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. 16-I dated August 17, 2022
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.
Index:
The MerQube US Small-Cap Vol Advantage Index (Bloomberg ticker: MQUSSVA). The level of
the Index reflects a deduction of 6.0% per annum that accrues daily.
Contingent
Interest Payments: If the notes have not been automatically called 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 $21.25 (equivalent to a Contingent Interest Rate of at least 8.50% per
annum, payable at a rate of at least 2.125% per quarter) (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 8.50% per annum, payable at a rate of at least 2.125% per quarter
(to be provided in the pricing supplement)
Interest Barrier / Trigger Value:
40.00% of the Initial Value
Pricing
Date: On or about October 26, 2022
Original
Issue Date (Settlement Date): On or about October 31, 2022
Review
Dates*: January 26, 2023, April 26, 2023, July 26, 2023, October 26, 2023, January 26,
2024, April 26, 2024, July 26, 2024, October 28, 2024, January 27, 2025, April 28, 2025, July 28, 2025, October 27, 2025, January
26, 2026, April 27, 2026, July 27, 2026, October 26, 2026, January 26, 2027, April 26, 2027, July 26, 2027 and October 26, 2027 (final
Review Date)
Interest
Payment Dates*: January 31, 2023, May 1, 2023, July 31, 2023, October 31, 2023, January 31, 2024, May 1, 2024, July 31,
2024, October 31, 2024, January 30, 2025, May 1, 2025, July 31, 2025, October 30, 2025, January 29, 2026, April 30, 2026, July 30,
2026, October 29, 2026, January 29, 2027, April 29, 2027, July 29, 2027 and the Maturity Date
Maturity
Date*: October 29, 2027
Call Settlement
Date*: If the notes are automatically called on any Review Date (other than the first, second, third and final Review
Dates), the first Interest Payment Date immediately following that Review Date
* Subject to postponement in the event of a market disruption
event and as described under “Supplemental Terms of the Notes — Postponement of a Determination Date — Notes Linked
Solely to the Index” in the accompanying underlying supplement and “General Terms of Notes — Postponement of a
Payment Date” in the accompanying product supplement |
Automatic Call:
If the closing level of the Index on any Review Date (other than the first,
second, third and final Review Dates) is greater than or equal to the Initial Value, the notes will be automatically called for a
cash payment, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable
to that Review Date, payable on the applicable Call Settlement Date. No further payments will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called 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 automatically called 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 automatically called and the Final Value
is less than the Trigger Value, you will lose more than 60.00% 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
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The
MerQube US Small-Cap Vol Advantage Index
The MerQube US Small-Cap Vol Advantage
Index (the “Index”) was developed by MerQube (the “Index Sponsor” and “Index Calculation Agent”),
in coordination with JPMS, and is maintained by the Index Sponsor and is calculated and published by the Index Calculation Agent. The
Index was established on June 21, 2022. In September 2021, an affiliate of ours purchased a 10% equity interest in the Index Sponsor,
with a right to appoint an employee of JPMS, another of our affiliates, as a member of the board of directors of the Index Sponsor.
The Index attempts to provide a dynamic
rules-based exposure to an unfunded rolling position in E-mini® Russell 2000® futures (the “Futures
Contracts”), which reference the Russell 2000® Index, while targeting a level of implied volatility, with a maximum
exposure to the Futures Contracts of 500% and a minimum exposure to the Futures Contracts of 0%. The Index is subject to a 6.0% per annum
daily deduction. 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 more information about the Futures Contracts and the Russell 2000® Index, see “Background on
E-mini® Russell 2000® Futures” and “Background on the Russell 2000® Index,”
respectively, in the accompanying underlying supplement.
On each weekly Index rebalance day,
the exposure to the Futures Contracts is set equal to (a) the 35% implied volatility target (the “target volatility”) divided
by (b) the one-week implied volatility of the iShares® Russell 2000 ETF (the “IWM Fund”), subject to a
maximum exposure of 500%. For example, if the implied volatility of the IWM Fund is equal to 17.5%, the exposure to the Futures Contracts
will equal 200% (or 35% / 17.5%) and if the implied volatility of the IWM Fund is equal to 40%, the exposure to the Futures Contracts
will equal 87.5% (or 35% / 40%). The Index’s exposure to the Futures Contracts will be greater than 100% when the implied volatility
of the IWM Fund is below 35%, and the Index’s exposure to the Futures Contracts will be less than 100% when the implied volatility
of the IWM Fund is above 35%. In general, the Index’s target volatility feature is expected to result in the volatility of the
Index being more stable over time than if no target volatility feature were employed. No assurance can be provided that the volatility
of the Index will be stable at any time.
