|
Pricing supplement
To prospectus dated April 13, 2023,
prospectus supplement dated April 13, 2023,
product supplement no. 4-I dated April 13, 2023,
underlying supplement no. 1-I dated April 13, 2023 and
prospectus addendum dated June 3, 2024 |
Registration Statement
Nos. 333-270004 and 333-270004-01
Dated September 9, 2024
Rule 424(b)(2) |
| JPMorgan Chase Financial Company LLC |
Structured
Investments |
$2,500,000
Auto Callable Contingent Interest Notes Linked to the
Lesser Performing of the S&P 500® Index and the SPDR® Gold Trust due March 11, 2027
Fully and Unconditionally Guaranteed by JPMorgan Chase
& Co. |
General
| · | The
notes are designed for investors who seek a Contingent Interest Payment if, (1) with respect to any Review Date (other than the final
Review Date), the closing value of each of the S&P 500® Index and SPDR® Gold Trust , which we refer
to as the Underlyings, or, (2) with respect to the final Review Date, the Final Value of each Underlying, is greater than or equal to
85.00% of its Strike Value, which we refer to as an Interest Barrier. Investors should be willing to forgo fixed interest and dividend
payments, in exchange for the opportunity to receive Contingent Interest Payments. |
| · | Investors
in the notes should be willing to accept the risk of losing some or all of their principal if a Trigger Event (as defined below) has
occurred and the risk that no Contingent Interest Payment may be made with respect to some or all Review Dates. Contingent Interest Payments
should not be viewed as periodic interest payments. |
| · | The
notes will be automatically called if the closing value of each Underlying on any Review Date (other than the final Review Date) is greater
than or equal to its Strike Value. The earliest date on which an automatic call may be initiated, is December 6, 2024. |
| · | The
notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial,
the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes is subject to the
credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor of the notes. |
| · | The
payment at maturity is not linked to a basket composed of the Underlyings. The payment at maturity is linked to the performance
of each of the Underlyings individually, as described below. |
| · | Minimum
denominations of $10,000 and integral multiples of $1,000 in excess thereof |
Key Terms
| Issuer: |
JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co. |
| Guarantor: |
JPMorgan Chase & Co. |
| Underlyings: |
The S&P 500® Index (Bloomberg ticker: SPX) (the “Index”) and the SPDR® Gold Trust (Bloomberg ticker: GLD UP) (the “Fund”) (each of the Index and the Fund, an “Underlying” and, collectively, the “Underlyings”) |
| Contingent Interest Payments: |
If the notes have not been automatically called and (1) with respect to any
Review Date (other than the final Review Date), the closing value of each Underlying on that Review Date or, (2) with respect to the final
Review Date, the Final Value of each Underlying, is greater than or equal to its Interest Barrier, you will receive on the applicable
Interest Payment Date for each $1,000 principal amount note a Contingent Interest Payment equal to $25.00.
If, with respect to any Review Date, the closing value of either Underlying
(in the case of any Review Date other than the final Review Date) or the Final Value (in the case of the final Review Date) is less than
its Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date. |
| Interest Barrier / Trigger Level: |
For each Underlying, an amount that represents 85.00% of its Strike Value which is:
4,597.157, with respect to the Index and
$196.0355, with respect to the Fund. |
| Downside Leverage Factor: |
1.17647 |
| Automatic Call: |
If, with respect to any Review Date (other than the final Review Date), the closing value of each Underlying is greater than or equal to its Strike Value, the notes will be automatically called for a cash payment, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to that Review Date, payable on the applicable Call Settlement Date. |
| Payment at Maturity: |
If the notes have not been automatically called and a Trigger Event has not occurred, you will receive a cash payment at maturity, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to the final Review Date. |
| If the notes have not been automatically called and a Trigger Event has occurred, at maturity you will lose 1.17647% of the principal amount of your notes for every 1% that the Final Value of the Lesser Performing Underlying is less than its Strike Value by more than 15.00%. Under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows: |
| $1,000 + [$1,000 × (Underlying Return + 15.00%) × Downside Leverage Factor] |
| If the notes have not been automatically called and a Trigger Event has occurred, you will lose 1.17647% of the principal amount of your notes at maturity for every 1% that the Final Value of the Lesser Performing Underlying is less than its Strike Value by more than 15.00%. Under these circumstances, you will lose some or all of your principal amount at maturity. |
| Strike Date: |
September 6, 2024 |
| Pricing Date: |
September 9, 2024 |
| Original Issue Date (Settlement Date): |
On or about September 12, 2024 |
| Valuation Date†: |
March 8, 2027 |
| Maturity Date†: |
March 11, 2027 |
† 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.
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-5 of
this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”) nor
any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing supplement
or the accompanying product supplement, underlying supplement, prospectus supplement, 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 |
$1,000.00 |
$5.00 |
$995.00 |
| Total |
$2,500,000.00 |
$12,500.00 |
$2,487,500.00 |
(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 $5.00 per $1,000 principal
amount note it receives from us to other affiliated or unaffiliated dealers.See “Plan of Distribution (Conflicts of Interest)”
in the accompanying product supplement.
The estimated value of the notes, when the terms of the notes were set,
was $978.50 per $1,000 principal amount note. See “The Estimated Value of the Notes” in this pricing supplement for additional
information.
The notes are not bank deposits, are not insured by the Federal Deposit
Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Additional Terms
Specific to the Notes
You 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.
Additional
Key Terms
| Trigger Event: |
A Trigger Event occurs if the Final Value (i.e., the closing value on the Valuation Date) of any Underlying is less than its Trigger Level. |
| Underlying Return: |
With respect to each Underlying:
(Final Value – Strike Value)
Strike Value |
| Strike Value: |
With respect to each Underlying, the closing value of such Underlying on the Strike Date which is:
5,408.42, with respect to the Index and
$230.63, with respect to the Fund.
