June 18, 2024 |
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
JPMorgan Chase Financial Company LLC
Structured Investments
$18,583,000
Uncapped Accelerated Barrier Notes Linked to an
Unequally Weighted Basket Consisting of the iShares® MSCI EAFE ETF and the iShares® MSCI Emerging Markets
ETF due June 22, 2029
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
| · | The notes are designed for investors who seek an uncapped return of 1.33 times any appreciation of an unequally weighted basket
of the iShares® MSCI EAFE ETF and the iShares® MSCI Emerging Markets ETF, which we refer to as the Funds,
at maturity. |
| · | Because the iShares® MSCI EAFE ETF makes up 70.00% of the Basket, we expect that generally the market value of your
notes and your payment at maturity will depend to a greater extent on the performance of the iShares® MSCI EAFE ETF. |
| · | Investors should be willing to forgo interest and dividend payments and be willing to lose some or all of their principal amount at
maturity. |
| · | The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial,
the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes is subject
to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor
of the notes. |
| · | Minimum denominations of $1,000 and integral multiples thereof |
| · | The notes priced on June 18, 2024 and are expected to settle on or about June 24, 2024. |
Investing in the notes involves a number of risks. See “Risk
Factors” beginning on page S-2 of the accompanying prospectus supplement, Annex A to the accompanying prospectus addendum, “Risk
Factors” beginning on page PS-11 of the accompanying product supplement, and “Selected Risk Considerations” beginning
on page PS-3 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing
supplement or the accompanying product supplement, underlying supplement, prospectus supplement, prospectus and prospectus addendum. Any
representation to the contrary is a criminal offense.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
Per note |
$1,000 |
$8.50 |
$991.50 |
Total |
$18,583,000 |
$157,955.50 |
$18,425,044.50 |
(1) See “Supplemental Use of Proceeds” in this
pricing supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS,
acting as agent for JPMorgan Financial, will pay all of the selling commissions of $8.50 per $1,000 principal amount note it receives
from us to other affiliated or unaffiliated dealers. See “Plan of Distribution (Conflicts of Interest)” in the accompanying
product supplement. |
The estimated value of the notes, when the terms of the notes were
set, was $975.00 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.
Pricing supplement to product supplement no. 4-I dated
April 13, 2023, underlying supplement no. 1-I dated April 13, 2023, the prospectus and prospectus supplement, each dated April 13, 2023,
and the prospectus addendum dated June 3, 2024
Key Terms
Issuer: JPMorgan
Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan
Chase & Co.
Basket: The
notes are linked to an unequally weighted basket consisting of the following:
· |
70.00% of the iShares® MSCI EAFE ETF (Bloomberg ticker: EFA); and |
· |
30.00% of the iShares® MSCI Emerging Markets ETF (Bloomberg ticker: EEM); |
(each, a “Fund” and together, the “Funds”).
Upside Leverage Factor:
1.33
Barrier Amount:
70.00% of the Initial Basket Value, which is 70.00
Pricing Date:
June 18, 2024
Original Issue Date
(Settlement Date): On or about June 24, 2024
Observation Date
*: June 18, 2029
Maturity Date*:
June 22, 2029
* Subject to postponement in the event of a market disruption event and
as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple Underlyings”
and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
Payment at Maturity:
If the Final Basket Value is greater than the Initial Basket Value,
your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Basket Return ×
Upside Leverage Factor)
If the Final Basket Value is equal to the Initial Basket Value or is
less than the Initial Basket Value but greater than or equal to the Barrier Amount, you will receive the principal amount of your notes
at maturity.
