Pricing supplement
To prospectus dated April 8, 2020,
prospectus supplement dated April 8, 2020 and
product supplement no. 1-II dated November 4, 2020 |
|
Registration Statement Nos. 333-236659 and 333-236659-01
Dated January 25, 2023
Rule 424(b)(2) |
JPMorgan Chase Financial Company LLC |
$30,730,000
Floating Rate Notes due January 30, 2063 |
Fully and Unconditionally Guaranteed by JPMorgan Chase
& Co.
General
| · | 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. |
| · | The notes are designed for investors who seek (a) periodic interest payments that for each Interest Period are linked to a benchmark
rate, which will initially be Compounded SOFR, as determined on each Determination Date plus 0.30%, provided that this rate
will not be less than the Minimum Interest Rate of 0.00% per annum, and (b) the applicable Repurchase Amount on any Repurchase Date or
the return of their principal amount at maturity, as applicable. |
| · | You may request that we repurchase your notes on an annual basis on or after the Initial Repurchase Date (approximately 5 years after
the Original Issue Date), subject to your compliance with the procedural requirements and the other limitations set forth under “Additional
Key Terms” and “Supplemental Terms of the Notes” in this pricing supplement. You will receive less than your principal
amount if you request that we repurchase your notes on any Repurchase Date prior to January 30, 2030. |
| · | These notes have a relatively long maturity relative to other fixed income products. Longer-dated notes may be riskier than shorter-dated
notes. See “Selected Risk Considerations” in this pricing supplement. |
| · | The notes may be purchased in minimum denominations of $1,000 and in integral multiples of $1,000 thereafter. |
Key Terms
Issuer: |
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co. |
Guarantor: |
JPMorgan Chase & Co. |
Payment at Maturity: |
If the notes have not been repurchased early, we will pay you on the Maturity Date the outstanding principal amount of your notes plus any accrued and unpaid interest. |
Interest: |
If the notes have not been repurchased early, we will pay you interest on each Interest Payment Date based on the outstanding principal amount of your notes, the Interest Rate and the applicable Day Count Fraction, subject to the Business Day Convention and the Interest Accrual Convention. |
Interest Periods: |
The period beginning on and including the Original Issue Date and ending on but excluding the first Interest Payment Date, and each successive period beginning on and including an Interest Payment Date and ending on but excluding the next succeeding Interest Payment Date, subject to the Business Day Convention and the Interest Accrual Convention |
Interest Payment Dates: |
Interest on the notes will be payable in arrears on the 30th calendar day of January, April, July and October of each year, beginning on March 30, 2023, to and including the Maturity Date, subject to any earlier repurchase and the Business Day Convention and the Interest Accrual Convention. |
Observation Periods: |
With respect to each Interest Period, the period from, and including, the second U.S. Government Securities Business Day immediately preceding the first day in that Interest Period to, but excluding, the second U.S. Government Securities Business Day immediately preceding the Interest Payment Date for that Interest Period, provided that if any Interest Period is adjusted due to the postponement of an Interest Payment Date, the corresponding Observation Period will not be adjusted and will be determined based on that Interest Period prior to its adjustment |
Interest Rate: |
With respect to each Interest Period, a rate per annum equal to the Benchmark Rate with respect to the relevant Observation Period, as determined on the applicable Determination Date, plus 0.30%, provided that this rate will not be less than the Minimum Interest Rate |
Minimum Interest Rate: |
0.00% per annum |
Benchmark Rate: |
Initially, Compounded SOFR; provided that if a Benchmark Transition Event and its related Benchmark Replacement Date (each as defined in “Annex A — Effect of Benchmark Transition Event” in this pricing supplement) have occurred with respect to Compounded SOFR or the then-current Benchmark Rate, then the applicable Benchmark Replacement as determined by the alternative procedures set forth under “What Is SOFR?” and “Annex A — Effect of Benchmark Transition Event” in this pricing supplement. |
Compounded SOFR: |
With respect to the Observation Period corresponding to any Interest Period,
Compounded SOFR will be a compounded average of daily SOFR over such Observation Period, calculated as follows:
where:
“d0” means the number of U.S.
Government Securities Business Days in that Observation Period;
“i” is a series of whole numbers from one
to d0, each representing the relevant U.S. Government Securities Business Days in chronological order from, and including,
the first U.S. Government Securities Business Day in that Observation Period;
“SOFRi” means, for any U.S. Government
Securities Business Day “i” in that Observation Period, Daily SOFR with respect to that day, determined as set forth
under “What Is SOFR?” in this pricing supplement;
“ni” means, for any U.S. Government
Securities Business Day “i” in that Observation Period, the number of calendar days from, and including, that U.S.
Government Securities Business Day “i” up to, but excluding, the following U.S. Government Securities Business Day
(“i+1”); and
“d” means the number of calendar days in
that Observation Period. |
Determination Date: |
For each Interest Period, the U.S. Government Securities Business Day immediately preceding the Interest Payment Date for that Interest Period |
Pricing Date: |
January 25, 2023 |
Original Issue Date: |
January 30, 2023, subject to the Business Day Convention (Settlement Date) |
Maturity Date: |
January 30, 2063, subject to the Business Day Convention |
Other Key Terms: |
See “Additional Key Terms” in this pricing supplement. |
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-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, 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 |
$10 |
$990 |
Total |
$30,730,000 |
$307,300 |
$30,422,700 |
(1) The price to the public includes the estimated cost of hedging our obligations
under the notes through one or more of our affiliates.
(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 $10.00 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 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.
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. 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, 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):
| · | Product supplement no. 1-II dated November 4, 2020: |
http://www.sec.gov/Archives/edgar/data/19617/000095010320021464/crt_dp139380.pdf
| · | Prospectus supplement and prospectus, each dated April 8, 2020: |
http://www.sec.gov/Archives/edgar/data/19617/000095010320007214/crt_dp124361-424b2.pdf
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.
