Key Terms
Issuer: |
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co. |
Guarantor: |
JPMorgan Chase & Co. |
Index: |
The S&P 500® Index (Bloomberg Ticker: SPX) |
Contingent Interest Payments: |
If the notes have not been automatically called and (1) with respect to any
Review Date (other than the final Review Date), the closing level of the Index on that Review Date or, (2) with respect to the final Review
Date, the Ending Index Level is greater than or equal to the Interest Barrier, you will receive on the applicable Interest Payment Date
for each $1,000 principal amount note a Contingent Interest Payment equal to at least $25.625*, plus any previously unpaid Contingent
Interest Payments for any prior Review Dates.
* The actual Contingent Interest Payment will be provided in the pricing
supplement and will not be less than $25.625 per $1,000 principal amount note.
If the Contingent Interest Payment is not paid on any Interest Payment
Date, that unpaid Contingent Interest Payment will be paid on a later Interest Payment Date if the closing level of the Index on the Review
Date related to that later Interest Payment Date is greater than or equal to the Interest Barrier.
You will not receive any unpaid Contingent Interest Payments if the closing level of the Index or the Ending Index Level, as applicable,
on each subsequent Review Date is less than the Interest Barrier. |
Interest Barrier / Trigger Level: |
3,214.216,
which is an amount that represents 80.00% of the Index Strike Level |
Automatic Call: |
If, with respect to any Review Date (other than the final Review Date), the closing level of the Index is greater than or equal to the Index Strike Level, the notes will be automatically called for a cash payment, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to that Review Date plus (c) any previously unpaid Contingent Interest Payments for any prior Review Dates, payable on the applicable Call Settlement Date. |
Payment at Maturity:
|
If the notes have not been automatically called and a Trigger Event has not occurred, you will receive a cash payment at maturity, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to the final Review Date plus (c) any previously unpaid Contingent Interest Payments for any prior Review Dates. |
If the notes have not been automatically called and a Trigger Event has occurred, at maturity you will lose 1% of the principal amount of your notes for every 1% that the Ending Index Level is less than the Index Strike Level. Under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows: |
$1,000 + ($1,000 × Index Return) |
If the notes have not been automatically called and a Trigger Event has occurred, you will lose more than 20.00% of the principal amount of your notes at maturity and could lose all of the principal amount of your notes at maturity. |
Trigger Event: |
A Trigger Event occurs if the Ending Index Level (i.e., the closing level of the Index on the Valuation Date) is less than the Trigger Level. |
Index Return: |
(Ending Index Level
– Index Strike Level)
Index Strike Level |
Index Strike Level: |
4,017.77, the closing level of the Index on the Strike
Date. The Index Strike Level is not determined by reference to the closing level of the Index on the Pricing Date. |
Ending Index Level: |
The closing level of the Index on the Valuation Date |
Strike Date: |
January 30, 2023 |
Pricing Date: |
On or about January 31, 2023 |
Original Issue Date (Settlement Date): |
On or about February 3, 2023 |
Review Dates†: |
May 15, 2023, August 14, 2023, November 13, 2023 and February 12, 2024 (final Review Date) |
Valuation Date†: |
February 12, 2024 |
Interest Payment Dates†: |
May 18, 2023, August 17, 2023, November 16, 2023 and the Maturity Date |
Call Settlement Date†: |
If the notes are automatically called on any Review Date (other than the final Review Date), the first Interest Payment Date immediately following that Review Date |
Maturity Date†: |
February 15, 2024 |
CUSIP: |
48133TT47 |
| † | Subject to postponement in the event of certain market disruption
events and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single
Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General Terms of Notes —
Postponement of a Payment Date” in the accompanying product supplement. |
Investing in the notes involves a number of risks. See “Risk Factors”
beginning on page PS-12 of the accompanying product supplement, “Risk Factors” beginning on page US-3 of the accompanying
underlying supplement and “Selected Risk Considerations” beginning on page PS-5 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”) nor
any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing supplement
or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation to the contrary
is a criminal offense.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
Per note |
$1,000 |
$ |
$ |
Total |
$ |
$ |
$ |
| (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 it receives from us to other affiliated or unaffiliated dealers.
In no event will these selling commissions exceed $10.00 per $1,000 principal amount note. See “Plan of Distribution (Conflicts
of Interest)” in the accompanying product supplement. |
If the notes priced today, the estimated value of the notes would be
approximately $981.20 per $1,000 principal amount note. The estimated value of the notes, when the terms of the notes are set, will be
provided in the pricing supplement and will not be less than $970.00 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.