The investment objective of the IWM
Fund is to provide investment results that, before expenses, correspond generally to the price and yield performance of the Russell 2000®
Index. For more information about the IWM Fund, see “Background on the iShares® Russell 2000 ETF” in
the accompanying underlying supplement. The Index uses the implied volatility of the IWM Fund as a proxy for the volatility of the Futures
Contracts.
The 6.0% per annum daily deduction
will offset any appreciation of the Futures Contracts, will heighten any depreciation of the Futures Contracts and will generally be
a drag on the performance of the Index. The Index will trail the performance of an identical index without a deduction.
Holding the estimated value of the
notes and market conditions constant, the Contingent Interest Rate, the Interest Barrier, the Trigger Value and the other economic terms
available on the notes are more favorable to investors than the terms that would be available on a hypothetical note issued by us linked
to an identical index without a daily deduction. However, there can be no assurance that any improvement in the terms of the notes
derived from the daily deduction will offset the negative effect of the daily deduction on the performance of the Index. The return on
the notes may be lower than the return on a hypothetical note issued by us linked to an identical index without a daily deduction.
The daily deduction and the volatility
of the Index (as influenced by the Index’s target volatility feature) are two of the primary variables that affect the economic
terms of the notes. Additionally, the daily deduction and volatility of the Index are two of the inputs our affiliates’ internal
pricing models use to value the derivative or derivatives underlying the economic terms of the notes for purposes of determining the
estimated value of the notes set forth on the cover of this pricing supplement. The daily deduction will effectively reduce the value
of the derivative or derivatives underlying the economic terms of the notes. See “The Estimated Value of the Notes” and “Selected
Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes” in this pricing supplement.
The Index is subject to risks associated
with the use of significant leverage. In addition, the Index may be significantly uninvested on any given day, and, in that case, will
realize only a portion of any gains due to appreciation of the Futures Contracts on that day. The index deduction is deducted daily at
a rate of 6.0% per annum, even when the Index is not fully invested.
No assurance can be given that the
investment strategy used to construct the Index will achieve its intended results or that the Index will be successful or will outperform
any alternative index or strategy that might reference the Futures Contracts.
For additional information about the
Index, see “The MerQube US Small-Cap Vol Advantage Index” in the accompanying underlying supplement.
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Supplemental Terms
of the Notes
The notes are not commodity futures contracts or swaps
and are not regulated under the Commodity Exchange Act of 1936, as amended (the “Commodity Exchange Act”). The notes
are offered pursuant to an exemption from regulation under the Commodity Exchange Act, commonly known as the hybrid instrument exemption,
that is available to securities that have one or more payments indexed to the value, level or rate of one or more commodities, as set
out in section 2(f) of that statute. Accordingly, you are not afforded any protection provided by the Commodity Exchange Act or any regulation
promulgated by the Commodity Futures Trading Commission.
How the Notes Work
Payments in Connection with the First,
Second and Third Review Dates
Payments in Connection with Review Dates
(Other than the First, Second, Third and Final Review Dates)
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Payment at Maturity If the Notes Have Not Been Automatically
Called
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 8.50% per annum,
depending on how many Contingent Interest Payments are made prior to automatic call or maturity. The actual Contingent Interest Rate
will be provided in the pricing supplement and will be at least 8.50% per annum.
