| August 2, 2024 |
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
JPMorgan Chase Financial Company LLC
Structured Investments
$4,086,000
Notes Linked to the Relative Performance of the Invesco S&P
500® Equal Weight ETF and the SPDR® S&P 500® ETF Trust due August 5, 2027
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
| · | The notes are designed for investors who seek exposure to any outperformance of the Invesco S&P 500® Equal Weight
ETF relative to the SPDR® S&P 500® ETF Trust over the term of the notes. |
| · | Investors should be willing to forgo interest and dividend payments, while seeking full repayment of principal 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. |
| · | Payments on the notes are not linked to a basket composed of the Funds. Payments on the notes are linked to the relative performance
of the Funds, as described below. |
| · | Minimum denominations of $1,000 and integral multiples thereof |
| · | The notes priced on August 2, 2024 and are expected to settle on or about August 7, 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-12 of the accompanying product supplement and “Selected Risk Considerations” beginning on page PS-4 of
this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”) nor any
state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing supplement
or the accompanying product supplement, 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 |
$9.9990 |
$990.0010 |
| Total |
$4,086,000 |
$40,856 |
$4,045,144 |
|
(1) See “Supplemental Use of Proceeds” in this pricing
supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting
as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to other affiliated or unaffiliated dealers.
These selling commissions will vary and will be up to $10.00 per $1,000 principal amount note. 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
$937.90 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. 3-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.
Funds:
The Invesco S&P 500® Equal
Weight ETF (Bloomberg ticker: RSP) (the “Long Fund”) and the SPDR®
S&P 500® ETF Trust (Bloomberg ticker: SPY) (the “Short Fund”)
Participation Rate:
148.00%
Pricing Date: August
2, 2024
Original
Issue Date (Settlement Date): On or about August 7, 2024
Observation Date*:
August 2, 2027
Maturity Date*:
August 5, 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 |
Payment at Maturity:
At maturity, you will receive a cash payment, for each $1,000 principal amount
note, of $1,000 plus the Additional Amount, which may be zero.
You are entitled to repayment of principal in full at maturity, subject to
the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
Additional Amount:
The Additional Amount payable at maturity per
$1,000 principal amount note will equal:
$1,000 × Relative Return × Participation Rate,
provided that the Additional Amount will not be less than zero.
Long Fund Return:
The Fund Return of the Long Fund
Short Fund Return:
The Fund Return of the Short Fund
Relative Return: Long
Fund Return – Short Fund Return
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 $166.77 for the Invesco
S&P 500® Equal Weight ETF and $532.90 for the SPDR®
S&P 500® ETF Trust
Final
Value: With respect to each Fund, the closing price of one share of that Fund on the Observation
Date
Share Adjustment Factor:
The Share Adjustment Factor is referenced in determining the closing value of the Fund and is set equal to 1.0 on the Pricing 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.
|
|
PS-1
| Structured Investments
Notes Linked to the Relative Performance of the Invesco S&P 500®
Equal Weight ETF and the SPDR® S&P 500® ETF Trust |
|
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 and graph illustrate the hypothetical payment
at maturity on the notes linked to the relative performance of two hypothetical Funds. The hypothetical payments set forth below assume
a Participation Rate of 148.00%.
For historical data regarding each Fund, please see the historical
information set forth under “The Funds” in this pricing supplement.
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 and graph have been rounded for ease of analysis.
