Neither the Securities and Exchange Commission (the “SEC”) nor any
state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing supplement
or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation to the contrary
is a criminal offense.
Pricing supplement to product supplement no. 4-I dated April 13, 2023,
underlying supplement no. 1-I dated April 13, 2023
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)
Contingent Interest
Payments: If the notes have not been previously redeemed early and the closing level of the Index on any Review Date is greater
than or equal to the Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal amount note
a Contingent Interest Payment equal to at least $37.50 (equivalent to a Contingent Interest Rate of at least 7.50% per annum, payable
at a rate of at least 3.75% semiannually) (to be provided in the pricing supplement).
If the closing level of the Index on any Review Date is less than the Interest
Barrier, no Contingent Interest Payment will be made with respect to that Review Date.
Contingent
Interest Rate: At least 7.50% per annum, payable at a rate of at least 3.75% semiannually (to
be provided in the pricing supplement)
Interest Barrier / Trigger Value: 70.00%
of the Initial Value
Pricing Date:
On or about July 21, 2023
Original
Issue Date (Settlement Date): On or about July 26, 2023
Review Dates*:
January 22, 2024, July 22, 2024, January 21, 2025, July 21, 2025, January 21, 2026 and July 21, 2026 (final Review Date)
Interest Payment
Dates*: January 25, 2024, July 25, 2024, January 24, 2025, July 24, 2025, January 26, 2026 and the Maturity Date
Maturity Date*:
July 24, 2026
* 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 |
Early Redemption:
We, at our election, may redeem the notes early, in whole but not in part, on any
of the Interest Payment Dates (other than the final Interest Payment Date) at a price, for each $1,000 principal amount note, equal to
$1,000 plus the Contingent Interest Payment, if any, applicable to the immediately preceding Review Date. If we intend to redeem
your notes early, we will deliver notice to The Depository Trust Company, or DTC, at least three business days before the applicable Interest
Payment Date on which the notes are redeemed early.
Payment at Maturity:
If the notes have not been redeemed early and the Final Value is greater than or equal
to the Trigger Value, you will receive a cash payment at maturity, for each $1,000 principal amount note, equal to (a) $1,000 plus
(b) the Contingent Interest Payment applicable to the final Review Date.
If the notes have not been redeemed early and the Final Value is less than the Trigger
Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Index Return)
If the notes have not been redeemed early and the Final Value is less than the Trigger
Value, you will lose more than 30.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
Index Return:
(Final Value – Initial Value)
Initial Value
Initial
Value: The closing level of the Index on the Pricing Date
Final
Value: The closing level of the Index on the final Review Date
|
PS-1
| Structured Investments
Callable Contingent Interest Notes Linked to the S&P 500®
Index |
![](https://content.edgar-online.com/edgar_conv_img/2023/06/30/0001213900-23-053038_image_001.jpg) |
How the Notes Work
Payments in Connection with Review Dates Preceding the Final
Review Date
![](https://content.edgar-online.com/edgar_conv_img/2023/06/30/0001213900-23-053038_image_002.jpg)
Payment at Maturity If the Notes Have Not
Been Redeemed Early
![](https://content.edgar-online.com/edgar_conv_img/2023/06/30/0001213900-23-053038_image_003.jpg)
PS-2
| Structured Investments
Callable Contingent Interest Notes Linked to the S&P 500®
Index |
![](https://content.edgar-online.com/edgar_conv_img/2023/06/30/0001213900-23-053038_image_001.jpg) |
Total Contingent Interest Payments
The table below illustrates the hypothetical total Contingent Interest
Payments per $1,000 principal amount note over the term of the notes based on a hypothetical Contingent Interest Rate of 7.50% per annum,
depending on how many Contingent Interest Payments are made prior to early redemption or maturity. The actual Contingent Interest Rate
will be provided in the pricing supplement and will be at least 7.50% per annum.
Number of Contingent
Interest Payments |
Total Contingent Interest
Payments |
6 |
$225.00 |
5 |
$187.50 |
4 |
$150.00 |
3 |
$112.50 |
2 |
$75.00 |
1 |
$37.50 |
0 |
$0.00 |
Hypothetical Payout Examples
The following examples illustrate payments on the notes linked
to a hypothetical Index, assuming a range of performances for the hypothetical Index on the Review Dates.
The hypothetical payments set forth below assume the following:
| · | the notes have not been redeemed early; |
| · | an Initial Value of 100.00; |
| · | an Interest Barrier and a Trigger Value of 70.00 (equal to 70.00% of the hypothetical Initial Value); and |
| · | a Contingent Interest Rate of 7.50% per annum (payable at a rate of 3.75% semiannually). |
The hypothetical Initial Value of 100.00 has been chosen for illustrative
purposes only and may not represent a likely actual Initial Value. The actual Initial Value will be the closing level of the Index on
the Pricing Date and will be provided in the 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 payment set forth below is for illustrative purposes
only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing in the following examples have been
rounded for ease of analysis.
