July
12, 2024 |
Registration
Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
JPMorgan Chase Financial Company LLC
Structured Investments
$1,225,000
Auto Callable Accelerated Barrier Notes Linked
to the S&P 500® Index due July 19, 2027
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
| · | The notes are designed
for investors who seek early exit prior to maturity at a premium if, on the Review Date,
the closing level of the S&P 500® Index, which we refer to as the Index,
is at or above the Call Value. |
| · | The date on which an
automatic call may be initiated is July 18, 2025. |
| · | The notes are also designed
for investors who seek an uncapped return of 1.50 times any appreciation of the Index
at maturity, if the notes have not been automatically called. |
| · | Investors should be
willing to forgo interest and dividend payments and be willing to lose some or all of their
principal amount at maturity. |
| · | The notes are unsecured
and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to
as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan
Chase & Co. Any payment on the notes is subject to the credit risk of JPMorgan
Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co.,
as guarantor of the notes. |
| · | Minimum denominations
of $1,000 and integral multiples thereof |
| · | The notes priced on
July 12, 2024 (the “Pricing Date”) and are expected to settle on or about July
17, 2024. The Strike Value has been determined by reference to the closing level of the
Index on July 11, 2024 and not by reference to the closing level of the Index on the
Pricing Date. |
Investing in the notes involves a number of risks. See “Risk
Factors” beginning on page S-2 of the accompanying prospectus supplement, Annex A to the accompanying prospectus addendum, “Risk
Factors” beginning on page PS-11 of the accompanying product supplement and “Selected Risk Considerations” beginning
on page PS-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, prospectus and prospectus addendum.
Any representation to the contrary is a criminal offense.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
Per note |
$1,000 |
$15 |
$985 |
Total |
$1,225,000 |
$18,375 |
$1,206,625 |
(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 $15.00 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 and “The Estimated Value of the Notes” in this pricing supplement. |
The estimated value of the notes, when the terms of the notes
were set, was $977.40 per $1,000 principal amount note. See “The Estimated Value of the Notes” in this pricing supplement
for additional information.
The notes are not bank deposits, are not insured by the Federal
Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Pricing supplement to product supplement no. 4-I dated April
13, 2023, underlying supplement no. 1-I dated April 13, 2023,
the prospectus and prospectus supplement, each dated April
13, 2023, and the prospectus addendum dated June 3, 2024
Key
Terms
Issuer: JPMorgan
Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor:
JPMorgan Chase & Co.
Index:
The S&P 500® Index (Bloomberg ticker: SPX)
Call Premium
Amount: $85.00 per $1,000 principal amount note
Call Value:
100.00% of the Strike Value
Upside Leverage
Factor: 1.50
Barrier Amount:
70.00% of the Strike Value, which is 3,909.178
Strike
Date: July 11, 2024
Pricing
Date: July 12, 2024
Original
Issue Date (Settlement Date): On or about July 17, 2024
Review Date*:
July 18, 2025
Call Settlement
Date*: July 23, 2025
Observation
Date*: July 12, 2027
Maturity Date*:
July 19, 2027
* Subject to postponement in the event of a market
disruption event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes
Linked to a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General
Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
Automatic Call:
If the closing level of the Index on the Review Date is greater
than or equal to the Call 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 Call Premium Amount, payable on the Call Settlement Date. No further payments will be made
on the notes.
If the notes are automatically called, you will not benefit
from the Upside Leverage Factor that applies to the payment at maturity if the Final Value is greater than the Strike Value.
Because the Upside Leverage Factor does not apply to the payment upon an automatic call, the payment upon an automatic call may be
significantly less than the payment at maturity for the same level of appreciation in the Index.
Payment at Maturity:
If the notes have not been automatically called and the Final
Value is greater than the Strike 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 notes have not been automatically called and the Final
Value is equal to the Strike Value or is less than the Strike Value but greater than or equal to the Barrier Amount, you will receive
the principal amount of your notes at maturity.
If the notes have not been automatically called and 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 notes have not
been automatically called and the Final Value is less than the Barrier Amount, you will lose more than 30.00% of your principal amount
at maturity and could lose all of your principal amount at maturity.
