| JPMorgan Chase Financial Company LLC |
August 2024 |
Pricing Supplement
Registration Statement Nos. 333-270004
and 333-270004-01
Dated August 2, 2024
Filed pursuant to Rule 424(b)(2)
Structured Investments
Opportunities in U.S. Equities
Contingent Income Auto-Callable Securities due August
5, 2027
Based on the Performance of the Common Stock of NVIDIA Corporation
Principal at Risk Securities
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
Contingent Income Auto-Callable Securities do not guarantee the payment of
interest or the repayment of principal. Instead, the securities offer the opportunity for investors to earn a contingent quarterly payment
(plus any previously unpaid contingent quarterly payments with respect to any prior determination dates) with respect to each determination
date on which the closing price of the underlying stock is greater than or equal to 50% of the initial stock price, which we refer to
as the downside threshold level. However, if, on any determination date, the closing price of the underlying stock is less than the downside
threshold level, you will not receive any contingent quarterly payment for the related quarterly period. In addition, if the closing price
of the underlying stock is greater than or equal to the initial stock price on any determination date (other than the final determination
date), the securities will be automatically redeemed for an amount per security equal to the stated principal amount plus the contingent
quarterly payment with respect to that determination date (plus any previously unpaid contingent quarterly payments with respect
to any prior determination dates). If the securities have not been automatically redeemed prior to maturity and the final stock price
is greater than or equal to the downside threshold level, the payment at maturity due on the securities will be the stated principal amount
and the contingent quarterly payment with respect to the final determination date (plus any previously unpaid contingent quarterly
payments with respect to any prior determination dates). If, however, the securities have not been automatically redeemed prior to maturity
and the final stock price is less than the downside threshold level, you will be exposed to the decline in the underlying stock, as compared
to the initial stock price, on a 1-to-1 basis and will receive a cash payment at maturity that is less than 50% of the stated principal
amount of the securities and could be zero. The securities are for investors who are willing to risk their principal and seek an opportunity
to earn interest at a potentially above-market rate in exchange for the risk of receiving few or no contingent quarterly payments and
also the risk of receiving a cash payment at maturity that is significantly less than the stated principal amount of the securities and
could be zero. Accordingly, investors could lose their entire initial investment in the securities. Investors will not participate
in any appreciation of the underlying stock. The securities 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.,
issued as part of JPMorgan Financial’s Medium-Term Notes, Series A, program. Any payment on the securities is subject to the
credit risk of JPMorgan Financial, as issuer of the securities, and the credit risk of JPMorgan Chase & Co., as guarantor
of the securities.
| FINAL TERMS |
|
| Issuer: |
JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co. |
| Guarantor: |
JPMorgan Chase & Co. |
| Underlying stock: |
Common stock of NVIDIA Corporation (Bloomberg ticker: NVDA UW Equity) |
| Aggregate principal amount: |
$29,461,000 |
| Early redemption: |
If, on any determination date (other than the final determination date),
the closing price of the underlying stock is greater than or equal to the initial stock price, the securities will be automatically
redeemed for an early redemption payment on the first contingent payment date immediately following the related determination date. No
further payments will be made on the securities once they have been redeemed.
The securities will not be redeemed early on any contingent payment
date if the closing price of the underlying stock is below the initial stock price on the related determination date. |
| Early redemption payment: |
The early redemption payment will be an amount equal to (i) the stated principal amount plus (ii) the contingent quarterly payment with respect to the related determination date plus (iii) any previously unpaid contingent quarterly payments with respect to any prior determination dates. |
| Contingent quarterly payment: |
· If, on any determination date, the closing price of the underlying stock is greater than or equal
to the downside threshold level, we will pay a contingent quarterly payment of $35.75 (3.575% of the stated principal amount) per security
on the related contingent payment date plus any previously unpaid contingent quarterly payments with respect to any prior determination
dates. However, even if any unpaid contingent quarterly payment is payable on a later contingent payment date, no additional interest
will accrue or be payable in respect of that unpaid contingent quarterly payment.
