
|
JPMorgan Chase & Co. |
| Issue Price: |
|
$10.00 per Security (subject to a minimum purchase of 100 Securities or $1,000) |
| Principal Amount: |
|
$10.00 per Security. The payment at maturity will be based on the principal amount. |
| Underlying: |
|
S&P 500® Value Index |
| Term: |
|
Approximately 14 months |
| Payment at Maturity (per $10 principal amount Security): |
|
If the Underlying Return is positive, JPMorgan Financial will
pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00 + ($10.00 × Underlying Return ×
Upside Gearing)
provided, however, that in no event will JPMorgan Financial
pay you at maturity an amount greater than:
$10.00 + ($10.00 × Maximum Gain)
If the Underlying Return is zero or negative but the Final Value
is 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 Underlying Return is negative, and 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
+ Buffer)]
In this scenario, you will lose 1% of your principal amount for
every 1% that the Underlying has declined by more than the Buffer. You may lose up to 85% of your principal amount. |
| Underlying Return: |
|
(Final Value – Initial Value)
Initial Value |
| Upside Gearing: |
|
1.25 |
| Maximum Gain: |
|
10.90%. In no event will the return on the Principal Amount be greater than the Maximum Gain. |
| Initial Value: |
|
The closing level of the Underlying on the Trade Date, as specified on the cover of this pricing supplement |
| Final Value: |
|
The closing level of the Underlying on the Final Valuation Date |
|
Downside
Threshold1: |
|
85.00% of the Initial Value, as specified on the cover of this pricing supplement |
| Buffer: |
|
15%, if held to maturity |
1 Rounded
to five decimal places
| Trade Date |
|
The Initial Value is observed. The Downside Threshold and Maximum Gain are finalized. |
| |
|
|
 |
|
|
| |
|
|
| Maturity Date |
|
The Final Value and the Underlying Return are determined.
If the Underlying Return is positive, JPMorgan Financial will
pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00 + ($10.00 × Underlying Return ×
Upside Gearing),
provided, however, that in no event will JPMorgan Financial
pay you at maturity an amount greater than:
$10.00 + ($10.00 × Maximum Gain)
If the Underlying Return is zero or negative but the Final Value
is 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 Underlying Return is negative, and 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 + Buffer)]
Under these circumstances, you may lose up to 85% of your principal
amount. |
INVESTING IN THE SECURITIES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE UP
TO 85% 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? |
In determining our reporting responsibilities, we intend to treat the
Securities 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 — Tax Consequences to U.S. Holders — Notes Treated as
Open Transactions That Are Not Debt Instruments” in the accompanying product supplement no. UBS-1-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 Securities could be
materially and adversely affected.
No statutory, judicial or administrative authority directly addresses
the characterization of the Securities (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 Securities should generally 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 the Securities at the issue price. However, the IRS or a court may not respect
the treatment of the Securities as “open transactions,” in which case the timing and character of any income or loss on the
Securities could be materially and adversely affected. For instance, the Securities could be treated as contingent payment debt instruments,
in which case the gain on your Securities would be treated as ordinary income and you would be required to accrue original issue discount
on your Securities in each taxable year at the “comparable yield,” as determined by us, although we will not make any payment
with respect to the Securities 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 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 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 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, our special tax counsel is of the opinion that Section 871(m) should 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. You should consult your tax adviser regarding the potential application of Section 871(m)
to the Securities.
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.