Number
of Contingent
Interest Payments |
Total
Contingent Interest
Payments |
20 |
$425.00 |
19 |
$403.75 |
18 |
$382.50 |
17 |
$361.25 |
16 |
$340.00 |
15 |
$318.75 |
14 |
$297.50 |
13 |
$276.25 |
12 |
$255.00 |
11 |
$233.75 |
10 |
$212.50 |
9 |
$191.25 |
8 |
$170.00 |
7 |
$148.75 |
6 |
$127.50 |
5 |
$106.25 |
4 |
$85.00 |
3 |
$63.75 |
2 |
$42.50 |
1 |
$21.25 |
0 |
$0.00
|
PS-4
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Auto Callable Contingent Interest Notes Linked to the MerQube US Small-Cap
Vol Advantage Index |
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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:
| · | an Initial
Value of 100.00; |
| · | an
Interest Barrier and a Trigger Value of 40.00 (equal to 40.00% of the hypothetical Initial
Value); and |
| · | a Contingent
Interest Rate of 8.50% per annum (payable at a rate of 2.125% per quarter). |
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 “Hypothetical Back-Tested Data and Historical Information”
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 are automatically called on the fourth
Review Date.
Date |
Closing
Level |
Payment
(per $1,000 principal amount note) |
First
Review Date |
105.00 |
$21.25 |
Second
Review Date |
115.00 |
$21.25 |
Third
Review Date |
120.00 |
$21.25 |
Fourth
Review Date |
110.00 |
$1,021.25 |
|
Total
Payment |
$1,085.00
(8.50% return) |
Because the closing level of the Index on the fourth Review
Date is greater than or equal to the Initial Value, the notes will be automatically called for a cash payment, for each $1,000 principal
amount note, of $1,021.25 (or $1,000 plus the Contingent Interest Payment applicable to the fourth Review Date), payable on the
applicable Call Settlement Date. The notes are not automatically callable before the fourth Review Date, even though the closing level
of the Index on each of the first, second and third Review Dates is greater than the Initial Value. 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 $1,085.00.
No further payments will be made on the notes.
Example 2 — Notes have NOT been automatically called
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 |
$21.25 |
Second
Review Date |
85.00 |
$21.25 |
Third
through Nineteenth Review Dates |
Less
than Interest Barrier |
$0 |
Final
Review Date |
90.00 |
$1,021.25 |
|
Total
Payment |
$1,063.75
(6.375% return) |
Because the notes have not been automatically called 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
$1,021.25 (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 $1,063.75.
Example
3 — Notes have NOT been automatically called and the Final Value is less than the Trigger Value.
Date |
Closing
Level |
Payment
(per $1,000 principal amount note) |
First
Review Date |
30.00 |
$0 |
Second
Review Date |
35.00 |
$0 |
Third
through Nineteenth Review Dates |
Less
than Interest Barrier |
$0 |
Final
Review Date |
30.00 |
$300.00 |
|
Total
Payment |
$300.00
(-70.00% return) |
Because the notes have not been automatically called, the
Final Value is less than the Trigger Value and the Index Return is -70.00%, the payment at maturity will be $300.00 per $1,000 principal
amount note, calculated as follows:
PS-5
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the MerQube US Small-Cap
Vol Advantage Index |
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$1,000 + [$1,000 × (-70.00%)] = $300.00
The hypothetical returns and hypothetical payments on the
notes shown above apply only if you hold the notes for their entire term or until automatically called. 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 automatically called 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 60.00% 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 automatically called, 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.
| · | THE
LEVEL OF THE INDEX WILL INCLUDE A 6.0% PER ANNUM DAILY DEDUCTION — |
The Index is subject to a 6.0% per annum daily deduction.
The level of the Index will trail the value of an identically constituted synthetic portfolio that is not subject to any such deduction.
The index deduction will place a significant drag
on the performance of the Index, potentially offsetting positive returns on the Index’s investment strategy, exacerbating negative
returns of its investment strategy and causing the level of the Index to decline steadily if the return of its investment strategy is
relatively flat. The Index will not appreciate unless the return of its investment strategy is sufficient to offset the negative effects
of the index deduction, and then only to the extent that the return of its investment strategy is greater than the index deduction. As
a result of the index deduction, the level of the Index may decline even if the return of its investment strategy is positive.
The daily deduction is one of the inputs our affiliates’
internal pricing models use to value the derivative or derivatives underlying the economic terms of the notes for purposes of determining
the estimated value of the notes set forth on the cover of this pricing supplement. The daily deduction will effectively reduce the value
of the derivative or derivatives underlying the economic terms of the notes. See “The Estimated Value of the Notes” and “—
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes” in this pricing supplement.
| · | 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.