Additional Key Terms
Daily SOFR: |
With respect to any U.S. Government Securities Business Day prior to a Benchmark Replacement Date, the Secured Overnight Financing Rate (“SOFR”) published for such U.S. Government Securities Business Day as such rate appears on the SOFR administrator’s website at 3:00 p.m. (New York City time) on the immediately following U.S. Government Securities Business Day, provided that, if such rate does not so appear, then as determined by the alternative procedures set forth under “What Is SOFR?” in this pricing supplement. |
Payment upon Early Repurchase: |
You may request that we repurchase your notes on any Repurchase Date on or after January 30, 2028 (the “Initial Repurchase Date”), during the term of the notes by following the procedures described under “Supplemental Terms of the Notes” in this pricing supplement, which includes our receiving a Repurchase Notice no earlier than forty-five business days prior to the relevant Repurchase Date and by no later than 4:00 p.m., New York City time, fifteen business days prior to the relevant Repurchase Date. If you fail to comply with these procedures, your notice will be deemed ineffective. |
Repurchase Amount: |
Upon early repurchase, you will receive for each $1,000 principal
amount note, in addition to any accrued but unpaid interest, a cash payment on the applicable Repurchase Date equal to:
|
|
Repurchase Dates occurring: |
Repurchase Amount |
|
From and including January 30, 2028 to and including January 30, 2029 |
$980 |
|
From and including January 30, 2030 to and including January 30, 2062 |
$1,000 |
|
You will receive less than your principal amount if you request that
we repurchase your notes on any Repurchase Date prior to January 30, 2030 |
Repurchase Dates: |
January 30 of each year, beginning on January 30, 2028, to and including January 30, 2062, in each case subject to the Business Day Convention |
Repurchase Notice: |
A repurchase notice substantially in the form of the Repurchase Notice set forth in Annex B to this pricing supplement |
U.S. Government Securities Business Day: |
Any day except for a Saturday, a Sunday or a day on which the Securities Industry and Financial Markets Association recommends that the fixed income departments of its members be closed for the entire day for purposes of trading in U.S. government securities |
Business Day: |
Notwithstanding anything to the contrary in the accompanying product supplement, any weekday that is a U.S. Government Securities Business Day and is not a legal holiday in New York City and is not a date on which banking institutions in New York City are authorized or required by law or regulation to be closed. |
Business Day Convention: |
Following |
Interest Accrual Convention: |
Unadjusted |
Day Count Convention: |
30/360 |
CUSIP: |
48133U2M3 |
Callable Floating Rate Notes | PS-2 |
Supplemental Terms of the Notes
Early Repurchase. You may submit a request to have us repurchase your notes on any Repurchase Date, subject to the procedures
and terms set forth below. Any payment upon early repurchase, including interest and principal, is subject to the Business Day Convention
and Interest Accrual Convention. Any repurchase request that we accept in accordance with the procedures and terms set forth
below will be irrevocable.
To request that we repurchase your notes, you must
instruct your broker or other person through which you hold your notes to take the following steps:
| · | Send
a Repurchase Notice to us via email at rates_repurchase@jpmorgan.com
no earlier than forty-five business days prior to the relevant Repurchase Date
and by no later than 4:00 p.m., New York City time, fifteen business days prior to the relevant
Repurchase Date. The subject line of the email should include the title of the notes
and the CUSIP for those notes. We or our affiliate must acknowledge receipt of the
Repurchase Notice on the same business day for it to be effective, which acknowledgment will
be deemed to evidence our acceptance of your repurchase request; |
| · | Instruct your DTC custodian to book a delivery versus payment trade with respect
to your notes on the relevant Repurchase Date at a price equal to the amount payable upon early repurchase of the notes; and |
| · | Cause your DTC custodian to deliver the trade as booked for settlement via
DTC at or prior to 10:00 a.m., New York City time, on the day on which the notes will be repurchased. |
Different brokerage firms may have different deadlines
for accepting instructions from their customers. Accordingly, you should consult the brokerage firm through which you own your interest
in the notes in respect of those deadlines. If you elect to request that we repurchase your notes, your request will be valid only
if we receive your Repurchase Notice no earlier than forty-five business days prior to the relevant Repurchase Date and by no later than
4:00 p.m., New York City time, fifteen business days prior to the relevant Repurchase Date and if we (or our affiliates) acknowledge receipt
of the Repurchase Notice on the same day. If we do not receive that Repurchase Notice or we (or our affiliates) do not acknowledge
receipt of that notice, your repurchase request will not be effective and we will not repurchase your notes. Once given, a Repurchase
Notice may not be revoked.
The calculation agent
will, in its sole discretion, resolve any questions that may arise as to the validity of a Repurchase Notice and the timing of receipt
of a Repurchase Notice or as to whether and when the required deliveries have been made. Questions about the repurchase requirements
should be directed to rates_repurchase@jpmorgan.com.
Callable Floating Rate Notes | PS-3 |
Selected Purchase Considerations
| · | PRESERVATION OF CAPITAL ON ANY REPURCHASE DATE ON OR AFTER JANUARY 30, 2030 OR AT MATURITY ONLY — Regardless of the performance
of the Benchmark Rate, we will pay you at least the principal amount of your notes if you request that we repurchase your notes on any
Repurchase Date on or after January 30, 2030 or if you hold the notes to maturity. However, you will receive less than your principal
amount if you request that we repurchase your notes on any Repurchase Date prior to January 30, 2030. Because the notes are our unsecured
and unsubordinated obligations, the payment of which is fully and unconditionally guaranteed by JPMorgan Chase & Co., payment of any
amount on the notes is subject to our ability to pay our obligations as they become due and JPMorgan Chase & Co.’s ability to
pay its obligations as they become due. |
| · | PERIODIC INTEREST PAYMENTS — The notes offer periodic interest payments on each Interest Payment Date, subject to any
earlier repurchase. With respect to each Interest Period, your notes will pay an interest rate per annum equal to the Benchmark Rate,
which will initially be Compounded SOFR, plus 0.30%, provided that this rate will not be less than the Minimum Interest
Rate. The yield on the notes may be less than the overall return you would receive from a conventional debt security that you could purchase
today with the same maturity as the notes. |
| · | ANNUAL REPURCHASES — You may request that we repurchase your notes on an annual basis on any Repurchase Date during the
term of the notes on or after the Initial Repurchase Date by delivering a repurchase notice to us via email at rates_repurchase@jpmorgan.com
no earlier than forty five business days prior to the relevant Repurchase Date and by no later than 4:00 p.m., New York City time, fifteen
business days prior to the relevant Repurchase Date and following the procedures described under “Supplemental Terms of the Notes”
in this pricing supplement. Upon early repurchase, you will receive for each $1,000 principal amount note a cash payment on the relevant
Repurchase Date equal to the Repurchase Amount plus accrued and unpaid interest. You will receive less than your principal amount if
you request that we repurchase your notes on any Repurchase Date prior to January 30, 2030. |
| · | TAX TREATMENT — You should review carefully the section entitled "Material U.S. Federal Income Tax Consequences"
in this pricing supplement and the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product
supplement and consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes. |
| · | NOTES USED AS QUALIFIED REPLACEMENT PROPERTY — Prospective investors seeking to treat the notes as “qualified replacement
property” for purposes of Section 1042 of the Code should be aware that Section 1042 requires the issuer to meet certain requirements
in order for the notes to constitute qualified replacement property. In general, qualified replacement property is a security issued by
a domestic corporation that did not, for the taxable year preceding the taxable year in which such security was purchased, have “passive
investment income” in excess of 25 percent of the gross receipts of such corporation for such preceding taxable year (the “passive
income test”). For purposes of the passive income test, where the issuing corporation is in control of one or more corporations
or such issuing corporation is controlled by one or more other corporations, all such corporations are treated as one corporation (the
“affiliated group”) when computing the amount of passive investment income under Section 1042. |
We believe that less than 25 percent of our
affiliated group’s gross receipts is passive investment income for the taxable year ended December 31, 2022. In making this determination,
we have made certain assumptions and used procedures which we believe are reasonable. Accordingly, the issuer is of the view that the
notes should qualify as “qualified replacement property.” We cannot give any assurance as to whether our affiliated group
will continue to meet the passive income test. It is, in addition, possible that the Internal Revenue Service may disagree with the manner
in which we have calculated the affiliated group’s gross receipts (including the characterization thereof) and passive investment
income and the conclusions reached herein.