Example 1 — Notes have NOT been redeemed early and the
Final Value is greater than or equal to the Trigger Value.
Date |
Closing Level |
Payment (per $1,000 principal amount note) |
First Review Date |
95.00 |
$37.50 |
Second Review Date |
85.00 |
$37.50 |
Third through Fifth Review Dates |
Less than Interest Barrier |
$0 |
Final Review Date |
90.00 |
$1,037.50 |
|
Total Payment |
$1,112.50 (11.25% return) |
Because the notes have not been redeemed early and the Final Value
is greater than or equal to the Trigger Value, the payment at maturity, for each $1,000 principal amount note, will be $1,037.50 (or $1,000
plus the Contingent Interest Payment applicable to the final Review Date). When added to the Contingent Interest Payments received
with respect to the prior Review Dates, the total amount paid, for each $1,000 principal amount note, is $1,112.50.
PS-3
| Structured Investments
Callable Contingent Interest Notes Linked to the S&P 500®
Index |
![](https://content.edgar-online.com/edgar_conv_img/2023/06/30/0001213900-23-053038_image_001.jpg) |
Example
2 — Notes have NOT been redeemed early and the Final Value is less than the Trigger Value.
Date |
Closing Level |
Payment (per $1,000 principal amount note) |
First Review Date |
40.00 |
$0 |
Second Review Date |
45.00 |
$0 |
Third through Fifth Review Dates |
Less than Interest Barrier |
$0 |
Final Review Date |
50.00 |
$500.00 |
|
Total Payment |
$500.00 (-50.00% return) |
Because the notes have not been redeemed early, the Final Value
is less than the Trigger Value and the Index Return is -50.00%, the payment at maturity will be $500.00 per $1,000 principal amount note,
calculated as follows:
$1,000 + [$1,000 × (-50.00%)] = $500.00
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.
Selected Risk Considerations
An investment in the notes involves significant risks. These risks
are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement and product supplement.
Risks Relating to the Notes Generally
| · | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — |
The notes do not guarantee any return of principal. If the
notes have not been redeemed early and the Final Value is less than the Trigger Value, you will lose 1% of the principal amount of your
notes for every 1% that the Final Value is less than the Initial Value. Accordingly, under these circumstances, you will lose more than
30.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
| · | THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL — |
If the notes have not been redeemed early, we will make
a Contingent Interest Payment with respect to a Review Date only if the closing level of the Index on that Review Date is greater than
or equal to the Interest Barrier. If the closing level of the Index on that Review Date is less than the Interest Barrier, no Contingent
Interest Payment will be made with respect to that Review Date. Accordingly, if the closing level of the Index on each Review Date is
less than the Interest Barrier, you will not receive any interest payments over the term of the notes.
| · | CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. — |
Investors are dependent on our and JPMorgan Chase & Co.’s
ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness
or credit spreads, as determined by the market for taking that credit risk, is likely to adversely affect the value of the notes. If we
and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed to you under the
notes and you could lose your entire investment.
| · | AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS — |
As a finance subsidiary of JPMorgan Chase & Co.,
we have no independent operations beyond the issuance and administration of our securities. Aside from the initial capital contribution
from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates to make payments under
loans made by us or other intercompany agreements. As a result, we are dependent upon payments from our affiliates to meet our obligations
under the notes. If these affiliates do not make payments to us and we fail to make payments on the notes, you may have to seek payment
under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu with all other unsecured
and unsubordinated obligations of JPMorgan Chase & Co.
| · | THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS THAT MAY BE PAID OVER THE TERM
OF THE NOTES, |
regardless of any appreciation of the Index, which may be
significant. You will not participate in any appreciation of the Index.
PS-4
| Structured Investments
Callable Contingent Interest Notes Linked to the S&P 500®
Index |
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| · | THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE — |
If the Final Value is less than the Trigger Value and the
notes have not been redeemed early, the benefit provided by the Trigger Value will terminate and you will be fully exposed to any depreciation
of the Index.
| · | THE OPTIONAL EARLY REDEMPTION FEATURE MAY FORCE A POTENTIAL EARLY EXIT — |
If we elect to redeem your notes early, the term of the
notes may be reduced to as short as approximately six months and you will not receive any Contingent Interest Payments after the applicable
Interest Payment Date. There is no guarantee that you would be able to reinvest the proceeds from an investment in the notes at a comparable
return and/or with a comparable interest rate for a similar level of risk. Even in cases where we elect to redeem your notes before maturity,
you are not entitled to any fees and commissions described on the front cover of this pricing supplement.
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN THE INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES. |
| · | THE RISK OF THE CLOSING LEVEL OF THE INDEX FALLING BELOW THE INTEREST BARRIER OR THE TRIGGER VALUE IS GREATER IF THE LEVEL OF THE
INDEX IS VOLATILE. |
The notes will not be listed on any securities exchange.
Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS is willing
to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments. Accordingly,
you should be able and willing to hold your notes to maturity.
| · | THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT — |
You should consider your potential investment in the notes
based on the minimums for the estimated value of the notes and the Contingent Interest Rate.
Risks Relating to Conflicts of Interest
We and our affiliates play a variety of roles in connection
with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests are potentially adverse
to your interests as an investor in the notes. It is possible that hedging or trading activities of ours or our affiliates in connection
with the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer to “Risk
Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement.
Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes
| · | THE ESTIMATED VALUE OF THE NOTES WILL BE 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 will exceed 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 structuring fee, if any, 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
PS-5
| Structured Investments
Callable Contingent Interest Notes Linked to the S&P 500®
Index |
![](https://content.edgar-online.com/edgar_conv_img/2023/06/30/0001213900-23-053038_image_001.jpg) |
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 (a) exclude the structuring fee, if any,
and (b) 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,
structuring fee, if any, 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-6
| Structured Investments
Callable Contingent Interest Notes Linked to the S&P 500®
Index |
![](https://content.edgar-online.com/edgar_conv_img/2023/06/30/0001213900-23-053038_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 23, 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 Pricing Date or any
Review Date. There can be no assurance that the performance of the Index will result in the return of any of your principal amount or
the payment of any interest.
![](https://content.edgar-online.com/edgar_conv_img/2023/06/30/0001213900-23-053038_image_004.jpg)
Tax Treatment
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. In determining our reporting responsibilities
we intend to treat (i) the notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent coupons
and (ii) any Contingent Interest Payments as ordinary income, as described in the section entitled “Material U.S. Federal Income
Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated Contingent
Coupons” in the accompanying product supplement. 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 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
and the relevance of factors such as the nature of the underlying property to which the instruments are linked. 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 affect the tax consequences of an investment in the notes, possibly with retroactive effect. The discussions
above and in the accompanying product supplement do not address the consequences to taxpayers subject to special tax accounting rules
under Section 451(b) of the Code. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment
in the notes, including possible alternative treatments and the issues presented by the notice described above.
Non-U.S. Holders — Tax Considerations. The U.S. federal
income tax treatment of Contingent Interest Payments is uncertain, and although we believe it is reasonable to take a position that Contingent
Interest Payments are not subject to U.S. withholding tax (at least if an applicable Form W-8 is provided), it is expected that withholding
agents will (and we, if we are the withholding agent, intend to) withhold on any Contingent Interest Payment paid to a Non-U.S. Holder
generally at a rate of 30% or at a reduced rate specified by an applicable income tax treaty under an “other income” or similar
provision. We will not be required to pay any additional amounts with
PS-7
| Structured Investments
Callable Contingent Interest Notes Linked to the S&P 500®
Index |
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respect to amounts withheld. In order to claim an exemption from, or a reduction
in, the 30% withholding tax, a Non-U.S. Holder of the notes must comply with certification requirements to establish that it is not a
U.S. person and is eligible for such an exemption or reduction under an applicable tax treaty. If you are a Non-U.S. Holder, you should
consult your tax adviser regarding the tax treatment of the notes, including the possibility of obtaining a refund of any withholding
tax and the certification requirement described above.
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 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. If necessary, further information
regarding the potential application of Section 871(m) will be provided in the pricing supplement for the notes. You should consult your
tax adviser regarding the potential application of Section 871(m) to the notes.
In the event of any withholding on the notes, we will not be required
to pay any additional amounts with respect to amounts so withheld.
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 will be 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 structuring fee,
if any, paid to other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming
risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. Because hedging
our obligations entails risk and may be influenced by market forces beyond our control, this hedging may result in a profit that is more
or less than expected, or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes
may be allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging
profits. See “Selected Risk Considerations — Risks Relating
PS-8
| Structured Investments
Callable Contingent Interest Notes Linked to the S&P 500®
Index |
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to the Estimated Value and Secondary Market Prices of the Notes — The
Estimated Value of the Notes Will Be Lower Than the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary Market Prices
of the Notes
For information about factors that will impact any secondary market
prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes —
Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
In addition, we generally expect that some of the costs included in the original issue price of the notes will be partially paid back
to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period.
These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and
our internal secondary market funding rates for structured debt issuances. This initial predetermined time period is intended to be the
shorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects the structure of the
notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the notes
and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations — Risks Relating to
the Estimated Value and Secondary Market Prices of the Notes — The Value of the Notes as Published by JPMS (and Which May Be Reflected
on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this
pricing supplement.
Supplemental Use of Proceeds
The notes are offered to meet investor demand for products that
reflect the risk-return profile and market exposure provided by the notes. See “How the Notes Work” and “Hypothetical
Payout Examples” in this pricing supplement for an illustration of the risk-return profile of the notes and “The 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 the structuring fee, if
any, paid to 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.
Additional Terms Specific
to the Notes
You may revoke your offer to purchase the notes at any time prior
to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of, or reject any
offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes, 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.
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 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
Callable Contingent Interest Notes Linked to the S&P 500®
Index |
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