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-II
dated November 4, 2020, underlying supplement no. 1-II dated November 4, 2020
and the prospectus and prospectus supplement, each dated April 8, 2020
Key
Terms
Issuer:
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of
JPMorgan Chase & Co.
Guarantor:
JPMorgan Chase & Co.
Indices:
The S&P 500® Index (Bloomberg ticker: SPX), the NASDAQ-100 Index®
(Bloomberg ticker: NDX) and the Russell 2000® Index (Bloomberg ticker:
RTY)
Contingent
Interest Payments: If the notes have not been previously redeemed early and the closing level of each Index on any Review
Date is greater than or equal to its 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 $6.25 (equivalent to a Contingent Interest Rate of at least 7.50% per
annum, payable at a rate of at least 0.625% per month) (to be provided in the pricing supplement).
If the closing level of any Index on any Review Date is less than
its 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 0.625% per month
(to be provided in the pricing supplement)
Interest Barrier / Trigger Value:
With respect to each Index, 50.00% of its Initial Value
Pricing
Date: On or about October 7, 2022
Original
Issue Date (Settlement Date): On or about October 13, 2022
Review
Dates*: November 7, 2022, December 7, 2022, January 9, 2023, February 7, 2023, March 7, 2023, April 10, 2023, May 8, 2023,
June 7, 2023, July 7, 2023, August 7, 2023, September 7, 2023 and October 9, 2023 (final Review Date)
Interest
Payment Dates*: November 10, 2022, December 12, 2022, January 12, 2023, February 10, 2023, March 10, 2023, April 13, 2023,
May 11, 2023, June 12, 2023, July 12, 2023, August 10, 2023, September 12, 2023 and the Maturity Date
Optional
Call Payment Dates*: April 13, 2023 and July 12, 2023
Maturity
Date*: October 12, 2023
* 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 Multiple
Underlyings” 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 Optional Call Payment Dates 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 Optional
Call Payment Date on which the notes are redeemed early.
Payment at Maturity:
If the notes have not been redeemed early and the Final Value of each
Index is greater than or equal to its 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 of any
Index is less than its Trigger Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Least Performing Index
Return)
If the notes have not been redeemed early and the Final Value of
any Index is less than its Trigger Value, you will lose more than 50.00% of your principal amount at maturity and could lose all
of your principal amount at maturity.
Least Performing Index: The
Index with the Least Performing Index Return
Least Performing Index Return: The
lowest of the Index Returns of the Indices
Index Return:
With respect to each Index,
(Final Value – Initial Value)
Initial Value
Initial
Value: With respect to each Index, the closing level
of that Index on the Pricing Date
Final
Value: With respect to each Index, the closing level of that Index on the final Review
Date
|
PS-1
| Structured Investments
Callable Contingent Interest Notes Linked to the Least Performing
of the S&P 500® Index, the NASDAQ-100 Index® and the Russell 2000® Index |
|
How
the Notes Work
Payments in Connection with Review Dates Preceding
the Final Review Date
PS-2
| Structured Investments
Callable Contingent Interest Notes Linked to the Least Performing
of the S&P 500® Index, the NASDAQ-100 Index® and the Russell 2000® Index |
|
Payment at Maturity If
the Notes Have Not Been Redeemed Early
PS-3
| Structured Investments
Callable Contingent Interest Notes Linked to the Least Performing
of the S&P 500® Index, the NASDAQ-100 Index® and the Russell 2000® Index |
|
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 |
12 |
$75.00 |
11 |
$68.75 |
10 |
$62.50 |
9 |
$56.25 |
8 |
$50.00 |
7 |
$43.75 |
6 |
$37.50 |
5 |
$31.25 |
4 |
$25.00 |
3 |
$18.75 |
2 |
$12.50 |
1 |
$6.25 |
0 |
$0.00 |
PS-4
| Structured Investments
Callable Contingent Interest Notes Linked to the Least Performing
of the S&P 500® Index, the NASDAQ-100 Index® and the Russell 2000® Index |
|
Hypothetical Payout Examples
The following examples illustrate payments on
the notes linked to three hypothetical Indices, assuming a range of performances for the hypothetical Least Performing Index on the Review
Dates and the Optional Call Payment Dates.
The hypothetical payments set forth below assume
the following:
| · | the notes were sold only
to brokerage accounts; |
| · | the notes have not been redeemed
early; |
| · | an Initial Value for the
Least Performing Index of 100.00; |
| · | an Interest Barrier and a
Trigger Value for the Least Performing Index of 50.00 (equal to 50.00% of its hypothetical
Initial Value); and |
| · | a Contingent Interest Rate
of 7.50% per annum (payable at a rate of 0.625% per month). |
The hypothetical Initial Value of the Least Performing
Index of 100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial Value of any Index. The
actual Initial Value of each Index will be the closing level of that Index on the Pricing Date and will be provided in the pricing supplement.