If the Final Basket Value is less than the Barrier Amount, your payment
at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Basket Return)
If the Final Basket Value is less than the Barrier Amount, you will
lose more than 30.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
Basket Return:
(Final Basket Value – Initial Basket Value)
Initial Basket Value
Initial Basket Value:
Set equal to 100.00 on the Pricing Date
Final Basket Value:
The closing level of the Basket on the Observation Date
Closing Level of the Basket:
100 × [1 + (70.00% × Fund Return of the iShares®
MSCI EAFE ETF) + (30.00% × Fund Return of the iShares® MSCI Emerging Markets ETF)]
Fund Return: With
respect to each Fund,
(Final Value – Initial Value)
Initial Value
Initial Value: With
respect to each Fund, the closing price of one share of that Fund on the Pricing Date, which was $78.45 for the iShares®
MSCI EAFE ETF and $42.89 for the iShares® MSCI Emerging Markets ETF
Final Value: With
respect to each Fund, the closing price of one share of that Fund on the Observation Date
Share Adjustment
Factor: With respect to each Fund, the Share Adjustment Factor is referenced
in determining the closing price of one share of that Fund and is set equal to 1.0 on the Pricing Date. The Share Adjustment Factor of
each Fund is subject to adjustment upon the occurrence of certain events affecting that Fund. See “The Underlyings — Funds
— Anti-Dilution Adjustments” in the accompanying product supplement for further information.
PS-1
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to an Unequally Weighted
Basket Consisting of the iShares® MSCI EAFE ETF and the iShares® MSCI Emerging Markets ETF |
|
Supplemental
Terms of the Notes
Any values of
the Funds, and any values derived therefrom, included in this pricing supplement may be corrected, in the event of manifest error or inconsistency,
by amendment of this pricing supplement and the corresponding terms of the notes. Notwithstanding anything to the contrary in the indenture
governing the notes, that amendment will become effective without consent of the holders of the notes or any other party.
Hypothetical
Payout Profile
The following table illustrates the hypothetical
total return at maturity on the notes. The “total return” as used in this pricing supplement is the number, expressed as a
percentage, that results from comparing the payment at maturity per $1,000 principal amount note to $1,000. The hypothetical total returns
set forth below assume the following:
| · | an Initial Basket Value of 100.00; |
| · | an Upside Leverage Factor of 1.33; and |
| · | a Barrier Amount of 70.00 (equal to 70.00% of the hypothetical Initial Basket Value). |
Each hypothetical total return or hypothetical payment
at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable
to a purchaser of the notes. The numbers appearing in the following table have been rounded for ease of analysis.
Final Basket Value |
Basket Return |
Total Return on the Notes |
Payment at Maturity |
165.00 |
65.00% |
86.45% |
$1,864.50 |
150.00 |
50.00% |
66.50% |
$1,665.00 |
140.00 |
40.00% |
53.20% |
$1,532.00 |
130.00 |
30.00% |
39.90% |
$1,399.00 |
120.00 |
20.00% |
26.60% |
$1,266.00 |
110.00 |
10.00% |
13.30% |
$1,133.00 |
105.00 |
5.00% |
6.65% |
$1,066.50 |
101.00 |
1.00% |
1.33% |
$1,013.30 |
100.00 |
0.00% |
0.00% |
$1,000.00 |
95.00 |
-5.00% |
0.00% |
$1,000.00 |
90.00 |
-10.00% |
0.00% |
$1,000.00 |
80.00 |
-20.00% |
0.00% |
$1,000.00 |
70.00 |
-30.00% |
0.00% |
$1,000.00 |
69.99 |
-30.01% |
-30.01% |
$699.90 |
60.00 |
-40.00% |
-40.00% |
$600.00 |
50.00 |
-50.00% |
-50.00% |
$500.00 |
40.00 |
-60.00% |
-60.00% |
$400.00 |
30.00 |
-70.00% |
-70.00% |
$300.00 |
20.00 |
-80.00% |
-80.00% |
$200.00 |
10.00 |
-90.00% |
-90.00% |
$100.00 |
0.00 |
-100.00% |
-100.00% |
$0.00 |
PS-2
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to an Unequally Weighted
Basket Consisting of the iShares® MSCI EAFE ETF and the iShares® MSCI Emerging Markets ETF |
|
Upside Scenario:
If the Final Basket Value is greater than the Initial
Basket Value, investors will receive at maturity the $1,000 principal amount plus a return equal to the Basket Return times
the Upside Leverage Factor of 1.33.
| · | If the closing level of the Basket increases 5.00%, investors will receive at maturity
a return equal to 6.65%, or $1,066.50 per $1,000 principal amount note. |
Par Scenario:
If the Final Basket Value is equal to the Initial Basket
Value or is less than the Initial Basket Value but greater than or equal to the Barrier Amount of 70.00% of the Initial Basket Value,
investors will receive at maturity the principal amount of their notes.