Index Return:
(Final
Value – Strike Value)
Strike Value
Strike Value:
The closing level of the Index on the Strike Date, which was 5,584.54.
The Strike Value is not the closing level of the Index on the Pricing Date.
Final Value:
The closing level of the Index on the Observation Date
PS-1
| Structured Investments
Auto Callable Accelerated Barrier Notes Linked to the S&P
500® Index |
|
Supplemental Terms of the Notes
Any values of the Index, and any values derived
therefrom, included in this pricing supplement may be corrected, in the event of manifest error or inconsistency, by amendment of this
pricing supplement and the corresponding terms of the notes. Notwithstanding anything to the contrary in the indenture governing the
notes, that amendment will become effective without consent of the holders of the notes or any other party.
Hypothetical
Payout Profile
Payment upon an Automatic Call
Payment at Maturity If the Notes Have Not
Been Automatically Called
Call Premium Amount
The Call Premium Amount per $1,000 principal amount
note if the notes are automatically called is $85.00.
PS-2
| Structured Investments
Auto Callable Accelerated Barrier Notes Linked to the S&P
500® Index |
|
Payment at Maturity If the Notes Have Not Been
Automatically Called
The following table illustrates the hypothetical
total return and payment at maturity on the notes linked to a hypothetical Index if the notes have not been automatically called. 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:
| · | the
notes have not been automatically called; |
| · | a
Strike Value of 100.00; |
| · | an
Upside Leverage Factor of 1.50; and |
| · | a
Barrier Amount of 70.00 (equal to 70.00% of the hypothetical Strike Value). |
The hypothetical Strike Value of 100.00 has been
chosen for illustrative purposes only and does not represent the actual Strike Value. The actual Strike Value is the closing level of
the Index on the Strike Date and is specified under “Key Terms — Strike 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 have been rounded for ease of analysis.
Final
Value |
Index
Return |
Total
Return on the Notes |
Payment
at Maturity |
165.00 |
65.00% |
97.50% |
$1,975.00 |
150.00 |
50.00% |
75.00% |
$1,750.00 |
140.00 |
40.00% |
60.00% |
$1,600.00 |
130.00 |
30.00% |
45.00% |
$1,450.00 |
120.00 |
20.00% |
30.00% |
$1,300.00 |
110.00 |
10.00% |
15.00% |
$1,150.00 |
105.00 |
5.00% |
7.50% |
$1,075.00 |
101.00 |
1.00% |
1.50% |
$1,015.00 |
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 |
69.99 |
-30.01% |
-30.01% |
$699.90 |
60.00 |
-40.00% |
-40.00% |
$600.00 |
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
Auto Callable Accelerated Barrier Notes Linked to the S&P
500® Index |
|
How
the Notes Work
Upside Scenario If Automatic Call:
If the closing level of the Index on the Review
Date is greater than or equal to the Call Value, the notes will be automatically called and investors will receive on the Call Settlement
Date the $1,000 principal amount plus the Call Premium Amount of $85.00. No further payments will be made on the notes.
| · | If
the closing level of the Index increases 20.00% as of the Review Date, the notes will be
automatically called and investors will receive a return equal to 8.50%, or $1,085.00 per
$1,000 principal amount note. |
Upside Scenario If No Automatic Call:
If the notes have not been automatically called
and the Final Value is greater than the Strike 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 1.50.
| · | If
the notes have not been automatically called and the closing level of the Index increases
5.00%, investors will receive at maturity a return equal to 7.50%, or $1,075.00 per $1,000
principal amount note. |
Par Scenario:
If the notes have not been automatically called
and the Final Value is equal to the Strike Value or is less than the Strike Value but greater than or equal to the Barrier Amount of
70.00% of the Strike Value, investors will receive at maturity the principal amount of their notes.
Downside Scenario:
If the notes have not been automatically called
and the Final Value is less than the Barrier Amount of 70.00% of the Strike Value, investors will lose 1% of the principal amount of
their notes for every 1% that the Final Value is less than the Strike Value.
| · | For
example, if the notes have not been automatically called and 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 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
and product supplement and in Annex A to the accompanying prospectus addendum.
