PRICING SUPPLEMENT
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-270004 and 333-270004-01
Dated May 10, 2024
JPMorgan Chase Financial Company LLC Trigger Autocallable Notes
$4,182,500 Linked to the Invesco S&P 500® Equal Weight
ETF due May 14, 2026
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
Trigger Autocallable Notes, which we refer to as the “Notes,”
are unsecured and unsubordinated debt securities issued by JPMorgan Chase Financial Company LLC (“JPMorgan Financial”), the
payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co., linked to the performance of a specific underlying
(the “Underlying”). If the Underlying closes at or above the Initial Value on any Observation Date (after an initial one-year
non-call period), JPMorgan Financial will automatically call the Notes and pay you a Call Price equal to the principal amount per Note
plus a Call Return. The Call Return increases the longer the Notes are outstanding. If by maturity the Notes have not been automatically
called and the closing price of one share of the Underlying closes at or above the Downside Threshold on the Final Valuation Date, JPMorgan
Financial will repay the principal amount at maturity. If by maturity the Notes have not been automatically called and the Underlying
closes below the Downside Threshold on the Final Valuation Date, JPMorgan Financial will repay less than the principal amount, if anything,
at maturity, resulting in a loss that is proportionate to the decline in the price of the Underlying from the Initial Value to the Final
Value. The closing price of one share of the Underlying is subject to adjustments in the case of certain events described in the accompanying
product supplement under “The Underlyings — Funds — Anti-Dilution Adjustments.” Investing in the Notes involves
significant risks. The Notes do not pay interest. You may lose some or all of your principal amount. Generally, a higher Call Return Rate
is associated with a greater risk of loss. The contingent repayment of principal applies only if you hold the Notes to maturity. Any payment
on the Notes, including any repayment of principal, is subject to the creditworthiness of JPMorgan Financial, as issuer of the Notes,
and the creditworthiness of JPMorgan Chase & Co., as guarantor of the Notes. If JPMorgan Financial and JPMorgan Chase & Co. were
to default on their payment obligations, you may not receive any amounts owed to you under the Notes and you could lose your entire investment.
| q | Call Return: JPMorgan Financial will automatically call the Notes for
a Call Price equal to the principal amount plus a Call Return if the closing price of one share of the Underlying on any Observation
Date (after an initial one-year non-call period) is equal to or greater than the Initial Value. The Call Return increases the longer the
Notes are outstanding. If the Notes are not automatically called, investors will be exposed to any depreciation of the Underlying at maturity. |
| q | Downside Exposure with Contingent Repayment of Principal Amount at Maturity:
If by maturity the Notes have not been automatically called and the Underlying closes at or above the Downside Threshold on the Final
Valuation Date, JPMorgan Financial will repay the principal amount at maturity. If, by maturity the Notes have not been automatically
called and the Underlying closes below the Downside Threshold on the Final Valuation Date, JPMorgan Financial will repay less than the
principal amount, if anything, at maturity, resulting in a loss that is proportionate to the decline in the price of one share of the
Underlying from the Initial Value to the Final Value. The contingent repayment of principal applies only if you hold the Notes to maturity.
Any payment on the Notes, including any repayment of principal, is subject to the creditworthiness of JPMorgan Financial and JPMorgan
Chase & Co. |
Key
Dates |
Trade Date |
May 10, 2024 |
Original Issue Date (Settlement Date) |
May 15, 2024 |
Observation Dates1 |
Quarterly, beginning May 16, 2025 (see page 4) |
Final Valuation Date1 |
May 11, 2026 |
Maturity Date1 |
May 14, 2026 |
1 | Subject to postponement in the event of a market disruption
event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single
Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General Terms of Notes —
Postponement of a Payment Date” in the accompanying product supplement |
THE NOTES ARE SIGNIFICANTLY RISKIER THAN CONVENTIONAL DEBT INSTRUMENTS.
JPMORGAN FINANCIAL IS NOT NECESSARILY OBLIGATED TO REPAY THE FULL PRINCIPAL AMOUNT OF THE NOTES AT MATURITY, AND THE NOTES CAN HAVE DOWNSIDE
MARKET RISK SIMILAR TO THE UNDERLYING. THIS MARKET RISK IS IN ADDITION TO THE CREDIT RISK INHERENT IN PURCHASING A DEBT OBLIGATION OF
JPMORGAN FINANCIAL FULLY AND UNCONDITIONALLY GUARANTEED BY JPMORGAN CHASE & CO. YOU SHOULD NOT PURCHASE THE NOTES IF YOU DO
NOT UNDERSTAND OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS INVOLVED IN INVESTING IN THE NOTES.
YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER “KEY
RISKS” BEGINNING ON PAGE Error! Bookmark not defined. OF THIS PRICING SUPPLEMENT, UNDER “RISK FACTORS” BEGINNING
ON PAGE S-2 OF THE ACCOMPANYING PROSPECTUS SUPPLEMENT AND UNDER “RISK FACTORS” BEGINNING ON PAGE PS-12 OF THE ACCOMPANYING
PRODUCT SUPPLEMENT BEFORE PURCHASING ANY NOTES. EVENTS RELATING TO ANY OF THOSE RISKS, OR OTHER RISKS AND UNCERTAINTIES, COULD ADVERSELY
AFFECT THE MARKET VALUE OF, AND THE RETURN ON, YOUR NOTES. YOU MAY LOSE SOME OR ALL OF YOUR INITIAL INVESTMENT IN THE NOTES. THE NOTES
WILL NOT BE LISTED ON ANY SECURITIES EXCHANGE.
We are offering Trigger Autocallable Notes linked to the Invesco S&P 500® Equal Weight ETF. The Notes are offered at a minimum investment of $1,000 in denominations of $10 and integral multiples thereof. The Call Return applicable to each Observation Date is provided in “Call Returns/Call Prices” in this pricing supplement.
Underlying |
Call Return Rate |
Initial Value |
Downside
Threshold |
CUSIP |
ISIN |
Invesco S&P 500® Equal Weight ETF
(Bloomberg ticker: RSP) |
7.70% per annum |
$166.11 |
$124.58, which is 75.00% of the Initial Value |
48131F669 |
US48131F6694 |
See “Additional Information about JPMorgan Financial, JPMorgan
Chase & Co. and the Notes” in this pricing supplement. The Notes will have the terms specified in the prospectus and the prospectus
supplement, each dated April 13, 2023, product supplement no. UBS-1-I dated April 13, 2023, underlying supplement no. 1-I dated April
13, 2023 and this pricing supplement. The terms of the Notes as set forth in this pricing supplement, to the extent they differ or conflict
with those set forth in the accompanying product supplement, will supersede the terms set forth in that product 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 prospectus, the accompanying prospectus supplement, the accompanying product supplement and the accompanying
underlying supplement. Any representation to the contrary is a criminal offense.
|
Price to Public(1) |
Fees and Commissions(2) |
Proceeds to Issuer |
Offering of Notes |
Total |
Per Note |
Total |
Per Note |
Total |
Per Note |
Notes
Linked to the Invesco S&P 500® Equal Weight ETF |
$4,182,500.00 |
$10.00 |
$73,193.75 |
$0.175 |
$4,109,306.25 |
$9.825 |
(1) |
See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price to public of the Notes. |
(2) |
UBS Financial Services Inc., which we refer to as UBS, will receive selling commissions from us of $0.175 per $10 principal amount Note. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement, as supplemented by “Supplemental Plan of Distribution” in this pricing supplement. |
The estimated value of the Notes, when the terms of the Notes
were set, was $9.685 per $10 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.
UBS Financial Services Inc. |
|
Additional
Information about JPMorgan Financial, JPMorgan Chase & Co. and the Notes
You should read this pricing supplement together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which these Notes
are a part, and the more detailed information contained in the accompanying product supplement and the accompanying underlying supplement.
This pricing supplement, together with the documents listed below, contains the terms of the Notes and supersedes all other prior or
contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence,
trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You
should carefully consider, among other things, the matters set forth in the “Risk Factors” sections of the accompanying prospectus
supplement and the accompanying product supplement, as the Notes involve risks not associated with conventional debt securities.
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, the “Issuer,” “JPMorgan Financial,”
“we,” “us” and “our” refer to JPMorgan Chase Financial Company LLC.
Supplemental Terms of the Notes |
For purposes of the accompanying product supplement, the Invesco S&P
500® Equal Weight ETF is a “Fund.”
Any values of the Underlying, and any values derived therefrom, included
in this pricing supplement may be corrected, in the event of manifest error or inconsistency, by amendment of this pricing supplement
and the corresponding terms of the Notes. Notwithstanding anything to the contrary in the indenture governing the Notes, that amendment
will become effective without consent of the holders of the Notes or any other party.
Investor
Suitability
The Notes may be suitable for you if, among other considerations:
t You
fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
t You
can tolerate a loss of all or a substantial portion of your investment and are willing to make an investment that may have the same downside
market risk as an investment in the Underlying.
t You
believe the Underlying will close at or above the Initial Value on one of the specified Observation Dates.
t You
understand and accept that you will not participate in any appreciation of the Underlying and that your potential return is limited to
the applicable Call Return.
t You
can tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside price fluctuations
of the Underlying.
t You
are willing to invest in the Notes based on the Call Return Rate indicated on the cover hereof.
t You
do not seek current income from this investment and are willing to forgo dividends paid on the Underlying.
t You
are able and willing to invest in Notes that may be automatically called early (after an initial one-year non-call period) and you are
otherwise able and willing to hold the Notes to maturity.
t You
accept that there may be little or no secondary market for the Notes and that any secondary market will depend in large part on the price,
if any, at which J.P. Morgan Securities LLC, which we refer to as JPMS, is willing to trade the Notes.
t You
understand and accept the risks associated with the Underlying.
t You
are willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Notes, and understand
that if JPMorgan Financial and JPMorgan Chase & Co. default on their obligations, you may not receive any amounts due to you including
any repayment of principal. |
|
The Notes may not be suitable for you if, among other considerations:
t You
do not fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
t You
cannot tolerate a loss of all or a substantial portion of your investment or are unwilling to make an investment that may have the same
downside market risk as an investment in the Underlying.