Additional Terms
Specific to the Notes
You may revoke your offer to purchase the notes at any time prior
to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of, or reject any
offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes, we will notify you and you
will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes, in which case we may
reject your offer to purchase.
You should read this pricing supplement together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes, of which these notes
are a part, and the more detailed information contained in the accompanying product supplement and the accompanying underlying supplement.
This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all other prior or
contemporaneous oral statements as 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 product
supplement and the accompanying underlying supplement as the notes involve risks not associated with conventional debt securities. We
urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes.
You may access these documents
on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC
website):
Our Central Index Key, or CIK, on the SEC website is 1665650, and
JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us” and “our”
refer to JPMorgan Financial.
JPMorgan Structured Investments — | PS-1 |
Auto Callable Contingent Interest Notes Linked to the S&P 500® Index | |
What Are the Payments on the Notes, Assuming
a Range of Performances for the Index?
If the notes have not been automatically called and, (1) with
respect to any Review Date (other than the final Review Date), the closing level of the Index or, (2) with respect to the final Review
Date, the Ending Index Level is greater than or equal to the Interest Barrier, you will receive on the applicable Interest Payment Date
for each $1,000 principal amount note a Contingent Interest Payment equal to at least $25.625 plus any previously unpaid Contingent
Interest Payments for any prior Review Dates. The actual Contingent Interest Payment will be provided in the pricing supplement
and will not be less than $25.625 per $1,000 principal amount note. If, (1) with respect to any Review Date (other than the final
Review Date), the closing level of the Index or, (2) with respect to the final Review Date, the Ending Index Level is less than the Interest
Barrier, no Contingent Interest Payment will be made with respect to that Review Date. We refer to the Interest Payment Date immediately
following any Review Date on which the closing level of the Index or the Ending Index Level, as applicable, is less than the Interest
Barrier, and for which no Contingent Interest Payment subsequently becomes payable on any later Interest Payment Date, as a “No-Coupon
Date.” The following table assumes a Contingent Interest Payment of $25.625 per $1,000 principal amount note and illustrates the
hypothetical total Contingent Interest Payments per $1,000 principal amount note over the term of the notes depending on how many No-Coupon
Dates occur.
Number of
No-Coupon Dates |
Total Contingent
Coupon Payments |
0 No-Coupon Dates |
$102.500 |
1 No-Coupon Date |
$76.875 |
2 No-Coupon Dates |
$51.250 |
3 No-Coupon Dates |
$25.625 |
4 No-Coupon Dates |
$0.000 |
The following table illustrates the hypothetical payments
on the notes in different hypothetical scenarios. Each hypothetical payment set forth below assumes an Index Strike Level of 4,000, an
Interest Barrier and a Trigger Level of 3,200.00 (equal to 80.00% of the hypothetical Index Strike Level) and a Contingent Interest Payment
of $25.625. The actual Contingent Interest Payment will be provided in the pricing supplement and will not be less than $25.625 per $1,000
principal amount note. Each hypothetical payment set forth below is for illustrative purposes only and may not be the actual payment applicable
to a purchaser of the notes. The numbers appearing in the following table and examples have been rounded for ease of analysis.
