June 28, 2024 |
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
JPMorgan Chase Financial Company LLC
Structured Investments
$2,271,000
Capped Return Enhanced Notes Linked to the Common Stock of Tesla,
Inc. due July 2, 2026
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
| · | The notes are designed for investors who seek a return of 3.00 times any appreciation of the Reference Stock, up to a maximum
return of 101.00%, at maturity. |
| · | Investors should be willing to forgo interest and dividend payments and be willing to lose some or all of their principal amount at
maturity. |
| · | The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial,
the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes is subject
to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor
of the notes. |
| · | Minimum denominations of $1,000 and integral multiples thereof |
| · | The notes priced on June 28, 2024 and are expected to settle on or about July 3, 2024. |
Investing in the notes involves a number of risks. See “Risk Factors”
beginning on page S-2 of the accompanying prospectus supplement, Annex A to the accompanying prospectus addendum, “Risk Factors”
beginning on page PS-11 of the accompanying product supplement and “Selected Risk Considerations” beginning on page PS-3 of
this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”) nor any
state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing supplement
or the accompanying product supplement, prospectus supplement, prospectus and prospectus addendum. Any representation to the contrary
is a criminal offense.
|
Price to Public (1) |
Fees and Commissions (2)(3) |
Proceeds to Issuer |
Per note |
$1,000 |
— |
$1,000 |
Total |
$2,271,000 |
— |
$2,271,000 |
(1) See “Supplemental Use of Proceeds” in this pricing supplement
for information about the components of the price to public of the notes.
(2) All sales of the notes will be made to certain fee-based
advisory accounts for which an affiliated or unaffiliated broker-dealer is an investment adviser. These broker-dealers will forgo any
commissions related to these sales. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.
(3) J.P. Morgan Securities LLC, which we refer to as JPMS, will pay a
structuring fee of $6.00 per $1,000 principal amount note with respect to $1,036,000 aggregate principal amount of notes to other affiliated
or unaffiliated dealers. These dealers will forgo any structuring fee with respect to the remaining notes. |
The estimated value of the notes, when the terms of the notes were set, was $983.00
per $1,000 principal amount note. See “The Estimated Value of the Notes” in this pricing supplement for additional information.
The notes are not bank deposits, are not insured by the Federal Deposit Insurance
Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Pricing supplement to product supplement no. 4-I dated April 13,
2023, the prospectus and prospectus supplement, each dated April 13, 2023, and the prospectus addendum dated June 3, 2024
Key Terms
Issuer:
JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor:
JPMorgan Chase & Co.
Reference
Stock: The common stock of Tesla, Inc., par value $0.001 per share (Bloomberg ticker: TSLA).
We refer to Tesla, Inc. as “Tesla.”
Maximum
Return: 101.00% (corresponding to a maximum payment at maturity of $2,010.00 per $1,000 principal
amount note)
Upside
Leverage Factor: 3.00
Pricing Date: June
28, 2024
Original
Issue Date (Settlement Date): On or about July 3, 2024
Observation Date*:
June 29, 2026
Maturity Date*:
July 2, 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 |
Payment at Maturity:
If the Final Value is greater than the Initial Value, your payment at maturity per $1,000
principal amount note will be calculated as follows:
$1,000 + ($1,000 × Stock Return × Upside Leverage
Factor), subject to the Maximum Return
If the Final Value is equal to the Initial Value, you will receive the principal
amount of your notes at maturity.
If the Final Value is less than the Initial Value, your payment at maturity per
$1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Stock Return)
If the Final Value is less than the Initial Value, you will lose some or all
of your principal amount at maturity.
