September 28, 2022 |
Registration Statement Nos. 333-236659 and 333-236659-01; Rule 424(b)(2) |
JPMorgan Chase Financial Company LLC
Structured Investments
$620,000
Uncapped Accelerated Barrier Notes Linked to the MerQube
US Large-Cap Vol Advantage Index due October 1, 2027
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
| · | The notes are designed for investors who seek an uncapped return of 3.00 times any appreciation of the MerQube US Large-Cap Vol Advantage
Index 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 Index is subject to a 6.0% per annum daily deduction. This daily deduction will offset any appreciation of the futures contracts
included in the Index, will heighten any depreciation of those 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. See “Selected Risk Considerations —
Risks Relating to the Notes Generally — The Level of the Index Will Include a 6.0% per Annum Daily Deduction” in this pricing
supplement. |
| · | 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 September 28, 2022 and are expected to settle on or about September 30, 2022. |
Investing in the notes involves a number of risks. See “Risk Factors” beginning on page S-2 of the accompanying prospectus
supplement, “Risk Factors” beginning on page PS-12 of the accompanying product supplement, “Risk Factors” beginning
on page US-3 of the accompanying underlying supplement and “Selected Risk Considerations” beginning on page PS-4 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, underlying supplement, prospectus supplement and prospectus. Any representation to
the contrary is a criminal offense.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
Per note |
$1,000 |
$50 |
$950 |
Total |
$620,000 |
$31,000 |
$589,000 |
(1) See “Supplemental Use of Proceeds”
in this pricing supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer to as
JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions of $50.00 per $1,000 principal amount note it receives
from us to other affiliated or unaffiliated dealers. See “Plan of Distribution (Conflicts of Interest)” in the accompanying
product supplement. |
The estimated value of the notes, when the terms of the notes were set, was $881.70 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-II dated
November 4, 2020, underlying supplement no. 15-I dated February 14, 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 Large-Cap Vol Advantage Index (Bloomberg ticker: MQUSLVA). The level of the Index reflects a deduction of 6.0% per annum
that accrues daily.
Upside
Leverage Factor: 3.00
Barrier Amount: 54.00% of
the Initial Value, which is 1,220.9994
Pricing
Date: September 28, 2022
Original
Issue Date (Settlement Date): On or about September 30, 2022
Observation
Date*: September 28, 2027
Maturity
Date*: October 1, 2027
* 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 |
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 × Index Return × Upside
Leverage Factor)
If the Final Value is equal to the Initial Value or is less than the
Initial Value but greater than or equal to the Barrier Amount, you will receive the principal amount of your notes at maturity.
If the Final Value is less than the Barrier Amount, your payment at
maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Index Return)
If the Final Value is less than the Barrier Amount, you will lose
more than 46.00% 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, which was 2,261.11
Final
Value: The closing level of the Index on the Observation Date |
PS-1
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to the MerQube US
Large-Cap Vol Advantage Index |
|
The MerQube
US Large-Cap Vol Advantage Index
The MerQube US Large-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 February 11, 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® S&P 500® futures (the “Futures
Contracts”), which reference the S&P 500® 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 S&P 500® Index consists of stocks of 500 companies selected to provide a performance benchmark
for the U.S. equity markets. For more information about the Futures Contracts and the S&P 500® Index, see “Background
on E-mini® S&P 500® Futures” and “Background on the S&P 500® 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 SPDR® S&P 500® ETF Trust (the “SPY Fund”),
subject to a maximum exposure of 500%. For example, if the implied volatility of the SPY 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 SPY 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 SPY Fund is below 35%, and the Index’s exposure to the Futures Contracts will be less than 100% when the implied
volatility of the SPY 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
SPY Fund is to provide investment results that, before expenses, correspond generally to the price and yield performance of the S&P
500® Index. For more information about the SPY Fund, see “Background on the SPDR® S&P 500®
ETF Trust” in the accompanying underlying supplement. The Index uses the implied volatility of the SPY 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 Upside Leverage Factor, the Barrier Amount 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 Large-Cap Vol Advantage Index” in the accompanying underlying supplement.
PS-2
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to the MerQube US
Large-Cap Vol Advantage Index |
|
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.
Hypothetical
Payout Profile
The following table and graph illustrate the hypothetical
total return and payment at maturity on the notes linked to a hypothetical Index. 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; |
| · | an Upside Leverage Factor of 3.00; and |
| · | a Barrier Amount of 54.00 (equal to 54.00% of the hypothetical Initial Value). |
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 level of the Index
on the Pricing Date and is specified under “Key Terms — Initial Value” in this pricing supplement. For historical data
regarding the actual closing levels of the Index, please see the historical information set forth under “The Index” in this
pricing supplement.
Each hypothetical 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 and graph have been rounded for ease of analysis.