The Strike Values are not determined by reference to the closing values on the Pricing Date. |
| Final Value: |
With respect to each Underlying, the closing value of that Underlying on the Valuation Date |
| Lesser Performing Underlying: |
The Underlying with the Lesser Performing Underlying Return |
| Lesser Performing Underlying Return: |
The lowest of the Underlying Returns of the Underlyings |
| Share Adjustment Factor: |
The Share Adjustment Factor is referenced in determining the closing price of one share of the Fund and is set initially at 1.0 on the Strike Date. The Share Adjustment Factor is subject to adjustment upon the occurrence of certain events affecting the Fund. See “The Underlyings — Funds — Anti-Dilution Adjustments” in the accompanying product supplement for further information. |
| Review Dates†: |
December 6, 2024, March 6, 2025, June 6, 2025, September 8, 2025, December 8, 2025, March 6, 2026, June 8, 2026, September 8, 2026, December 7, 2026 and March 8, 2027 (final Review Date) |
| Interest Payment Dates†: |
December 11, 2024, March 11, 2025, June 11, 2025, September 11, 2025, December 11, 2025, March 11, 2026, June 11, 2026, September 11, 2026, December 10, 2026 and the Maturity Date |
| Call Settlement Date†: |
If the notes are automatically called on any Review Date (other than the final Review Date), the first Interest Payment Date immediately following that Review Date |
| CUSIP: |
48135TS38 |
| JPMorgan Structured Investments — | PS-1 |
| Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500® Index and the SPDR® Gold Trust | |
What Are the Payments on the Notes, Assuming
a Range of Performances for the Lesser Performing Underlying?
If the notes have not been automatically called and, (1) with
respect to any Review Date (other than the final Review Date), the closing value of each Underlying or, (2) with respect to the final
Review Date, the Final Value of each Underlying, is greater than or equal to its Interest Barrier, you will receive on the applicable
Interest Payment Date for each $1,000 principal amount note a Contingent Interest Payment equal to $25.00. If, (1) with respect to any
Review Date (other than the final Review Date), the closing value of any Underlying or, (2) with respect to the final Review Date, the
Final Value of any Underlying, is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Review
Date. We refer to the Interest Payment Date immediately following any Review Date on which the closing value of any Underlying or the
Final Value, as applicable, is less than its Interest Barrier, as a “No-Coupon Date.” The following table reflects the Contingent
Interest Payment of $25.00 per $1,000 principal amount note and illustrates the hypothetical total Contingent Interest Payments per $1,000
principal amount note over the term of the notes depending on how many No-Coupon Dates occur.
|
Number of
No-Coupon Dates |
Total Contingent
Coupon Payments |
| 0 No-Coupon Dates |
$250.00 |
| 1 No-Coupon Date |
$225.00 |
| 2 No-Coupon Dates |
$200.00 |
| 3 No-Coupon Dates |
$175.00 |
| 4 No-Coupon Dates |
$150.00 |
| 5 No-Coupon Dates |
$125.00 |
| 6 No-Coupon Dates |
$100.00 |
| 7 No-Coupon Dates |
$75.00 |
| 8 No-Coupon Dates |
$50.00 |
| 9 No-Coupon Dates |
$25.00 |
| 10 No-Coupon Dates |
$0.00 |
The following table illustrates the hypothetical payments
on the notes in different hypothetical scenarios. Each hypothetical payment set forth below assumes that the Lesser Performing Underlying
is the S&P 500® Index and that the closing value of the other Underlying on each Review Date is greater than or equal
to its Strike Value (and therefore its Interest Barrier and Trigger Level). We make no representation or warranty as to which Underlying
will be the Lesser Performing Underlying for purposes of calculating your actual payment at maturity, if any, or as to what the closing
value of any Underlying will be on any Review Date. In addition, the following table and examples assume an Initial Value for the Lesser
Performing Underlying of 100.00, an Interest Barrier and a Trigger Level of 85.00 (equal to 85.00% of the hypothetical Strike Value),
the Downside Leverage Factor of 1.17647 and reflects the Contingent Interest Payment of $25.00. The hypothetical Strike Value of 100.00
has been chosen for illustrative purposes only and does not represent the actual Strike Value of the S&P 500® Index.
Each hypothetical payment set forth below is for illustrative purposes only and may not be the actual payment applicable to a purchaser
of the notes. The numbers appearing in the following table and examples have been rounded for ease of analysis.
| |
Review Dates Prior to the Final Review
Date |
Final Review Date |
Closing
Value of the
Lesser
Performing
Underlying |
Lesser Performing
Underlying
Appreciation /
Depreciation at
Review Date |
Payment on
Interest Payment
Date or Call
Settlement Date
(1)(2) |
Final Value
of the
Lesser
Performing
Underlying
(3) |
Lesser
Performing
Underlying
Return |
Payment at
Maturity If a
Trigger Event
Has Not
Occurred (2)(4) |
Payment at
Maturity If a
Trigger Event
Has Occurred
(4) |
| 180.00 |
80.00% |
$1,025.00 |
180.00 |
80.00% |
$1,025.00 |
N/A |
| 170.00 |
70.00% |
$1,025.00 |
170.00 |
70.00% |
$1,025.00 |
N/A |
| 160.00 |
60.00% |
$1,025.00 |
160.00 |
60.00% |
$1,025.00 |
N/A |
| 150.00 |
50.00% |
$1,025.00 |
150.00 |
50.00% |
$1,025.00 |
N/A |
| 140.00 |
40.00% |
$1,025.00 |
140.00 |
40.00% |
$1,025.00 |
N/A |
| 130.00 |
30.00% |
$1,025.00 |
130.00 |
30.00% |
$1,025.00 |
N/A |
| 120.00 |
20.00% |
$1,025.00 |
120.00 |
20.00% |
$1,025.00 |
N/A |
| 115.00 |
15.00% |
$1,025.00 |
115.00 |
15.00% |
$1,025.00 |
N/A |
| 110.00 |
10.00% |
$1,025.00 |
110.00 |
10.00% |
$1,025.00 |
N/A |
| 105.00 |
5.00% |
$1,025.00 |
105.00 |
5.00% |
$1,025.00 |
N/A |
| 100.00 |
0.00% |
$1,025.00 |
100.00 |
0.00% |
$1,025.00 |
N/A |
| 95.00 |
-5.00% |
$25.00 |
95.00 |
-5.00% |
$1,025.00 |
N/A |
| 90.00 |
-10.00% |
$25.00 |
90.00 |
-10.00% |
$1,025.00 |
N/A |
| 85.00 |
-15.00% |
$25.00 |
85.00 |
-15.00% |
$1,025.00 |
N/A |
| 84.99 |
-15.01% |
N/A |
84.99 |
-15.01% |
N/A |
$999.88235 |
| 80.00 |
-20.00% |
N/A |
80.00 |
-20.00% |
N/A |
$941.17650 |
| 70.00 |
-30.00% |
N/A |
70.00 |
-30.00% |
N/A |
$823.52950 |
| 60.00 |
-40.00% |
N/A |
60.00 |
-40.00% |
N/A |
$705.88250 |
| 50.00 |
-50.00% |
N/A |
50.00 |
-50.00% |
N/A |
$588.23550 |
| 40.00 |
-60.00% |
N/A |
40.00 |
-60.00% |
N/A |
$470.58850 |
| 30.00 |
-70.00% |
N/A |
30.00 |
-70.00% |
N/A |
$352.94150 |
| 20.00 |
-80.00% |
N/A |
20.00 |
-80.00% |
N/A |
$235.29450 |
| JPMorgan Structured Investments — | PS-2 |
| Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500® Index and the SPDR® Gold Trust | |
| 10.00 |
-90.00% |
N/A |
10.00 |
-90.00% |
N/A |
$117.64750 |
| 0.00 |
-100.00% |
N/A |
0.00 |
-100.00% |
N/A |
$0.00000 |
| (1) | The notes will be automatically called if the closing value