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 the accompanying
product supplement.
Risks Relating to the Notes Generally
| · | THE NOTES ARE NOT ORDINARY DEBT SECURITIES BECAUSE THE INTEREST RATE ON THE NOTES IS A FLOATING RATE AND MAY BE EQUAL TO THE MINIMUM
INTEREST RATE — With respect to each Interest Period, your notes will pay an interest rate per annum equal to the Benchmark
Rate, which will initially be Compounded SOFR, plus 0.30%, provided that this rate will not be less than the Minimum Interest
Rate. If the Interest Rate for an Interest Period is equal to the Minimum Interest Rate, which will occur if the Benchmark Rate on the
applicable Determination Date is less than or equal to -0.30% per annum, no interest will be payable with respect to that Interest Period.
Accordingly, if the Benchmark Rate on the Determination Dates for some or all of the Interest Periods is less than or equal to -0.30%
per annum, you may not receive any interest payments for an extended period over the term of the notes. |
| · | IF YOU REQUEST THAT WE REPURCHASE YOUR NOTES ON ANY REPURCHASE DATE PRIOR TO JANUARY 30, 2030, YOU WILL LOSE SOME OF THE PRINCIPAL
AMOUNT OF YOUR NOTES — If you request that we repurchase your notes on any Repurchase Date prior to January 30, 2030, the payment
that you receive on the Repurchase Date will be the relevant Repurchase Amount. The Repurchase Amount for any Repurchase Date from and
including January 30, 2028 to and including January 30, 2029 is equal to |
Callable Floating Rate Notes | PS-4 |
$980 for each $1,000 principal amount note. As a result, if
you request that we repurchase your notes on any Repurchase Date prior to January 30, 2030, the Repurchase Amount will be less than the
$1,000 principal amount note. Accordingly, you may lose some of your principal amount upon an early repurchase.
| · | THE INTEREST RATE ON THE NOTES IS BASED ON THE Benchmark Rate — The amount
of interest, if any, payable on the notes will depend on a number of factors that could affect the levels of the Benchmark Rate, and in
turn, could affect the value of the notes. These factors include (but are not limited to) the expected volatility of the Benchmark Rate,
interest and yield rates in the market generally, the performance of capital markets, monetary policies, fiscal policies, regulatory or
judicial events, inflation, general economic conditions, and public expectations with respect to such factors. These and other factors
may have a negative impact on the Benchmark Rate and on the value of the notes in the secondary market. The effect that any single factor
may have on the Benchmark Rate may be partially offset by other factors. We cannot predict the factors that may cause the Benchmark Rate,
and consequently the Interest Rate for an Interest Period, to increase or decrease. A decrease in the Benchmark Rate will result in a
reduction of the applicable Interest Rate used to calculate the Interest for any Interest Period. |
| · | FLOATING RATE NOTES DIFFER FROM FIXED RATE NOTES — The rate of interest on your notes will be variable and determined
based on the Benchmark Rate plus 0.30%, provided that this rate will not be less than the Minimum Interest Rate, which may
be less than returns otherwise payable on notes issued by us with similar maturities. You should consider, among other things, the overall
potential annual percentage rate of interest to maturity of the notes as compared to other investment alternatives. |
| · | THE BENCHMARK RATE WILL INITIALLY BE BASED ON COMPOUNDED SOFR, WHICH IS RELATIVELY NEW IN THE MARKETPLACE — For each
Interest Period, the Interest Rate is based on the Benchmark Rate, which will initially be Compounded SOFR, a compounded average of Daily
SOFR during the applicable Observation Period calculated as described under “Key Terms — Compounded SOFR” in this pricing
supplement, and not on Daily SOFR published on or in respect of a particular date during that Observation Period. For this and other reasons,
the Interest Rate for any Interest Period may not be the same as the interest rate on other investments bearing interest at a rate based
on SOFR that use an alternative method to determine the applicable interest rate, including any compounded average SOFR published by the
Federal Reserve Bank of New York (“FRBNY”). Further, if Daily SOFR in respect of a particular date during an Observation Period
is negative, the inclusion of such Daily SOFR in the calculation of Compounded SOFR for the applicable Interest Period will reduce the
Interest Rate and the interest payable on the notes for that Interest Period. |
In addition, very limited market precedent
exists for securities that use compounded SOFR as the base rate, and the method for calculating an interest rate based upon compounded
SOFR in those precedents varies. Accordingly, the specific formula and related conventions (for example, observation periods) used for
the notes may not be widely adopted by other market participants, if at all. Adoption of a different calculation method by the market
likely would adversely affect the return on, value of and market for the notes.
| · | INTEREST PAYMENTS WITH RESPECT TO EACH INTEREST PERIOD WILL BE DETERMINED ONLY NEAR THE END OF THAT INTEREST PERIOD —
The level of the Benchmark Rate applicable to each Interest Period and, therefore, the amount of interest payable with respect to that
Interest Period will be determined on the Determination Date. Because each Determination Date is near the end of the relevant Interest
Period, you will not know the amount of interest payable with respect to that Interest Period until shortly prior to the related Interest
Payment Date and it may be difficult for you to reliably estimate the amount of interest that will be payable on each Interest Payment
Date. |
| · | LONGER-DATED NOTES MAY BE RISKIER THAN SHORTER-DATED NOTES — By purchasing a note with a longer tenor, you are more exposed
to fluctuations in interest rates than if you purchased a note with a shorter tenor. The present value of a longer-dated note tends to
be more sensitive to rising interest rates than the present value of a shorter-dated note. If interest rates rise, the present value of
a longer-dated note will fall faster than the present value of a shorter-dated note. You should purchase these notes only if you are comfortable
with owning a note with a longer tenor. |
| · | THERE ARE RESTRICTIONS ON YOUR ABILITY TO REQUEST THAT WE REPURCHASE YOUR NOTES — You may submit a request to have us
repurchase your notes only annually on or after the Initial Repurchase Date. In addition, if you elect to exercise your right to have
us repurchase your notes, your request that we repurchase your notes is only valid if we receive your Repurchase Notice no earlier than
forty five business days prior to the relevant Repurchase Date and by no later than 4:00 p.m., New York City time, fifteen business days
prior to the relevant Repurchase Date and following the procedures described under “Supplemental Terms of the Notes” in this
pricing supplement, and we (or our affiliates) acknowledge receipt of the Repurchase Notice that same day. If you submit the Repurchase
Notice outside the timeframe specified above or we (or our affiliates) do not acknowledge receipt of that notice, your repurchase request
will not be effective and we will not be required to repurchase your notes on the corresponding Repurchase Date. |
Because of the timing requirements of the
Repurchase Notice, settlement of the repurchase will be prolonged when compared to a sale and settlement in the secondary market. As your
request that we repurchase your notes is irrevocable, this will subject you to market risk in the event the market fluctuates after we
receive your request. Furthermore, if we accept your repurchase request, our obligation to repurchase the notes prior to maturity will
be subject to the Business Day Convention and the Interest Accrual Convention.
| · | CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. — The notes are subject to our and JPMorgan Chase &
Co.’s credit risks, and our and JPMorgan Chase & Co.’s credit ratings and credit |
Callable Floating Rate Notes | PS-5 |
spreads may adversely affect the market value of the notes.
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. |
| · | LACK OF LIQUIDITY — The notes will not be listed on any securities exchange. JPMS intends to offer to purchase the notes
in the secondary market but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow
you to trade or sell the notes easily. Because other dealers are not likely to make a secondary market for the notes, 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. |
Risks Relating to Conflicts of
Interest
| · | POTENTIAL CONFLICTS — We and our affiliates play a variety of roles in connection with the issuance of the notes, including
acting as calculation agent and as an agent of the offering of the notes and hedging our obligations under the notes. In performing these
duties, our and JPMorgan Chase & Co.’s economic interests and the economic interests of the calculation agent and other affiliates
of ours are potentially adverse to your interests as an investor in the notes. In addition, our and JPMorgan Chase & Co.’s business
activities, including hedging and trading activities for our and JPMorgan Chase & Co.’s own accounts or on behalf of customers,
could cause our and JPMorgan Chase & Co.’s economic interests to be adverse to yours and could adversely affect any payment
on the notes and the value of 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 for additional information about
these risks. |
In addition, if the Benchmark Rate is not
published or if the calculation agent determines on or prior to a Determination Date that a Benchmark Transition Event and its related
Benchmark Replacement Date (each as defined in “Annex A — Effect of Benchmark Transition Event” in this pricing supplement)
have occurred with respect to the Benchmark Rate, then the Benchmark Rate will be determined by the alternative procedures set forth under
“What Is SOFR?” and “Annex A — Effect of Benchmark Transition Event” in this pricing supplement, which may
adversely affect the return on and the market value of the notes.
Risks Relating to Secondary Market
Prices of the Notes
| · | CERTAIN BUILT-IN COSTS ARE LIKELY TO AFFECT ADVERSELY THE VALUE OF THE NOTES PRIOR TO MATURITY — While the payment at
maturity described in this pricing supplement is based on the full principal amount of your notes, the original issue price of the notes
includes the agent’s commission and the estimated cost of hedging our obligations under the notes through one or more of our affiliates.
As a result, the price, if any, at which JPMS will be willing to purchase notes from you in secondary market transactions, if at all,
will likely be lower than the original issue price, and any sale prior to the Maturity Date could result in a substantial loss to you.
This secondary market price will also be affected by a number of factors aside from the agent’s commission and hedging costs, including
those referred to under “— Many Economic and Market Factors Will Impact the Value of the Notes” below. |
The notes are not designed to be short-term
trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
| · | MANY ECONOMIC AND MARKET FACTORS WILL IMPACT THE VALUE OF THE NOTES — In addition to the Benchmark Rate, which will initially
be Compounded SOFR, on any day, the value of the notes will be affected by a number of economic and market factors that may either offset
or magnify each other, including, but not limited to: |
| · | any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads; |
| · | the actual and expected volatility of the Benchmark Rate; |
| · | the actual or potential cessation of Compounded SOFR; |
| · | the time to maturity of the notes; |
| · | interest and yield rates in the market generally, as well as the volatility of those rates; and |
| · | a variety of economic, financial, political, regulatory or judicial events.
|
Callable Floating Rate Notes | PS-6 |
Risks Relating to the Benchmark
Rate
| · | SOFR HAS A LIMITED HISTORY AND ITS FUTURE PERFORMANCE CANNOT BE PREDICTED BASED ON HISTORICAL PERFORMANCE — The publication
of SOFR began in April 2018, and, therefore, it has a limited history. In addition, the future performance of SOFR cannot be predicted
based on the limited historical performance. The level of SOFR during the term of the notes may bear little or no relation to the historical
actual or historical indicative SOFR data. Prior observed patterns, if any, in the behavior of market variables and their relation to
SOFR, such as correlations, may change in the future. While some pre-publication historical data has been released by the Federal Reserve
Bank of New York (the “New York Fed”), production of such historical indicative SOFR data inherently involves assumptions,
estimates and approximations. No future performance of SOFR may be inferred from any of the historical actual or historical indicative
SOFR data. Hypothetical or historical performance data are not indicative of, and have no bearing on, the potential performance of SOFR.
Changes in the levels of SOFR will affect Compounded SOFR and, therefore, the return on the notes and the trading price of the notes,
but it is impossible to predict whether such levels will rise or fall. There can be no assurance that SOFR or the Benchmark Rate
will be positive. |
| · | SOFR will be affected by a number of factors — The amount of interest
payable on the notes will initially depend on SOFR. SOFR will depend on a number of factors, including, but not limited to: |
| · | supply and demand for overnight U.S. Treasury repurchase agreements; |
| · | sentiment regarding underlying strength in the U.S. and global economies; |
| · | expectations regarding the level of price inflation; |
| · | sentiment regarding credit quality in the U.S. and global credit markets; |
| · | central bank policy regarding interest rates; |
| · | inflation and expectations concerning inflation; |
| · | performance of capital markets; and |
| · | any statements from public government officials regarding the cessation of SOFR. |
These and other factors may have a negative
effect on the performance of SOFR, on the payment of interest on the notes and on the value of the notes in the secondary market.
