| July 19, 2024 |
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
JPMorgan Chase Financial Company LLC
Structured Investments
$4,393,000
Uncapped Buffered Digital Notes Linked to the Lesser
Performing of the S&P 500® Index and the Russell 2000® Index due July 24, 2029
Fully and Unconditionally Guaranteed by JPMorgan Chase
& Co.
| · | The notes are designed for investors who seek uncapped, unleveraged exposure to any appreciation of the lesser performing of the S&P
500® Index and the Russell 2000® Index, which we refer to as the Indices, at maturity, subject to a contingent
minimum return of 49.50%, which we refer to as the Contingent Digital Return. |
| · | Investors should be willing to forgo interest and dividend payments and be willing to lose up to 90.00% 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. |
| · | Payments on the notes are not linked to a basket composed of the Indices. Payments on the notes are linked to the performance of each
of the Indices individually, as described below. |
| · | Minimum denominations of $1,000 and integral multiples thereof |
| · | The notes priced on July 19, 2024 and are expected to settle on or about July 24, 2024. |
Investing in the notes involves a number of risks. See “Risk
Factors” beginning on page S-2 of the accompanying prospectus supplement, Annex A to the accompanying prospectus addendum, “Risk
Factors” beginning on page PS-11 of the accompanying product supplement and “Selected Risk Considerations” beginning
on page PS-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)(3) |
Proceeds to Issuer |
| Per note |
$1,000 |
$30 |
$970 |
| Total |
$4,393,000 |
$131,790 |
$4,261,210 |
|
(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 $30.00
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.
(3) JPMS will
pay a structuring fee of $8.50 per $1,000 principal amount note with respect to all of the notes to other affiliated or unaffiliated dealers. |
The estimated value of the notes, when the terms of the notes were
set, was $945.40 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.
Indices:
The S&P 500® Index (Bloomberg ticker: SPX) and the Russell 2000® Index
(Bloomberg ticker: RTY)
Contingent
Digital Return: 49.50%
Buffer Amount: 10.00%
Pricing
Date: July 19, 2024
Original
Issue Date (Settlement Date): On or about July 24, 2024
Observation
Date*: July 19, 2029
Maturity
Date*: July 24, 2029
* Subject to postponement in the event of a market disruption
event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple
Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement |
Payment at Maturity:
If the Final Value of each Index is greater than or equal to its Initial
Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × greater of (a) Contingent
Digital Return and (b) Lesser Performing Index Return)
If (i) the Final Value of one Index is greater than or equal to its
Initial Value and the Final Value of the other Index is less than its Initial Value by up to the Buffer Amount or (ii) the Final Value
of each Index is less than its Initial Value by up to the Buffer Amount, you will receive the principal amount of your notes at maturity.
If the Final Value of either Index is less than its Initial Value by
more than the Buffer Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + [$1,000 × (Lesser Performing Index
Return + Buffer Amount)]
If the Final Value of either Index is less than its Initial Value
by more than the Buffer Amount, you will lose some or most of your principal amount at maturity.
Lesser Performing Index: The
Index with the Lesser Performing Index Return
Lesser Performing Index Return: The
lower of the Index Returns of the Indices
Index Return:
With respect to each Index,
(Final Value – Initial Value)
Initial Value
Initial
Value: With respect to each Index, the closing level
of that Index on the Pricing Date, which was 5,505.00 for the S&P 500® Index and 2,184.349 for the Russell 2000®
Index
Final
Value: With respect to each Index, the closing level of that Index on the Observation Date
|
|
PS-1
| Structured Investments
Uncapped Buffered Digital Notes Linked to the Lesser Performing
of the S&P 500® Index and the Russell 2000® Index |
|
Supplemental Terms
of the Notes
Any values of the Indices, and any values derived
therefrom, included in this pricing supplement may be corrected, in the event of manifest error or inconsistency, by amendment of this
pricing supplement and the corresponding terms of the notes. Notwithstanding anything to the contrary in the indenture governing the notes,
that amendment will become effective without consent of the holders of the notes or any other party.