Downside Scenario:
If the Final Basket Value is less than the Barrier Amount
of 70.00% of the Initial Basket Value, investors will lose 1% of the principal amount of their notes for every 1% that the Final Basket
Value is less than the Initial Basket Value.
| · | For example, if the closing level of the Basket declines 60.00%, investors will
lose 60.00% of their principal amount and receive only $400.00 per $1,000 principal amount note at maturity. |
The hypothetical returns and hypothetical payments on
the notes shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect the fees or expenses
that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns and
hypothetical payments shown above would likely be lower.
Selected
Risk Considerations
An investment in the notes involves significant risks.
These risks are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement and product
supplement and in Annex A to the accompanying prospectus addendum.
Risks Relating
to the Notes Generally
| · | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS |
The notes do not guarantee any return of principal.
If the Final Basket Value is less than the Barrier Amount, you will lose 1% of the principal amount of your notes for every 1% that the
Final Basket Value is less than the Initial Basket Value. Accordingly, under these circumstances, you will lose more than 30.00% of your
principal amount at maturity and could lose all of your principal amount at maturity.
| · | CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. |
Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.’s
creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely affect the value of
the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed
to you under the notes and you could lose your entire investment.
| · | AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS
AND HAS LIMITED ASSETS |
As a finance
subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of our securities
and the collection of intercompany obligations. Aside from the initial capital contribution from JPMorgan Chase & Co., substantially
all of our assets relate to obligations of JPMorgan Chase & Co. to make payments under loans made by us to JPMorgan Chase & Co.
or under other intercompany agreements. As a result, we are dependent upon payments from JPMorgan Chase & Co. to meet our
obligations under the notes. We are not a key operating subsidiary of JPMorgan Chase & Co. and in a bankruptcy or resolution
of JPMorgan Chase & Co. we are not expected to have sufficient resources to meet our obligations in respect of the notes
as they come due. If JPMorgan Chase & Co. does not make payments to us and we are unable to make payments on the notes,
you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu
with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more information, see the accompanying
prospectus addendum.
PS-3
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to an Unequally Weighted
Basket Consisting of the iShares® MSCI EAFE ETF and the iShares® MSCI Emerging Markets ETF |
|
| · | THE BENEFIT PROVIDED BY THE BARRIER AMOUNT MAY TERMINATE ON THE OBSERVATION DATE |
If the Final Basket Value is less than the
Barrier Amount, the benefit provided by the Barrier Amount will terminate and you will be fully exposed to any depreciation of the Basket.
| · | THE NOTES DO NOT PAY INTEREST. |
| · | CORRELATION (OR LACK OF CORRELATION) OF THE FUNDS |
The notes are linked to an unequally weighted
Basket composed of two Funds. Because the iShares® MSCI EAFE ETF makes up 70.00% of the Basket, we expect that generally
the market value of your notes and your payment at maturity will depend to a greater extent on the performance of the iShares®
MSCI EAFE ETF. In calculating the Final Basket Value, an increase in the price of one share of one of the Funds may be moderated, or more
than offset, by a lesser increase or decline in the price of one share of the other Fund. In addition, high correlation of movements in
the prices of one share of the Funds during periods of negative returns between the Funds could have an adverse effect on the payment
at maturity on the notes.
| · | YOU WILL NOT RECEIVE DIVIDENDS ON EITHER FUND OR THE SECURITIES HELD BY EITHER FUND OR HAVE ANY RIGHTS
WITH RESPECT TO EITHER FUND OR THOSE SECURITIES. |
| · | THE RISK OF THE CLOSING LEVEL OF THE BASKET FALLING BELOW THE BARRIER AMOUNT IS GREATER IF THE LEVEL
OF THE BASKET IS VOLATILE. |
The notes will not be listed on any securities
exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS
is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your notes to maturity.