For historical data regarding the actual closing levels of each Index, please see the historical information set forth under “The
Indices” 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 of the Least Performing Index is greater than or equal to its Trigger Value.
Date |
Closing
Level of Least
Performing Index |
Payment
(per $1,000 principal amount note) |
First
Review Date |
95.00 |
$6.25 |
Second
Review Date |
85.00 |
$6.25 |
Third
through Thirty-Fifth Review Dates |
Less
than Interest Barrier |
$0 |
Final
Review Date |
90.00 |
$1,006.25 |
|
Total
Payment |
$1,018.75
(1.875% return) |
Because the notes have not been redeemed early
and the Final Value of the Least Performing Index is greater than or equal to its Trigger Value, the payment at maturity, for each $1,000
principal amount note, will be $1,006.25 (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 $1,018.75.
Example 2 — Notes have NOT been redeemed
early and the Final Value of the Least Performing Index is less than its Trigger Value.
Date |
Closing
Level of Least
Performing Index |
Payment
(per $1,000 principal amount note) |
First
Review Date |
40.00 |
$0 |
Second
Review Date |
45.00 |
$0 |
Third
through Thirty-Fifth Review Dates |
Less
than Interest Barrier |
$0 |
Final
Review Date |
40.00 |
$400.00 |
|
Total
Payment |
$400.00
(-60.00% return) |
Because the notes have not been redeemed early,
the Final Value of the Least Performing Index is less than its Trigger Value and the Least Performing Index Return is -60.00%, the payment
at maturity will be $400.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-60.00%)] = $400.00
PS-5
| Structured Investments
Callable Contingent Interest Notes Linked to the Least Performing
of the S&P 500® Index, the NASDAQ-100 Index® and the Russell 2000® Index |
|
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,
product supplement and underlying 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 of any Index is less than its Trigger Value, you will lose
1% of the principal amount of your notes for every 1% that the Final Value of the Least Performing Index is less than its Initial Value.
Accordingly, under these circumstances, you will lose more than 50.00% 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 each Index on that Review Date
is greater than or equal to its Interest Barrier. If the closing level of any Index on that Review Date is less than its Interest Barrier,
no Contingent Interest Payment will be made with respect to that Review Date. Accordingly, if the closing level of any Index on each
Review Date is less than its 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 any
Index, which may be significant. You will not participate in any appreciation of any Index.
| · | YOU ARE EXPOSED TO THE
RISK OF DECLINE IN THE LEVEL OF EACH INDEX — |
Payments on the notes are not linked to
a basket composed of the Indices and are contingent upon the performance of each individual Index. Poor performance by any of the Indices
over the term of the notes may negatively affect whether you will receive a Contingent Interest Payment on any Interest Payment Date
and your payment at maturity and will not be offset or mitigated by positive performance by any other Index.
| · | YOUR PAYMENT AT MATURITY
WILL BE DETERMINED BY THE LEAST PERFORMING INDEX. |
| · | THE BENEFIT PROVIDED BY
THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE — |
If the Final Value of any Index is less
than its 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 Least Performing 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 Optional Call Payment Date. There is no guarantee that you
PS-6
| Structured Investments
Callable Contingent Interest Notes Linked to the Least Performing
of the S&P 500® Index, the NASDAQ-100 Index® and the Russell 2000® Index |
|
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 ANY INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES.
|
| · | THE RISK OF THE CLOSING
LEVEL OF AN INDEX FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS GREATER IF THE LEVEL
OF THAT 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, 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 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.
PS-7
| Structured Investments
Callable Contingent Interest Notes Linked to the Least Performing
of the S&P 500® Index, the NASDAQ-100 Index® and the Russell 2000® Index |
|
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, if any, 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, if any, projected hedging profits, if any, estimated hedging costs and the levels of the Indices. 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 Indices
| · | JPMORGAN CHASE & CO.
IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500® 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 S&P 500®
Index.
| · | NON-U.S.
SECURITIES RISK WITH RESPECT TO THE NASDAQ-100 INDEX® — |
Some of the equity securities included
in the NASDAQ-100 Index® have been issued by non-U.S. companies. Investments in securities linked to the value of
such non-U.S. equity securities involve risks associated with the home countries of the issuers of those non-U.S. equity securities.
| · | AN INVESTMENT IN THE NOTES
IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH RESPECT TO THE RUSSELL
2000® INDEX — |
Small capitalization companies may be
less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization
companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward
stock price pressure under adverse market conditions.