| Relative Return |
Additional Amount |
Payment at Maturity |
| 65.00% |
$962.00 |
$1,962.00 |
| 50.00% |
$740.00 |
$1,740.00 |
| 40.00% |
$592.00 |
$1,592.00 |
| 30.00% |
$444.00 |
$1,444.00 |
| 20.00% |
$296.00 |
$1,296.00 |
| 10.00% |
$148.00 |
$1,148.00 |
| 5.00% |
$74.00 |
$1,074.00 |
| 1.00% |
$14.80 |
$1,014.80 |
| 0.00% |
$0.00 |
$1,000.00 |
| -5.00% |
$0.00 |
$1,000.00 |
| -10.00% |
$0.00 |
$1,000.00 |
| -20.00% |
$0.00 |
$1,000.00 |
| -30.00% |
$0.00 |
$1,000.00 |
| -40.00% |
$0.00 |
$1,000.00 |
| -50.00% |
$0.00 |
$1,000.00 |
| -60.00% |
$0.00 |
$1,000.00 |
| -70.00% |
$0.00 |
$1,000.00 |
| -80.00% |
$0.00 |
$1,000.00 |
| -90.00% |
$0.00 |
$1,000.00 |
| -100.00% |
$0.00 |
$1,000.00 |
|
PS-2
| Structured Investments
Notes Linked to the Relative Performance of the Invesco S&P 500®
Equal Weight ETF and the SPDR® S&P 500® ETF Trust |
|
The following graph demonstrates the hypothetical payments at maturity
on the notes for a range of Relative Returns. There can be no assurance that the performance of either Fund will result in a payment
at maturity in excess of $1,000.00 per $1,000 principal amount note, subject to the credit risks of JPMorgan Financial and JPMorgan Chase
& Co.
How the Notes Work
Upside Scenario:
If the Long Fund Return is greater than the Short Fund Return, investors
will receive at maturity the $1,000 principal amount plus the Additional Amount, which is equal to $1,000 times the Relative
Return times the Participation Rate of 148.00%.
| • | If the Long Fund Return is 20.00% and the Short Fund Return is 10.00%, the Relative Return is 10.00% and investors will receive at
maturity a return equal to 14.80%, or $1,148.00 per $1,000 principal amount note. |
| • | If the Long Fund Return is -5.00% and the Short Fund Return is -10.00%, the Relative Return is 5.00% and investors will receive at
maturity a return equal to 7.40%, or $1,074.00 per $1,000 principal amount note. |
| • | If the Long Fund Return is 0.50% and the Short Fund Return is -0.50%, the Relative Return is 1.00% and investors will receive at maturity
a return equal to 1.48%, or $1,014.80 per $1,000 principal amount note. |
Par Scenario:
If the Long Fund Return is less than or equal to the Short Fund
Return, the Additional Amount will be zero and investors will receive at maturity the principal amount of their notes.
| • | If the Long Fund Return is 20.00% and the Short Fund Return is 30.00%, the Relative Return is -10.00% and investors will receive at
maturity the principal amount of their notes. |
| • | If the Long Fund Return is -20.00% and the Short Fund Return is 10.00%, the Relative Return is -30.00% and investors will receive
at maturity the principal amount of their notes. |
| • | If the Long Fund Return is -5.00% and the Short Fund Return is -4.00%, the Relative Return is -1.00% and investors will receive at
maturity the principal amount of their notes. |
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.
|
PS-3
| Structured Investments
Notes Linked to the Relative Performance of the Invesco S&P 500®
Equal Weight ETF and the SPDR® S&P 500® ETF Trust |
|
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
| · | THE NOTES MAY NOT PAY MORE THAN THE PRINCIPAL AMOUNT AT MATURITY — |
If the Long Fund Return is less than or equal to the Short
Fund Return, you will receive only the principal amount of your notes at maturity, and you will not be compensated for any loss in value
due to inflation and other factors relating to the value of money over time.
| · | 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.
| · | THE RETURN ON THE NOTES IS BASED ON RELATIVE PERFORMANCE — |
You may receive a
lower return on your notes than you could receive by taking directly a long position in the Long Fund or a short position in the Short
Fund. Unlike a long position in the Long Fund or a short position in the Short Fund, you may not earn a positive return even if the Long
Fund appreciates or the Short Fund depreciates over the term of the notes. You may also not earn a positive return even if both Funds
appreciate or both Funds depreciate, if in either case the Long Fund Return is less than or equal to the Short Fund Return. The notes
are linked to the performance of the Long Fund minus the performance of the Short Fund and thus are affected by the relative, not
absolute, performance of the Funds.
| · | CHANGES IN THE PRICE
OF ONE SHARE OF THE LONG FUND MAY BE OFFSET OR NEGATED ENTIRELY BY CHANGES IN THE PRICE OF ONE SHARE OF THE SHORT FUND — |
A positive Long Fund
Return may be offset or entirely negated by a positive Short Fund Return. Similarly, a negative Short Fund Return may be offset or entirely
negated by a negative Long Fund Return. Therefore, if the Long Fund Return has a strong positive correlation with the Short Fund Return,
your return on the notes may be adversely affected.