|
Review Dates Prior to the Final Review
Date |
Final Review Date |
Closing Level
of the Index |
Appreciation /
Depreciation of the
Index at Review
Date |
Payment on
Interest Payment
Date or Call
Settlement Date
(1)(2) |
Ending
Index Level |
Index Return |
Payment at
Maturity If a
Trigger Event
Has Not
Occurred (2)(3) |
Payment at
Maturity If a
Trigger Event
Has Occurred
(3) |
7,200.00 |
80.00% |
$1,025.625 |
7,200.00 |
80.00% |
$1,025.625 |
N/A |
6,800.00 |
70.00% |
$1,025.625 |
6,800.00 |
70.00% |
$1,025.625 |
N/A |
6,400.00 |
60.00% |
$1,025.625 |
6,400.00 |
60.00% |
$1,025.625 |
N/A |
6,000.00 |
50.00% |
$1,025.625 |
6,000.00 |
50.00% |
$1,025.625 |
N/A |
5,600.00 |
40.00% |
$1,025.625 |
5,600.00 |
40.00% |
$1,025.625 |
N/A |
5,200.00 |
30.00% |
$1,025.625 |
5,200.00 |
30.00% |
$1,025.625 |
N/A |
4,800.00 |
20.00% |
$1,025.625 |
4,800.00 |
20.00% |
$1,025.625 |
N/A |
4,600.00 |
15.00% |
$1,025.625 |
4,600.00 |
15.00% |
$1,025.625 |
N/A |
4,400.00 |
10.00% |
$1,025.625 |
4,400.00 |
10.00% |
$1,025.625 |
N/A |
4,200.00 |
5.00% |
$1,025.625 |
4,200.00 |
5.00% |
$1,025.625 |
N/A |
4,000.00 |
0.00% |
$1,025.625 |
4,000.00 |
0.00% |
$1,025.625 |
N/A |
3,800.00 |
-5.00% |
$25.625 |
3,800.00 |
-5.00% |
$1,025.625 |
N/A |
3,600.00 |
-10.00% |
$25.625 |
3,600.00 |
-10.00% |
$1,025.625 |
N/A |
3,200.00 |
-20.00% |
$25.625 |
3,200.00 |
-20.00% |
$1,025.625 |
N/A |
3,199.60 |
-20.01% |
N/A |
3,199.60 |
-20.01% |
N/A |
$799.90 |
2,800.00 |
-30.00% |
N/A |
2,800.00 |
-30.00% |
N/A |
$700.00 |
2,400.00 |
-40.00% |
N/A |
2,400.00 |
-40.00% |
N/A |
$600.00 |
2,000.00 |
-50.00% |
N/A |
2,000.00 |
-50.00% |
N/A |
$500.00 |
1,600.00 |
-60.00% |
N/A |
1,600.00 |
-60.00% |
N/A |
$400.00 |
1,200.00 |
-70.00% |
N/A |
1,200.00 |
-70.00% |
N/A |
$300.00 |
800.00 |
-80.00% |
N/A |
800.00 |
-80.00% |
N/A |
$200.00 |
400.00 |
-90.00% |
N/A |
400.00 |
-90.00% |
N/A |
$100.00 |
0.00 |
-100.00% |
N/A |
0.00 |
-100.00% |
N/A |
$0.00 |
(1) The notes will be automatically
called if the closing level of the Index on any Review Date (other than the final Review Date) is greater than or equal to the Index Strike
Level.
(2) You will receive a Contingent Interest
Payment in connection with a Review Date if, (1) with respect to any Review Date (other than the final Review Date), the closing level
of the Index or, (2) with respect to the final Review Date, the Ending Index Level is greater than or equal to the Interest Barrier plus
any previously unpaid Contingent Interest Payments for any prior Review Dates. The applicable amount shown in the table above does not
include any previously unpaid Contingent Interest Payments that may be payable on the applicable Interest Payment Date.
(3) A Trigger Event occurs if the Ending
Index Level (i.e., the closing level of the Index on the Valuation Date) is less than the Trigger Level.
JPMorgan Structured Investments — | PS-2 |
Auto Callable Contingent Interest Notes Linked to the S&P 500® Index | |
Hypothetical Examples of Amounts Payable
on the Notes
The following examples illustrate how payments on the notes
in different hypothetical scenarios are calculated.
Example 1: The level of the Index increases from the
Index Strike Level of 4,000.00 to a closing level of 4,800.00 on the first Review Date. Because the closing level of the Index on
the first Review Date is greater than the Interest Barrier, the investor is entitled to receive a Contingent Interest Payment in connection
with the first Review Date. In addition, because the closing level of the Index on the first Review Date is greater than the Index Strike
Level, the notes are automatically called. Accordingly, the investor receives a payment of $1,025.625 per $1,000 principal amount note
on the relevant Call Settlement Date, consisting of a Contingent Interest Payment of $25.625 per $1,000 principal amount note and repayment
of principal equal to $1,000.00 per $1,000 principal amount note. As a result, the total amount paid on the notes over the term of the
notes is $1,025.625 per $1,000 principal amount note.