Hypothetical Payout
Profile
The following table and graph illustrate the hypothetical
total return and payment at maturity on the notes linked to two hypothetical Indices. 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 for the Lesser Performing Index of 100.00; |
| · | a Contingent Digital Return of 49.50%; and |
| · | a Buffer Amount of 10.00%. |
The hypothetical Initial Value of the Lesser Performing
Index of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value of either Index. The actual
Initial Value of each Index is the closing level of that 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 each Index, please see the historical information set forth under “The Indices” 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 of the Lesser
Performing Index |
Lesser Performing Index
Return |
Total Return on the Notes |
Payment at Maturity |
| 165.00 |
65.00% |
65.00% |
$1,650.00 |
| 150.00 |
50.00% |
50.00% |
$1,500.00 |
| 149.50 |
49.50% |
49.50% |
$1,495.00 |
| 140.00 |
40.00% |
49.50% |
$1,495.00 |
| 130.00 |
30.00% |
49.50% |
$1,495.00 |
| 120.00 |
20.00% |
49.50% |
$1,495.00 |
| 110.00 |
10.00% |
49.50% |
$1,495.00 |
| 105.00 |
5.00% |
49.50% |
$1,495.00 |
| 101.00 |
1.00% |
49.50% |
$1,495.00 |
| 100.00 |
0.00% |
49.50% |
$1,495.00 |
| 99.99 |
-0.01% |
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% |
-10.00% |
$900.00 |
| 70.00 |
-30.00% |
-20.00% |
$800.00 |
| 60.00 |
-40.00% |
-30.00% |
$700.00 |
| 50.00 |
-50.00% |
-40.00% |
$600.00 |
| 40.00 |
-60.00% |
-50.00% |
$500.00 |
| 30.00 |
-70.00% |
-60.00% |
$400.00 |
| 20.00 |
-80.00% |
-70.00% |
$300.00 |
| 10.00 |
-90.00% |
-80.00% |
$200.00 |
| 0.00 |
-100.00% |
-90.00% |
$100.00 |
|
PS-2
| Structured Investments
Uncapped Buffered Digital Notes Linked to the Lesser Performing
of the S&P 500® Index and the Russell 2000® Index |
|
The following graph demonstrates the hypothetical payments
at maturity on the notes for a range of Lesser Performing Index Returns. There can be no assurance that the performance of the Lesser
Performing Index will result in the return of any of your principal amount in excess of $100.00 per $1,000 principal amount note, subject
to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
How the Notes
Work
Upside Scenario:
If the Final Value of each Index is greater than or equal
to its Initial Value, investors will receive at maturity the $1,000 principal amount plus a return equal to the greater of (a)
the Contingent Digital Return of 49.50% and (b) the Lesser Performing Index Return.
| · | If the closing level of the Lesser Performing Index increases 10.00%, investors will receive at maturity a return equal to 49.50%,
or $1,495.00 per $1,000 principal amount note. |
| · | If the closing level of the Lesser Performing Index increases 50.00%, investors will receive at maturity a return equal to 50.00%,
or $1,500.00 per $1,000 principal amount note. |
Par Scenario:
If (i) the Final Value of one Index is greater than or
equal to its Initial Value and the Final Value of the other Index is less than its Initial Value by up to the Buffer Amount of 10.00%
or (ii) the Final Value of each Index is less than its Initial Value by up to the Buffer Amount of 10.00%, investors will receive at maturity
the principal amount of their notes.
Downside Scenario:
If the Final Value of either Index is less than its Initial
Value by more than the Buffer Amount of 10.00%, investors will lose 1% of the principal amount of their notes for every 1% that the Final
Value of the Lesser Performing Index is less than its Initial Value by more than the Buffer Amount.
| · | For example, if the closing level of the Lesser Performing Index declines 60.00%, investors will lose 50.00% of their principal amount
and receive only $500.00 per $1,000 principal amount note at maturity, calculated as follows: |
$1,000
+ [$1,000 × (-60.00% + 10.00%)] = $500.00
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.
|
PS-3
| Structured Investments
Uncapped Buffered Digital Notes Linked to the Lesser Performing
of the S&P 500® Index and the Russell 2000® Index |
|
Selected Risk Considerations
An investment in the notes involves significant risks.
These risks are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement and product
supplement and in Annex A to the accompanying prospectus addendum.
Risks Relating to the Notes Generally
| · | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — |
The notes do not guarantee any return of principal.
If the Final Value of either Index is less than its Initial Value by more than 10.00%, you will lose 1% of the principal amount of your
notes for every 1% that the Final Value of the Lesser Performing Index is less than its Initial Value by more than 10.00%. Accordingly,
under these circumstances, you will lose up to 90.00% of your principal amount at maturity.
| · | YOUR ABILITY TO RECEIVE THE CONTINGENT DIGITAL RETURN MAY
TERMINATE ON THE OBSERVATION DATE — |
If the Final Value of either Index is less than
its Initial Value, you will not be entitled to receive the Contingent Digital Return 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 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.
| · | YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX — |
Payments on the notes are not linked to a basket
composed of the Indices and are contingent upon the performance of each individual Index. Poor performance by either of the Indices over
the term of the notes may negatively affect your payment at maturity and will not be offset or mitigated by positive performance by the
other Index.
| · | YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LESSER PERFORMING INDEX. |
| · | THE NOTES DO NOT PAY INTEREST. |
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN EITHER INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES.