| · | SOFR may be volatile AND MAY BE MORE VOLATILE THAN OTHER BENCHMARK OR MARKET INTEREST RATES
— SOFR is subject to volatility due to a variety of factors affecting interest rates generally, including, but not limited to: |
| · | sentiment regarding underlying strength in the U.S. and global economies; |
| · | expectations regarding the level of price inflation; |
| · | sentiment regarding credit quality in U.S. and global credit markets; |
| · | central bank policy regarding interest rates; and |
| · | performance of capital markets. |
Since the initial publication of SOFR, daily
changes in the rate have, on occasion, been more volatile than daily changes in other benchmark or market rates, such as USD LIBOR, during
corresponding periods. In addition, although changes in compounded SOFR generally are not expected to be as volatile as changes in Daily
SOFR, the return on, value of and market for the notes may fluctuate more than floating rate debt securities with interest rates based
on less volatile rates.
| · | THE COMPOSITION AND CHARACTERISTICS OF SOFR ARE NOT THE SAME AS THOSE OF LIBOR AND THERE IS NO GUARANTEE THAT SOFR (OR COMPOUNDED
SOFR) IS A COMPARABLE SUBSTITUTE FOR LIBOR — In June 2017, the Federal Reserve Bank of New York’s Alternative Reference
Rates Committee (the “ARRC”) announced SOFR as its recommended alternative to USD LIBOR. However, the composition and characteristics
of SOFR are not the same as those of USD LIBOR. SOFR is a broad Treasury repo financing rate that represents overnight secured funding
transactions and is not the economic equivalent of USD LIBOR. While SOFR is a secured rate, USD LIBOR is an unsecured rate. In addition,
while SOFR currently is an overnight rate only, USD LIBOR is a forward-looking rate that represents interbank funding for a specified
term. As a result, there can be no assurance that SOFR will perform in the same way as USD LIBOR would have at any time, including, without
limitation, as a result of changes in interest and yield rates in the market, bank credit risk, market volatility or global or regional
economic, financial, political, regulatory, judicial or other events. For the same reasons, SOFR is not expected to be a comparable substitute,
successor or replacement for USD LIBOR. See also “— Any Failure of SOFR to Gain Market Acceptance Could Adversely Affect the
Notes” below. |
| · | ANY FAILURE OF SOFR TO GAIN MARKET ACCEPTANCE COULD ADVERSELY AFFECT THE NOTES — According to the ARRC, SOFR was developed
for use in certain U.S. dollar derivatives and other financial contracts as an alternative to USD LIBOR in part because it is considered
a good representation of general funding conditions in the overnight U.S. Treasury repurchase agreement market. However, as a rate based
on transactions secured by U.S. Treasury securities, it does not measure bank-specific credit risk and, as a result, is less likely to
correlate with the unsecured short-term funding costs of banks than competing replacement rates for USD LIBOR that reflect bank-specific
credit risk. This may mean that market participants would not consider SOFR a suitable substitute, replacement or successor for all of
the purposes for which USD LIBOR historically has been used (including, without limitation, as a representation of the unsecured short-term
funding costs of banks), which may, in turn, lessen market acceptance of SOFR. Any failure of SOFR to gain market acceptance could adversely
affect the return on and value of the notes and the price at which investors can sell the notes in the secondary market. |
Callable Floating Rate Notes | PS-7 |
| · | THE SECONDARY MARKET FOR THE NOTES MAY BE LIMITED — If SOFR does not prove
to be widely used as a benchmark in securities that are similar or comparable to the notes, the trading price of the notes may be lower
than those of debt securities with interest rates based on rates that are more widely used. Similarly, market terms for debt securities
with interest rates based on SOFR, including, but not limited to, the spread over the reference rate reflected in the interest rate provisions
or manner of compounding the reference rate, may evolve over time, and as a result, trading prices of the notes may be lower than those
of later-issued debt securities that are based on SOFR. Investors in the notes may not be able to sell the notes at all or may not be
able to sell the notes at prices that will provide them with a yield comparable to similar investments that have a developed secondary
market, and may consequently suffer from increased pricing volatility and market risk. |
| · | THE ADMINISTRATOR OF SOFR MAY MAKE CHANGES THAT COULD ADVERSELY AFFECT THE LEVEL OF SOFR OR DISCONTINUE SOFR AND HAS NO OBLIGATION
TO CONSIDER YOUR INTEREST IN DOING SO — SOFR is a relatively new rate, and FRBNY (or a successor), as administrator of SOFR,
may make methodological or other changes that could change the value of SOFR, including changes related to the method by which SOFR is
calculated, eligibility criteria applicable to the transactions used to calculate SOFR, or timing related to the publication of SOFR.
If the manner in which SOFR is calculated is changed, that change may result in a reduction of the amount of interest payable on the notes,
which may adversely affect the trading prices of the notes. The administrator of SOFR may withdraw, modify, amend, suspend or discontinue
the calculation or dissemination of SOFR in its sole discretion and without notice and has no obligation to consider the interests of
holders of the notes in calculating, withdrawing, modifying, amending, suspending or discontinuing SOFR. For purposes of the formula used
to calculate interest with respect to the notes, Daily SOFR in respect of a particular date will not be adjusted for any modifications
or amendments to SOFR data that the administrator of SOFR may publish after the Interest Rate for the applicable Interest Period has been
determined. |
| · | COMPOUNDED SOFR MAY BE REPLACED BY A SUCCESSOR OR SUBSTITUTE INTEREST RATE — If the calculation agent determines that
a Benchmark Transition Event and its related Benchmark Replacement Date have occurred with respect to Compounded SOFR, then a Benchmark
Replacement will be selected by the calculation agent in accordance with the benchmark transition provisions of the notes described under
“Annex A — Effect of Benchmark Transition Event” in this pricing supplement. The selection of a Benchmark Replacement,
and any decisions, determinations or elections made by the calculation agent or by us in connection with implementing a Benchmark Replacement
with respect to the notes in accordance with the benchmark transition provisions, could result in adverse consequences to the relevant
Interest Rate on the notes during the applicable Interest Period, which could adversely affect the return on, value of and market for
the notes. Further, there is no assurance that the characteristics of any Benchmark Replacement will be similar to Compounded SOFR, or
that any Benchmark Replacement will produce the economic equivalent of Compounded SOFR. |
JPMS, an affiliate of ours, is currently
the calculation agent for the notes. In the future, we may appoint another firm, ourselves or another affiliate of ours as the calculation
agent. If the calculation agent fails to make any determination, decision or election that it is required to make pursuant to the benchmark
transition provisions described above, then we will make that determination, decision or election.