If the Underlying Return is negative, 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 Underlying Return is negative and the Final Value is less than the Downside Threshold, you
will lose 1% of your principal amount for every 1% that the Underlying has declined by more than the Buffer. Accordingly, you could lose
up to 85% of your 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 Appreciation Potential of the Securities Is Limited by the Maximum
Gain — The appreciation potential of the Securities is limited by the Maximum Gain of 10.90%. Accordingly, the appreciation
potential of the Securities will be limited by the Maximum Gain even if the Underlying Return times the Upside Gearing is greater than
the Maximum Gain. |
| t | The Upside Gearing 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 Upside Gearing or the Securities themselves, and the return you realize may be less than the product of the performance of
the Underlying and the Upside Gearing and may be less than the Underlying’s return, even if that return is positive and does not
exceed the Maximum Gain. You can receive the full benefit of the Upside Gearing, subject to the Maximum Gain, only if you hold your Securities
to maturity. |
| t | The Downside Market Exposure to the Underlying Is Buffered 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 Underlying Return is negative and the Final Value is less than the Downside Threshold, JPMorgan Financial will repay less
than your principal amount at maturity, resulting in a loss of 1% of your principal amount for every 1% that the Underlying has declined
by more than the Buffer. |
| 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 most 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. |
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 Is 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 exceeds 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. |
| ¨ | The Investment Strategy Represented by the Underlying
May Not Be Successful — The Underlying
is a float-adjusted market capitalization-weighted index that is designed to measure the full performance of companies included in the
S&P 500® Index that exhibit relatively strong value characteristics (determined by reference to (1) book-value-to-price
ratio, (2) earnings-to-price ratio and (3) sales-to-price ratio) and relatively weak growth characteristics (determined by reference to
(1) earnings-per-share growth, (2) sales-per-share growth and (3) upward share price momentum) and a portion of the performance of companies
with more balanced value and growth characteristics (where greater weight is allocated to companies with relatively stronger value characteristics
and relatively weaker growth characteristics). A “value” investment strategy is premised on the goal of investing in
stocks that are determined to be relatively cheap or “undervalued” under the assumption that the value of those stocks will
increase over time as the market comes to reflect the “fair” market value of those stocks. However, the value characteristics
referenced by the Underlying may not be accurate predictors of undervalued stocks, and there is no guarantee that undervalued stocks will
appreciate. In addition, the Underlying’s selection methodology includes a significant bias against stocks with strong growth
characteristics, and stocks with strong growth characteristics may outperform stocks with weak growth characteristics. There is
no assurance that the Underlying will outperform any other index, exchange-traded fund or strategy that tracks U.S. stocks selected using
other criteria and may underperform the S&P 500® Index as a whole. It is possible that the stock selection methodology
of the Underlying will adversely affect its return and, consequently, the value of the Underlying and the value and return of 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 $10.00 principal amount Security for a hypothetical range of Underlying Returns from -100.00% to +100.00% on an
offering of the Securities linked to a hypothetical Underlying, and assume a hypothetical Initial Value of 100, a hypothetical Downside
Threshold of 95, a hypothetical Upside Gearing of 1.20, a hypothetical Maximum Gain of 9.00% and a hypothetical Buffer of 5%. The hypothetical
Initial Value of 100 has been chosen for illustrative purposes only and does not represent the actual Initial Value. The actual Initial
Value and Downside Threshold are based on the closing level of the Underlying on the Trade Date and are specified on the cover of this
pricing supplement. For historical data regarding the actual closing levels of the Underlying, please see the historical information set
forth under “The Underlying” in this pricing supplement. The actual Upside Gearing and Maximum Gain are specified on the cover
of this pricing supplement. The hypothetical payment at maturity examples set forth below are for illustrative purposes only and may not
be the actual returns applicable to a purchaser of the Securities. The actual payment at maturity may be more or less than the amounts
displayed below and will be determined based on the actual terms of the Securities, including the Upside Gearing, the Initial Value, the
Downside Threshold and the Maximum Gain and the Final Value on the Final Valuation Date. You should consider carefully whether the Securities
are suitable to your investment goals. The numbers appearing in the table below have been rounded for ease of analysis.