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| Structured Investments
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| · | 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.
| · | 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 automatically called, the benefit provided by the Trigger Value will terminate and you will be fully exposed
to any depreciation of the Index.
| · | THE AUTOMATIC CALL FEATURE
MAY FORCE A POTENTIAL EARLY EXIT — |
If your notes are automatically called, the term of
the notes may be reduced to as short as approximately one year and you will not receive any Contingent Interest Payments after the applicable
Call Settlement 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 the notes are called 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 OR OTHER DISTRIBUTIONS ON THE SECURITIES UNDERLYING THE RUSSELL
2000® INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES OR THE FUTURES
CONTRACTS UNDERLYING THE INDEX. |
| · | 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. |
| · | JPMS AND ITS AFFILIATES
MAY HAVE PUBLISHED RESEARCH, EXPRESSED OPINIONS OR PROVIDED RECOMMENDATIONS THAT ARE INCONSISTENT
WITH INVESTING IN OR HOLDING THE NOTES, AND MAY DO SO IN THE FUTURE — |
Any research, opinions or recommendations could affect
the market value of the notes. Investors should undertake their own independent investigation of the merits of investing in the
notes, the Index and the futures contracts composing the Index.
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.
In September 2021, an affiliate of ours purchased
a 10% equity interest in the Index Sponsor, with a right to appoint an employee of JPMS, another of our affiliates, as a member of the
board of directors of the Index Sponsor. The Index Sponsor can implement policies, make judgments or enact changes to the Index methodology
that could negatively affect the performance of the Index. The Index Sponsor can also alter, discontinue or suspend calculation or dissemination
of the Index. Any of these actions could adversely affect the value of the notes. The Index Sponsor has no obligation to consider your
interests in calculating, maintaining or revising the Index, and we, JPMS, our other affiliates and our respective employees are under
no obligation to consider your interests as an investor in the notes in connection with the role of our affiliate as an owner of an equity
interest in the Index Sponsor or the role of an employee of JPMS as a member of the board of directors of the Index Sponsor.
In addition, JPMS worked with the Index Sponsor in
developing the guidelines and policies governing the composition and calculation of the Index. Although judgments, policies and determinations
concerning the Index were made by JPMS, JPMorgan Chase & Co., as the parent company of JPMS, ultimately controls JPMS. The policies
and judgments for which JPMS was
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responsible could have an impact, positive or negative, on the level
of the Index and the value of your notes. JPMS is under no obligation to consider your interests as an investor in the notes in its role
in developing the guidelines and policies governing the Index or making judgments that may affect the level of the Index.
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 projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging
our obligations under the notes and the estimated cost of hedging our obligations under the notes. See “The Estimated Value of
the Notes” in this pricing supplement.
| · | THE
ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS’ ESTIMATES — |
See “The Estimated Value of the Notes”
in this pricing supplement.
| · | THE
ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
|
The internal funding rate used in the determination
of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar
maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is
based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market
replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse
effect on the terms of the notes and any secondary market prices of the notes. See “The Estimated Value of the Notes” in
this pricing supplement.
| · | THE
VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS)
MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD
— |
We generally expect that some of the costs included
in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS
in an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices of the Notes” in
this pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes during
this initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account statements).
| · | SECONDARY
MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES
— |
Any secondary market prices of the notes will likely
be lower than the original issue price of the notes because, among other things, secondary market prices take into account our internal
secondary market funding rates for structured debt issuances and, also, because secondary market prices may exclude selling commissions,
projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the notes. As a result,
the price, if any, at which JPMS will be willing to buy the notes from you in secondary market transactions, if at all, is likely to
be lower than the original issue price. Any sale by you prior to the Maturity Date could result in a substantial loss to you.
| · | SECONDARY MARKET PRICES
OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS — |
The secondary market price of the notes during their
term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the selling
commissions, projected hedging profits, if any, estimated hedging costs and the level of the Index. Additionally, independent pricing
vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes
in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
— Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product
supplement.