|
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
|
PS-4
| Structured Investments
Uncapped Buffered Digital Notes Linked to the Lesser Performing
of the S&P 500® Index and the Russell 2000® Index |
|
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 structuring fee, the projected profits, if any, that our affiliates expect to realize for assuming risks
inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. See “The
Estimated Value of the Notes” in this pricing supplement.
| · | THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES —
|
See “The Estimated Value of the Notes”
in this pricing supplement.
| · | THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE — |
The internal funding rate used in the determination
of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar
maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based
on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement
funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the
terms of the notes and any secondary market prices of the notes. See “The Estimated Value of the Notes” in this pricing supplement.
| · | THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE
THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD — |
We generally expect that some of the costs included
in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in
an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices of the Notes” in this
pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes during this
initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account statements).
| · | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES — |
Any secondary market prices of the notes will
likely be lower than the original issue price of the notes because, among other things, secondary market prices take into account our
internal secondary market funding rates for structured debt issuances and, also, because secondary market prices (a) exclude the structuring
fee and (b) may exclude 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, structuring fee, projected hedging profits, if any, estimated hedging costs and the levels of the Indices. Additionally,
independent pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer
account statements. This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to
purchase your notes in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying
product supplement.
|
PS-5
| Structured Investments
Uncapped Buffered Digital Notes Linked to the Lesser Performing
of the S&P 500® Index and the Russell 2000® Index |
|
Risks Relating to the Indices
| · | JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500® INDEX, |
but JPMorgan Chase & Co. will not have any
obligation to consider your interests in taking any corporate action that might affect the level of the S&P 500® Index.
| · | AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH RESPECT TO THE RUSSELL 2000®
INDEX — |
Small capitalization companies may be less able
to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization companies are
less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock price
pressure under adverse market conditions.
|
PS-6
| Structured Investments
Uncapped Buffered Digital Notes Linked to the Lesser Performing
of the S&P 500® Index and the Russell 2000® Index |
|
The Indices
The S&P 500® Index consists of stocks
of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For additional information about the S&P
500® Index, see “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying underlying
supplement.
The Russell 2000® Index consists of
the middle 2,000 companies included in the Russell 3000E™ Index and, as a result of the index calculation methodology, consists
of the smallest 2,000 companies included in the Russell 3000® Index. The Russell 2000® Index is designed
to track the performance of the small capitalization segment of the U.S. equity market. For additional information about the Russell 2000®
Index, see “Equity Index Descriptions — The Russell Indices” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical performance
of each Index based on the weekly historical closing levels from January 4, 2019 through July 19, 2024. The closing level of the S&P
500® Index on July 19, 2024 was 5,505.00. The closing level of the Russell 2000® Index on July 19, 2024
was 2,184.349. We obtained the closing levels above and below from the Bloomberg Professional® service (“Bloomberg”),
without independent verification.
The historical closing levels of each Index should
not be taken as an indication of future performance, and no assurance can be given as to the closing level of either Index on the Observation
Date. There can be no assurance that the performance of the Indices will result in the return of any of your principal amount in excess
of $100.00 per $1,000 principal amount note, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
|
PS-7
| Structured Investments
Uncapped Buffered Digital Notes Linked to the Lesser Performing
of the S&P 500® Index and the Russell 2000® Index |
|
Tax Treatment
You should
review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement
no. 4-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.
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
|
PS-8
| Structured Investments
Uncapped Buffered Digital Notes Linked to the Lesser Performing
of the S&P 500® Index and the Russell 2000® Index |
|
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 structuring
fee paid to other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming
risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. Because hedging
our obligations entails risk and may be influenced by market forces beyond our control, this hedging may result in a profit that is more
or less than expected, or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes
may be allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging
profits. See “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
— The Estimated Value of the Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes” in this pricing
supplement.
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 Indices”
in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the
estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus the structuring
fee paid to other affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize
for assuming risks inherent in hedging our obligations under the notes, plus the estimated cost of hedging our obligations under the notes.
Supplemental
Plan of Distribution
JPMS, acting as agent for JPMorgan Financial, will
pay all of the selling commissions of $30.00 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.
JPMS will pay a structuring fee of $8.50 per $1,000
principal amount note with respect to all of the notes to other affiliated or unaffiliated dealers.
|
PS-9
| Structured Investments
Uncapped Buffered Digital Notes Linked to the Lesser Performing
of the S&P 500® Index and the Russell 2000® Index |
|
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.
You may access these documents on the SEC website
at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is
1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us” and
“our” refer to JPMorgan Financial.
|
PS-10
| Structured Investments
Uncapped Buffered Digital Notes Linked to the Lesser Performing
of the S&P 500® Index and the Russell 2000® Index |
|
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 $4,393,000.
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