of each Underlying on any Review Date (other than the final Review Date) is greater than or equal to its Strike Value. |
| (2) | You will receive a Contingent Interest Payment in connection
with a Review Date if, (1) with respect to any Review Date (other than the final Review Date), the Final Value of each Underlying or,
(2) with respect to the final Review Date, the Final Value of each Underlying is greater than or equal to its Interest Barrier. |
| (3) | With respect to each Underlying, the Final Value is equal
to the closing value of that Underlying on the Valuation Date. |
| (4) | A Trigger Event occurs if the Final Value (i.e., the
closing value on the Valuation Date) any Underlying is less than its Trigger Level. |
Hypothetical Examples of Amounts Payable
on the Notes
The following examples illustrate how payments on the notes
in different hypothetical scenarios are calculated.
Example 1: The value of the Lesser Performing Underlying
increases from the Strike Value of 100.00 to a closing value of 120.00 on the first Review Date. Because the closing value of the
Lesser Performing Underlying on the first Review Date is greater than the Interest Barrier, the investor is entitled to receive a Contingent
Interest Payment in connection with the first Review Date. In addition, because the closing value of the Lesser Performing Underlying
on the first Review Date is greater than the Strike Value, the notes are automatically called. Accordingly, the investor receives a payment
of $1,025.00 per $1,000 principal amount note on the relevant Call Settlement Date, consisting of a Contingent Interest Payment of $25.00
per $1,000 principal amount note and repayment of principal equal to $1,000.00 per $1,000 principal amount note. As a result, the total
amount paid on the notes over the term of the notes is $1,025.00 per $1,000 principal amount note.
Example 2: A Contingent Interest Payment is not paid
in connection with the first through seventh Review Dates but is paid in connection with the eighth Review Date, the closing value of
the Lesser Performing Underlying is less than the Strike Value of 100.00 on each of the Review Dates preceding the ninth Review Date and
the value of the Lesser Performing Underlying increases from the Strike Value of 100.00 to a closing value of 120.00 on the ninth Review
Date. The investor receives a payment of $25.00 per $1,000 principal amount note in connection with the eighth Review Date, but the
notes are not automatically called on any of the Review Dates preceding the ninth Review Date because the closing value of the Lesser
Performing Underlying is less than the Strike Value on each of the Review Dates preceding the ninth Review Date. Because the closing value
of the Lesser Performing Underlying on the ninth Review Date is greater than the Interest Barrier, the investor is entitled to receive
a Contingent Interest Payment in connection with the ninth Review Date. In addition, because the closing value of the Lesser Performing
Underlying on the ninth Review Date is greater than the Strike Value, the notes are automatically called. Accordingly, the investor receives
a payment of $1,025.00 per $1,000 principal amount note on the relevant Call Settlement Date, consisting of a Contingent Interest Payment
of $25.00 per $1,000 principal amount note (reflecting the Contingent Interest Payment for the ninth Review Date) and repayment of principal
equal to $1,000 per $1,000 principal amount note. As a result, the total amount paid on the notes over the term of the notes is $1,050.00
per $1,000 principal amount note.
Example 3: The notes are not automatically called prior
to maturity, Contingent Interest Payments are paid in connection with each of the Review Dates preceding the final Review Date and the
value of the Lesser Performing Underlying increases from the Strike Value of 100.00 to a Final Value of 120.00 — A Trigger Event
has not occurred. The investor receives a payment of $25.00 per $1,000 principal amount note in connection with each of the Review
Dates preceding the final Review Date. Because the notes are not automatically called prior to maturity and a Trigger Event has not occurred,
the investor receives at maturity a payment of $1,025.00 per $1,000 principal amount note. This payment consists of a Contingent Interest
Payment of $25.00 per $1,000 principal amount note and repayment of principal equal to $1,000 per $1,000 principal amount note. The total
amount paid on the notes over the term of the notes is $1,250.00 per $1,000 principal amount note. This represents the maximum total
payment an investor may receive over the term of the notes.
Example 4: The notes are not automatically called prior
to maturity, a Contingent Interest Payment is paid in connection with the second Review Date but not paid in connection with the first
or third through ninth Review Dates and the value of the Lesser Performing Underlying decreases from the Strike Value of 100.00 to a Final
Value of 85.00 — A Trigger Event has not occurred. The investor receives a payment of $25.00 per $1,000 principal amount note
in connection with the second Review Date (reflecting the Contingent Interest Payment for the second Review Date). No Contingent Interest
Payment is paid in connection with the first or third through ninth Review Dates. Because the notes are not automatically called prior
to maturity and a Trigger Event has not occurred, even though the Final Value is less than the Strike Value, the investor receives at
maturity a payment of $1,025.00 per $1,000 principal amount note. This payment consists of Contingent Interest Payments of $25.00 per
$1,000 principal amount note (reflecting the Contingent Interest Payment for the final Review Date) and repayment of principal equal to
$1,000 per $1,000 principal amount note. The total amount paid on the notes over the term of the notes is $1,050.00 per $1,000 principal
amount note.
| JPMorgan Structured Investments — | PS-3 |
| Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500® Index and the SPDR® Gold Trust | |
Example 5: The notes are not automatically called prior
to maturity, Contingent Interest Payments are paid in connection with each of the Review Dates preceding the final Review Date and the
value of the Lesser Performing Underlying decreases from the Strike Value of 100.00 to a Final Value of 40.00 — A Trigger Event
has occurred. The investor receives a payment of $25.00 per $1,000 principal amount note in connection with each of the Review Dates
preceding the final Review Date. Because the notes are not automatically called prior to maturity, a Trigger Event has occurred and the
Lesser Performing Underlying Return is -60.00%, the investor receives at maturity a payment of $470.5885 per $1,000 principal amount note,
calculated as follows:
$1,000 + [$1,000 × (-60.00% + 15.00%) ×
1.17647] = $470.5885
The total value of the payments on the notes over the term
of the notes is $695.5885 per $1,000 principal amount note.