· If, on any determination date, the closing price of the underlying stock is less than the downside
threshold level, no contingent quarterly payment will be made with respect to that determination date. It is possible that the closing
price of the underlying stock will be below the downside threshold level on most or all of the determination dates so that you will receive
few or no contingent quarterly payments. |
| Determination dates*: |
November 4, 2024, February 3, 2025, May 2, 2025, August 4, 2025, November 3, 2025, February 2, 2026, May 4, 2026, August 3, 2026, November 2, 2026, February 2, 2027, May 3, 2027 and August 2, 2027 |
| Contingent payment dates*: |
November 7, 2024, February 6, 2025, May 7, 2025, August 7, 2025, November 6, 2025, February 5, 2026, May 7, 2026, August 6, 2026, November 5, 2026, February 5, 2027, May 6, 2027 and the maturity date |
| Payment at maturity: |
· If the final stock price is greater than or equal to the downside threshold level: |
(i) the stated principal amount plus (ii) the contingent quarterly payment with respect to the final determination date plus (iii) any previously unpaid contingent quarterly payments with respect any prior determination dates. |
| |
· If the final stock price is less than the downside threshold level: |
(i) the stated principal amount times (ii) the stock performance factor. This cash payment will be less than 50% of the stated principal amount of the securities and could be zero. |
| Downside threshold level: |
$53.635, which is equal to 50% of the initial stock price |
| Initial stock price: |
$107.27, which was the closing price of the underlying stock on the pricing date |
| Final stock price: |
The closing price of the underlying stock on the final determination date |
| Stock adjustment factor: |
The stock adjustment factor is referenced in determining the closing price of the underlying stock and is set initially at 1.0 on the pricing date. The stock adjustment factor is subject to adjustment in the event of certain corporate events affecting the underlying stock. |
| Stock performance factor: |
final stock price / initial stock price |
| Stated principal amount: |
$1,000 per security |
| Issue price: |
$1,000 per security (see “Commissions and issue price” below) |
| Pricing date: |
August 2, 2024 |
| Original issue date (settlement date): |
August 7, 2024 |
| Maturity date: |
August 5, 2027 |
| CUSIP / ISIN: |
48135PVQ1 / US48135PVQ17 |
| Listing: |
The securities will not be listed on any securities exchange. |
| Agent: |
J.P. Morgan Securities LLC (“JPMS”) |
| Commissions and issue price: |
|
Price to public(1) |
Fees and commissions |
Proceeds to issuer |
| Per security |
|
$1,000.00 |
$17.50(2) |
$977.50 |
| |
|
|
$5.00(3) |
|
| Total |
|
$29,461,000.00 |
$662,872.50 |
$28,798,127.50 |
| |
|
|
|
|
|
| (1) | See “Additional Information about the Securities
— Supplemental use of proceeds and hedging” in this document for information about the components of the price to public
of the securities. |
| (2) | JPMS, acting as agent for JPMorgan Financial, will pay
all of the selling commissions of $17.50 per $1,000 stated principal amount security it receives from us to Morgan Stanley Smith Barney
LLC (“Morgan Stanley Wealth Management”). See “Plan of Distribution (Conflicts of Interest)” in the accompanying
product supplement. |
| (3) | Reflects a structuring fee payable to Morgan Stanley Wealth
Management by the agent or its affiliates of $5.00 for each $1,000 stated principal amount security. |
* Subject to postponement in the event of a market disruption event
and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying
— Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General Terms of Notes — Postponement
of a Payment Date” in the accompanying product supplement
The estimated value of the securities on the pricing date was $949.80
per $1,000 stated principal amount security. See “Additional Information about the Securities — The estimated value of
the securities” in this document for additional information.
Investing in the securities 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 “Risk Factors” beginning on page 8 of this
document.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the securities or passed upon the accuracy or the adequacy of this
document or the accompanying product supplement, prospectus supplement, prospectus and prospectus addendum. Any representation to the
contrary is a criminal offense.
The securities 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.
You should read this document together with
the related product supplement, prospectus supplement, prospectus and prospectus addendum, each of which can be accessed via the hyperlinks
below. Please also see “Additional Information about the Securities” at the end of this document.