Risks Relating
to Conflicts of Interest
We and our affiliates play a variety of roles
in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests are potentially
adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours or our affiliates in
connection with the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer
to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement.
Risks Relating
to the Estimated Value and Secondary Market Prices of the Notes
| · | THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES
|
The estimated value of the notes is only an
estimate determined by reference to several factors. The original issue price of the notes exceeds the estimated value of the notes because
costs associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include
the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our
obligations under the notes and the estimated cost of hedging our obligations under the notes. See “The Estimated Value of the Notes”
in this pricing supplement.
| · | THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS
ESTIMATES |
See “The Estimated Value of the Notes”
in this pricing supplement.
| · | 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.
PS-4
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to an Unequally Weighted
Basket Consisting of the iShares® MSCI EAFE ETF and the iShares® MSCI Emerging Markets ETF |
|
| · | THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS)
MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD |
We generally expect that some of the costs
included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes
by JPMS in an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices of the Notes”
in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes
during this initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account
statements).
| · | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES
|
Any secondary market prices of the notes will
likely be lower than the original issue price of the notes because, among other things, secondary market prices take into account our
internal secondary market funding rates for structured debt issuances and, also, because secondary market prices may exclude selling commissions,
projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the notes. As a result,
the price, if any, at which JPMS will be willing to buy the notes from you in secondary market transactions, if at all, is likely to be
lower than the original issue price. Any sale by you prior to the Maturity Date could result in a substantial loss to you.
| · | SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS |
The secondary market price of the notes during
their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the
selling commissions, projected hedging profits, if any, estimated hedging costs and the level of the Basket. 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 Basket
| · | THERE ARE RISKS ASSOCIATED WITH THE FUNDS |
The Funds are subject to management risk, which
is the risk that the investment strategies of the applicable Fund’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 prices of the shares
of the Funds and, consequently, the value of the notes.
| · | THE PERFORMANCE AND MARKET VALUE OF EACH FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY
NOT CORRELATE WITH THE PERFORMANCE OF THAT FUNDS UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE |
Each Fund does not fully replicate its Underlying
Index (as defined under “The Basket” below) and may hold securities different from those included in its Underlying Index.
In addition, the performance of each Fund 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 each Fund and its Underlying
Index. In addition, corporate actions with respect to the equity securities underlying a Fund (such as mergers and spin-offs) may impact
the variance between the performances of that Fund and its Underlying Index. Finally, because the shares of each Fund are traded on a
securities exchange and are subject to market supply and investor demand, the market value of one share of each Fund may differ from the
net asset value per share of that Fund.
During periods of market volatility, securities
underlying each Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately the net asset
value per share of that Fund and the liquidity of that Fund may be adversely affected. This kind of market volatility may also disrupt
the ability of market participants to create and redeem shares of a Fund. Further, market volatility may adversely affect, sometimes materially,
the prices at which market participants are willing to buy and sell shares of a Fund. As a result, under these circumstances, the market
value of shares of a Fund may vary substantially from the net asset value per share of that Fund. For all of the foregoing reasons, the
performance of each Fund may not correlate with the performance of its Underlying Index as well as the net asset value per share of that
Fund, which could materially and adversely affect the value of the notes in the secondary market and/or reduce any payment on the notes.
PS-5
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to an Unequally Weighted
Basket Consisting of the iShares® MSCI EAFE ETF and the iShares® MSCI Emerging Markets ETF |
|
| · | NON-U.S. SECURITIES RISK |
The equity securities included in or held
by the Funds have been issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity securities
involve risks associated with the securities markets in the home countries of the issuers of those non-U.S. equity securities. Also,
there is generally less publicly available information about companies in some of these jurisdictions than there is about U.S. companies
that are subject to the reporting requirements of the SEC.
| · | THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK |
Because the prices of the non-U.S. equity
securities held by each Fund are converted into U.S. dollars for purposes of calculating the net asset value of that Fund, holders of
the notes will be exposed to currency exchange rate risk with respect to each of the currencies in which the non-U.S. equity securities
held by that Fund trade. With respect to each Fund, your net exposure will depend on the extent to which those currencies strengthen
or weaken against the U.S. dollar and the relative weight of equity securities held by that Fund denominated in each of those currencies.