Stock Return:
(Final Value – Initial Value)
Initial Value
Initial
Value: The closing price of one share of the Reference Stock on the Pricing Date, which was
$197.88
Final
Value: The closing price of one share of the Reference Stock on the Observation Date
Stock Adjustment
Factor: The Stock Adjustment Factor is referenced in determining the closing price of one share of the Reference Stock and
is set equal to 1.0 on the Pricing Date. The Stock Adjustment Factor is subject to adjustment upon the occurrence of certain corporate
events affecting the Reference Stock. See “The Underlyings — Reference Stocks — Anti-Dilution Adjustments” and
“The Underlyings — Reference Stocks — Reorganization Events” in the accompanying product supplement for further
information.
|
PS-1
| Structured Investments
Capped Return Enhanced Notes Linked to the Common Stock of Tesla, Inc. |
|
Supplemental Terms of the
Notes
Any values of the Reference Stock, and any values derived therefrom,
included in this pricing supplement may be corrected, in the event of manifest error or inconsistency, by amendment of this pricing supplement
and the corresponding terms of the notes. Notwithstanding anything to the contrary in the indenture governing the notes, that amendment
will become effective without consent of the holders of the notes or any other party.
Hypothetical Payout Profile
The following table illustrates the hypothetical total return and
payment at maturity on the notes linked to a hypothetical Reference Stock. The “total return” as used in this pricing supplement
is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount note to $1,000.
The hypothetical total returns and payments set forth below assume the following:
| · | an Initial Value of $100.00; |
| · | a Maximum Return of 101.00%; and |
| · | an Upside Leverage Factor of 3.00. |
The hypothetical Initial Value of $100.00 has been chosen for illustrative
purposes only and does not represent the actual Initial Value. The actual Initial Value is the closing price of one share of the Reference
Stock on the Pricing Date and is specified under “Key Terms — Initial Value” in this pricing supplement. For historical
data regarding the actual closing prices of one share of the Reference Stock, please see the historical information set forth under “The
Reference Stock” in this pricing supplement.
Each hypothetical total return or hypothetical payment at maturity
set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable to a purchaser
of the notes. The numbers appearing in the following table have been rounded for ease of analysis.
Final Value |
Stock Return |
Total Return on the Notes |
Payment at Maturity |
$220.00000 |
120.00000% |
101.00% |
$2,010.00 |
$200.00000 |
100.00000% |
101.00% |
$2,010.00 |
$180.00000 |
80.00000% |
101.00% |
$2,010.00 |
$165.00000 |
65.00000% |
101.00% |
$2,010.00 |
$150.00000 |
50.00000% |
101.00% |
$2,010.00 |
$140.00000 |
40.00000% |
101.00% |
$2,010.00 |
$133.66667 |
33.66667% |
101.00% |
$2,010.00 |
$130.00000 |
30.00000% |
90.00% |
$1,900.00 |
$120.00000 |
20.00000% |
60.00% |
$1,600.00 |
$110.00000 |
10.00000% |
30.00% |
$1,300.00 |
$105.00000 |
5.00000% |
15.00% |
$1,150.00 |
$101.00000 |
1.00000% |
3.00% |
$1,030.00 |
$100.00000 |
0.00000% |
0.00% |
$1,000.00 |
$95.00000 |
-5.00000% |
-5.00% |
$950.00 |
$90.00000 |
-10.00000% |
-10.00% |
$900.00 |
$80.00000 |
-20.00000% |
-20.00% |
$800.00 |
$70.00000 |
-30.00000% |
-30.00% |
$700.00 |
$60.00000 |
-40.00000% |
-40.00% |
$600.00 |
$50.00000 |
-50.00000% |
-50.00% |
$500.00 |
$40.00000 |
-60.00000% |
-60.00% |
$400.00 |
$30.00000 |
-70.00000% |
-70.00% |
$300.00 |
$20.00000 |
-80.00000% |
-80.00% |
$200.00 |
$10.00000 |
-90.00000% |
-90.00% |
$100.00 |
$0.00000 |
-100.00000% |
-100.00% |
$0.00 |
PS-2
| Structured Investments
Capped Return Enhanced Notes Linked to the Common Stock of Tesla, Inc. |
|
Upside Scenario:
If the Final Value is greater than the Initial Value, investors will
receive at maturity the $1,000 principal amount plus a return equal to the Stock Return times the Upside Leverage Factor
of 3.00, up to the Maximum Return of 101.00%. An investor will realize the maximum payment at maturity at a Final Value at or above approximately
133.66667% of the Initial Value.
| · | If the closing price of one share of the Reference Stock increases 5.00%, investors will receive at maturity a return equal to 15.00%,
or $1,150.00 per $1,000 principal amount note. |
| · | If the closing price of one share of the Reference Stock increases 120.00%, investors will receive at maturity a return equal to the
101.00% Maximum Return, or $2,010.00 per $1,000 principal amount note, which is the maximum payment at maturity. |
Par Scenario:
If the Final Value is equal to the Initial Value, investors will
receive at maturity the principal amount of their notes.