Product supplement no. 4-I dated April 13, 2023: http://www.sec.gov/Archives/edgar/data/19617/000121390023029539/ea152803_424b2.pdf
Prospectus supplement and prospectus, each dated
April 13, 2023: http://www.sec.gov/Archives/edgar/data/19617/000095010323005751/crt_dp192097-424b2.pdf
Prospectus addendum dated June 3, 2024: http://www.sec.gov/Archives/edgar/data/1665650/000095010324007599/dp211753_424b3.htm
JPMorgan Chase Financial Company
LLC
Contingent Income
Auto-Callable Securities due August 5, 2027
Based on the Performance
of the Common Stock of NVIDIA Corporation Principal at Risk Securities
Investment Summary
The Contingent Income Auto-Callable Securities due August 5, 2027 Based
on the Performance of the Common Stock of NVIDIA Corporation, which we refer to as the securities, do not provide for the regular payment
of interest. Instead, the securities provide an opportunity for investors to earn a contingent quarterly payment (plus any previously
unpaid contingent quarterly payments with respect to any prior determination dates), with respect to each quarterly determination date
on which the closing price of the underlying stock is greater than or equal to 50% of the initial stock price, which we refer to as the
downside threshold level. The contingent quarterly payment (plus any previously unpaid contingent quarterly payments with respect
to any prior determination dates), if any, will be payable quarterly on the contingent payment date immediately following the related
determination date. However, if the closing price of the underlying stock is less than the downside threshold level on any determination
date, investors will receive no contingent quarterly payment for the related quarterly period. It is possible that the closing price of
the underlying stock could be below the downside threshold level on most or all of the determination dates so that you will receive few
or no contingent quarterly payments during the term of the securities. We refer to these payments as contingent, because there is no guarantee
that you will receive a payment on any contingent payment date. Even if the underlying stock was at or above the downside threshold level
on some quarterly determination dates, the underlying stock may fluctuate below the downside threshold level on others.
If the closing price of the underlying stock
is greater than or equal to the initial stock price on any determination date (other than the final determination date), the securities
will be automatically redeemed for an early redemption payment equal to the stated principal amount plus the contingent quarterly
payment with respect to the related determination date plus any previously unpaid contingent quarterly payments with respect to
any prior determination dates. If the securities have not previously been redeemed and the final stock price is greater than or equal
to the downside threshold level, the payment at maturity will also be the sum of the stated principal amount and the contingent
quarterly payment with respect to the final determination date (plus any previously unpaid contingent quarterly payments with respect
to any prior determination dates). However, if the securities have not previously been redeemed and the final stock price is less than
the downside threshold level, investors will be exposed to the decline in the closing price of the underlying stock, as compared to the
initial stock price, on a 1-to-1 basis. Under these circumstances, the payment at maturity will be (i) the stated principal amount times
(ii) the stock performance factor, which will be less than 50% of the stated principal amount of the securities and could be zero. Investors
in the securities must be willing to accept the risk of losing their entire principal and also the risk of receiving few or no contingent
quarterly payments over the term of the securities. In addition, investors will not participate in any appreciation of the underlying
stock.
Supplemental Terms of the Securities
For purposes of the accompanying product supplement, the underlying
stock is a “Reference Stock.”
Any values of the underlying stock, and any
values derived therefrom, included in this document may be corrected, in the event of manifest error or inconsistency, by amendment of
this document and the corresponding terms of the securities. Notwithstanding anything to the contrary in the indenture governing the securities,
that amendment will become effective without consent of the holders of the securities or any other party.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 5, 2027
Based on the Performance of the Common Stock of NVIDIA Corporation Principal at Risk Securities
Key Investment Rationale
The securities do not provide for the regular payment of interest. Instead,
the securities offer investors an opportunity to earn a contingent quarterly payment (plus any previously unpaid contingent quarterly
payments with respect to any prior determination dates) with respect to each determination date on which the closing price of the underlying
stock is greater than or equal to 50% of the initial stock price, which we refer to as the downside threshold level. The securities may
be redeemed prior to maturity for the stated principal amount per security plus the applicable contingent quarterly payment plus
any previously unpaid contingent quarterly payments with respect to any prior determination dates, and the payment at maturity will vary
depending on the final stock price, as follows:
| Scenario 1 |
On any determination date (other than the final
determination date), the closing price of the underlying stock is greater than or equal to the initial stock price.
§ The securities will be automatically redeemed for (i) the stated principal amount plus (ii) the contingent quarterly payment
with respect to the related determination date plus (iii) any previously unpaid contingent quarterly payments with respect to
any prior determination dates.
§ Investors will not participate in any appreciation of the underlying stock from the initial stock price. |
| Scenario 2 |
The securities are not automatically redeemed
prior to maturity, and the final stock price is greater than or equal to the downside threshold level.