If, taking into account the relevant weighting, the U.S. dollar strengthens against those currencies, the price of the relevant Fund will
be adversely affected and any payment on the notes may be reduced.
| · | EMERGING MARKETS RISK WITH RESPECT TO THE iSHARES® MSCI EMERGING MARKETS ETF |
The equity securities held by the iShares®
MSCI Emerging Markets ETF have been issued by non-U.S. companies located in emerging markets countries. Countries with emerging
markets may have relatively unstable governments, may present the risks of nationalization of businesses, restrictions on foreign ownership
and prohibitions on the repatriation of assets, and may have less protection of property rights than more developed countries. The
economies of countries with emerging markets may be based on only a few industries, may be highly vulnerable to changes in local or global
trade conditions, and may suffer from extreme and volatile debt burdens or inflation rates. Local securities markets may trade a
small number of securities and may be unable to respond effectively to increases in trading volume, potentially making prompt liquidation
of holdings difficult or impossible at times.
| · | RECENT EXECUTIVE ORDERS MAY ADVERSELY AFFECT THE PERFORMANCE OF THE iSHARES®
MSCI EMERGING MARKETS ETF |
Pursuant to recent executive orders, U.S. persons
are prohibited from engaging in transactions in, or possession of, publicly traded securities of certain companies that are determined
to be linked to the People’s Republic of China military, intelligence and security apparatus, or securities that are derivative
of, or are designed to provide investment exposure to, those securities. The sponsor of the Underlying Index for the iShares®
MSCI Emerging Markets ETF has recently removed the equity securities of a small number of companies from that Underlying Index in response
to these executive orders and, as a result, these stocks have also been removed from the iShares® MSCI Emerging Markets
ETF. If the issuer of any of the equity securities held by the iShares® MSCI Emerging Markets ETF is in the future
designated as such a prohibited company, the value of that company may be adversely affected, perhaps significantly, which would adversely
affect the performance of the iShares® MSCI Emerging Markets ETF. In addition, under these circumstances, each of
the sponsor of the Underlying Index for the iShares® MSCI Emerging Markets ETF and the iShares® MSCI Emerging
Markets ETF is expected to remove the equity securities of that company from that Underlying Index and the iShares® MSCI
Emerging Markets ETF, respectively. Any changes to the composition of the iShares® MSCI Emerging Markets ETF in response
to these executive orders could adversely affect the performance of the iShares® MSCI Emerging Markets ETF.
| · | THE ANTI-DILUTION PROTECTION FOR THE FUNDS IS LIMITED |
The calculation agent will make adjustments
to the Share Adjustment Factor for each Fund for certain events affecting the shares of that Fund. However, the calculation agent will
not make an adjustment in response to all events that could affect the shares of the Funds. If an event occurs that does not require the
calculation agent to make an adjustment, the value of the notes may be materially and adversely affected.
PS-6
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to an Unequally Weighted
Basket Consisting of the iShares® MSCI EAFE ETF and the iShares® MSCI Emerging Markets ETF |
|
The Basket
The return on the notes is linked to an unequally weighted
basket consisting of the iShares® MSCI EAFE ETF and the iShares® MSCI Emerging Markets ETF.
The iShares® MSCI EAFE ETF is an exchange-traded
fund of iShares® Trust, a registered investment company, that seeks to track the investment results, before fees and expenses,
of an index composed of large- and mid-capitalization developed market equities, excluding the United States and Canada, which we refer
to as the Underlying Index with respect to the Fund. The Underlying Index for the Fund is currently the MSCI EAFE® Index.
The MSCI EAFE® Index is a free float-adjusted market capitalization index intended to measure the equity market performance
of certain developed markets, excluding the United States and Canada. For additional information about the iShares® MSCI
EAFE ETF, see “Fund Descriptions — The iShares® ETFs” in the accompanying underlying supplement.