Downside Scenario:
If the Final Value is less than the Initial Value, investors will
lose 1% of the principal amount of their notes for every 1% that the Final Value is less than the Initial Value.
| · | For example, if the closing price of one share of the Reference Stock declines 60.00%, investors will lose 60.00% of their principal
amount and receive only $400.00 per $1,000 principal amount note at maturity. |
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
and in Annex A to the accompanying prospectus addendum.
Risks Relating to the Notes Generally
| · | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — |
The notes do not guarantee any return of principal. If the
Final Value is less than the Initial Value, 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 some or all of your principal amount at maturity.
| · | YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE MAXIMUM RETURN, |
regardless of any appreciation of the Reference Stock, which
may be significant.
| · | 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 and the collection of intercompany obligations.
Aside from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations
of JPMorgan Chase & Co. to make payments under loans made by us to JPMorgan Chase & Co. or under other intercompany
agreements. As a result, we are dependent upon payments from JPMorgan Chase & Co. to meet our obligations under the notes.
We are not a key operating subsidiary of JPMorgan Chase & Co. and in a bankruptcy or resolution of JPMorgan Chase & Co.
we are not expected to have sufficient resources to meet our obligations in respect of the notes as they come due. If JPMorgan Chase & Co.
does not make payments to us and we are unable 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. For more information, see the accompanying prospectus addendum.
PS-3
| Structured Investments
Capped Return Enhanced Notes Linked to the Common Stock of Tesla, Inc. |
|
| · | THE NOTES DO NOT PAY INTEREST. |
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE REFERENCE STOCK OR HAVE ANY RIGHTS WITH RESPECT TO THE REFERENCE STOCK. |
The notes will not be listed on any securities exchange.
Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS is willing
to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments. Accordingly,
you should be able and willing to hold your notes to maturity.
Risks Relating to Conflicts of Interest
We and our affiliates play a variety of roles in connection
with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests are potentially adverse
to your interests as an investor in the notes. It is possible that hedging or trading activities of ours or our affiliates in connection
with the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer to “Risk
Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement.
Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes
| · | THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES — |
The estimated value of the notes is only an estimate determined
by reference to several factors. The original issue price of the notes exceeds the estimated value of the notes because costs associated
with structuring and hedging the notes are included in the original issue price of the notes. These costs include the structuring fee,
the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the
notes and the estimated cost of hedging our obligations under the notes. See “The Estimated Value of the Notes” in this pricing
supplement.
| · | THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES —
|
See “The Estimated Value of the Notes” in this
pricing supplement.
| · | THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE — |
The internal funding rate used in the determination of the
estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity
issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding
rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing
market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an
adverse effect on the terms of the notes and any secondary market prices of the notes. See “The Estimated Value of the Notes”
in this pricing supplement.
| · | THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE
THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD — |
We generally expect that some of the costs included in the
original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount
that will decline to zero over an initial predetermined period. See “Secondary Market Prices of the Notes” in this pricing
supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes during this initial
period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account statements).
| · | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES — |
Any secondary market prices of the notes will likely be
lower than the original issue price of the notes because, among other things, secondary market prices take into account our internal secondary
market funding rates for structured debt issuances and, also, because secondary market prices (a) exclude the structuring fee and (b)
may exclude projected hedging profits, if any, and
PS-4
| Structured Investments
Capped Return Enhanced Notes Linked to the Common Stock of Tesla, Inc. |
|
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 structuring
fee, projected hedging profits, if any, estimated hedging costs and the price of one share of the Reference Stock. 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 Reference Stock
| · | NO AFFILIATION WITH THE REFERENCE STOCK ISSUER — |
We have not independently verified any of the information
about the Reference Stock issuer contained in this pricing supplement. You should undertake your own investigation into the Reference
Stock and its issuer. We are not responsible for the Reference Stock issuer’s public disclosure of information, whether contained
in SEC filings or otherwise.
| · | THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY — |
The calculation agent will not make an adjustment in response
to all events that could affect the Reference Stock. The calculation agent may make adjustments in response to events that are not described
in the accompanying product supplement to account for any diluting or concentrative effect, but the calculation agent is under no obligation
to do so or to consider your interests as a holder of the notes in making these determinations.
PS-5
| Structured Investments
Capped Return Enhanced Notes Linked to the Common Stock of Tesla, Inc. |
|
All information contained herein on the Reference Stock and on
Tesla is derived from publicly available sources, without independent verification. According to its publicly available filings with the
SEC, Tesla designs, develops, manufactures, sells and leases electric vehicles and energy generation and storage systems and offers services
related to its products. The common stock of Tesla, par value $0.001 per share (Bloomberg ticker: TSLA), is registered under the Securities
Exchange Act of 1934, as amended, which we refer to as the Exchange Act, and is listed on The Nasdaq Stock Market, which we refer to as
the relevant exchange for purposes of Tesla in the accompanying product supplement. Information provided to or filed with the SEC by Tesla
pursuant to the Exchange Act can be located by reference to the SEC file number 001-34756, and can be accessed through www.sec.gov. We
do not make any representation that these publicly available documents are accurate or complete.
Historical Information
The following graph sets forth the historical performance of the
Reference Stock based on the weekly historical closing prices of one share of the Reference Stock from January 4, 2019 through June 28,
2024. The closing price of one share of the Reference Stock on June 28, 2024 was $197.88. We obtained the closing prices above and below
from the Bloomberg Professional® service (“Bloomberg”), without independent verification. The closing prices
above and below may have been adjusted by Bloomberg for corporate actions, such as stock splits, public offerings, mergers and acquisitions,
spin-offs, delistings and bankruptcy.
The historical closing prices of one share of the Reference Stock
should not be taken as an indication of future performance, and no assurance can be given as to the closing price of one share of the
Reference Stock on the Observation Date. There can be no assurance that the performance of the Reference Stock will result in the return
of any of your principal amount.
Tax Treatment
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. The following discussion, when read
in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding the
material U.S. federal income tax consequences of owning and disposing of notes.
Based on current market conditions, in the opinion of our special
tax counsel it is reasonable to treat the notes as “open transactions” that are not debt instruments for U.S. federal income
tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders
— Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement. Assuming this
treatment is respected, the gain or loss on your notes should be treated as long-term capital gain or loss if you hold your notes for
more than a year, whether or not you are an initial purchaser of notes at the issue price. However, the IRS or a court may not respect
this treatment, in which case the timing and character of any income or loss on the notes could be materially and adversely affected.
In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid
forward contracts” and similar instruments. The notice focuses in particular on whether to require investors in these instruments
to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of
income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to which the
instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be
subject to withholding tax; and whether these instruments are or should be subject to the
PS-6
| Structured Investments
Capped Return Enhanced Notes Linked to the Common Stock of Tesla, Inc. |
|
“constructive ownership” regime, which very generally can operate
to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. While the notice requests comments
on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these
issues could materially and adversely affect the tax consequences of an investment in the notes, possibly with retroactive effect. You
should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, including possible alternative
treatments and the issues presented by this notice.
Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on dividend equivalents
paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include
U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked to certain broad-based
indices that meet requirements set forth in the applicable Treasury regulations. Additionally, a recent IRS notice excludes from the scope
of Section 871(m) instruments issued prior to January 1, 2027 that do not have a delta of one with respect to underlying securities that
could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on certain determinations
made by us, our special tax counsel is of the opinion that Section 871(m) should not apply to the notes with regard to Non-U.S. Holders.
Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application
may depend on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security.
You should consult your tax adviser regarding the potential application of Section 871(m) to the notes.