t You
require an investment designed to provide a full return of principal at maturity.
t You
believe that the price of one share of the Underlying will decline during the term of the Notes and is likely to close below the Downside
Threshold on the Final Valuation Date, exposing you to the full negative Underlying Return at maturity.
t You
seek an investment that participates in the full appreciation of the Underlying or that has unlimited return potential.
t You
cannot tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside price fluctuations
of the Underlying.
t You
are not willing to invest in the Notes based on the Call Return Rate indicated on the cover hereof.
t You
prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable maturities and
credit ratings.
t You
seek current income from this investment or prefer to receive the dividends paid on the Underlying.
t You
are unable or unwilling to invest in Notes that may be automatically called early (after an initial one-year non-call period), or you
are otherwise unable or unwilling to hold the Notes to maturity, or you seek an investment for which there will be an active secondary
market.
t You
do not understand or accept the risks associated with the Underlying.
t You
are not willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Notes, including
any repayment of principal. |
The suitability considerations identified above are not exhaustive.
Whether or not the Notes are a suitable investment for you will depend on your individual circumstances, and you should reach an investment
decision only after you and your investment, legal, tax, accounting and other advisers have carefully considered the suitability of an
investment in the Notes in light of your particular circumstances. You should also review carefully the “Key Risks” section
of this pricing supplement and the “Risk Factors” sections of the accompanying prospectus supplement and the accompanying
product supplement for risks related to an investment in the Notes. For more information on the Underlying, please see the section titled
“The Underlying” below.
Final
Terms |
Issuer |
|
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co. |
Guarantor |
|
JPMorgan Chase & Co. |
Issue Price |
|
$10.00 per Note |
Underlying |
|
Invesco S&P 500® Equal Weight ETF |
Principal Amount |
|
$10 per Note (subject to a minimum purchase of 100 Notes or $1,000) |
Term |
|
Approximately 2 years, unless automatically called earlier |
Call Feature |
|
The Notes will be automatically called if the closing price2 of one share of the Underlying on any Observation Date (after an initial one-year non-call period) is equal to or greater than the Initial Value. If the Notes are automatically called, JPMorgan Financial will pay you on the applicable Call Settlement Date a cash payment per Note equal to the applicable Call Price for the applicable Observation Date. |
Observation Dates1 |
|
As specified under the “Observation Dates” column of the table under “Call Returns/Call Prices” below |
Call Settlement Dates1 |
|
As specified under the “Call Settlement Dates” column of the table under “Call Returns/Call Prices” below |
Call Return |
|
The Call Return increases the longer the Notes are outstanding and is based upon a rate of 7.70% per annum. See “Call Returns/Call Prices.” |
Call Price |
|
The Call Price equals the principal amount per Note plus the applicable Call Return. |
Payment at Maturity (per $10 Note) |
|
If the Notes are not automatically called and the Final Value is equal
to or greater than the Downside Threshold, we will pay you a cash payment at maturity equal to $10 per $10 principal amount Note.
If the Notes
are not automatically called and the Final Value is less than the Downside Threshold, we will pay you a cash payment at maturity that
is less than $10 per $10 principal amount Note, equal to:
$10 × (1 + Underlying Return)
In this scenario, you will be exposed to the decline of the Underlying
and you will lose some or all of your principal at maturity in an amount proportionate to the negative Underlying Return. |
Underlying Return |
|
Final Value – Initial Value
Initial Value |
Initial Value |
|
The closing price of one share of the Underlying on the Trade Date, as specified on the cover of this pricing supplement |
Final Value |
|
The closing price2 of one share of the Underlying on the Final Valuation Date |
Downside Threshold |
|
75.00% of the Initial Value, as specified on the cover of this pricing supplement |
Share Adjustment Factor2 |
|
The Share Adjustment Factor is referenced in determining the closing price of one share of the Underlying. The Share Adjustment Factor is set initially at 1.0 on the Trade Date. |
1 |
See
footnote 1 under “Key Dates” on the front cover. |
2 |
The
closing price and the Share Adjustment Factor of the Underlying are subject to adjustments, in the case of certain events described
in the accompanying product supplement under “The Underlyings — Funds — Anti-Dilution Adjustments.” |
Investment
Timeline |
Trade Date |
|
The closing price of one share of the Underlying (Initial Value) and the Downside Threshold are determined and the Call Return Rate is finalized. |
|
|
|
Observation
Dates (after an
initial one-year
non-call period) |
|
The Notes will be automatically called if the closing price of one
share of the Underlying on any Observation Date (after an initial one-year non-call period) is equal to or greater than the Initial Value.
If the Notes are automatically called, JPMorgan Financial will pay
the applicable Call Price for the applicable Observation Date: equal to the principal amount plus an amount based on the Call Return
Rate. |
|
|
|
|
|
|
|
|
|
|
Maturity Date |
|
If the Notes are not automatically called and the Final Value is equal
to or greater than the Downside Threshold, we will pay you a cash payment at maturity equal to $10 per $10 principal amount Note.