§ The payment due at maturity will be (i) the stated principal amount plus (ii) the contingent quarterly payment with respect
to the final determination date plus (iii) any previously unpaid contingent quarterly payments with respect to any prior determination
dates.
§ Investors will not participate in any appreciation of the underlying stock from the initial stock price. |
| Scenario 3 |
The securities are not automatically redeemed
prior to maturity, and the final stock price is less than the downside threshold level.
§ The payment due at maturity will be (i) the stated principal amount times (ii) the stock performance factor.
§ Investors will lose some, and may lose all, of their principal in this scenario. |
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 5, 2027
Based on the Performance of the Common Stock of NVIDIA Corporation Principal at Risk Securities
How the Securities Work
The following diagrams illustrate the potential outcomes for the securities
depending on (1) the closing price of the underlying stock and (2) the final stock price.
Diagram #1: Determination Dates (Other Than the
Final Determination Date)
Diagram #2: Payment at Maturity if No Automatic
Early Redemption Occurs
For more information about the payment upon an early redemption
or at maturity in different hypothetical scenarios, see “Hypothetical Examples” starting on page 5.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 5, 2027
Based on the Performance of the Common Stock of NVIDIA Corporation Principal at Risk Securities
Hypothetical Examples
The below examples are based on the following terms:
| Stated principal amount: |
$1,000 per security |
| Hypothetical initial stock price: |
$100.00 |
| Hypothetical downside threshold level: |
$50.00, which is 50% of the hypothetical initial stock price |
| Hypothetical stock adjustment factor: |
1.0 |
| Contingent quarterly payment: |
$35.75 (3.575% of the stated principal amount) per security |
The hypothetical initial stock price of $100.00
has been chosen for illustrative purposes only and does not represent the actual initial stock price. The actual initial stock price
is the closing price of the underlying stock on the pricing date and is specified on the cover of this pricing supplement. For historical
data regarding the actual closing prices of the underlying stock, please see the historical information set forth under “NVIDIA
Corporation Overview” in this pricing supplement.
In Examples 1 and 2, the closing price of the
underlying stock fluctuates over the term of the securities and the closing price of the underlying stock is greater than or equal to
the initial stock price on one of the determination dates (other than the final determination date). Because the closing price of the
underlying stock is greater than or equal to the initial stock price on one of the determination dates (other than the final determination
date), the securities are automatically redeemed following the relevant determination date. In Examples 3 and 4, the closing price of
the underlying stock on each determination date (other than the final determination date) is less than the initial stock price, and, consequently,
the securities are not automatically redeemed prior to, and remain outstanding until, maturity.
| |
Example 1 |
Example 2 |
Determination
Dates |
Hypothetical
Closing Price |
Contingent
Quarterly
Payment(s) |
Early
Redemption
Payment* |
Hypothetical
Closing Price |
Contingent
Quarterly
Payment(s) |
Early
Redemption
Payment* |
| #1 |
$40.00 |
$0 |
N/A |
$95.00 |
$35.75 |
N/A |
| #2 |
$100.00 |
—* |
$1,071.50 |
$45.00 |
$0 |
N/A |
| #3 |
N/A |
N/A |
N/A |
$47.50 |
$0 |
N/A |
| #4 |
N/A |
N/A |
N/A |
$40.00 |
$0 |
N/A |
| #5 |
N/A |
N/A |
N/A |
$80.00 |
$143.00 |
N/A |
| #6 |
N/A |
N/A |
N/A |
$85.00 |
$35.75 |
N/A |
| #7 |
N/A |
N/A |
N/A |
$45.00 |
$0 |
N/A |
| #8 |
N/A |
N/A |
N/A |
$95.00 |
$71.50 |
N/A |
| #9 |
N/A |
N/A |
N/A |
$80.00 |
$35.75 |
N/A |
| #10 |
N/A |
N/A |
N/A |
$125.00 |
—* |
$1,035.75 |
| #11 |
N/A |
N/A |
N/A |
N/A |
N/A |
N/A |
| Final Determination Date |
N/A |
N/A |
N/A |
N/A |
N/A |
N/A |
* The early redemption payment includes the unpaid contingent
quarterly payment with respect to the determination date on which the closing price of the underlying stock is greater than or equal to
the initial stock price plus any unpaid contingent quarterly payments with respect to any prior determination dates and the securities
are redeemed as a result.