| · | UNCERTAINTY AS TO SOME OF THE POTENTIAL BENCHMARK REPLACEMENTS AND ANY BENCHMARK REPLACEMENT CONFORMING CHANGES WE MAKE MAY ADVERSELY
AFFECT THE RETURN ON AND THE MARKET VALUE OF THE NOTES — Under the benchmark transition provisions of the notes, if the calculation
agent determines that a Benchmark Transition Event and its related Benchmark Replacement Date have occurred with respect to Compounded
SOFR, then a Benchmark Replacement will be selected by the calculation agent. If a particular Benchmark Replacement or Benchmark Replacement
Adjustment cannot be determined, then the next-available Benchmark Replacement or Benchmark Replacement Adjustment will apply. These replacement
rates and adjustments may be selected or formulated by (i) the Relevant Governmental Body (such as the Alternative Reference Rates
Committee of FRBNY), (ii) ISDA or (iii) in certain circumstances, us. In addition, the benchmark transition provisions expressly authorize
us to make Benchmark Replacement Conforming Changes with respect to, among other things, the determination of Interest Periods, Observation
Periods and the timing and frequency of determining rates and making payments of interest. The application of a Benchmark Replacement
and Benchmark Replacement Adjustment, and any implementation of Benchmark Replacement Conforming Changes, could result in adverse consequences
to the amount of interest payable on the notes during the applicable Interest Period, which could adversely affect the return on, value
of and market for the notes. Further, there is no assurance that the characteristics of any Benchmark Replacement will be similar to the
then-current Benchmark that it is replacing, or that any Benchmark Replacement will produce the economic equivalent of the then-current
Benchmark that it is replacing. |
Callable Floating Rate Notes | PS-8 |
Hypothetical Interest Rate for an Interest Period
The following table illustrates the Interest Rate determination
for an Interest Period for a hypothetical range of performance of the Benchmark Rate and reflects the Minimum Interest Rate set forth
on the cover of this pricing supplement. The hypothetical Benchmark Rate and interest payments set forth in the following examples are
for illustrative purposes only and may not be the actual Benchmark Rate or interest payment applicable to a purchaser of the notes.
Hypothetical
Benchmark Rate |
|
Spread |
|
Hypothetical
Interest Rate |
9.00% |
+ |
0.30% |
= |
9.30% |
8.00% |
+ |
0.30% |
= |
8.30% |
7.00% |
+ |
0.30% |
= |
7.30% |
6.00% |
+ |
0.30% |
= |
6.30% |
5.00% |
+ |
0.30% |
= |
5.30% |
4.00% |
+ |
0.30% |
= |
4.30% |
3.00% |
+ |
0.30% |
= |
3.30% |
2.00% |
+ |
0.30% |
= |
2.30% |
1.00% |
+ |
0.30% |
= |
1.30% |
0.50% |
+ |
0.30% |
= |
0.80% |
0.00% |
+ |
0.30% |
= |
0.30% |
-0.30% |
+ |
0.30% |
= |
0.00%* |
-1.00% |
+ |
0.30% |
= |
0.00%* |
-2.00% |
+ |
0.30% |
= |
0.00%* |
*The Interest Rate cannot be less than the Minimum Interest Rate of
0.00% per annum.
Hypothetical
Examples of Interest Rate Calculation for an Interest Period
The following examples illustrate how the hypothetical Interest Rate
is calculated for a particular Interest Period and assume that that the Day Count Fraction for the applicable Interest Period is equal
to 90/360. The actual Day Count Fraction for an Interest Period will be calculated in the manner set forth in the accompanying product
supplement. The hypothetical Interest Rates in the following examples are for illustrative purposes only and may not correspond to the
actual Interest Rate for any Interest Period applicable to a purchaser of the notes. The numbers appearing in the following examples have
been rounded for ease of analysis.
Example 1: With respect to a particular Interest Period, the Benchmark
Rate is 0.50% on the applicable Determination Date. The Interest Rate applicable to this Interest Period is 0.80% per annum, calculated
as follows:
0.50% + 0.30% = 0.80%
The corresponding interest payment per $1,000 principal amount note
is calculated as follows:
$1,000 × 0.80% × (90/360) = $2.00
Example 2: With respect to a particular Interest Period, the Benchmark
Rate is -2.00% on the applicable Determination Date. Because the Benchmark Rate plus 0.30% is less than the Minimum Interest
Rate of 0.00% per annum, the Interest Rate applicable to this Interest Period is 0.00% per annum and no interest payment is made.
The hypothetical payments on the notes shown above apply only
if you hold the notes for their entire term. These hypotheticals do not reflect fees or expenses that would be associated with any
sale in the secondary market. If these fees and expenses were included, the hypothetical payments shown above would likely be lower.
Callable Floating Rate Notes | PS-9 |
What is SOFR?
SOFR is published by the Federal Reserve Bank of New York (“FRBNY”)
and is intended to be a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities. FRBNY reports that
SOFR includes all trades in the Broad General Collateral Rate, plus bilateral Treasury repurchase agreement (“repo”) transactions
cleared through the delivery-versus-payment service offered by the Fixed Income Clearing Corporation (the “FICC”), a subsidiary
of The Depository Trust & Clearing Corporation (“DTCC”). SOFR is filtered by FRBNY to remove a portion of the foregoing
transactions considered to be “specials.” According to FRBNY, “specials” are repos for specific-issue collateral
which take place at cash-lending rates below those for general collateral repos because cash providers are willing to accept a lesser
return on their cash in order to obtain a particular security.
FRBNY reports that SOFR is calculated as a volume-weighted median
of transaction-level tri-party repo data collected from The Bank of New York Mellon, which currently acts as the clearing bank for the
tri-party repo market, as well as General Collateral Finance Repo transaction data and data on bilateral Treasury repo transactions cleared
through the FICC’s delivery-versus-payment service. FRBNY notes that it obtains information from DTCC Solutions LLC, an affiliate
of DTCC.
FRBNY currently publishes SOFR daily on its website. FRBNY states
on its publication page for SOFR that use of SOFR is subject to important disclaimers, limitations and indemnification obligations, including
that FRBNY may alter the methods of calculation, publication schedule, rate revision practices or availability of SOFR at any time without
notice. Information contained in the publication page for SOFR is not incorporated by reference in, and should not be considered part
of, this pricing supplement.