Example 2: A Contingent Interest Payment is not paid
in connection with the first Review Date but is paid in connection with the second Review Date, the closing level of the Index is less
than the Index Strike Level of 4,000.00 on each of the Review Dates preceding the third Review Date and the level of the Index increases
from the Index Strike Level of 4,000.00 to a closing level of 4,800.00 on the third Review Date. The investor receives a payment of
$51.25 per $1,000 principal amount note in connection with the second Review Date (reflecting the Contingent Interest Payment for the
second Review Date and the unpaid Contingent Interest Payment for the first Review Date), but the notes are not automatically called on
any of the Review Dates preceding the third Review Date because the closing level of the Index is less than the Index Strike Level on
each of the Review Dates preceding the third Review Date. Because the closing level of the Index on the third Review Date is greater than
the Interest Barrier, the investor is entitled to receive a Contingent Interest Payment in connection with the third Review Date. In addition,
because the closing level of the Index on the third Review Date is greater than the Index Strike Level, the notes are automatically called.
Accordingly, the investor receives a payment of $1,025.625 per $1,000 principal amount note on the relevant Call Settlement Date, consisting
of a Contingent Interest Payment of $25.625 per $1,000 principal amount note and repayment of principal equal to $1,000 per $1,000 principal
amount note. As a result, the total amount paid on the notes over the term of the notes is $1,076.875 per $1,000 principal amount
note.
Example 3: The notes are not automatically called prior
to maturity, Contingent Interest Payments are paid in connection with each of the Review Dates preceding the final Review Date and the
level of the Index increases from the Index Strike Level of 4,000.00 to an Ending Index Level of 4,800.00 — A Trigger Event has
not occurred. The investor receives a payment of $25.625 per $1,000 principal amount note in connection with each of the Review Dates
preceding the final Review Date. Because the notes are not automatically called prior to maturity and a Trigger Event has not occurred,
the investor receives at maturity a payment of $1,025.625 per $1,000 principal amount note. This payment consists of a Contingent Interest
Payment of $25.625 per $1,000 principal amount note and repayment of principal equal to $1,000 per $1,000 principal amount note. The total
amount paid on the notes over the term of the notes is $1,102.50 per $1,000 principal amount note. This represents the maximum total
payment an investor may receive over the term of the notes.
Example 4: The notes are not automatically called prior
to maturity, a Contingent Interest Payment is paid in connection with the second Review Date but not paid in connection with the first
or third Review Dates and the level of the Index decreases from the Index Strike Level of 4,000.00 to an Ending Index Level of 3,200.00
— A Trigger Event has not occurred. The investor receives a payment of $51.25 per $1,000 principal amount note in connection
with the second Review Date (reflecting the Contingent Interest Payment for the second Review Date and the unpaid Contingent Interest
Payment for the first Review Date). Because the notes are not automatically called prior to maturity and a Trigger Event has not occurred,
even though the Ending Index Level is less than the Index Strike Level, the investor receives at maturity a payment of $1,051.25 per $1,000
principal amount note. This payment consists of Contingent Interest Payments of $51.25 per $1,000 principal amount note (reflecting the
Contingent Interest Payment for the final Review Date and the unpaid Contingent Interest Payment for the third Review Date) and repayment
of principal equal to $1,000 per $1,000 principal amount note. The total amount paid on the notes over the term of the notes is $1,102.50
per $1,000 principal amount note. This represents the maximum total payment an investor may receive over the term of the notes.
Example 5: The notes are not automatically called prior
to maturity, Contingent Interest Payments are paid in connection with each of the Review Dates preceding the final Review Date and the
level of the Index decreases from the Index Strike Level of 4,000.00 to an Ending Index Level of 1,600.00— A Trigger Event has occurred.
The investor receives a payment of $25.625 per $1,000 principal amount note in connection with each of the Review Dates preceding the
final Review Date. Because the notes are not automatically called prior to maturity, a Trigger Event has occurred and the Index Return
is -60.00%, the investor receives at maturity a payment of $400.00 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × -60.00%) = $400.00
The total value of the payments on the notes over the term
of the notes is $476.875 per $1,000 principal amount note.
Example 6: The notes are not automatically called prior
to maturity, no Contingent Interest Payments are paid in connection with the Review Dates preceding the final Review Date and the level
of the Index decreases from the Index Strike Level of 4,000.00 to an Ending Index Level of 1,200.00— A Trigger Event has occurred.
Because the notes are not automatically called prior to maturity, no Contingent Interest Payments are paid in connection with the Review
Dates preceding the final Review Date, a Trigger Event has occurred and the Index Return is -70.00%, the investor receives no payments
over the term of the notes, other than a payment at maturity of $300.00 per $1,000 principal amount note, calculated as follows:
JPMorgan Structured Investments — | PS-3 |
Auto Callable Contingent Interest Notes Linked to the S&P 500® Index | |
$1,000 + ($1,000 × -70.00%) = $300.00
The hypothetical payments on the notes shown above apply
only if you hold the notes for their entire term or until automatically called. These hypotheticals do not reflect 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.