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Vol Advantage Index |
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Risks Relating to the Index
| · | THE
INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED
IN RESPECT OF THE FUTURES CONTRACTS — |
No assurance can be given that the investment strategy
on which the Index is based will be successful or that the Index will outperform any alternative strategy that might be employed with
respect to the Futures Contracts.
| · | THE
INDEX MAY NOT APPROXIMATE ITS TARGET VOLATILITY — |
No assurance
can be given that the Index will maintain an annualized realized volatility that approximates its target volatility of 35%. The Index’s
target volatility is a level of implied volatility and therefore the actual realized volatility of the Index may be greater or less than
the target volatility. On each weekly Index rebalance day, the Index’s exposure to the Futures Contracts is set equal to (a) the
35% volatility target divided by (b) the one-week implied volatility of the IWM Fund, subject to a maximum exposure of 500%. The Index
uses the implied volatility of the IWM Fund as a proxy for the volatility of the Futures Contracts. However, there is no guarantee that
the methodology used by the Index to determine the implied volatility of the IWM Fund will be representative of the implied or realized
volatility of the Futures Contracts. The performance of the IWM Fund may not correlate with the performance of the Futures Contracts,
particularly during periods of market volatility. In addition, the volatility of the Futures Contracts on any day may change quickly
and unexpectedly and realized volatility may differ significantly from implied volatility. In general, over time, the realized volatilities
of the IWM Fund and the Futures Contracts have tended to be lower than their respective implied volatilities; however, at any time those
realized volatilities may exceed their respective implied volatilities, particularly during periods of market volatility. Accordingly,
the actual realized annualized volatility of the Index may be greater than or less than the target volatility, which may adversely affect
the level of the Index and the value of the notes.
| · | THE
INDEX IS SUBJECT TO RISKS ASSOCIATED WITH THE USE OF SIGNIFICANT LEVERAGE — |
On a weekly
Index rebalance day, the Index will employ leverage to increase the exposure of the Index to the Futures Contracts if the implied volatility
of the IWM Fund is below 35%, subject to a maximum exposure of 500%. Under normal market conditions in the past, the IWM Fund has tended
to exhibit an implied volatility below 35%. Accordingly, the Index has generally employed leverage in the past, except during periods
of elevated volatility. When leverage is employed, any movements in the prices of the Futures Contracts will result in greater changes
in the level of the Index than if leverage were not used. In particular, the use of leverage will magnify any negative performance of
the Futures Contracts, which, in turn, would negatively affect the performance of the Index. Because the Index’s leverage is adjusted
only on a weekly basis, in situations where a significant increase in volatility is accompanied by a significant decline in the value
of the Futures Contracts, the level of the Index may decline significantly before the following Index rebalance day when the Index’s
exposure to the Futures Contracts would be reduced.
| · | THE
INDEX MAY BE SIGNIFICANTLY UNINVESTED — |
On a weekly
Index rebalance day, the Index’s exposure to the Futures Contracts will be less than 100% when the implied volatility of the IWM
Fund is above 35%. If the Index’s exposure to the Futures Contracts is less than 100%, the Index will not be fully invested, and
any uninvested portion will earn no return. The Index may be significantly uninvested on any given day, and will realize only a portion
of any gains due to appreciation of the Futures Contracts on any such day. The 6.0% per annum deduction is deducted daily, even when
the Index is not fully invested.
| · | THE
INDEX MAY BE ADVERSELY AFFECTED IF LATER FUTURES CONTRACTS HAVE HIGHER PRICES THAN AN EXPIRING
FUTURES CONTRACT INCLUDED IN THE INDEX — |
As the Futures
Contracts included in the Index come to expiration, they are replaced by Futures Contracts that expire three months later. This is accomplished
by synthetically selling the expiring Futures Contract and synthetically purchasing the Futures Contract that expires three months from
that time. This process is referred to as “rolling.” Excluding other considerations, if the market for the Futures Contracts
is in “contango,” where the prices are higher in the distant delivery months than in the nearer delivery months, the purchase
of the later Futures Contract would take place at a price that is higher than the price of the expiring Futures Contract, thereby creating
a negative “roll yield.” In addition, excluding other considerations, if the market for the Futures Contracts is in “backwardation,”
where the prices are lower in the distant delivery months than in the nearer delivery months, the purchase of the later Futures Contract
would take place at a price that is lower than the price of the expiring Futures Contract, thereby creating a positive “roll yield.”