“Daily SOFR” means, with respect to any U.S. Government
Securities Business Day prior to a Benchmark Replacement Date:
| · | the Secured Overnight Financing Rate published for such U.S. Government Securities Business Day as such rate appears on the SOFR Administrator's
Website at 3:00 p.m. (New York City time) on the immediately following U.S. Government Securities Business Day; or |
| · | if such rate does not so appear, the Secured Overnight Financing Rate as published in respect of the first preceding U.S. Government
Securities Business Day for which the Secured Overnight Financing Rate was published on the SOFR Administrator's Website. |
Notwithstanding the foregoing, if the calculation agent determines
on or prior to the relevant Determination Date that a Benchmark Transition Event and its related Benchmark Replacement Date (each as defined
in “Annex A — Effect of Benchmark Transition Event” in this pricing supplement) have occurred with respect to Compounded
SOFR, then the provisions set forth below under “Annex A — Effect of Benchmark Transition Event” in this pricing supplement,
which we refer to as the benchmark transition provisions, will thereafter apply to all determinations of the rate of interest payable
on the notes during the applicable Interest Period. In accordance with the benchmark transition provisions, after a Benchmark Transition
Event and its related Benchmark Replacement Date have occurred, the amount of interest that will be payable for the applicable Interest
Period on the notes will be an annual rate equal to the Benchmark Replacement (as defined in “Annex A — Effect of Benchmark
Transition Event” in this pricing supplement) plus the margin of 30 basis points (0.30%).
“SOFR Administrator” means the Federal Reserve Bank of
New York (or a successor administrator of the Secured Overnight Financing Rate); and
“SOFR Administrator's Website” means the website of the
Federal Reserve Bank of New York, or any successor source. Information contained in the SOFR Administrator Website is not incorporated
by reference in, and should not be considered part of, this pricing supplement.
All calculations of the calculation agent, in the absence of manifest
error, will be conclusive for all purposes and binding on us and holders of the notes.
JPMS, an affiliate of ours, is currently the calculation agent for
the notes. In the future, we may appoint another firm, ourselves or another affiliate of ours as the calculation agent.
See “Selected Risk Considerations — Risks Relating to
the Benchmark Rate — Compounded SOFR May Be Replaced By a Successor or Substitute Interest Rate” and “Selected Risk
Considerations — Risks Relating to the Benchmark Rate — Uncertainty as to Some of the Potential Benchmark Replacements and
Any Benchmark Replacement Conforming Changes We Make May Adversely Affect the Return on and the Market Value of the Notes” for additional
information.
Callable Floating Rate Notes | PS-10 |
Historical Information
The following graph sets forth the historical weekly performance
of Daily SOFR from April 6, 2018 through January 20, 2023. Daily SOFR on January 25, 2023 was 4.31%. We obtained the levels of Daily SOFR
above and below from the Bloomberg Professional® service (“Bloomberg”), without independent verification.
The historical rates do not reflect the daily compounding method
used to calculate Compounded SOFR. The historical rates should not be taken as an indication of future performance, and no assurance
can be given as to the level of Compounded SOFR or any Benchmark Replacement on any Determination Date. There can be no assurance that
the performance of Compounded SOFR will result in an Interest Rate for any Interest Period that is greater than the Minimum Interest Rate.
Material U.S. Federal
Income Tax Consequences
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences,” and in particular the subsection thereof entitled “Tax Consequences to U.S. Holders
— Notes Treated as Variable Rate Debt Instruments,” in the accompanying product supplement no. 1-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.
The notes will be treated as “variable rate debt instruments”
that provide for a single qualified floating rate (“QFR”) for U.S. federal income tax purposes. We expect that the notes will
be issued without original issue discount and that the interest on the notes generally will be taxable to you as ordinary interest income
at the time that it accrues or is received, in accordance with your method of tax accounting.
Supplemental Plan
of Distribution
We expect that delivery of the notes will be made against payment
for the notes on or about the Original Issue Date set forth on the front cover of this pricing supplement, which will be the third business
day following the Pricing Date of the notes (this settlement cycle being referred to as “T+3”). Under Rule 15c6-1 of the Securities
Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in two business days, unless the parties
to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade notes on any date prior to two business days before
delivery will be required to specify an alternate settlement cycle at the time of any such trade to prevent a failed settlement and should
consult their own advisors.
Supplemental Information
About the Form of the Notes
The notes will initially be represented by a type of global security
that we refer to as a master note. A master note represents multiple securities that may be issued at different times and that may have
different terms. The trustee and/or paying agent will, in accordance with instructions from us, make appropriate entries or notations
in its records relating to the master note representing the notes to indicate that the master note evidences the notes.
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
Callable Floating Rate Notes | PS-11 |
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 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.
Callable Floating Rate Notes | PS-12 |
Annex A — Effect
of Benchmark Transition Event
Benchmark Replacement. If the calculation agent determines
that a Benchmark Transition Event and its related Benchmark Replacement Date have occurred at or prior to the Reference Time in respect
of any determination of the Benchmark Rate on any date, the Benchmark Replacement will replace the then-current Benchmark Rate for all
purposes relating to the notes during the applicable Interest Period in respect of such determination on such date and all determinations
on all subsequent dates.
Benchmark Replacement Conforming Changes. In connection with
the implementation of a Benchmark Replacement, we will have the right to make Benchmark Replacement Conforming Changes from time to time.
Decisions and Determinations. Any determination, decision
or election that may be made by us or by the calculation agent pursuant to the benchmark transition provisions described herein, including
any determination with respect to a tenor, rate or adjustment or of the occurrence or non-occurrence of an event, circumstance or date
and any decision to take or refrain from taking any action or any selection:
| · | will be conclusive and binding absent manifest error; |
| · | if made by us, will be made in our sole discretion; |
| · | if made by the calculation agent, will be made after consultation with us, and the calculation agent will not make any such determination,
decision or election to which we reasonably object; and |
| · | notwithstanding anything to the contrary in the indenture or the notes, shall become effective without consent from the holders of
the notes or any other party. |
If the calculation agent does not make any determination, decision
or election that it is required to make pursuant to the benchmark transition provisions, then we will make that determination, decision
or election on the same basis as described above.
Certain Defined Terms. As used herein:
“Benchmark Rate” means, initially, Compounded SOFR;
provided that if a Benchmark Transition Event and its related Benchmark Replacement Date have occurred with respect to Compounded
SOFR (or the published daily SOFR used in the calculation thereof) or the then-current Benchmark Rate, then “Benchmark Rate”
means the applicable Benchmark Replacement.