Example 6: The notes are not automatically called prior
to maturity, no Contingent Interest Payments are paid in connection with the Review Dates preceding the final Review Date and the value
of the Lesser Performing Underlying decreases from the Strike Value of 100.00 to a Final Value of 30.00 — A Trigger Event has occurred.
Because the notes are not automatically called prior to maturity, no Contingent Interest Payments are paid in connection with the Review
Dates preceding the final Review Date, a Trigger Event has occurred and the Lesser Performing Underlying Return is -70.00%, the investor
receives no payments over the term of the notes, other than a payment at maturity of $352.9415 per $1,000 principal amount note, calculated
as follows:
$1,000 + [$1,000 × (-70.00% + 15.00%) ×
1.17647] = $352.9415
The hypothetical payments on the notes shown above apply
only if you hold the notes for their entire term or until automatically called. These hypotheticals do not reflect fees or expenses
that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical payments shown
above would likely be lower.
Selected Purchase Considerations
| · | CONTINGENT INTEREST PAYMENTS — The notes offer the potential
to earn a Contingent Interest Payment in connection with each Review Date of $25.00 per $1,000 principal amount note. If the notes have
not been automatically called and, (1) with respect to any Review Date (other than the final Review Date), the closing value of each Underlying
on that Review Date or, (2) with respect to the final Review Date, the Final Value of each Underlying, is greater than or equal to its
Interest Barrier, you will receive on the applicable Interest Payment Date a Contingent Interest Payment for that Review Date. If, (1)
with respect to any Review Date (other than the final Review Date), the closing value of any Underlying or, (2) with respect to the final
Review Date, the Final Value of any Underlying, is less than its Interest Barrier, no Contingent Interest Payment will be made with respect
to that Review Date. You will not receive any unpaid Contingent Interest Payments if the closing value or the Final Value, as applicable,
of any Underlying on each subsequent Review Date is less than its Interest Barrier. If the closing value or the Final Value, as
applicable, of any Underlying on each Review Date is less than its Interest Barrier, you will not receive any Contingent Interest Payments
over the term of the notes. If payable, a Contingent Interest Payment will be made to the holders of record at the close of business on
the business day immediately preceding the applicable Interest Payment Date. Because the notes are our unsecured and unsubordinated
obligations, the payment of which is fully and unconditionally guaranteed by JPMorgan Chase & Co., payment of any amount on the notes
is subject to our ability to pay our obligations as they become due and JPMorgan Chase & Co.’s ability to pay its obligations
as they become due. |
| · | POTENTIAL EARLY EXIT AS A RESULT OF THE AUTOMATIC CALL FEATURE —
If the closing value of each Underlying on any Review Date (other than the final Review Date) is greater than or equal to its Strike Value,
your notes will be automatically called prior to the Maturity Date. Under these circumstances, you will receive a cash payment, for each
$1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to that Review Date. Even
in cases where the notes are called before maturity, you are not entitled to any fees and commissions described on the front cover of
this pricing supplement. |
| · | THE NOTES DO NOT GUARANTEE THE RETURN OF YOUR PRINCIPAL IF THE NOTES HAVE
NOT BEEN AUTOMATICALLY CALLED — If the notes have not been automatically called, we will pay you your principal back at maturity
only if a Trigger Event has not occurred. However, if the notes have not been automatically called and a Trigger Event has occurred,
you will lose some or all of the principal amount of your notes at maturity. |
| · | RETURN DEPENDENT ON THE LESSER PERFORMING OF THE UNDERLYINGS —
The return on the notes is linked to the Lesser Performing Underlying, which will be either the S&P 500® Index or the
SPDR® Gold Trust.
The S&P 500® Index consists of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity
markets. For additional information about the S&P 500® Index, see “Equity Index Descriptions — The S&P
U.S. Indices” in the accompanying underlying supplement.
The SPDR® Gold Trust is an investment trust sponsored by World Gold Trust Services, LLC. The investment objective
of the SPDR® Gold Trust is for its shares to reflect the performance of the price of gold bullion, less the expenses of
the SPDR® Gold Trust’s operations. The SPDR® Gold Trust holds gold bars. We refer to gold as
the “Underlying Commodity” with respect to the Fund. |
| · | TAX TREATMENT — You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. In determining our reporting
responsibilities we intend to treat (i) the notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent
coupons and (ii) any Contingent Interest Payments as ordinary income, as described in the section entitled “Material U.S. Federal
Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated |
| JPMorgan Structured Investments — | PS-4 |
| Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500® Index and the SPDR® Gold Trust | |
Contingent Coupons” in the accompanying product supplement.
Based on the advice of Latham & Watkins LLP, our special tax counsel, we believe that this is a reasonable treatment, but that there
are other reasonable treatments that the IRS or a court may adopt, in which case the timing and character of any income or loss on the
notes could be materially affected. Assuming this treatment is respected, subject to the following sentence, the gain or loss on your
notes should be treated as short-term capital gain or loss unless you hold your notes for more than a year, in which case the gain or
loss should be long-term capital gain or loss, subject to the possible application of the “constructive ownership” rules,
whether or not you are an initial purchaser of notes at the issue price. However, if you sell your notes between Contingent Interest Payment
Dates, it is likely that you will be treated as having ordinary income equal to the amount of the Contingent Interest Payment that has
accrued as of the date of the sale. You should consult your tax adviser regarding this issue. 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 constructive ownership rules apply to the notes. Accordingly, you should consult your tax adviser regarding the potential
application of the constructive ownership rules. In addition, you should review the section entitled “Material U.S. Federal Income
Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments —
Potential Application of the Constructive Ownership Rules” in the accompanying product supplement. In addition, in 2007 Treasury
and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts”
and similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over the
term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect
to these instruments and the relevance of factors such as the nature of the underlying property to which the instruments are linked. While
the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated
after consideration of these issues could materially affect the tax consequences of an investment in the notes, possibly with retroactive
effect. The discussions above and in the accompanying product supplement do not address the consequences to taxpayers subject to special
tax accounting rules under Section 451(b) of the Code. You should consult your tax adviser regarding the U.S. federal income tax consequences
of an investment in the notes, including possible alternative treatments and the issues presented by the notice described above.