The presence of contango in the market for the Futures Contracts could adversely affect the level of the Index and, accordingly, any
payment on the notes.
| · | THE
INDEX IS AN EXCESS RETURN INDEX THAT DOES NOT REFLECT “TOTAL RETURNS” — |
The Index
is an excess return index that does not reflect total returns. The return from investing in futures contracts derives from three sources:
(a) changes in the price of the relevant futures contracts (which is known as the “price return”); (b) any profit or loss
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realized when rolling the relevant futures contracts (which is known
as the “roll return”); and (c) any interest earned on the cash deposited as collateral for the purchase of the relevant futures
contracts (which is known as the “collateral return”).
The Index
measures the returns accrued from investing in uncollateralized futures contracts (i.e., the sum of the price return and the roll
return associated with an investment in the Futures Contracts). By contrast, a total return index, in addition to reflecting those returns,
would also reflect interest that could be earned on funds committed to the trading of the Futures Contracts (i.e., the collateral
return associated with an investment in the Futures Contracts). Investing in the notes will not generate the same return as would be
generated from investing in a total return index related to the Futures Contracts.
| · | AN
INVESTMENT IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS — |
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.
| · | CONCENTRATION
RISKS ASSOCIATED WITH THE INDEX MAY ADVERSELY AFFECT THE VALUE OF YOUR NOTES — |
The Index generally
provides exposure to a single futures contract on the Russell 2000® Index that trades on the Chicago Mercantile Exchange.
Accordingly, the notes are less diversified than other funds, investment portfolios or indices investing in or tracking a broader range
of products and, therefore, could experience greater volatility. You should be aware that other indices may be more diversified than
the Indices in terms of both the number and variety of futures contracts. You will not benefit, with respect to the notes, from any of
the advantages of a diversified investment and will bear the risks of a highly concentrated investment.
| · | THE
INDEX IS SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FUTURES CONTRACTS, INCLUDING VOLATILITY
— |
The Index tracks
the returns of futures contracts. The price of a futures contract depends not only on the price of the underlying asset referenced by
the futures contract, but also on a range of other factors, including but not limited to changing supply and demand relationships, interest
rates, governmental and regulatory policies and the policies of the exchanges on which the futures contracts trade. In addition, the
futures markets are subject to temporary distortions or other disruptions due to various factors, including the lack of liquidity in
the markets, the participation of speculators and government regulation and intervention. These factors and others can cause the prices
of futures contracts to be volatile.
| · | SUSPENSION
OR DISRUPTIONS OF MARKET TRADING IN FUTURES CONTRACTS MAY ADVERSELY AFFECT THE VALUE OF YOUR
NOTES — |
Futures markets
like the Chicago Mercantile Exchange, the market for the Futures Contracts, are subject to temporary distortions or other disruptions
due to various factors, including the lack of liquidity in the markets, the participation of speculators, and government regulation and
intervention. In addition, futures exchanges have regulations that limit the amount of fluctuation in some futures contract prices that
may occur during a single day. These limits are generally referred to as “daily price fluctuation limits” and the maximum
or minimum price of a contract on any given day as a result of these limits is referred to as a “limit price.” Once the limit
price has been reached in a particular contract, no trades may be made at a price beyond the limit, or trading may be limited for a set
period of time. Limit prices have the effect of precluding trading in a particular contract or forcing the liquidation of contracts at
potentially disadvantageous times or prices. These circumstances could affect the level of the Index and therefore could affect adversely
the value of your notes.
| · | THE
OFFICIAL SETTLEMENT PRICE AND INTRADAY TRADING PRICES OF THE RELEVANT FUTURES CONTRACTS MAY
NOT BE READILY AVAILABLE — |
The official
settlement price and intraday trading prices of the Futures Contracts are calculated and published by the Chicago Mercantile Exchange
and are used to calculate the levels of the Index. Any disruption in trading of the Futures Contracts could delay the release or availability
of the official settlement price and intraday trading prices and may delay or prevent the calculation of the Index.
| · | CHANGES
IN THE MARGIN REQUIREMENTS FOR THE FUTURES CONTRACTS INCLUDED IN THE INDEX MAY ADVERSELY
AFFECT THE VALUE OF THE NOTES — |
Futures exchanges
require market participants to post collateral in order to open and to keep open positions in futures contracts. If an exchange changes
the amount of collateral required to be posted to hold positions in the Futures Contracts, market participants may adjust their positions,
which may affect the prices of the Futures Contracts. As a result, the level of the Index may be affected, which may adversely affect
the value of the notes.