“Benchmark Replacement” means the first alternative
set forth in the order below that can be determined by the calculation agent as of the Benchmark Replacement Date:
| (1) | the sum of: (a) the alternate rate of interest that has been selected or recommended by the Relevant Governmental Body as the replacement
for the then-current Benchmark Rate and (b) the Benchmark Replacement Adjustment; |
| (2) | the sum of: (a) the ISDA Fallback Rate and (b) the Benchmark Replacement Adjustment; |
| (3) | the sum of: (a) the alternate rate of interest that has been selected by us as the replacement for the then-current Benchmark Rate
giving due consideration to any industry-accepted rate of interest as a replacement for the then-current Benchmark Rate for U.S. dollar-denominated
floating rate notes at such time and (b) the Benchmark Replacement Adjustment. |
“Benchmark Replacement Adjustment” means the first alternative
set forth in the order below that can be determined by the calculation agent as of the Benchmark Replacement Date:
| (1) | the spread adjustment (which may be a positive or negative value or zero), or method for calculating or determining such spread adjustment,
that has been selected or recommended by the Relevant Governmental Body for the applicable Unadjusted Benchmark Replacement; |
| (2) | if the applicable Unadjusted Benchmark Replacement is equivalent to the ISDA Fallback Rate, then the ISDA Fallback Adjustment; |
| (3) | the spread adjustment (which may be a positive or negative value or zero) that has been selected by us giving due consideration to
any industry-accepted spread adjustment, or method for calculating or determining such spread adjustment, for the replacement of the then-current
Benchmark Rate with the applicable Unadjusted Benchmark Replacement for U.S. dollar-denominated floating rate notes at such time. |
“Benchmark Replacement Conforming Changes” means, with
respect to any Benchmark Replacement, any technical, administrative or operational changes (including changes to the definitions of “Interest
Period,” “Observation Period,” timing and frequency of determining rates and making payments of interest, rounding of
amounts or tenors, and other administrative matters) that we decide may be appropriate to reflect the adoption of such Benchmark Replacement
in a manner substantially consistent with market practice (or, if we decide that adoption of any portion of such market practice is not
administratively feasible or if we determine that no market practice for use of the Benchmark Replacement exists, in such other manner
as we determine is reasonably necessary).
“Benchmark Replacement Date” means the earliest to occur
of the following events with respect to the then-current Benchmark:
| (1) | in the case of clause (1) or (2) of the definition of “Benchmark Transition Event,” the later of (a) the date of the public
statement or publication of information referenced therein and (b) the date on which the |
Callable Floating Rate Notes | PS-13 |
administrator of the Benchmark Rate permanently
or indefinitely ceases to provide the Benchmark Rate; or
| (2) | in the case of clause (3) of the definition of “Benchmark Transition Event,” the date of the public statement or publication
of information referenced therein. |
For the avoidance of doubt, if the event giving rise to the Benchmark
Replacement Date occurs on the same day as, but earlier than, the Reference Time in respect of any determination, the Benchmark Replacement
Date will be deemed to have occurred prior to the Reference Time for such determination.
“Benchmark Transition Event” means the occurrence of
one or more of the following events with respect to the then-current Benchmark Rate:
| (1) | a public statement or publication of information by or on behalf of the administrator of the Benchmark Rate announcing that such administrator
has ceased or will cease to provide the Benchmark Rate, permanently or indefinitely, provided that, at the time of such statement
or publication, there is no successor administrator that will continue to provide the Benchmark Rate; |
| (2) | a public statement or publication of information by the regulatory supervisor for the administrator of the Benchmark Rate, the central
bank for the currency of the Benchmark Rate, an insolvency official with jurisdiction over the administrator for the Benchmark Rate, a
resolution authority with jurisdiction over the administrator for the Benchmark Rate or a court or an entity with similar insolvency or
resolution authority over the administrator for the Benchmark Rate, which states that the administrator of the Benchmark Rate has ceased
or will cease to provide the Benchmark Rate permanently or indefinitely, provided that, at the time of such statement or publication,
there is no successor administrator that will continue to provide the Benchmark Rate; or |
| (3) | a public statement or publication of information by the regulatory supervisor for the administrator of the Benchmark Rate announcing
that the Benchmark Rate is no longer representative. |
“ISDA Definitions” means the 2006 ISDA Definitions published
by the International Swaps and Derivatives Association, Inc. or any successor thereto, as amended or supplemented from time to time, or
any successor definitional booklet for interest rate derivatives published from time to time.
“ISDA Fallback Adjustment” means the spread adjustment
(which may be a positive or negative value or zero) that would apply for derivatives transactions referencing the ISDA Definitions to
be determined upon the occurrence of an index cessation event with respect to the Benchmark for the applicable tenor.
“ISDA Fallback Rate” means the rate that would apply
for derivatives transactions referencing the ISDA Definitions to be effective upon the occurrence of an index cessation date with respect
to the Benchmark for the applicable tenor excluding the applicable ISDA Fallback Adjustment.
“Reference Time” with respect to any determination of
the Benchmark Rate means (1) if the Benchmark Rate is Compounded SOFR, 3:00 p.m. New York time on the relevant Determination Date, and
(2) if the Benchmark Rate is not Compounded SOFR, the time determined by the calculation agent in accordance with the Benchmark Replacement
Conforming Changes.
“Relevant Governmental Body” means the Federal Reserve
Board and/or the Federal Reserve Bank of New York, or a committee officially endorsed or convened by the Federal Reserve Board and/or
the Federal Reserve Bank of New York or any successor thereto.
“Unadjusted Benchmark Replacement” means the Benchmark
Replacement excluding the Benchmark Replacement Adjustment.
Callable Floating Rate Notes | PS-14 |
Annex B
FORM OF REPURCHASE NOTICE
To: rates_repurchase@jpmorgan.com
Subject: Floating Rate Notes due January 30, 2063, CUSIP No. 48133U2M3
Ladies and Gentlemen:
The undersigned holder of JPMorgan Chase Financial
Company LLC’s Medium-Term Notes, Series A, Floating Rate Notes due January 30, 2063, CUSIP No. 48133U2M3 (the “notes”)
hereby irrevocably elects to exercise, with respect to the number of the notes indicated below, as of the date hereof, the right to have
you repurchase such notes on the Repurchase Date specified below as described in the pricing supplement dated January 25, 2023 relating
to the notes (the “Supplement”). Terms not defined herein have the meanings given to such terms in the Supplement.
The undersigned certifies to you that it will
(i) instruct its DTC custodian with respect to the notes (specified below) to book a delivery versus payment trade on the relevant Repurchase
Date with respect to the number of notes specified below at a price per $1,000 principal amount note determined in the manner described
in the Supplement, facing DTC 352 and (ii) cause the DTC custodian to deliver the trade as booked for settlement via DTC at or prior to
10:00 a.m. New York City time, on the Repurchase Date.
Very truly yours,
[NAME OF HOLDER]
Name:
Title:
Telephone:
Fax:
Email:
Number of Notes surrendered for Repurchase:
Applicable Repurchase Date: _________________, 20__*
DTC # (and any relevant sub-account):
Contact Name:
Telephone:
Acknowledgment: I acknowledge that the notes specified above will not
be repurchased unless all of the requirements specified in the Supplement are satisfied, including the acknowledgment by you or your affiliate
of the receipt of this notice on the date hereof.
Questions regarding the repurchase requirements of your notes should
be directed to rates_repurchase@jpmorgan.com.
*Subject to adjustment as described in the Supplement.
Callable Floating Rate Notes | PS-15 |
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