| Final Value |
Underlying Return (%) |
Payment at Maturity ($) |
Return at Maturity per
$10.00 issue price (%) |
| 200.00 |
100.00% |
$10.90 |
9.00% |
| 190.00 |
90.00% |
$10.90 |
9.00% |
| 180.00 |
80.00% |
$10.90 |
9.00% |
| 170.00 |
70.00% |
$10.90 |
9.00% |
| 160.00 |
60.00% |
$10.90 |
9.00% |
| 150.00 |
50.00% |
$10.90 |
9.00% |
| 140.00 |
40.00% |
$10.90 |
9.00% |
| 130.00 |
30.00% |
$10.90 |
9.00% |
| 120.00 |
20.00% |
$10.90 |
9.00% |
| 110.00 |
10.00% |
$10.90 |
9.00% |
| 107.50 |
7.50% |
$10.90 |
9.00% |
| 104.00 |
4.00% |
$10.48 |
4.80% |
| 102.00 |
2.00% |
$10.24 |
2.40% |
| 100.00 |
0.00% |
$10.00 |
0.00% |
| 97.50 |
-2.50% |
$10.00 |
0.00% |
| 95.00 |
-5.00% |
$10.00 |
0.00% |
| 90.00 |
-10.00% |
$9.50 |
-5.00% |
| 80.00 |
-20.00% |
$8.50 |
-15.00% |
| 70.00 |
-30.00% |
$7.50 |
-25.00% |
| 60.00 |
-40.00% |
$6.50 |
-35.00% |
| 50.00 |
-50.00% |
$5.50 |
-45.00% |
| 40.00 |
-60.00% |
$4.50 |
-55.00% |
| 30.00 |
-70.00% |
$3.50 |
-65.00% |
| 20.00 |
-80.00% |
$2.50 |
-75.00% |
| 10.00 |
-90.00% |
$1.50 |
-85.00% |
| 0.00 |
-100.00% |
$0.50 |
-95.00% |
Example 1 — The level of the Underlying increases by 2% from
the Initial Value of 100 to the Final Value of 102.
Because the Upside Gearing of 1.20 times the Underlying Return of 2%
is less than the Maximum Gain of 9.00%, JPMorgan Financial will pay you your principal amount plus a return equal to the Underlying
Return times the Upside Gearing, resulting in a payment at maturity of $10.24 per $10 principal amount Security, calculated as
follows:
$10.00 + ($10.00 × Underlying Return ×
Upside Gearing)
$10.00 + ($10.00 × 2% × 1.20) = $10.24
Example 2 — The level of the Underlying increases by 10% from
the Initial Value of 100 to the Final Value of 110.
Because the Upside Gearing of 1.20 times the Underlying Return of 10%
is greater than the Maximum Gain of 9.00%, JPMorgan Financial will pay you your principal amount plus a return equal to the Maximum
Gain of 9.00%, resulting in a payment at maturity of $10.90 per $10 principal amount Security, calculated as follows:
$10.00 + ($10.00 × Maximum Gain)
$10.00 + ($10.00 × 9.00%) = $10.90
Example 3 — The level of the Underlying
decreases by 2.50% from the Initial Value of 100 to the Final Value of 97.50.
Because the Underlying Return is negative and the Final Value is greater
than 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 40% from
the Initial Value of 100 to the Final Value of 60.
Because the Underlying Return is -40% and the Final Value is less than
the Downside Threshold of 95%, at maturity, JPMorgan Financial will pay you a payment at maturity of $6.50 per $10 principal amount Security,
calculated as follows:
$10.00 + [$10.00 × (Underlying Return + Buffer)]
$10.00 + [$10.00 × (-40.00% + 5.00%)] = $6.50
If the Underlying Return is negative and the Final Value is less
than the Downside Threshold, investors will lose 1% of their principal amount for every 1% that the Underlying has declined in excess
of the Buffer. Investors could lose up to 95% 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 S&P 500® Value Index is a float-adjusted market
capitalization-weighted index that is designed to measure the full performance of companies included in the S&P 500®
Index that exhibit relatively strong value characteristics (determined by reference to (1) book-value-to-price ratio, (2) earnings-to-price
ratio and (3) sales-to-price ratio) and relatively weak growth characteristics (determined by reference to earnings-per-share growth,
sales-per-share growth and upward share price momentum) and a portion of the performance of companies with more balanced value and growth
characteristics (where greater weight is allocated to companies with relatively stronger value characteristics and relatively weaker growth
characteristics). For additional information about the S&P 500® Value Index, see “Equity Index Descriptions —
The S&P Style Indices” in the accompanying underlying supplement.
Historical Information
The graph below illustrates the daily performance of the Underlying from
January 2, 2013 through June 27, 2023, based on information from the Bloomberg Professional® service (“Bloomberg”),
without independent verification. The closing level of the Underlying on June 27, 2023 was 1,569.669. We obtained the closing levels of
the Underlying above and below from Bloomberg, without independent verification.
The dotted line represents the Downside Threshold of 1,334.21865, equal
to 85% of the closing level of the Underlying on June 27, 2023.
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 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.