If the Notes
are not automatically called and the Final Value is less than the Downside Threshold, we will pay you a cash payment at maturity that
is less than $10 per $10 principal amount Note, equal to:
$10 × (1 + Underlying Return)
In this scenario, you will be exposed to the decline of the Underlying
and you will lose some or all of your principal at maturity in an amount proportionate to the negative Underlying Return. |
INVESTING IN THE NOTES INVOLVES SIGNIFICANT RISKS. YOU MAY
LOSE SOME OR ALL OF YOUR PRINCIPAL AMOUNT. ANY PAYMENT ON THE NOTES, INCLUDING ANY REPAYMENT OF PRINCIPAL, IS SUBJECT TO THE CREDITWORTHINESS
OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. IF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. WERE TO DEFAULT ON THEIR PAYMENT
OBLIGATIONS, YOU MAY NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE NOTES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.
Call
Returns/Call Prices
Observation Dates† |
Call Settlement Dates† |
Call Return (numbers below reflect the rate
of 7.70% per annum) |
Call Price (per $10) |
May 16, 2025 |
May 20, 2025 |
7.700% |
$10.7700 |
August 11, 2025 |
August 13, 2025 |
9.625% |
$10.9625 |
November 10, 2025 |
November 13, 2025 |
11.550% |
$11.1550 |
February 10, 2026 |
February 12, 2026 |
13.475% |
$11.3475 |
May 11, 2026
(Final Valuation Date) |
May 14, 2026
(Maturity Date) |
15.400% |
$11.5400 |
† |
See footnote 1 under “Key Dates” on the front cover. |
|
What
Are the Tax Consequences of the Notes?
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. UBS-1-I. The following discussion, when read in
combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding the material
U.S. federal income tax consequences of owning and disposing of Notes.
Based on current market conditions, in the opinion of our special
tax counsel it is reasonable to treat the Notes as “open transactions” that are not debt instruments for U.S. federal income
tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders
— Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement. Assuming this
treatment is respected, the gain or loss on your Notes should be treated as long-term capital gain or loss if you hold your Notes for
more than a year, whether or not you are an initial purchaser of Notes at the issue price. However, the IRS or a court may not respect
this treatment, in which case the timing and character of any income or loss on the Notes could be materially and adversely affected.
In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid
forward contracts” and similar instruments. The notice focuses in particular on whether to require investors in these instruments
to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of
income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to which the
instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be
subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership” regime,
which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge.
While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated
after consideration of these issues could materially and adversely affect the tax consequences of an investment in the Notes, possibly
with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the
Notes, including possible alternative treatments and the issues presented by this notice.
Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on dividend equivalents
paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include
U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked to certain broad-based
indices that meet requirements set forth in the applicable Treasury regulations. Additionally, a recent IRS notice excludes from the scope
of Section 871(m) instruments issued prior to January 1, 2025 that do not have a delta of one with respect to underlying securities that
could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on certain determinations
made by us, our special tax counsel is of the opinion that Section 871(m) should not apply to the Notes with regard to Non-U.S. Holders.
Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application
may depend on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security.
You should consult your tax adviser regarding the potential application of Section 871(m) to the Notes.
Key
Risks
An investment in the Notes involves significant risks. Investing in
the Notes is not equivalent to investing directly in the Underlying. These risks are explained in more detail in the “Risk Factors”
sections of the accompanying prospectus supplement and the accompanying product supplement. We also urge you to consult your investment,
legal, tax, accounting and other advisers before you invest in the Notes.
Risks Relating to the Notes Generally
| t | Your Investment in the Notes May Result in a Loss — The Notes
differ from ordinary debt securities in that JPMorgan Financial will not necessarily repay the full principal amount of the Notes. If
the Notes are not automatically called and the closing price of one share of the Underlying has declined below the Downside Threshold
on the Final Valuation Date, you will be fully exposed to any depreciation of the Underlying from the Initial Value to the Final Value.