Risks Relating to the Notes Generally
| · | YOUR
INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — |
The notes do not guarantee any return of
principal. If the notes have not been automatically called and 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 Strike Value. Accordingly, under these circumstances,
you will lose more than 30.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
| · | CREDIT
RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. — |
Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.’s
creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely affect the value
of the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts
owed to you under the notes and you could lose your entire investment.
| · | AS
A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
— |
As a finance subsidiary of JPMorgan
Chase & Co., we have no independent operations beyond the issuance and administration of our securities and the collection
of intercompany obligations. Aside from the initial capital contribution from JPMorgan Chase & Co., substantially all of
our assets relate to obligations of JPMorgan Chase & Co. to make payments under loans made by us to JPMorgan Chase & Co.
or under other intercompany agreements. As a result, we are dependent upon payments from JPMorgan Chase & Co. to meet our
obligations under the notes. We are not a key operating subsidiary of JPMorgan Chase & Co. and in a bankruptcy or resolution
of JPMorgan Chase & Co. we are not expected to have sufficient resources to meet our obligations in
PS-4
| Structured Investments
Auto Callable Accelerated Barrier Notes Linked to the S&P
500® Index |
|
respect of the notes
as they come due. If JPMorgan Chase & Co. does not make payments to us and we are unable to make payments on the notes,
you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank pari
passu with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more information, see the
accompanying prospectus addendum.
| · | IF
THE NOTES ARE AUTOMATICALLY CALLED, THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO
THE CALL PREMIUM AMOUNT PAID ON THE NOTES, |
regardless of any appreciation of the Index,
which may be significant. In addition, if the notes are automatically called, you will not benefit from the Upside Leverage Factor
that applies to the payment at maturity if the Final Value is greater than the Strike Value. Because the Upside Leverage Factor
does not apply to the payment upon an automatic call, the payment upon an automatic call may be significantly less than the payment at
maturity for the same level of appreciation in the Index.
| · | THE
BENEFIT PROVIDED BY THE BARRIER AMOUNT MAY TERMINATE ON THE OBSERVATION DATE — |
If the Final Value is less than the
Barrier Amount and the notes have not been automatically called, the benefit provided by the Barrier Amount 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. There is no guarantee that you would be able to reinvest
the proceeds from an investment in the notes at a comparable return 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.
| · | THE
NOTES DO NOT PAY INTEREST. |
| · | YOU
WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN THE INDEX OR HAVE ANY RIGHTS WITH
RESPECT TO THOSE SECURITIES. |
| · | THE
RISK OF THE CLOSING LEVEL OF THE INDEX FALLING BELOW THE BARRIER AMOUNT IS GREATER IF THE
LEVEL OF THE INDEX IS VOLATILE. |
The notes will not be listed on any
securities exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at
which JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your notes to maturity.
Risks Relating to Conflicts of Interest
We and our affiliates play a variety
of roles in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests
are potentially adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours or our
affiliates in connection with the notes could result in substantial returns for us or our affiliates while the value of the notes declines.
Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement.
Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes
| · | THE
ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF
THE NOTES — |
The estimated value of the notes is
only an estimate determined by reference to several factors. The original issue price of the notes exceeds the estimated value of the
notes because costs associated with 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.
PS-5
| Structured Investments
Auto Callable Accelerated Barrier Notes Linked to the S&P
500® Index |
|
| · | 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.
Risks Relating to the Index
| · | JPMORGAN
CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE INDEX, |
but JPMorgan Chase & Co.
will not have any obligation to consider your interests in taking any corporate action that might affect the level of the Index.
PS-6
| Structured Investments
Auto Callable Accelerated Barrier Notes Linked to the S&P
500® Index |
|
The
Index
The Index consists of stocks of 500 companies selected
to provide a performance benchmark for the U.S. equity markets. For additional information about the Index, see “Equity Index Descriptions
— The S&P U.S. Indices” in the accompanying underlying supplement.
Historical Information
The following graph sets forth the historical performance
of the Index based on the weekly historical closing levels of the Index from January 4, 2019 through July 5, 2024. The closing level
of the Index on July 11, 2024 was 5,584.54. We obtained the closing levels above and below from the Bloomberg Professional®
service (“Bloomberg”), without independent verification.