Selected Purchase Considerations
| · | CONTINGENT INTEREST PAYMENTS — The notes offer
the potential to earn a Contingent Interest Payment in connection with each Review Date of at least $25.625* per $1,000 principal amount
note. If the notes have not been automatically called and, (1) with respect to any Review Date (other than the final Review Date), the
closing level of the Index or, (2) with respect to the final Review Date, the Ending Index Level is greater than or equal to the Interest
Barrier, you will receive on the applicable Interest Payment Date a Contingent Interest Payment for that Review Date plus any previously
unpaid Contingent Interest Payments for any prior Review Dates. If, (1) with respect to any Review Date (other than the final Review Date),
the closing level of the Index or, (2) with respect to the final Review Date, the Ending Index Level is less than the Interest Barrier,
no Contingent Interest Payment will be made with respect to that Review Date. You will not receive any unpaid Contingent Interest Payments
if the closing level of the Index or the Ending Index Level, as applicable, on each subsequent Review Date is less than the Interest Barrier.
If the closing level of the Index or the Ending Index Level, as applicable, on each Review Date is less than the Interest Barrier, you
will not receive any Contingent Interest Payments over the term of the notes. If payable, a Contingent Interest Payment will be made to
the holders of record at the close of business on the business day immediately preceding the applicable Interest Payment Date. 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. |
* The actual Contingent Interest Payment
will be provided in the pricing supplement and will not be less than $25.625 per $1,000 principal amount note.
| · | POTENTIAL EARLY EXIT AS A RESULT OF THE AUTOMATIC CALL
FEATURE — If the closing level of the Index on any Review Date (other than the final Review Date) is greater than or equal to
the Index Strike Level, your notes will be automatically called prior to the Maturity Date. Under these circumstances, you will receive
a cash payment, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable
to that Review Date plus (c) any previously unpaid Contingent Interest Payments for any prior Review Dates, payable on the applicable
Call Settlement Dates. Even in cases where the notes are called before maturity, you are not entitled to any fees and commissions described
on the front cover of this pricing supplement. |
| · | THE NOTES DO NOT GUARANTEE THE RETURN OF YOUR PRINCIPAL
IF THE NOTES HAVE NOT BEEN AUTOMATICALLY CALLED — If the notes have not been automatically called, we will pay you your principal
back at maturity only if a Trigger Event has not occurred. However, if the notes have not been automatically called and a Trigger Event
has occurred, you will lose more than 20.00% of the principal amount of your notes at maturity and could lose all of the principal amount
of your notes at maturity. |
| · | RETURN LINKED TO THE S&P 500® INDEX
— The return on the notes is linked to the S&P 500® Index. 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. |
| · | TAX TREATMENT — You should review carefully
the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-II. In determining
our reporting responsibilities we intend to treat (i) the notes for U.S. federal income tax purposes as prepaid forward contracts with
associated contingent coupons and (ii) any Contingent Interest Payments as ordinary income, as described in the section entitled “Material
U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid Forward Contracts with
Associated Contingent Coupons” in the accompanying product supplement. Based on the advice of Latham & Watkins LLP, our special
tax counsel, we believe that this is a reasonable treatment, but that there are other reasonable treatments that the IRS or a court may
adopt, in which case the timing and character of any income or loss on the notes could be materially affected. In addition, in 2007 Treasury
and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts”
and similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over the
term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect
to these instruments and the relevance of factors such as the nature of the underlying property to which the instruments are linked. While
the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated
after consideration of these issues could materially affect the tax consequences of an investment in the notes, possibly with retroactive
effect. The discussions above and in the accompanying product supplement do not address the consequences to taxpayers subject to special
tax accounting rules under Section 451(b) of the Code. You should consult your tax adviser regarding the U.S. federal income tax consequences
of an investment in the notes, including possible alternative treatments and the issues presented by the notice described above. |
Non-U.S. Holders — Tax Considerations.