| · | YOU ARE EXPOSED TO THE RISKS ASSOCIATED WITH MOVEMENTS IN THE PRICE OF ONE SHARE OF EACH
FUND — |
Payments on the
notes are not linked to a basket composed of the Funds and are contingent upon the performance of each individual Fund. Poor performance
by the Long Fund or strong performance by the Short Fund over the term of the notes may negatively affect your payment at maturity and
may not be offset or mitigated by the performance of the other Fund.
| · | THE NOTES DO NOT PAY INTEREST. |
| · | 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. |
|
PS-4
| Structured Investments
Notes Linked to the Relative Performance of the Invesco S&P 500®
Equal Weight ETF and the SPDR® S&P 500® ETF Trust |
|
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.
| · | 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.
|
PS-5
| Structured Investments
Notes Linked to the Relative Performance of the Invesco S&P 500®
Equal Weight ETF and the SPDR® S&P 500® ETF Trust |
|
| · | 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 prices of one share of the Funds. 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 Funds
| · | JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE FUNDS AND THEIR UNDERLYING INDICES, |
but JPMorgan Chase & Co. will not have any obligation
to consider your interests in taking any corporate action that might affect the price of one share of either Fund or the levels of their
Underlying Indices (as defined under “The Funds” below).
| · | 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 FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE — |
Each Fund does not fully replicate its Underlying Index
(as defined under “The Funds” 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.
| · | 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
Notes Linked to the Relative Performance of the Invesco S&P 500®
Equal Weight ETF and the SPDR® S&P 500® ETF Trust |
|
The Funds
The Invesco S&P 500® Equal Weight ETF is an
exchange-traded fund of the Invesco Exchange-Traded Fund Trust, a registered investment company, that seeks to track the investment results,
before fees and expenses, of the S&P 500® Equal Weight Index, which we refer to as the Underlying Index with respect
to the Invesco S&P 500® Equal Weight ETF. The S&P 500® Equal Weight Index is an equal-weighted version
of the S&P 500® Index. The S&P 500® Index consists of stocks of 500 companies selected to provide
a performance benchmark for the U.S. equity markets. For additional information about the Invesco S&P 500® Equal Weight
ETF, see “Fund Descriptions — The Invesco S&P 500® Equal Weight ETF” in the accompanying underlying
supplement.
The SPDR®
S&P 500® ETF Trust is a registered investment company whose trust units represent an undivided ownership interest in
a portfolio of all, or substantially all, of the common stocks of the S&P 500® Index. The SPDR® S&P
500® ETF Trust seeks to provide investment results that, before expenses, generally correspond to the price and yield performance
of the S&P 500® Index, which we refer to as the Underlying Index with respect to the SPDR® S&P 500®
ETF 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 SPDR® S&P 500® ETF Trust, see “Fund
Descriptions — The SPDR® S&P 500® ETF Trust” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical performance of each
Fund based on the weekly historical closing prices of one share from January 4, 2019 through August 2, 2024. The closing price of one
share of the Invesco S&P 500® Equal Weight ETF on August 2, 2024 was $166.77. The closing price of one share of the
SPDR® S&P 500® ETF Trust on August 2, 2024 was $532.90.
We obtained the closing prices above and below from the Bloomberg Professional® service (“Bloomberg”), without
independent verification. The closing prices above and below may have been adjusted by Bloomberg for actions taken by the Funds, such
as stock splits.