PS-8
| Structured Investments
Callable Contingent Interest Notes Linked to the Least Performing
of the S&P 500® Index, the NASDAQ-100 Index® and the Russell 2000® Index |
|
The S&P 500® Index consists
of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For additional information about
the S&P 500® Index, see “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying
underlying supplement.
The NASDAQ-100 Index® is a modified
market capitalization-weighted index of 100 of the largest non-financial securities listed on The NASDAQ Stock Market based on market
capitalization. For additional information about the NASDAQ-100 Index®, see “Equity Index Descriptions — The
NASDAQ-100 Index®” in the accompanying underlying supplement.
The Russell 2000® Index consists
of the middle 2,000 companies included in the Russell 3000E™ Index and, as a result of the index calculation methodology, consists
of the smallest 2,000 companies included in the Russell 3000® Index. The Russell 2000® Index is designed
to track the performance of the small capitalization segment of the U.S. equity market. For additional information about the Russell
2000® Index, see “Equity Index Descriptions — The Russell Indices” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical
performance of each Index based on the weekly historical closing levels from January 6, 2017 through September 30, 2022. The closing
level of the S&P 500® Index on October 4, 2022 was 3,790.93. The closing level of the NASDAQ-100 Index®
on October 4, 2022 was 11,582.54. The closing level of the Russell 2000® Index on October 4, 2022 was 1,775.766. We obtained
the closing levels above and below from the Bloomberg Professional® service (“Bloomberg”), without independent
verification.
The historical closing levels of each Index
should not be taken as an indication of future performance, and no assurance can be given as to the closing level of any Index on the
Pricing Date or any Review Date. There can be no assurance that the performance of the Indices will result in the return of any of your
principal amount or the payment of any interest.
PS-9
| Structured Investments
Callable Contingent Interest Notes Linked to the Least Performing
of the S&P 500® Index, the NASDAQ-100 Index® and the Russell 2000® Index |
|
Tax
Treatment
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-II. 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.
PS-10
| Structured Investments
Callable Contingent Interest Notes Linked to the Least Performing
of the S&P 500® Index, the NASDAQ-100 Index® and the Russell 2000® Index |
|
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
Payments 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 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, if any, paid to JPMS and other affiliated or unaffiliated
dealers, the projected profits, if any, that our affiliates expect to realize for
PS-11
| Structured Investments
Callable Contingent Interest Notes Linked to the Least Performing
of the S&P 500® Index, the NASDAQ-100 Index® and the Russell 2000® Index |
|
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 sold to brokerage accounts 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 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, if any, 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 Indices” 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, if any, 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.
Supplemental
Plan of Distribution
With respect to notes sold to certain fee-based
advisory accounts for which an affiliated or unaffiliated broker-dealer is an investment adviser, the price to the public will not be
lower than $992.50 per $1,000 principal amount note. JPMS and these broker-dealers will forgo any selling commissions related to these
sales. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.
With respect to notes sold to brokerage accounts,
JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to other affiliated or unaffiliated
dealers. In no event will these selling commissions exceed $7.50 per $1,000 principal amount note. See “Plan of Distribution (Conflicts
of Interest)” in the accompanying product supplement.
We expect that delivery of the notes will be
made against payment for the notes on or about the Original Issue Date set forth on the front cover of this pricing supplement, which
will be the third business day following the Pricing Date of the notes (this settlement cycle being referred to as “T+3”).
Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle
in two business days, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade notes on
any date prior to two business days before delivery will be required to specify an alternate settlement cycle at the time of any such
trade to prevent a failed settlement and should consult their own advisors.
Supplemental
Information About the Form of the Notes
The notes
will initially be represented by a type of global security that we refer to as a master note. A master note represents multiple
securities that may be issued at different times and that may have different terms. The trustee and/or paying agent will, in accordance
with instructions from us, make appropriate entries or notations in its records relating to the master note representing the notes to
indicate that the master note evidences 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
PS-12
| Structured Investments
Callable Contingent Interest Notes Linked to the Least Performing
of the S&P 500® Index, the NASDAQ-100 Index® and the Russell 2000® Index |
|
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, the accompanying product supplement and the accompanying underlying 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-13
| Structured Investments
Callable Contingent Interest Notes Linked to the Least
Performing of the S&P 500® Index, the NASDAQ-100 Index® and the Russell 2000® Index |
|
JP Morgan Chase (NYSE:JPM-L)
Historical Stock Chart
From Apr 2024 to May 2024
JP Morgan Chase (NYSE:JPM-L)
Historical Stock Chart
From May 2023 to May 2024