The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and although we believe it is reasonable to take
a position that Contingent Interest Payments are not subject to U.S. withholding tax (at least if an applicable Form W-8 is provided),
it is expected that withholding agents will (and we, if we are the withholding agent, intend to) withhold on these payments paid to a
Non-U.S. Holder generally at a rate of 30% or at a reduced rate specified by an applicable income tax treaty under an “other income”
or similar provision. We will not be required to pay any additional amounts with respect to amounts withheld. In order to claim an exemption
from, or a
JPMorgan Structured Investments — | PS-4 |
Auto Callable Contingent Interest Notes Linked to the S&P 500® Index | |
reduction in, the 30% withholding tax, a Non-U.S. Holder of
the notes must comply with certification requirements to establish that it is not a U.S. person and is eligible for such an exemption
or reduction under an applicable tax treaty. If you are a Non-U.S. Holder, you should consult your tax adviser regarding the tax treatment
of the notes, including the possibility of obtaining a refund of any withholding tax and the certification requirement described above.
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 (such an index, a “Qualified Index”). Additionally,
a recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2025 that do not have a delta of
one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying
Security”). Based on certain determinations made by us, we expect that Section 871(m) will not apply to the notes with regard to
Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex
and its application may depend on your particular circumstances, including whether you enter into other transactions with respect to an
Underlying Security. If necessary, further information regarding the potential application of Section 871(m) will be provided in the pricing
supplement for the notes. You should consult your tax adviser regarding the potential application of Section 871(m) to the notes.
FATCA. Withholding under legislation
commonly referred to as “FATCA” could apply to payments with respect to the notes that are treated as U.S.-source “fixed
or determinable annual or periodical” income (“FDAP Income”) for U.S. federal income tax purposes (such as interest,
if the notes are recharacterized, in whole or in part, as debt instruments, or Contingent Interest Payments if they are otherwise treated
as FDAP Income). If the notes are recharacterized, in whole or in part, as debt instruments, withholding could also apply to payments
of gross proceeds of a taxable disposition, including an early redemption or redemption at maturity, although under recently proposed
regulations (the preamble to which specifies that taxpayers are permitted to rely on them pending finalization), no withholding will apply
to payments of gross proceeds (other than any amount treated as FDAP Income). You should consult your tax adviser regarding the potential
application of FATCA to the notes.
In the event of any withholding on the notes,
we will not be required to pay any additional amounts with respect to amounts so withheld.
Selected Risk Considerations
An investment in the notes involves significant risks.
Investing in the notes is not equivalent to investing directly in the Index or any of the equity securities included in the Index. These
risks are explained in more detail in the “Risk Factors” sections of the accompanying product supplement and the accompanying
underlying supplement.
Risks Relating to the Notes Generally
| · | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — The notes do not guarantee any return of principal. If the notes
have not been automatically called and a Trigger Event has occurred, you will lose 1% of the principal amount of your notes at maturity
for every 1% that the Ending Index Level is less than the Index Strike Level. Under these circumstances, you will lose more than 20.00%
of your principal amount at maturity and could lose all of the principal amount of your notes at maturity. |
| · | THE NOTES DO NOT GUARANTEE
THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL — The terms of the notes differ from those of conventional debt
securities in that, among other things, whether we pay interest is linked to the performance of the Index. Contingent Interest Payments
should not be viewed as periodic interest payments. If the notes have not been automatically called and if, (1) with respect to any Review
Date (other than the final Review Date), the closing level of the Index or, (2) with respect to the final Review Date, the Ending Index
Level is greater than or equal to the Interest Barrier, we will make a Contingent Interest Payment with respect to that Review Date (and
will pay you any previously unpaid Contingent Interest Payments for any prior Review Dates). If, (1) with respect to any Review Date (other
than the final Review Date), the closing level of the Index or, (2) with respect to the final Review Date, the Ending Index Level is less
than the Contingent Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date. You will not receive
any unpaid Contingent Interest Payments if the closing level of the Index or the Ending Index Level, as applicable, on each subsequent
Review Date is less than the Interest Barrier. Accordingly, if, (1) with respect to any Review Date (other than the final Review Date),
the closing level of the Index or, (2) with respect to the final Review Date, the Ending Index Level is less than the Interest Barrier,
you will not receive any Contingent Interest Payments over the term of the notes. |
| · | 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 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 |