In this case, JPMorgan Financial will repay less than the full principal amount at maturity, resulting in a loss of principal that is
proportionate to the negative Underlying Return. Under these circumstances, you will lose 1% of your principal for every 1% that the Final
Value is less than the Initial Value. Accordingly, you could lose up to your entire principal amount. As a result, your investment in
the Notes may not perform as well as an investment in a security that does not have the potential for full downside exposure to the Underlying
at maturity. |
| t | Credit Risks of JPMorgan Financial and JPMorgan Chase & Co. —
The Notes are unsecured and unsubordinated debt obligations of the Issuer, JPMorgan Chase Financial Company LLC, the payment on which
is fully and unconditionally guaranteed by JPMorgan Chase & Co. The Notes will rank pari passu with all of our other unsecured
and unsubordinated obligations, and the related guarantee by JPMorgan Chase & Co. will rank pari passu with all of JPMorgan
Chase & Co.’s other unsecured and unsubordinated obligations. The Notes and related guarantees are not, either directly or indirectly,
an obligation of any third party. Any payment to be made on the Notes, including any repayment of principal, depends on the ability of
JPMorgan Financial and JPMorgan Chase & Co. to satisfy their obligations as they come due. As a result, the actual and perceived creditworthiness
of JPMorgan Financial and JPMorgan Chase & Co. may affect the market value of the Notes and, in the event JPMorgan Financial and JPMorgan
Chase & Co. were to default on their obligations, you may not receive any amounts owed to you under the terms of the Notes and you
could lose your entire investment. |
| t | As a Finance Subsidiary, JPMorgan Financial Has No Independent Operations
and 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. |
| t | Contingent Repayment of Principal Applies Only If You Hold the Notes to
Maturity — If you are able to sell your Notes in the secondary market prior to maturity, you may have to sell them at a loss
relative to your initial investment even if the closing price of one share of the Underlying is above the Downside Threshold. If by maturity
the Notes have not been automatically called, either JPMorgan Financial will repay you the full principal amount per Note, or, if the
Underlying closes below the Downside Threshold on the Final Valuation Date, JPMorgan Financial will repay less than the principal amount,
if anything, at maturity, resulting in a loss on your principal amount that is proportionate to the decline of the Underlying from the
Initial Value to the Final Value. This contingent repayment of principal applies only if you hold your Notes to maturity. |
| t | Limited Return on the Notes — If the Notes are automatically
called, your potential gain on the Notes will be limited to the applicable Call Return, regardless of any appreciation of the Underlying,
which may be significant. Because the Call Return increases the longer the Notes have been outstanding and your Notes can be automatically
called as early as the first Observation Date (after an initial one-year non-call period), the term of the Notes could be cut short and
the return on the Notes would be less than if the Notes were automatically called at a later date. In addition, because the closing price
of one share of the Underlying at various times during the term of the Notes could be higher than on the Observation Dates and on the
Final Valuation Date, you may receive a lower payment if the Notes are automatically called or at maturity, as the case may be, than you
would have if you had invested directly in the Underlying. Even though you will not participate in any potential appreciation of the Underlying,
you may be exposed to the Underlying’s downside market risk if the Notes are not automatically called. |
| t | The Probability That the Final Value Will Fall Below the Downside Threshold
on the Final Valuation Date Will Depend on the Volatility of the Underlying — “Volatility” refers to the frequency
and magnitude of changes in the price of one share of the Underlying. Greater expected volatility with respect to the Underlying reflects
a higher expectation as of the Trade Date that the price of one share of the Underlying could close below the Downside Threshold on the
Final Valuation Date, resulting in the loss of some or all of your investment. In addition, the Call Return Rate is a fixed amount and
depends in part on this expected volatility. A higher Call Return Rate is generally associated with greater expected volatility. However,
the Underlying’s volatility can change significantly over the term of the Notes. The price of one share of the Underlying could
fall sharply, which could result in a significant loss of principal. |
| t | Reinvestment Risk — If your Notes are automatically called early,
the holding period over which you would have the opportunity to receive the Call Return Rate could be as short as approximately one year.
There is no guarantee that you would be able to reinvest the proceeds from an investment in the Notes at a comparable rate of return for
a similar level of risk in the event the Notes are automatically called prior to the Maturity Date. |
| t | No Periodic Interest Payments — You will not receive any periodic
interest payments on the Notes. |
| t | Investing
in the Notes Is Not Equivalent to Investing in the Underlying or the Equity Securities Held by the Underlying — Investing in
the Notes is not equivalent to investing in the Underlying or the equity securities held by the Underlying. As an investor in the Notes,
you will not have any ownership interest or rights in the Underlying or the equity securities held by the Underlying, such as voting
rights, dividend payments or other distributions. |
| t | Your Return on the Notes Will Not Reflect Dividends on the Underlying or
the Equity Securities Held by the Underlying — Your return on the Notes will not reflect the return you would realize if you
actually owned the Underlying or the equity securities held by the Underlying and received the dividends on the Underlying or those equity
securities. This is because the calculation agent will determine whether the Notes will be automatically called and will calculate the
amount payable to you at maturity of the Notes by reference to the closing price of one share of the Underlying on the relevant Observation
Date without taking into consideration the value of dividends on the Underlying or the equity securities held by the Underlying. |
| t | No Assurances That the Investment View Implicit in the Notes Will Be Successful
— While the Notes are structured to provide potentially enhanced returns in a flat or bullish environment, we cannot assure you
of the economic environment during the term or at maturity of your Notes and you may lose some or all of your investment at maturity. |
| t | 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. |
| t | Tax Treatment — Significant aspects of the tax treatment of the
Notes are uncertain. You should consult your tax adviser about your tax situation. |
Risks Relating to Conflicts of Interest
| t | 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 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. |
| t | Potentially Inconsistent Research, Opinions or Recommendations by JPMS,
UBS or Their Affiliates — JPMS, UBS or their affiliates may publish research, express opinions or provide recommendations that
are inconsistent with investing in or holding the Notes, and that may be revised at any time. Any such research, opinions or recommendations
may or may not recommend that investors buy or hold the Underlying and could affect the price of the Underlying, and therefore the market
value of the Notes. |
| t | Potential JPMorgan Financial Impact on the Price of the Underlying
— Trading or transactions by JPMorgan Financial or its affiliates in the Underlying and/or over-the-counter options, futures or
other instruments with returns linked to the performance of the Underlying may adversely affect the price of the Underlying and, therefore,
the market value of the Notes. |
Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes
| t | The Estimated Value of the Notes Is Lower Than the Original Issue Price
(Price to Public) of the Notes — The estimated value of the Notes is only an estimate determined by reference to several factors.