| § | In Example 1, the securities are automatically redeemed following the second determination date as the closing price of the
underlying stock on the second determination date is equal to the initial stock price. As the closing price of the underlying stock on
the first determination date is less than the downside threshold level, no contingent quarterly payment was made with respect to that
date. Following the second determination date, you receive the early redemption payment, calculated as follows: |
stated principal
amount + contingent quarterly payment + unpaid contingent quarterly payment(s) =
$1,000 + $35.75 +
$35.75 = $1,071.50
In this example, the early redemption feature
limits the term of your investment to approximately 6 months and you may not be able to reinvest at comparable terms or returns. If the
securities are redeemed early, you will stop receiving contingent quarterly payments.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 5, 2027
Based on the Performance of the Common Stock of NVIDIA Corporation Principal at Risk Securities
| § | In Example 2, the securities are automatically redeemed following the tenth determination date as the closing price of the
underlying stock on the tenth determination date is greater than the initial stock price. As the closing price of the underlying stock
on each of the first, fifth, sixth, eighth and ninth determination dates is greater than the downside threshold level, you receive the
contingent quarterly payment of $35.75 with respect to each of those determination dates (plus any previously unpaid contingent
quarterly payments with respect to any prior determination dates). Following the tenth determination date, you receive an early redemption
payment of $1,035.75, which includes the contingent quarterly payment with respect to the tenth determination date. |
In this example, the early redemption feature
limits the term of your investment to approximately 30 months and you may not be able to reinvest at comparable terms or returns. If the
securities are redeemed early, you will stop receiving contingent quarterly payments. Further, although the underlying stock has appreciated
by 25% from the initial stock price on the tenth determination date, you only receive $1,035.75 per security upon redemption and do not
benefit from this appreciation. The total payments on the securities will amount to $1,357.50 per security.
| |
Example 3 |
Example 4 |
Determination
Dates |
Hypothetical
Closing Price |
Contingent
Quarterly
Payment(s) |
Early
Redemption
Payment |
Hypothetical
Closing Price |
Contingent
Quarterly
Payment(s) |
Early
Redemption
Payment |
| #1 |
$45.00 |
$0 |
N/A |
$45.00 |
$0 |
N/A |
| #2 |
$40.00 |
$0 |
N/A |
$47.50 |
$0 |
N/A |
| #3 |
$35.00 |
$0 |
N/A |
$40.00 |
$0 |
N/A |
| #4 |
$47.50 |
$0 |
N/A |
$37.50 |
$0 |
N/A |
| #5 |
$45.00 |
$0 |
N/A |
$47.50 |
$0 |
N/A |
| #6 |
$40.00 |
$0 |
N/A |
$40.00 |
$0 |
N/A |
| #7 |
$45.00 |
$0 |
N/A |
$40.00 |
$0 |
N/A |
| #8 |
$47.50 |
$0 |
N/A |
$35.00 |
$0 |
N/A |
| #9 |
$45.00 |
$0 |
N/A |
$45.00 |
$0 |
N/A |
| #10 |
$40.00 |
$0 |
N/A |
$47.50 |
$0 |
N/A |
| #11 |
$35.00 |
$0 |
N/A |
$45.00 |
$0 |
N/A |
| Final Determination Date |
$40.00 |
$0 |
N/A |
$50.00 |
—* |
N/A |
| Payment at Maturity |
$400.00 |
$1,429.00 |
* The final contingent quarterly payment, if any, (plus
any unpaid contingent quarterly payments with respect to any prior determination dates) will be paid at maturity.
Examples 3 and 4 illustrate the payment at maturity
per security based on the final stock price.
| § | In Example 3, the closing price of the underlying stock remains below the downside threshold level throughout the term of the
securities. As a result, you do not receive any contingent quarterly payment during the term of the securities and, at maturity, you are
fully exposed to the decline in the closing price of the underlying stock. As the final stock price is less than the downside threshold
level, you receive a cash payment at maturity calculated as follows: |
stated principal amount ×
stock performance factor = $1,000 × $40.00 / $100.00 = $400.00
In this example, the payment you receive at
maturity is significantly less than the stated principal amount.