Non-U.S. Holders — Tax Considerations.
The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and although we believe it is reasonable to take
a position that Contingent Interest Payments are not subject to U.S. withholding tax (at least if an applicable Form W-8 is provided),
it is expected that withholding agents will (and we, if we are the withholding agent, intend to) withhold on these payments paid to a
Non-U.S. Holder generally at a rate of 30% or at a reduced rate specified by an applicable income tax treaty under an “other income”
or similar provision. We will not be required to pay any additional amounts with respect to amounts withheld. In order to claim an exemption
from, or a reduction in, the 30% withholding tax, a Non-U.S. Holder of the notes must comply with certification requirements to establish
that it is not a U.S. person and is eligible for such an exemption or reduction under an applicable tax treaty. If you are a Non-U.S.
Holder, you should consult your tax adviser regarding the tax treatment of the notes, including the possibility of obtaining a refund
of any withholding tax and the certification requirement described above.
Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on dividend equivalents
paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include
U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked to certain broad-based
indices that meet requirements set forth in the applicable Treasury regulations (such an index, a “Qualified Index”). Additionally,
a recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 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.
FATCA. Withholding under legislation
commonly referred to as “FATCA” could apply to payments with respect to the notes that are treated as U.S.-source “fixed
or determinable annual or periodical” income (“FDAP Income”) for U.S. federal income tax purposes (such as interest,
if the notes are recharacterized, in whole or in part, as debt instruments, or Contingent Interest Payments if they are otherwise treated
as FDAP Income). If the notes are recharacterized, in whole or in part, as debt instruments, withholding could also apply to payments
of gross proceeds of a taxable disposition, including an early redemption or redemption at maturity, although under recently proposed
regulations (the preamble to which specifies that taxpayers are permitted to rely on them pending finalization), no withholding will apply
to payments of gross proceeds (other than any amount treated as FDAP Income). You should consult your tax adviser regarding the potential
application of FATCA to the notes.
In the event of any withholding on the notes,
we will not be required to pay any additional amounts with respect to amounts so withheld.
Selected Risk Considerations
An investment in the notes involves significant risks.
Investing in the notes is not equivalent to investing directly in one or more of the Underlyings or any of the equity securities included
in or held by the Underlyings. These risks are
| JPMorgan Structured Investments — | PS-5 |
| Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500® Index and the SPDR® Gold Trust | |
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 notes
have not been automatically called and a Trigger Event has occurred, you will lose 1.17647% of the principal amount of your notes at maturity
for every 1% that the Final Value of the Lesser Performing Underlying is less than its Strike Value by more than 15.00%. Under these circumstances,
you will lose some or all of your principal amount at maturity. |
| · | THE NOTES DO NOT GUARANTEE THE PAYMENT OF
INTEREST AND MAY NOT PAY ANY INTEREST AT ALL — The terms of the notes differ from those of conventional debt securities in that,
among other things, whether we pay interest is linked to the performance of each Underlying. Contingent Interest Payments should not be
viewed as periodic interest payments. If the notes have not been automatically called and if, (1) with respect to any Review Date (other
than the final Review Date), the closing value of each Underlying on that Review Date or, (2) with respect to the final Review Date, the
Final Value of each Underlying, is greater than or equal to its Interest Barrier, we will make a Contingent Interest Payment with respect
to that Review Date. If, (1) with respect to any Review Date (other than the final Review Date), the closing value of any Underlying or,
(2) with respect to the final Review Date, the Final Value of any Underlying, is less than its Interest Barrier, no Contingent Interest
Payment will be made with respect to that Review Date. You will not receive any unpaid Contingent Interest Payments if the closing value
or the Final Value, as applicable, of any Underlying on each subsequent Review Date is less than its Interest Barrier. Accordingly, if,
(1) with respect to each Review Date (other than the final Review Date), the closing value of any Underlying and, (2) with respect to
the final Review Date, the Final Value of any Underlying, is less than its Interest Barrier, you will not receive any Contingent Interest
Payments over the term of the notes. |
| · | CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
The notes are subject to our and JPMorgan Chase & Co.’s credit risks, and our and JPMorgan Chase & Co.’s credit ratings
and credit spreads may adversely affect the market value of the notes. Investors are dependent on our and JPMorgan Chase & Co.’s
ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness
or credit spreads, as determined by the market for taking that credit risk, is likely to adversely affect the value of the notes.
If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed to you under the notes
and you could lose your entire investment. |
| · | AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS
AND HAS LIMITED ASSETS — As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations
beyond the issuance and administration of our securities 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. |
| · | THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
If the notes are automatically called, the amount of Contingent Interest Payments made on the notes may be less than the amount of Contingent
Interest Payments that might have been payable if the notes were held to maturity, and, for each $1,000 principal amount note, you will
receive on the applicable Call Settlement Date $1,000 plus the Contingent Interest Payment applicable to the relevant Review Date.