Final Value |
Index Return |
Total Return on the Notes |
Payment at Maturity |
165.00 |
65.00% |
195.00% |
$2,950.00 |
150.00 |
50.00% |
150.00% |
$2,500.00 |
140.00 |
40.00% |
120.00% |
$2,200.00 |
130.00 |
30.00% |
90.00% |
$1,900.00 |
120.00 |
20.00% |
60.00% |
$1,600.00 |
110.00 |
10.00% |
30.00% |
$1,300.00 |
105.00 |
5.00% |
15.00% |
$1,150.00 |
101.00 |
1.00% |
3.00% |
$1,030.00 |
100.00 |
0.00% |
0.00% |
$1,000.00 |
95.00 |
-5.00% |
0.00% |
$1,000.00 |
90.00 |
-10.00% |
0.00% |
$1,000.00 |
80.00 |
-20.00% |
0.00% |
$1,000.00 |
70.00 |
-30.00% |
0.00% |
$1,000.00 |
60.00 |
-40.00% |
0.00% |
$1,000.00 |
54.00 |
-46.00% |
0.00% |
$1,000.00 |
53.99 |
-46.01% |
-46.01% |
$539.90 |
50.00 |
-50.00% |
-50.00% |
$500.00 |
40.00 |
-60.00% |
-60.00% |
$400.00 |
30.00 |
-70.00% |
-70.00% |
$300.00 |
20.00 |
-80.00% |
-80.00% |
$200.00 |
10.00 |
-90.00% |
-90.00% |
$100.00 |
0.00 |
-100.00% |
-100.00% |
$0.00 |
PS-3
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to the MerQube US
Large-Cap Vol Advantage Index |
|
The following graph demonstrates the hypothetical payments
at maturity on the notes for a sub-set of Index Returns detailed in the table above (-80% to 50%). There can be no assurance that the
performance of the Index will result in the return of any of your principal amount.
How the Notes
Work
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 Index Return times the Upside
Leverage Factor of 3.00.
| · | If the closing level of the Index increases 10.00%, investors will receive at maturity a 30.00% return, or $1,300.00 per $1,000 principal
amount note. |
Par Scenario:
If the Final Value is equal to the Initial Value or is
less than the Initial Value but greater than or equal to the Barrier Amount of 54.00% of the Initial Value, investors will receive at
maturity the principal amount of their notes.
Downside Scenario:
If the Final Value is less than the Barrier Amount of
54.00% of 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 level of the Index 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, 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 Final Value is less than the Barrier Amount, 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 46.00% of your principal amount
at maturity and could lose all of your principal amount at maturity.
PS-4
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to the MerQube US
Large-Cap Vol Advantage Index |
|
| · | 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.
| · | THE BENEFIT PROVIDED BY THE BARRIER AMOUNT MAY TERMINATE ON THE OBSERVATION DATE — |
If the Final Value is less than the Barrier
Amount, the benefit provided by the Barrier Amount will terminate and you will be fully exposed to any depreciation of the Index.
| · | THE NOTES DO NOT PAY INTEREST. |
| · | YOU WILL NOT RECEIVE DIVIDENDS OR OTHER DISTRIBUTIONS ON THE SECURITIES UNDERLYING THE S&P 500® 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 BARRIER AMOUNT 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.
PS-5
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to the MerQube US
Large-Cap Vol Advantage Index |
|
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 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 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 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).
PS-6
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to the MerQube US
Large-Cap Vol Advantage Index |
|
| · | 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.
Risks Relating to the Index
| · | JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500® INDEX, |
but JPMorgan Chase & Co. will not have any
obligation to consider your interests in taking any corporate action that might affect the level of the S&P 500® Index.
| · | 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 SPY Fund, subject to a maximum exposure of 500%. The Index uses the implied volatility of
the SPY 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 SPY Fund will be representative of the implied or realized volatility of the Futures Contracts.
The performance of the SPY 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 SPY 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 SPY Fund is below 35%,
subject to a maximum exposure of 500%. Under normal market conditions in the past, the SPY 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.
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| · | 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 SPY 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 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.
| · | 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 S&P 500® 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
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Large-Cap Vol Advantage Index |
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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.
| · | 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 FEBRUARY 11, 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 February 4, 2022, and the historical performance of the Index based on the weekly historical closing
levels of the Index from February 11, 2022 through September 23, 2022. The Index was established on February 11, 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 28, 2022 was 2,261.11. 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 Observation Date. There can be no assurance that the performance of the Index will result in the return of any of
your principal amount.
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.
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You
should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement
no. 4-II. 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 “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, 2025 that do not have a delta of one with
respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying
Security”). Based on certain determinations made by us, our special tax counsel is of the opinion that Section 871(m) should
not apply to the 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
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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 selling, structuring and hedging the notes are included in the original
issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the 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.
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 “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 MerQube US
Large-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
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.
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,
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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 May 6, 2022,
which was filed as an exhibit to a Current Report on Form 8-K by JPMorgan Chase & Co. on May 6, 2022.
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, and the more detailed information contained in the accompanying product supplement and the accompanying underlying
supplement. This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all other
prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence,
trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You should
carefully consider, among other things, the matters set forth in the “Risk Factors” sections of the accompanying prospectus
supplement, the accompanying product supplement and the accompanying underlying supplement, as the notes involve risks not associated
with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest
in the notes.
You may access these documents on the SEC website at
www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is
1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us” and
“our” refer to JPMorgan Financial.
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