JPMorgan Structured Investments — | PS-5 |
Auto Callable Contingent Interest Notes Linked to the S&P 500® Index | |
these affiliates do not make payments to us and we fail to make
payments on the notes, you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank
pari passu with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
| · | THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY
EXIT — If the notes are automatically called, the amount of Contingent Interest Payments made on the notes may be less than
the amount of Contingent Interest Payments that might have been payable if the notes were held to maturity, and, for each $1,000 principal
amount note, you will receive on the applicable Call Settlement Date $1,000 plus the Contingent Interest Payment applicable to
the relevant Review Date plus any previously unpaid Contingent Interest Payments for any prior Review Dates. |
| · | REINVESTMENT RISK
— If your notes are automatically called, the term of the notes may be reduced to as short as approximately three months and you
will not receive any Contingent Interest Payments after the applicable Call Settlement Date. There is no guarantee that you would be able
to reinvest the proceeds from an investment in the notes at a comparable return and/or with a comparable interest rate for a similar level
of risk in the event the notes are automatically called prior to the Maturity Date. |
| · | NO DIVIDEND PAYMENTS OR VOTING RIGHTS
— As a holder of the notes, you will not have voting rights or rights to receive cash dividends or other distributions or other
rights that holders of the securities included in the Index would have. |
| · | THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED, AND YOU WILL NOT PARTICIPATE IN ANY APPRECIATION OF THE INDEX — The
appreciation potential of the notes is limited to the sum of any Contingent Interest Payments that may be paid over the term of the notes,
regardless of any appreciation of the Index, which may be significant. You will not participate in any appreciation of the Index. Accordingly,
the return on the notes may be significantly less than the return on a direct investment in the Index during the term of the notes. |
| · | THE BENEFIT PROVIDED BY THE TRIGGER LEVEL MAY TERMINATE ON THE VALUATION DATE — If the Ending Index Level is less than
the Trigger Level (i.e., a Trigger Event occurs) and the notes have not been automatically called, the benefit provided by the
Trigger Level will terminate and you will be fully exposed to any depreciation of the Index from the Index Strike Level to the Ending
Index Level. |
| · | VOLATILITY RISK — Greater expected volatility with respect to the Index indicates a greater likelihood as of the Strike
Date and the Pricing Date that the closing level of the Index or the Ending Index Level, as applicable, could be below the Interest Barrier
on any Review Date or below the Trigger Level on the final Review Date. The Index’s volatility, however, can change significantly
over the term of the notes. The level of the Index could fall sharply at any time during the term of the notes, which could result in
the loss of one or more, or all, Contingent Interest Payments or a significant loss of principal, or both. |
| · | 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. |
| · | THE FINAL TERMS AND VALUATION
OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT — The final terms of the notes will be based on relevant market conditions
when the terms of the notes are set and will be provided in the pricing supplement. In particular, each of the estimated value of the
notes and the Contingent Interest Payment will be provided in the pricing supplement and each may be as low as the applicable minimum
set forth on the cover of this pricing supplement. Accordingly, you should consider your potential investment in the notes based on the
minimums for the estimated value of the notes and the Contingent Interest Payment. |
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, hedging our obligations under the notes and making the assumptions
used to determine the pricing of the notes and the estimated value of the notes when the terms of the notes are set, which we refer to
as the estimated value of 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, 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. |
Risks Relating to the Estimated
Value and Secondary Market Prices of the Notes
| · | THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE
ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES — The estimated value of the notes is only an estimate determined by reference
to several factors. The original issue price of the notes will exceed the estimated value of the notes because costs associated with selling,
structuring and hedging the notes are included in the original issue price of the notes. These costs include the selling commissions,
the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the
notes and the estimated cost of hedging our obligations under the notes. See “The Estimated Value of the Notes” in this pricing
supplement. |
JPMorgan Structured Investments — | PS-6 |
Auto Callable Contingent Interest Notes Linked to the S&P 500® Index | |
| · | THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE
VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES — The estimated value of the notes is determined by reference
to internal pricing models of our affiliates when the terms of the notes are set. This estimated value of the notes is based on market
conditions and other relevant factors existing at that time and assumptions about market parameters, which can include volatility, dividend
rates, interest rates and other factors. 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. 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.