|
| · | REINVESTMENT RISK
— If your notes are automatically called, the term of the notes may be reduced to as short as approximately three months and you
will not receive any Contingent Interest Payments after the applicable Call Settlement Date. There is no guarantee that you would be able
to reinvest the proceeds from an investment in the notes at a comparable return and/or with a comparable interest rate for a similar level
of risk in the event the notes are automatically called prior to the Maturity Date. |
| · | NO DIVIDEND PAYMENTS OR VOTING RIGHTS
— As a holder of the notes, you will not have voting rights or rights to receive cash dividends or other distributions or other
rights that holders of the Fund or the securities included in the or held by the Underlyings would have. |
| · | THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED, AND YOU WILL NOT PARTICIPATE IN ANY APPRECIATION IN THE VALUE OF ANY UNDERLYING
— The appreciation potential of the notes is limited to the sum of any Contingent Interest Payments that may be paid over the term
of the notes, regardless of any appreciation of any Underlying, which may be significant. You will not participate in any appreciation
of any Underlying. Accordingly, the return on the notes may be significantly less than the return on a direct investment in any Underlying
during the term of the notes. |
| · | YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE VALUE OF EACH UNDERLYING
— Your return on the notes and your payment at maturity, if any, is not linked to a basket consisting of the Underlyings. If
the notes have not been automatically called, your payment at maturity is contingent upon the performance of each individual Underlying
such that you will be equally exposed to the risks related to each of the Underlyings. The performance of the Underlyings
may not be correlated. Poor performance by any of the Underlyings over the term of the notes may negatively affect whether you will receive
a Contingent Interest Payment on any Interest Payment Date and your payment at maturity and |
| JPMorgan Structured Investments — | PS-6 |
| Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500® Index and the SPDR® Gold Trust | |
will not be offset or mitigated by positive performance by any
other Underlying. Accordingly, your investment is subject to the risk of decline in the value of each Underlying.
| · | THE BENEFIT PROVIDED BY THE TRIGGER LEVEL MAY TERMINATE ON THE VALUATION DATE — If the Final Value of the Lesser Performing
Underlying is less than its Trigger Level and the notes have not been automatically called, the benefit provided by the Trigger Level
will terminate and you will lose some or all of your principal amount at maturity. |
| · | YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LESSER PERFORMING UNDERLYING
— Because the payment at maturity will be determined based on the performance of the Lesser Performing Underlying, you will not
benefit from the performance of any other Underlying. Accordingly, if the notes have not been automatically called and a Trigger
Event has occurred, you will lose some or all of your principal amount at maturity, even if the Final Value of the other Underlying is
greater than or equal to its Initial Value. |
| · | VOLATILITY RISK — Greater expected volatility with respect to an Underlying indicates a greater likelihood as of the
Pricing Date that the closing value of that Underlying on a Review Date (other than the final Review Date) or the Final Value of that
Underlying could be less than its Interest Barrier and/or that a Trigger Event could occur. An Underlying’s volatility, however,
can change significantly over the term of the notes. The closing value of an Underlying could fall sharply on any day during the term
of the notes, which could result in your not receiving any Contingent Interest Payment or a significant loss of principal, or both. |
| · | LACK OF LIQUIDITY — The notes will not be listed on any securities exchange. JPMS intends to offer to purchase the notes
in the secondary market but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow
you to trade or sell the notes easily. Because other dealers are not likely to make a secondary market for the notes, the price at which
you may be able to trade your notes is likely to depend on the price, if any, at which JPMS is willing to buy the notes. |
Risks Relating to Conflicts of Interest
| · | POTENTIAL CONFLICTS — We and our affiliates play a variety of roles in connection with the issuance of the notes, including
acting as calculation agent and as an agent of the offering of the notes, hedging our obligations under the notes and making the assumptions
used to determine the pricing of the notes and the estimated value of the notes when the terms of the notes are set, which we refer to
as the estimated value of the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests and the economic
interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the notes.
In addition, our and JPMorgan Chase & Co.’s business activities, including hedging and trading activities, could cause our and
JPMorgan Chase & Co.’s economic interests to be adverse to yours and could adversely affect any payment on the notes and the
value of the notes. It is possible that hedging or trading activities of ours or our affiliates in connection with the notes could result
in substantial returns for us or our affiliates while the value of the notes declines. Please refer to “Risk Factors — Risks
Relating to Conflicts of Interest” in the accompanying product supplement for additional information about these risks. |
In addition, the benchmark price of the Fund’s Underlying
Commodity is administered by the London Bullion Market Association (“LBMA”) or an independent service provider appointed by
the LBMA, and we are, or one of our affiliates is, a price participant that contributes to the determination of that price. Furthermore,
our affiliate is the custodian of the SPDR® Gold Trust. We and our affiliates will have no obligation to consider
your interests as a holder of the notes in taking any actions in connection with our roles as a price participant and a custodian that
might affect the Fund or the notes.
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 — The estimated value of the notes is determined by reference to internal
pricing models of our affiliates when the terms of the notes are set. This estimated value of the notes is based on market conditions
and other relevant factors existing at that time and assumptions about market parameters, which can include volatility, dividend rates,
interest rates and other factors. Different pricing models and assumptions could provide valuations for the notes that are greater than
or less than the estimated value of the notes. In addition, market conditions and other relevant factors in the future may change, and
any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly based on, among other things,
changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements and other relevant factors,
which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market transactions. See “The
Estimated Value of the Notes” in this pricing supplement. |
| · | THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL
FUNDING RATE — The internal funding rate used in the determination of the estimated value of the notes may differ from the market-implied
funding rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference
may be based on, among other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance,
operational and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed income instruments
of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove to be incorrect,
and is intended to approximate the prevailing market |
| JPMorgan Structured Investments — | PS-7 |
| Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500® Index and the SPDR® Gold Trust | |
replacement funding rate for the notes. The use of an internal funding rate and any
potential changes to that rate may have an adverse effect on the terms of the notes and any secondary market prices of the notes. See
“The Estimated Value of the Notes” in this pricing supplement.
| · | THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED
ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD — We
generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you in connection
with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period. These costs can
include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary
market funding rates for structured debt issuances. See “Secondary Market Prices of the Notes” in this pricing supplement
for additional information relating to this initial period. Accordingly, the estimated value of your notes during this initial period
may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account statements). |
| · | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL
ISSUE PRICE OF THE NOTES — Any secondary market prices of the notes will likely be lower than the original issue price of the
notes because, among other things, secondary market prices take into account our internal secondary market funding rates for structured
debt issuances and, also, because secondary market prices may exclude selling commissions, projected hedging profits, if any, and estimated
hedging costs that are included in the original issue price of the notes. As a result, the price, if any, at which JPMS will be willing
to buy notes from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you
prior to the Maturity Date could result in a substantial loss to you. See the immediately following risk consideration for information
about additional factors that will impact any secondary market prices of the notes. |
The notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your notes to maturity. See “— Lack of Liquidity” below.
| · | SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC
AND MARKET FACTORS — The secondary market price of the notes during their term will be impacted by a number of economic and
market factors, which may either offset or magnify each other, aside from the selling commissions, projected hedging profits, if any,
estimated hedging costs and the value of the Underlyings. |
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 Underlyings
| · | JPMORGAN CHASE & CO. IS CURRENTLY
ONE OF THE COMPANIES THAT MAKE UP THE INDEX — JPMorgan Chase & Co. is currently one of the companies
that make up the Index, but JPMorgan Chase & Co. will have no obligation to consider your interests as a holder of the notes
in taking any corporate action that might affect the value of the Index. |
| · | THE FUND IS NOT AN INVESTMENT COMPANY OR
COMMODITY POOL AND WILL NOT BE SUBJECT TO REGULATION UNDER THE INVESTMENT COMPANY ACT OF 1940, AS AMENDED, OR THE COMMODITY EXCHANGE ACT
— Accordingly, you will not benefit from any regulatory protections afforded to persons who invest in regulated investment companies
or commodity pools. |
| · | THE PERFORMANCE AND MARKET
VALUE OF THE FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE OF THE FUND’S UNDERLYING
COMMODITY, AS WELL AS THE NET ASSET VALUE PER SHARE — The Fund does not fully replicate the performance of its Underlying Commodity
due to the fees and expenses charged by the Fund or by restrictions on access to the relevant Underlying Commodity due to other circumstances.
The Fund does not generate any income, and as the Fund regularly sells its Underlying Commodity to pay for ongoing expenses, the amount
of its Underlying Commodity represented by each share gradually declines over time. The Fund sells its Underlying Commodity to pay expenses
on an ongoing basis irrespective of whether the trading price of the shares rises or falls in response to changes in the price of its
Underlying Commodity. The sale by the Fund of its Underlying Commodity to pay expenses at a time of low prices for its Underlying Commodity
could adversely affect the value of the notes. Additionally, there is a risk that part or all of the Fund’s holdings in its Underlying
Commodity could be lost, damaged or stolen. Access to the Fund’s Underlying Commodity could also be restricted by natural events
(such as an earthquake) or human actions (such as a terrorist attack). All of these factors may lead to a lack of correlation between
the performance of the Fund and its Underlying Commodity. In addition, because the shares of the Fund are traded on a securities exchange
and are subject to market supply and investor demand, the market value of one share of the Fund may differ from the net asset value per
share of the Fund.
During periods of market volatility,
the Underlying Commodity of the Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately
the net asset value per share of the Fund and the liquidity of the Fund may be adversely affected. This kind of market volatility may
also disrupt the ability of market participants to create and redeem shares of the Fund. Further, market volatility may adversely affect,
sometimes materially, the prices at which market participants are willing to buy and sell shares of the Fund. As a result, under these
circumstances, the market value of shares of the Fund may vary substantially from the net asset value per share of the Fund. For all of
the foregoing reasons, the performance of the Fund may not correlate with the performance of its Underlying Commodity, as well as the
net asset value per share of the Fund, which could materially and adversely affect the value of the notes in the secondary market and/or
reduce any payment on the notes. |
| JPMorgan Structured Investments — | PS-8 |
| Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500® Index and the SPDR® Gold Trust | |
| · | THE NOTES ARE SUBJECT TO RISKS ASSOCIATED
WITH GOLD WITH RESPECT TO THE FUND — The investment objective of the Fund is to reflect the performance of the price of gold
bullion, less the expenses of the Fund’s operations. The price of gold is primarily affected by the global demand for and supply
of gold. The market for gold bullion is global, and gold prices are subject to volatile price movements over short periods of time and
are affected by numerous factors, including macroeconomic factors, such as the structure of and confidence in the global monetary system,
expectations regarding the future rate of inflation, the relative strength of, and confidence in, the U.S. dollar (the currency in which
the price of gold is usually quoted), interest rates, gold borrowing and lending rates and global or regional economic, financial, political,
regulatory, judicial or other events. Gold prices may be affected by industry factors, such as industrial and jewelry demand as well as
lending, sales and purchases of gold by the official sector, including central banks and other governmental agencies and multilateral
institutions that hold gold. Additionally, gold prices may be affected by levels of gold production, production costs and short-term changes
in supply and demand due to trading activities in the gold market. From time to time, above-ground inventories of gold may also influence
the market. It is not possible to predict the aggregate effect of all or any combination of these factors. The price of gold has recently
been, and may continue to be, extremely volatile. |
| · | THERE ARE RISKS RELATING TO COMMODITIES
TRADING ON THE LBMA WITH RESPECT TO THE FUND — The investment objective of the Fund is to reflect the performance of the price
of gold bullion, less the expenses of Fund’s operations. The prices of gold is determined by the LBMA or an independent service
provider appointed by the LBMA. The LBMA is a self-regulatory association of bullion market participants. Although all market-making members
of the LBMA are supervised by the Bank of England and are required to satisfy a capital adequacy test, the LBMA itself is not a regulated
entity. If the LBMA should cease operations, or if bullion trading should become subject to a value added tax or other tax or any other
form of regulation currently not in place, the role of the LBMA gold prices as a global benchmark for the values of gold may be adversely
affected. The LBMA is a principals’ market, which operates in a manner more closely analogous to an over-the-counter physical commodity
market than regulated futures markets, and certain features of U.S. futures contracts are not present in the context of LBMA trading.
For example, there are no daily price limits on the LBMA which would otherwise restrict fluctuations in the prices of LBMA contracts.
In a declining market, it is possible that prices would continue to decline without limitation within a trading day or over a period of
trading days. The LBMA may alter, discontinue or suspend calculation or dissemination of the LBMA gold prices, which could adversely affect
the value of the notes. The LBMA, or an independent service provider appointed by the LBMA, will have no obligation to consider your interests
in calculating or revising the LBMA gold prices. |
| · | SINGLE COMMODITY PRICES TEND TO BE MORE
VOLATILE THAN, AND MAY NOT CORRELATE WITH, THE PRICES OF COMMODITIES GENERALLY — The Fund is linked to a single commodity and
not to a diverse basket of commodities or a broad-based commodity index. The Fund’s Underlying Commodity may not correlate to the
price of commodities generally and may diverge significantly from the prices of commodities generally. As a result, the notes carry greater
risk and may be more volatile than notes linked to the prices of more commodities or a broad-based commodity index. |
| · | THE ANTI-DILUTION PROTECTION FOR THE FUND
IS LIMITED — The calculation agent will make adjustments to the Share Adjustment Factor for the Fund for certain events affecting
the shares of the Fund. However, the calculation agent will not make an adjustment in response to all events that could affect the shares
of the Fund. 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. |
| JPMorgan Structured Investments — | PS-9 |
| Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500® Index and the SPDR® Gold Trust | |
Historical Information
The following graphs show the historical weekly performance
of the Index and the Fund from January 4, 2019 through September 6, 2024. The closing value of the Index on September 9, 2024 was 5,471.05.