The iShares® MSCI Emerging Markets ETF
is an exchange-traded fund of iShares®, Inc., a registered investment company, that seeks to track the investment results,
before fees and expenses, of an index composed of large- and mid-capitalization emerging market equities, which we refer to as the Underlying
Index with respect to the iShares® MSCI Emerging Markets ETF. The Underlying Index for the iShares® MSCI
Emerging Markets ETF is currently the MSCI Emerging Markets Index. The MSCI Emerging Markets Index is a free float-adjusted market capitalization
index that is designed to measure the equity market performance of global emerging markets. For additional information about the iShares®
MSCI Emerging Markets ETF, see “Fund Descriptions — The iShares® ETFs” in the accompanying underlying
supplement.
Historical Information
The following graphs set forth the historical performance
of the Basket as a whole, as well as each Fund, based on the weekly historical closing prices of one share of each Fund from January 4,
2019 through June 14, 2024. The graph of the historical performance of the Basket assumes that the closing level of the Basket on January
4, 2019 was 100 and that the weights of the Funds were as specified under “Key Terms — Basket” in this pricing supplement
on that date. The closing price of one share of the iShares® MSCI EAFE ETF on June 18, 2024 was $78.45. The closing price
of one share of the iShares® MSCI Emerging Markets ETF on June 18, 2024 was $42.89. We obtained the closing prices of one
share of the Funds above and below from the Bloomberg Professional® service (“Bloomberg”), without independent
verification. The closing prices of one share of each Fund above and below may have been adjusted by Bloomberg for actions taken by that
Fund, such as stock splits.
The historical closing levels of the Basket and the historical
closing prices of one share of each Fund should not be taken as an indication of future performance, and no assurance can be given as
to the closing level of the Basket on the Observation Date or the closing prices of one share of the Funds on the Observation Date. There
can be no assurance that the performance of the Basket will result in the return of any of your principal amount.
PS-7
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to an Unequally Weighted
Basket Consisting of the iShares® MSCI EAFE ETF and the iShares® MSCI Emerging Markets ETF |
|
Tax Treatment
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. The following discussion,
when read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding
the material U.S. federal income tax consequences of owning and disposing of notes.
Based on current market conditions, in the opinion
of our special tax counsel it is reasonable to treat the notes as “open transactions” that are not debt instruments for U.S.
federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences
to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement.
Assuming this treatment is respected, subject to the possible application of the “constructive ownership” rules, 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. The notes could be treated as “constructive ownership transactions”
within the meaning of Section 1260 of the Code, in which case any gain recognized in respect of the notes that would otherwise be long-term
capital gain and that was in excess of the “net underlying long-term capital gain” (as defined in Section 1260) would be treated
as ordinary income, and a notional interest charge would apply as if that income had accrued for tax purposes at a constant yield over
your holding period for the notes. Our special tax counsel has not expressed an opinion with respect to whether the
PS-8
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to an Unequally Weighted
Basket Consisting of the iShares® MSCI EAFE ETF and the iShares® MSCI Emerging Markets ETF |
|
constructive ownership rules apply to the notes.
Accordingly, U.S. Holders should consult their tax advisers regarding the potential application of the constructive ownership rules.
The IRS or a court may not respect the treatment
of the notes described above, in which case the timing and character of any income or loss on your 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 described
above. 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 the potential application of the constructive ownership rules, possible alternative treatments and the issues
presented by this notice.
Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on dividend equivalents
paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include
U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked to certain broad-based
indices that meet requirements set forth in the applicable Treasury regulations. Additionally, a recent IRS notice excludes from the scope
of Section 871(m) instruments issued prior to January 1, 2027 that do not have a delta of one with respect to underlying securities that
could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on certain determinations
made by us, our special tax counsel is of the opinion that Section 871(m) should not apply to the notes with regard to Non-U.S. Holders.
Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application
may depend on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security.
You should consult your tax adviser regarding the potential application of Section 871(m) to the notes.