The original issue price of the Notes exceeds the estimated value of the Notes because costs associated with selling, structuring and
hedging the Notes are included in the original issue price of the Notes. These costs include the selling commissions, the projected profits,
if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the Notes and the estimated
cost of hedging our obligations under the Notes. See “The Estimated Value of the Notes” in this pricing supplement. |
| t | 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. |
| t | 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.
| t | 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). |
| t | 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 factor for information about
additional factors that will impact any secondary market prices of the Notes. |
| t | 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 “— Risks Relating to the Notes Generally — Lack of
Liquidity” above. |
| t | Many Economic and Market Factors Will Impact the Value of the Notes —
As described under “The Estimated Value of the Notes” in this pricing supplement, the Notes can be thought of as securities
that combine a fixed-income debt component with one or more derivatives. As
a result, the factors that influence the values of fixed-income debt and derivative instruments will also influence the terms of the Notes
at issuance and their value in the secondary market. Accordingly,
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 price
of one share of the Underlying, including: |
| t | any
actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads; |
| t | customary
bid-ask spreads for similarly sized trades; |
| t | our
internal secondary market funding rates for structured debt issuances; |
| t | the
actual and expected volatility in the closing price of one share of the Underlying; |
| t | the
time to maturity of the Notes; |
| t | the
likelihood of an automatic call being triggered; |
| t | the
dividend rates on the Underlying and the equity securities held by the Underlying; |
| t | the occurrence of certain events affecting the Underlying that may or may
not require an adjustment to the closing price and the Share Adjustment Factor of the Underlying; |
| t | interest
and yield rates in the market generally; and |
| t | a
variety of other economic, financial, political, regulatory and judicial events. |
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.
Risks Relating to the Underlying
| t | JPMorgan Chase & Co. Is Currently One of the Companies that Make Up
the Underlying and Its Underlying Index — JPMorgan Chase & Co. is currently one of the companies that make up the Underlying
and its Underlying Index (as defined under “The Underlying” below). JPMorgan Chase & Co. will not have any obligation
to consider your interests as a holder of the Notes in taking any corporate action that might affect the price of the Underlying or the
level of its Underlying Index. |
| t | No Affiliation with the Underlying or the Issuers of the Equity Securities
Held by the Underlying — We are not affiliated with the Underlying or, to our knowledge, the issuers of the equity securities
held by the Underlying. We have not independently verified the information about the Underlying or the issuers of the equity securities
held by the Underlying contained in this pricing supplement. You should make your own investigation into the Underlying and the issuers
of the equity securities held by the Underlying. We are not responsible for the public disclosure of information by the Underlying or
the issuers of the equity securities held by the Underlying, whether contained in SEC filings or otherwise. |
| t | There Are Risks Associated with the Underlying
— Although shares of the Underlying are listed for trading on a securities
exchange and a number of similar products have been trading on a securities exchange for varying periods of time, there is no assurance
that an active trading market will continue for the shares of the Underlying or that there will be liquidity in the trading market.
The Underlying is subject to management risk, which is the risk that the investment
strategies of the Underlying’s investment adviser, the implementation of which is subject to a number of constraints, may not produce
the intended results. These constraints could adversely affect the
market price of the shares of the Underlying, and consequently, the value of the Notes. |
| t | The Performance and Market Value of the Underlying, Particularly During
Periods of Market Volatility, May Not Correlate with the Performance of the Underlying’s Underlying Index as well as the Net Asset
Value per Share — The Underlying does not fully replicate its Underlying Index (as defined under “The Underlying”
below) and may hold securities different from those included in its Underlying Index. In
addition, the performance of the Underlying will reflect additional transaction costs and fees that are not included in the calculation
of its Underlying Index. All of these factors may lead to a lack
of correlation between the performance of the Underlying and its Underlying Index. In
addition, corporate actions with respect to the equity securities underlying the Underlying (such as mergers and spin-offs) may impact
the variance between the performances of the Underlying and its Underlying Index. Finally,
because the shares of the Underlying are traded on a securities exchange and are subject to market supply and investor demand, the market
value of one share of the Underlying may differ from the net asset value per share of the Underlying. |
During
periods of market volatility, securities underlying the Underlying may be unavailable in the secondary market, market participants may
be unable to calculate accurately the net asset value per share of the Underlying and the liquidity of the Underlying may be adversely
affected. This kind of market volatility may also disrupt the ability
of market participants to create and redeem shares of the Underlying. Further,
market volatility may adversely affect, sometimes materially, the prices at which market participants are willing to buy and sell shares
of the Underlying. As a result, under these circumstances, the market
value of shares of the Underlying may vary substantially from the net asset value per share of the Underlying. For
all of the foregoing reasons, the performance of the Underlying may not correlate with the performance of its Underlying Index as well
as the net asset value per share of the Underlying, which could materially and adversely affect the value of the Notes in the secondary
market and/or reduce any payment on the Notes.