The Estimated Value of
the Notes
The estimated value of the notes set forth on the cover of this
pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component with
the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing to
buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated
value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by
JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding
rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing
market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an
adverse effect on the terms of the notes and any secondary market prices of the notes. For additional information, see “Selected
Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value
of the Notes Is Derived by Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives underlying the economic
terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as the traded
market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which can include
volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments. Accordingly,
the estimated value of the notes is determined when the terms of the notes are set based on market conditions and other relevant factors
and assumptions existing at that time.
The estimated value of the notes does not represent future values
of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide valuations for the notes
that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant factors in the
future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly based
on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate
movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary
market transactions.
The estimated value of the notes is lower than the original issue
price of the notes because costs associated with structuring and hedging the notes are included in the original issue price of the notes.
These costs include the structuring fee 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 to the Estimated Value and Secondary
Market Prices of the Notes — The Estimated Value of the Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes”
in this pricing supplement.
PS-7
| Structured Investments
Capped Return Enhanced Notes Linked to the Common Stock of Tesla, Inc. |
|
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 projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary
market funding rates for structured debt issuances. This initial predetermined time period is intended to be the shorter of six months
and one-half of the stated term of the notes. The length of any such initial period reflects the structure of the notes, whether our affiliates
expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the notes and when these costs are incurred,
as determined by our affiliates. See “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May
Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this pricing supplement.
Supplemental Use of Proceeds
The notes are offered to meet investor demand for products that
reflect the risk-return profile and market exposure provided by the notes. See “Hypothetical Payout Profile” and “How
the Notes Work” in this pricing supplement for an illustration of the risk-return profile of the notes and “The Reference
Stock” 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 structuring fee 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.
Supplemental
Plan of Distribution
All sales of the notes will
be made to certain fee-based advisory accounts for which an affiliated or unaffiliated broker-dealer is an investment adviser. These broker-dealers
will forgo any commissions related to these sales. See “Plan of Distribution (Conflicts of Interest)” in the accompanying
product supplement.
JPMS will pay a structuring
fee of $6.00 per $1,000 principal amount note with respect to $1,036,000 aggregate principal amount of notes to other affiliated or unaffiliated
dealers. These dealers will forgo any structuring fee with respect to the remaining notes.
Validity of the Notes
and the Guarantee
In the opinion of Davis Polk
& Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by
this pricing supplement have been issued by JPMorgan Financial pursuant to the indenture, the trustee and/or paying agent has made, in
accordance with the instructions from JPMorgan Financial, the appropriate entries or notations in its records relating to the master global
note that represents such notes (the “master note”), and such notes have been delivered against payment as contemplated herein,
such notes will be valid and binding obligations of JPMorgan Financial and the related guarantee will constitute a valid and binding obligation
of JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar
laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability (including,
without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion
as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed
above or (ii) any provision of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar
provision of applicable law by limiting the amount of JPMorgan Chase & Co.’s obligation under the related guarantee.
This opinion is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State
of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustee’s
authorization, execution and delivery of the indenture and its authentication of the master note and the validity, binding nature and
enforceability of the indenture with respect to the trustee, all as stated in the letter of such counsel dated February 24, 2023, which
was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February
24, 2023.
Additional Terms Specific
to the Notes
You should read this pricing supplement together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which these notes
are a part, the accompanying prospectus addendum and the more detailed information contained in the accompanying product supplement. This
pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous
oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas,
structures for
PS-8
| Structured Investments
Capped Return Enhanced Notes Linked to the Common Stock of Tesla, Inc. |
|
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 and in Annex A to the accompanying prospectus addendum,
as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting
and other advisers before you invest in the notes.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is 1665650, and
JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us” and “our”
refer to JPMorgan Financial.
PS-9
| Structured Investments
Capped Return Enhanced Notes Linked to the Common Stock of Tesla, Inc. |
|
Exhibit 107.1
The pricing supplement to which this Exhibit is
attached is a final prospectus for the related offering(s). The maximum aggregate offering price of the related offering(s) is $2,271,000.
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