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. See “Secondary Market Prices of the Notes” in this
pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes during this
initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account statements). |
| · | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER
THAN THE ORIGINAL ISSUE PRICE OF THE NOTES — Any secondary market prices of the notes will likely be lower than the original
issue price of the notes because, among other things, secondary market prices take into account our internal secondary market funding
rates for structured debt issuances and, also, because secondary market prices may exclude selling commissions, projected hedging profits,
if any, and estimated hedging costs that are included in the original issue price of the notes. As a result, the price, if any, at which
JPMS will be willing to buy 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. See the immediately following risk consideration
for information about additional factors that will impact any secondary market prices of the 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. See “— Lack of Liquidity” below.
| · | SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED
BY MANY ECONOMIC AND MARKET FACTORS — The secondary market price of the notes during their term will be impacted by a number
of economic and market factors, which may either offset or magnify each other, aside from the selling commissions, projected hedging profits,
if any, estimated hedging costs and the level of the Index. |
Additionally, independent pricing vendors
and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements. This
price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes in the
secondary market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes —
Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
Risks Relating to the Index
| · | JPMORGAN CHASE & CO.
IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE INDEX — JPMorgan Chase & Co. is currently one of the companies that make
up the Index, but JPMorgan Chase & Co. will have no obligation to consider your interests as a holder of the notes in taking any corporate
action that might affect the value of the Index. |
JPMorgan Structured Investments — | PS-7 |
Auto Callable Contingent Interest Notes Linked to the S&P 500® Index | |
Historical Information
The following graph sets forth the historical performance
of the Index based on the weekly historical closing levels of the Index from January 5, 2018 through January 27, 2023. The closing level
of the Index on January 30, 2023 was 4,017.77.
We obtained the closing levels above and below from the Bloomberg
Professional® service (“Bloomberg”), without independent verification. The historical closing levels of the
Index should not be taken as an indication of future performance, and no assurance can be given as to the closing level of the Index on
the Strike Date, the Pricing Date, the Valuation Date or any Review Date, including the final Review Date. There can be no assurance that
the performance of the Index will result in the return of any of your principal amount at maturity or the payment of any interest.
The Estimated Value of the Notes
The estimated value of the notes set forth on the cover of this
pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component with
the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing to
buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated
value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by
JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’ view of
the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison
to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based on certain
market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement funding
rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms
of the notes and any secondary market prices of the notes. For additional information, see “Selected Risk Considerations —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Derived by
Reference to an Internal Funding Rate” in this pricing supplement. The value of the derivative or derivatives underlying the economic
terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as the traded
market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which can include
volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments. Accordingly,
the estimated value of the notes is determined when the terms of the notes are set based on market conditions and other relevant factors
and assumptions existing at that time. See “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes — The Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ from
Others’ Estimates” in this pricing supplement.
The estimated value of the notes will be lower than the original
issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue price
of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected profits,
if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated
cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market forces beyond
our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. We or one or more of
our affiliates will retain any profits realized in hedging our obligations under the notes. See “Selected Risk Considerations —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Will Be Lower
Than the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondary
market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
— Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
In addition, we generally expect that some of the costs included in the original issue price of the notes will be partially paid back
to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period.
These costs
JPMorgan Structured Investments — | PS-8 |
Auto Callable Contingent Interest Notes Linked to the S&P 500® Index | |
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 “What Are the Payments on the Notes, Assuming a Range
of Performances for the Index?” and “Hypothetical Examples of Amounts Payable on the Notes” in this pricing supplement
for an illustration of the risk-return profile of the notes and “Selected Purchase Considerations — Return Linked to the S&P
500® Index” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the estimated
value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus) the projected
profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes, plus the
estimated cost of hedging our obligations under the notes.
Supplemental Plan of Distribution
We expect that delivery of the notes will be made against payment
for the notes on or about the Original Issue Date set forth on the front cover of this pricing supplement, which will be the third business
day following the Pricing Date of the notes (this settlement cycle being referred to as “T+3”). Under Rule 15c6-1 of the Securities
Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in two business days, unless the parties
to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade notes on any date prior to two business days before
delivery will be required to specify an alternate settlement cycle at the time of any such trade to prevent a failed settlement and should
consult their own advisors.
Supplemental Information About the Form
of the Notes
The notes will initially be represented by a type of global
security that we refer to as a master note. A master note represents multiple securities that may be issued at different times and that
may have different terms. The trustee and/or paying agent will, in accordance with instructions from us, make appropriate entries or notations
in its records relating to the master note representing the notes to indicate that the master note evidences the notes.
JPMorgan
Structured Investments — |
PS-9 |
Auto Callable
Contingent Interest Notes Linked to the S&P 500® Index |
|
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