| t | Anti-Dilution Protection Is Limited — Although the calculation
agent will adjust the closing price of one share of the Underlying for certain events affecting the Underlying, the calculation agent
is not required to make an adjustment for every event that can affect the Underlying. If
an event occurs that does not require the calculation agent to adjust the closing price of one share of the Underlying, the market value
of your Notes and any payment on the Notes may be materially and adversely affected. |
Hypothetical
Examples
Hypothetical terms only. Actual terms may vary.
See the cover page for actual offering terms.
The examples below illustrate the hypothetical payment upon an automatic
call or at maturity under different hypothetical scenarios for a $10.00 Note on an offering of the Notes linked to a hypothetical Underlying
and assume an Initial Value of $100.00, a Downside Threshold of $90.00 (which is 90.00% of the hypothetical Initial Value) and a Call
Return Rate of 5.00% per annum. The hypothetical Initial Value of $100.00 has been chosen for illustrative purposes only and does not
represent the actual Initial Value. The actual Initial Value and the resulting Downside Threshold are based on the closing price of one
share of the Underlying on the Trade Date and are specified on the cover of this pricing supplement. For historical data regarding the
actual closing price of one share of the Underlying, please see the historical information set forth under “The Underlying”
in this pricing supplement. The actual Call Return Rate is specified on the cover of this pricing supplement. The hypothetical payments
on the Notes set forth in the examples below are for illustrative purposes only and may not be the actual returns applicable to a purchaser
of the Notes. The actual payment on the Notes may be more or less than the amounts displayed below and will be determined based on the
actual terms of the Notes, including the Initial Value, the Downside Threshold, the Call Return Rate and the Final Value on the Final
Valuation Date. You should consider carefully whether the Notes are suitable to your investment goals. The numbers appearing in the examples
below have been rounded for ease of analysis.
Principal Amount: |
$10.00 |
Term: |
Approximately 2 years (unless earlier automatically called) |
Hypothetical Initial Value: |
$100.00 |
Hypothetical Call Return Rate: |
5.00% per annum (or 1.25% quarterly) |
Observation Dates: |
Quarterly (after an initial one-year non-call period) |
Hypothetical Downside Threshold: |
$90.00 (which is 90.00% of the hypothetical Initial Value) |
The examples below are purely hypothetical and are intended to illustrate
how the value of any payment on the Notes will depend on the closing price of one share on the Observation Dates.
Example 1 — Notes Are Automatically Called on the First Observation
Date
Closing price at first Observation Date: |
$110.00 (at or above Initial Value, Notes are automatically called) |
Call Price (per Note): |
$10.50 |
Because the Notes are automatically called on the first Observation
Date, we will pay you on the applicable Call Settlement Date a total Call Price of $10.50 per $10.00 principal amount (5.00% return on
the Notes). No further amounts will be owed on the Notes.
Example 2 — Notes Are Automatically Called on the Final Valuation
Date
Closing price at first Observation Date: |
$90.00 (below Initial Value, Notes NOT automatically called) |
Closing price at second through fourth
Observation Dates: |
Various (all below Initial Value, Notes NOT automatically called) |
Closing price at Final Valuation Date: |
$120.00 (at or above Initial Value, Notes are automatically called) |
|
|
Call Price (per Note): |
$11.00 |
Because the Notes are automatically called on the Final Valuation Date,
we will pay you on the applicable Call Settlement Date (which coincides with the Maturity Date in this example) a total Call Price of
$11.00 per $10.00 principal amount (10.00% return on the Notes).
Example 3 — Notes Are NOT Automatically Called and the Final
Value Is Above the Downside Threshold
Closing price at first Observation Date: |
$90.00 (below Initial Value, Notes NOT automatically called) |
Closing price at second through fourth
Observation Dates: |
Various (all below Initial Value, Notes NOT automatically called) |
Closing price at Final Valuation Date: |
$95.00 (below Initial Value, but at or above Downside Threshold, Notes NOT automatically called) |
|
|
Settlement Amount (per Note): |
$10.00 |
Because the Notes are not automatically called and the Final Value
is above or equal to the Downside Threshold, at maturity we will pay you a total of $10.00 per $10.00 principal amount (a 0% return on
the Notes).
Example 4 — Notes Are NOT Automatically Called and the Final
Value Is Below the Downside Threshold
Closing price at first Observation Date: |
$90.00 (below Initial Value, Notes NOT automatically called) |
Closing price at second through fourth
Observation Dates: |
Various (all below Initial Value, Notes NOT automatically called) |
Closing price at Final Valuation Date: |
$50.00 (below Initial Value and Downside Threshold, Notes NOT automatically called) |
|
|
Settlement Amount (per Note): |
$10.00 × (1 + Underlying Return)
$10.00 × (1 + -50%)
$5.00 |
Because the Notes are not automatically called, the Final Value is
below the Downside Threshold and the Underlying Return -50%, at maturity we will pay you a total of $5.00 per $10.00 principal amount
(a 50% loss on the Notes).