The historical closing levels of the Index
should not be taken as an indication of future performance, and no assurance can be given as to the closing level of the Index on the
Review Date or 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.
Tax
Treatment
You should
review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement
no. 4-I. The following discussion, when read in combination with that section, constitutes the full opinion of our special tax counsel,
Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes.
Based
on current market conditions, in the opinion of our special tax counsel it is reasonable to treat the notes as “open transactions”
that are not debt instruments for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax
Consequences — Tax Consequences to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments”
in the accompanying product supplement. Assuming this treatment is respected, the gain or loss on your notes should be treated as long-term
capital gain or loss if you hold your notes for more than a year, whether or not you are an initial purchaser of notes at the issue price.
However, the IRS or a court may not respect this treatment, in which case the timing and character of any income or loss on the notes
could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S.
federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on
whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a
number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors such
as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated
accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject
to the “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.
PS-7
| Structured Investments
Auto Callable Accelerated Barrier Notes Linked to the S&P
500® Index |
|
Section
871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding
tax (unless an income tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial
instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding
regime, including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations.
Additionally, a recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2027 that do not have
a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each
an “Underlying Security”). Based on certain determinations made by us, our special tax counsel is of the opinion that Section
871(m) should not apply to the notes with regard to Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree
with this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including whether
you enter into other transactions with respect to an Underlying Security. You should consult your tax adviser regarding the potential
application of Section 871(m) to the notes.
The
Estimated Value of the Notes
The estimated value of the notes set forth
on the cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income
debt component with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or
derivatives underlying the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which
JPMS would be willing to buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination
of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar
maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and
our affiliates’ view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management
costs of the notes in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This
internal funding rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate
the prevailing market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate
may have an adverse effect on the terms of the notes and any secondary market prices of the notes. For additional information, see “Selected
Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value
of the Notes Is Derived by Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives
underlying the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs
such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable,
and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events
and/or environments. Accordingly, the estimated value of the notes is determined when the terms of the notes are set based on market
conditions and other relevant factors and assumptions existing at that time.
The estimated value of the notes does not represent
future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide valuations
for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant
factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change
significantly based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness,
interest rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from
you in secondary market transactions.
The estimated value of the notes is lower
than the original issue price of the notes because costs associated with 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. These retained remaining hedging profits
will be reduced by $2.50 per $1,000 principal amount note to account for additional selling commissions. 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
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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
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.
Validity
of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell
LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by this pricing
supplement have been issued by JPMorgan Financial pursuant to the indenture, the trustee and/or paying agent has made, in accordance
with the instructions from JPMorgan Financial, the appropriate entries or notations in its records relating to the master global note
that represents such notes (the “master note”), and such notes have been delivered against payment as contemplated herein,
such notes will be valid and binding obligations of JPMorgan Financial and the related guarantee will constitute a valid and binding
obligation of JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency
and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability
(including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses
no opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions
expressed above or (ii) any provision of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent transfer
or similar provision of applicable law by limiting the amount of JPMorgan Chase & Co.’s obligation under the related
guarantee. This opinion is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law
of the State of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions
about the trustee’s authorization, execution and delivery of the indenture and its authentication of the master note and the validity,
binding nature and enforceability of the indenture with respect to the trustee, all as stated in the letter of such counsel dated February
24, 2023, which was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co.
on February 24, 2023.
Additional
Terms Specific to the Notes
You should read this pricing supplement together
with the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes
of which these notes are a part, the accompanying prospectus addendum and the more detailed information contained in the accompanying
product supplement and the accompanying underlying supplement. This pricing supplement, together with the documents listed below, contains
the terms of the notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including
preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets,
brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk
Factors” sections of the accompanying prospectus supplement and the accompanying product supplement and in Annex A to the accompanying
prospectus addendum, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment,
legal, tax, accounting and other advisers before you invest in the notes.
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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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Exhibit 107.1
The pricing supplement to which this Exhibit is
attached is a final prospectus for the related offering(s). The maximum aggregate offering price of the related offering(s) is $1,225,000.
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