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| · | HYPOTHETICAL
BACK-TESTED DATA RELATING TO THE INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA AND ARE SUBJECT
TO INHERENT LIMITATIONS — |
The hypothetical
back-tested performance of the Index set forth under “Hypothetical Back-Tested Data and Historical Information” in this pricing
supplement is purely theoretical and does not represent the actual historical performance of the Index and has not been verified by an
independent third party. Hypothetical back-tested performance measures have inherent limitations. Hypothetical back-tested performance
is derived by means of the retroactive application of a back-tested model that has been designed with the benefit of hindsight. Alternative
modelling techniques might produce significantly different results and may prove to be more appropriate. Past performance, and especially
hypothetical back-tested performance, is not indicative of future results. This type of information has inherent limitations and you
should carefully consider these limitations before placing reliance on such information.
| o | THE
INDEX WAS ESTABLISHED ON JUNE 21, 2022 AND MAY PERFORM IN UNANTICIPATED WAYS. |
| o | THE
NOTES ARE NOT REGULATED BY THE COMMODITY FUTURES TRADING COMMISSION. |
| o | HISTORICAL
PERFORMANCE OF THE INDEX SHOULD NOT BE TAKEN AS AN INDICATION OF THE FUTURE PERFORMANCE OF
THE INDEX DURING THE TERM OF THE NOTES |
Please refer
to the “Risk Factors” section of the accompanying underlying supplement for more details regarding the above-listed and other
risks.
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Hypothetical Back-Tested
Data and Historical Information
The following graph sets forth the hypothetical back-tested
performance of the Index based on the hypothetical back-tested weekly closing levels of the Index from January 6, 2017 through June 17,
2022, and the historical performance of the Index based on the weekly historical closing levels of the Index from June 24, 2022 through
September 23, 2022. The Index was established on June 21, 2022 as represented by the vertical line in the following graph. All data to
the left of that vertical line reflect hypothetical back-tested performance of the Index. All data to the right of that vertical line
reflect actual historical performance of the Index. The closing level of the Index on September 27, 2022 was 813.46. We obtained the
closing levels above and below from the Bloomberg Professional® service (“Bloomberg”), without independent
verification.
The data for the hypothetical back-tested performance of
the Index set forth in the following graph are purely theoretical and do not represent the actual historical performance of the Index.
See “Selected Risk Considerations — Risks Relating to the Index — Hypothetical Back-Tested Data Relating to the Index
Do Not Represent Actual Historical Data and Are Subject to Inherent Limitations” above.
The hypothetical back-tested and 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.
The hypothetical back-tested closing levels of the Index
have inherent limitations and have not been verified by an independent third party. These hypothetical back-tested closing levels are
determined by means of a retroactive application of a back-tested model designed with the benefit of hindsight. Hypothetical back-tested
results are neither an indicator nor a guarantee of future returns. No representation is made that an investment in the notes will or
is likely to achieve returns similar to those shown. Alternative modeling techniques or assumptions would produce different hypothetical
back-tested closing levels of the Index that might prove to be more appropriate and that might differ significantly from the hypothetical
back-tested closing levels of the Index set forth above.
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
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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), a withholding
agent may nonetheless withhold on these payments (generally at a rate of 30%, subject to the possible reduction of that rate under an
applicable income tax treaty), unless income from your notes is effectively connected with your conduct of a trade or business in the
United States (and, if an applicable treaty so requires, attributable to a permanent establishment in the United States). If you are
not a United States person, you are urged to consult your tax adviser regarding the U.S. federal income tax consequences of an investment
in the notes in light of your particular circumstances.
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
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paid to JPMS and other affiliated or unaffiliated dealers, the projected
profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the
estimated cost of hedging our obligations under the notes. Because hedging our 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 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 MerQube
US Small-Cap Vol Advantage Index” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the estimated
value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus) the projected
profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes, plus the
estimated cost of hedging our obligations under the notes.
Supplemental Plan
of Distribution
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 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
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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.
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