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 price of one share of either Fund
on the Observation Date. There can be no assurance that the performance of the Funds will result in a payment at maturity in excess of
your principal amount, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
|
PS-7
| Structured Investments
Notes Linked to the Relative Performance of the Invesco S&P 500®
Equal Weight ETF and the SPDR® S&P 500® ETF Trust |
|
Treatment as Contingent
Payment Debt Instruments
You should review carefully
the section entitled “Material U.S. Federal Income Tax Consequences,” and in particular the subsection thereof entitled “—
Tax Consequences to U.S. Holders — Notes with a Term of More than One Year — Notes Treated as Contingent Payment Debt Instruments,”
in the accompanying product supplement no. 3-I. Unlike a traditional debt instrument that provides for periodic payments of interest at
a single fixed rate, with respect to which a cash-method investor generally recognizes income only upon receipt of stated interest, our
special tax counsel, Davis Polk & Wardwell LLP, is of the opinion that the notes will be treated for U.S. federal income tax purposes
as “contingent payment debt instruments.” As discussed in that subsection, you generally will be required to accrue original
issue discount (“OID”) on your notes in each taxable year at the “comparable yield,” as determined by us, although
we will not make any payment with respect to the notes until maturity. Upon sale or exchange (including at maturity), you will recognize
taxable income or loss equal to the difference between the amount received from the sale or exchange and your adjusted basis in the note,
which generally will equal the cost thereof, increased by the amount of OID you have accrued in respect of the note. You generally must
treat any income as interest income and any loss as ordinary loss to the extent of previous interest inclusions, and the balance as capital
loss. The deductibility of capital losses is subject to limitations. The discussions herein 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. Purchasers who
are not initial purchasers of notes at their issue price should consult their tax advisers with respect to the tax consequences of an
investment in notes, including the treatment of the difference, if any, between the basis in their notes and the notes’ adjusted
issue price.
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
discussions in the preceding paragraphs, when read in combination with the section entitled “Material U.S. Federal Income Tax Consequences”
(and in particular the subsection thereof entitled “— Tax Consequences to U.S. Holders — Notes with a Term of More than
One Year — Notes Treated as Contingent Payment Debt Instruments”) in the accompanying product supplement, constitute the full
opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal income tax consequences of owning and disposing of notes.
|
PS-8
| Structured Investments
Notes Linked to the Relative Performance of the Invesco S&P 500®
Equal Weight ETF and the SPDR® S&P 500® ETF Trust |
|
Comparable Yield and Projected Payment Schedule
We have determined that
the “comparable yield” is an annual rate of 5.51%, compounded semiannually. Based on our determination of the comparable yield,
the “projected payment schedule” per $1,000 principal amount note consists of a single payment at maturity, equal to $1,176.90.
Assuming a semiannual accrual period, the following table sets out the amount of OID that will accrue with respect to a note during each
calendar period, based upon our determination of the comparable yield and projected payment schedule.
| Calendar Period |
Accrued OID During
Calendar Period (Per
$1,000 Principal Amount
Note) |
Total Accrued OID from Original Issue
Date (Per $1,000 Principal Amount
Note) as of End of Calendar Period |
| August 7, 2024 through December 31, 2024 |
$21.89 |
$21.89 |
| January 1, 2025 through December 31, 2025 |
$57.08 |
$78.97 |
| January 1, 2026 through December 31, 2026 |
$60.27 |
$139.24 |
| January 1, 2027 through August 5, 2027 |
$37.66 |
$176.90 |
The comparable yield
and projected payment schedule are determined solely to calculate the amount on which you will be taxed with respect to the notes in each
year and are neither a prediction nor a guarantee of what the actual yield will be. The amount you actually receive at maturity or earlier
sale or exchange of your notes will affect your income for that year, as described above under “Treatment as Contingent Payment
Debt Instruments.”
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 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
|
PS-9
| Structured Investments
Notes Linked to the Relative Performance of the Invesco S&P 500®
Equal Weight ETF and the SPDR® S&P 500® ETF Trust |
|
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 Funds”
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.
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
|
PS-10
| Structured Investments
Notes Linked to the Relative Performance of the Invesco S&P 500®
Equal Weight ETF and the SPDR® S&P 500® ETF Trust |
|
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
Notes Linked to the Relative Performance of the Invesco S&P 500®
Equal Weight ETF and the SPDR® S&P 500® ETF Trust |
|
S-3
424B2
EX-FILING FEES
333-270004
0000019617
JPMORGAN CHASE & CO
0000019617
2024-08-06
2024-08-06
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 $4,086,000. The prospectus is a final prospectus for the related offering.
|
|
|
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