The Estimated
Value of the Notes
The estimated value of the notes set forth on the
cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component
with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing to
buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated
value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by
JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding
rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing
market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an
adverse effect on the terms of the notes and any secondary market prices of the notes. For additional information, see “Selected
Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value
of the Notes Is Derived by Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives underlying
the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as
the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which
can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments.
Accordingly, the estimated value of the notes is determined when the terms of the notes are set based on market conditions and other relevant
factors and assumptions existing at that time.
The estimated value of the notes does not represent
future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide valuations
for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant factors
in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly
based on, among other things, changes in market conditions, our or
PS-9
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to an Unequally Weighted
Basket Consisting of the iShares® MSCI EAFE ETF and the iShares® MSCI Emerging Markets ETF |
|
JPMorgan Chase & Co.’s creditworthiness,
interest rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from
you in secondary market transactions.
The estimated value of the notes is lower than the
original issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original
issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected
profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the
estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market
forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. A portion
of the profits, if any, realized in hedging our obligations under the notes may be allowed to other affiliated or unaffiliated dealers,
and we or one or more of our affiliates will retain any remaining hedging profits. See “Selected Risk Considerations — Risks
Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Lower Than the Original
Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact any secondary
market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
— Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
In addition, we generally expect that some of the costs included in the original issue price of the notes will be partially paid back
to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period.
These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and
our internal secondary market funding rates for structured debt issuances. This initial predetermined time period is intended to be the
shorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects the structure of the
notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the notes
and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations — Risks Relating to
the Estimated Value and Secondary Market Prices of the Notes — The Value of the Notes as Published by JPMS (and Which May Be Reflected
on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this
pricing supplement.
Supplemental
Use of Proceeds
The notes are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the notes. See “Hypothetical Payout Profile” and “How
the Notes Work” in this pricing supplement for an illustration of the risk-return profile of the notes and “The Basket”
in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to
the estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus)
the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the
notes, plus the estimated cost of hedging our obligations under the notes.
Validity
of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as special
products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by this pricing supplement have
been issued by JPMorgan Financial pursuant to the indenture, the trustee and/or paying agent has made, in accordance with the instructions
from JPMorgan Financial, the appropriate entries or notations in its records relating to the master global note that represents such notes
(the “master note”), and such notes have been delivered against payment as contemplated herein, such notes will be valid and
binding obligations of JPMorgan Financial and the related guarantee will constitute a valid and binding obligation of JPMorgan Chase & Co.,
enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights
generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good
faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion as to (i) the effect of fraudulent
conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above or (ii) any provision of the
indenture that purports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law by limiting
the amount of JPMorgan Chase & Co.’s obligation under the related guarantee. This opinion is given as of the date
hereof and is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited
Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution
and delivery of the indenture and its authentication of the master note and the validity, binding nature and enforceability of the indenture
with respect to the trustee, all as stated in the letter of such counsel dated February 24, 2023, which was filed as an exhibit to the
Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24, 2023.
PS-10
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to an Unequally Weighted
Basket Consisting of the iShares® MSCI EAFE ETF and the iShares® MSCI Emerging Markets ETF |
|
Additional
Terms Specific to the Notes
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which
these notes are a part, the accompanying prospectus addendum and the more detailed information contained in the accompanying product supplement
and the accompanying underlying supplement. This pricing supplement, together with the documents listed below, contains the terms of the
notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or
indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other
educational materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk Factors”
sections of the accompanying prospectus supplement and the accompanying product supplement and in Annex A to the accompanying prospectus
addendum, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal,
tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC website
at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is
1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us”
and “our” refer to JPMorgan Financial.
PS-11
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to an Unequally Weighted
Basket Consisting of the iShares® MSCI EAFE ETF and the iShares® MSCI Emerging Markets ETF |
|
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 $18,583,000.
JP Morgan Alerian MLP (AMEX:AMJ)
Historical Stock Chart
From May 2024 to Jun 2024
JP Morgan Alerian MLP (AMEX:AMJ)
Historical Stock Chart
From Jun 2023 to Jun 2024