The hypothetical returns and hypothetical payments on the Notes shown
above apply only if you hold the Notes for their entire term or until automatically called. These hypotheticals do not reflect
fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical
returns and hypothetical payments shown above would likely be lower.
The
Underlying
The Invesco S&P 500® Equal Weight ETF is an exchange-traded
fund of the Invesco Exchange-Traded Fund Trust, a registered investment company, that seeks to track the investment results, before fees
and expenses, of the S&P 500® Equal Weight Index, which we refer to as the Underlying Index with respect to the Invesco
S&P 500® Equal Weight ETF. The S&P 500® Equal Weight Index is an equal-weighted version of 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 Invesco S&P 500® Equal Weight ETF, see
“Fund Descriptions — The Invesco S&P 500® Equal Weight ETF” in the accompanying underlying supplement.
Historical Information
The graph below illustrates the daily performance of the Underlying from
January 2, 2014 through May 10, 2024, based on information from the Bloomberg Professional® service (“Bloomberg”),
without independent verification. The closing price of one share of the Underlying on May 10, 2024 was $166.11. We obtained the closing
prices of one share of the Underlying above and below from Bloomberg, without independent verification. The closing prices above and below
may have been adjusted by Bloomberg for certain actions, such as stock splits.
The dotted line represents the Downside Threshold of $124.58, equal to
75% of the closing price of one share of the Underlying on May 10, 2024.
Past performance of the Underlying is not indicative of the future
performance of the Underlying.
The historical performance of the Underlying should not be taken as
an indication of future performance, and no assurance can be given as to the closing price of one share of the Underlying on any Observation
Date. There can be no assurance that the performance of the Underlying will result in the return of any of your principal amount.
Supplemental
Plan of Distribution
We and JPMorgan Chase & Co. have agreed to indemnify UBS and JPMS
against liabilities under the Securities Act of 1933, as amended, or to contribute to payments that UBS may be required to make relating
to these liabilities as described in the prospectus supplement and the prospectus. We have agreed that UBS may sell all or a part of the
Notes that it purchases from us to the public or its affiliates at the price to public indicated on the cover hereof.
Subject to
regulatory constraints, JPMS intends to offer to purchase the Notes in the secondary market, but it is not required to do so.
We or our affiliates may enter into swap agreements or related hedge
transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the Notes, and JPMS and/or
an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions. See “Supplemental
Use of Proceeds” in this pricing supplement and “Use of Proceeds and Hedging” in the accompanying product supplement.
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
values 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 “Key Risks — 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 “Key Risks — 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 is lower than the original issue price
of the Notes because costs associated with selling, structuring and hedging the Notes are included in the original issue price of the
Notes. These costs include the selling commissions paid to UBS, 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 “Key Risks — Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes — The Estimated Value of the Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes” in
this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact any secondary market prices
of the Notes, see “Key Risks — 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 this pricing 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 that is intended to
be up to five months. The length of any such initial period reflects secondary market volumes for the Notes, 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 “Key Risks — Risks Relating to the Estimated Value and
Secondary Market Prices of the Notes — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account
Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this pricing supplement.
Supplemental
Use of Proceeds
The Notes are offered to meet investor demand for products that reflect
the risk-return profile and market exposure provided by the Notes. See “Hypothetical Examples” in this pricing supplement
for an illustration of the risk-return profile of the Notes and “The Underlying” 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 UBS, plus (minus) the projected profits (losses) that our affiliates expect to realize
for assuming risks inherent in hedging our obligations under the Notes, plus the estimated cost of hedging our obligations under the Notes.
Validity
of the Notes and the Guarantee
In the opinion of Davis Polk
& Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the Notes offered by this pricing
supplement have been issued by JPMorgan Financial pursuant to the indenture, the trustee and/or paying agent has made, in accordance with
the instructions from JPMorgan Financial, the appropriate entries or notations in its records relating to the master global note that
represents such Notes (the “master note”), and such Notes have been delivered against payment as contemplated herein, such
Notes will be valid and binding obligations of JPMorgan Financial and the related guarantee will constitute a valid and binding obligation
of JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws
affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability (including,
without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion
as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed
above or (ii) any provision of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar
provision of applicable law by limiting the amount of JPMorgan Chase & Co.’s obligation under the related guarantee. This
opinion is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State of
Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions about the
trustee’s authorization, execution and delivery of the indenture and its authentication of the master note and the validity, binding
nature and enforceability of the indenture with respect to the trustee, all as stated in the letter of such counsel dated February 24,
2023, which was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February
24, 2023.
13
Exhibit 107.1
The pricing supplement to which this Exhibit is
attached is a final prospectus for the related offering(s). The maximum aggregate offering price of the related offering(s) is $4,182,500.
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