The Closing Value of the Fund on September 9, 2024 was $231.60.
We obtained the various closing values above and below from
the Bloomberg Professional® service (“Bloomberg”), without independent verification. The historical closing
values of each Underlying should not be taken as an indication of future performance, and no assurance can be given as to the closing
value of any Underlying on the Valuation Date or any Review Date, including the final Review Date. There can be no assurance that the
performance of the Underlyings will result in the return of any of your principal amount at maturity or the payment of any interest.
The Estimated Value of the Notes
The estimated value of the notes set forth on the cover of this
pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component with
the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing to
buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated
value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by
JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’ view of
the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison
to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based on certain
market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement funding
rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms
of the notes and any secondary market prices of the notes. For additional information, see “Selected Risk Considerations —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Derived by
Reference to an Internal Funding Rate” in this pricing supplement. The value of the derivative or derivatives underlying the economic
terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as the traded
market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which can include
volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments. Accordingly,
the estimated value of the notes is determined when the terms of the notes are set based on market conditions and other relevant factors
and assumptions existing at that time. See “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes — The Estimated Value
| JPMorgan Structured Investments — | PS-10 |
| Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500® Index and the SPDR® Gold Trust | |
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 JPMS and other affiliated or unaffiliated dealers, the projected profits,
if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated
cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market forces beyond
our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. We or one or more of
our affiliates will retain any profits realized in hedging our obligations under the notes. See “Selected Risk Considerations —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes 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 “What Are the Payments on the Notes, Assuming a Range
of Performances for the Lesser Performing Underlying?” and “Hypothetical Examples of Amounts Payable on the Notes” in
this pricing supplement for an illustration of the risk-return profile of the notes and “Selected Purchase Considerations —
Return Dependent on the Lesser Performing of the Underlyings” in this pricing supplement for a description of the market exposure
provided by the notes.
The original issue price of the notes is equal to the estimated
value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus) the projected
profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes, plus the
estimated cost of hedging our obligations under the notes.
Supplemental Terms of the Notes
Any values of the Underlyings, 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.
Validity of the Notes and the Guarantee
In the opinion of Latham & Watkins LLP, as special product
counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by this pricing supplement have been executed and issued
by JPMorgan Financial and authenticated by the trustee pursuant to the indenture, and 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 special product 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 notes 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.
| JPMorgan Structured Investments — |
PS-11 |
| Auto Callable Contingent Interest Notes Linked to the Lesser Performing of the S&P 500® Index and the SPDR® Gold Trust |
|
S-3
424B2
EX-FILING FEES
333-270004
0000019617
JPMORGAN CHASE & CO
0000019617
2024-09-11
2024-09-11
iso4217:USD
xbrli:pure
xbrli:shares
|
Calculation of Filing Fee Tables
|
|
S-3
|
|
JPMORGAN CHASE & CO
|
|
The maximum aggregate offering price of the securities to which the prospectus relates is $2,500,000. The prospectus is a final prospectus for the related offering.
|
|
|
v3.24.2.u1
| X |
- DefinitionA unique 10-digit SEC-issued value to identify entities that have filed disclosures with the SEC. It is commonly abbreviated as CIK. Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher SEC
-Name Exchange Act
-Number 240
-Section 12
-Subsection b-2
| Name: |
dei_EntityCentralIndexKey |
| Namespace Prefix: |
dei_ |
| Data Type: |
dei:centralIndexKeyItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- DefinitionThe exact name of the entity filing the report as specified in its charter, which is required by forms filed with the SEC. Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher SEC
-Name Exchange Act
-Number 240
-Section 12
-Subsection b-2
| Name: |
dei_EntityRegistrantName |
| Namespace Prefix: |
dei_ |
| Data Type: |
xbrli:normalizedStringItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- References
+ Details
| Name: |
ffd_FeeExhibitTp |
| Namespace Prefix: |
ffd_ |
| Data Type: |
ffd:feeExhibitTypeItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- References
+ Details
| Name: |
ffd_RegnFileNb |
| Namespace Prefix: |
ffd_ |
| Data Type: |
ffd:fileNumberItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- References
+ Details
| Name: |
ffd_SubmissionLineItems |
| Namespace Prefix: |
ffd_ |
| Data Type: |
xbrli:stringItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- References
+ Details
| Name: |
ffd_SubmissnTp |
| Namespace Prefix: |
ffd_ |
| Data Type: |
ffd:submissionTypeItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
v3.24.2.u1
| X |
- ReferencesReference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher SEC
-Name Securities Act
-Number 230
| Name: |
ffd_FeesSummaryLineItems |
| Namespace Prefix: |
ffd_ |
| Data Type: |
xbrli:stringItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- ReferencesReference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher SEC
-Name Securities Act
-Number 230
| Name: |
ffd_FnlPrspctsFlg |
| Namespace Prefix: |
ffd_ |
| Data Type: |
xbrli:booleanItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- ReferencesReference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher SEC
-Name Securities Act
-Number 230
| Name: |
ffd_NrrtvDsclsr |
| Namespace Prefix: |
ffd_ |
| Data Type: |
dtr-types:textBlockItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- ReferencesReference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher SEC
-Name Securities Act
-Number 230
| Name: |
ffd_NrrtvMaxAggtOfferingPric |
| Namespace Prefix: |
ffd_ |
| Data Type: |
ffd:nonNegative100TMonetary2ItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
Alerian Mlp Index ETNs d... (AMEX:AMJB)
Historical Stock Chart
From Oct 2024 to Nov 2024
Alerian Mlp Index ETNs d... (AMEX:AMJB)
Historical Stock Chart
From Nov 2023 to Nov 2024