| § | In Example 4, the closing price of the underlying stock decreases to a final stock price of $50.00. Although the final stock
price is less than the initial stock price, because the final stock price is still not less than the downside threshold level, you receive
the stated principal amount plus a contingent quarterly payment with respect to the final determination date plus any previously
unpaid contingent quarterly payments with respect to any prior determination dates. Your payment at maturity is calculated as follows: |
$1,000 + $35.75 + $393.25
= $1,429.00
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 5, 2027
Based on the Performance of the Common Stock of NVIDIA Corporation Principal at Risk Securities
In this example, although the final stock price
represents a 50% decline from the initial stock price, you receive the stated principal amount per security plus the contingent quarterly
payment with respect to the final determination date (plus any previously unpaid contingent quarterly payments with respect to any prior
determination dates), equal to a total payment of $1,429.00 per security at maturity.
The hypothetical returns and hypothetical payments
on the securities shown above apply only if you hold the securities for their entire term or until early redemption. These hypotheticals
do not reflect fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included,
the hypothetical returns and hypothetical payments shown above would likely be lower.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 5, 2027
Based on the Performance of the Common Stock of NVIDIA Corporation Principal at Risk Securities
Risk Factors
The following is a non-exhaustive list of certain key risk factors for
investors in the securities. For further discussion of these and other risks, you should read the sections entitled “Risk Factors”
of the accompanying prospectus supplement and the accompanying product supplement and in Annex A to the accompanying prospectus addendum.
We urge you to consult your investment, legal, tax, accounting and other advisers in connection with your investment in the securities.
Risks Relating to the
Securities Generally
| § | The securities do not guarantee the return of any principal and your investment in the securities may result in a loss. The
terms of the securities differ from those of ordinary debt securities in that the securities do not guarantee the return of any of the
stated principal amount at maturity. Instead, if the securities have not been automatically redeemed prior to maturity and if the final
stock price is less than the downside threshold level, you will be exposed to the decline in the closing price of the underlying stock,
as compared to the initial stock price, on a 1-to-1 basis and you will receive for each security that you hold at maturity a cash payment
equal to the stated principal amount times the stock performance factor. In this case, your payment at maturity will be less than
50% of the stated principal amount and could be zero. |
| § | You will not receive any contingent quarterly payment for any quarterly period (or any previously unpaid contingent quarterly payments)
if the closing price of the underlying stock on the relevant determination date is less than the downside threshold level. The terms
of the securities differ from those of ordinary debt securities in that the securities do not guarantee the payment of regular interest.
Instead, a contingent quarterly payment with respect to a quarterly period (and any previous unpaid contingent quarterly payments with
respect to any prior quarterly periods) will be made only if the closing price of the underlying stock on the relevant determination date
is greater than or equal to the downside threshold level. If the closing price of the underlying stock is below the downside threshold
level on any determination date, you will not receive a contingent quarterly payment for the relevant quarterly period. You will not receive
any unpaid contingent quarterly payments if the closing price of the underlying stock on each subsequent determination date is less than
the downside threshold level. It
is possible that the closing price of the underlying stock could
be below the downside threshold level on most or all of the determination dates so that you will receive few
or no contingent quarterly payments. If you do not earn sufficient contingent quarterly payments over the term of the securities, the
overall return on the securities may be less than the amount that would be paid on one of our conventional debt securities of comparable
maturity. |
| § | The contingent quarterly payment is based solely on the closing prices of the underlying stock on the specified determination dates.
Whether the contingent quarterly payment will be made with respect to a determination date (and whether any previous unpaid
contingent quarterly payments with respect to any prior determination dates will be paid) will be based on the closing price of the underlying
stock on that determination date. As a result, you will not know whether you will receive the contingent quarterly payment (plus
any previously unpaid contingent quarterly payments) until the related determination date. Moreover, because the contingent quarterly
payment is based solely on the closing price of the underlying stock on a specific determination date, if that closing price is less than
the downside threshold level, you will not receive any contingent quarterly payment with respect to that determination date, even if the
closing price of the underlying stock was higher on other days that are not subsequent determination dates during the term of the securities. |
| § | The securities are subject to the credit risks of JPMorgan Financial and
JPMorgan Chase & Co., and any actual or anticipated changes to our or JPMorgan Chase & Co.’s credit
ratings or credit spreads may adversely affect the market value of the securities. Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the securities. Any actual or anticipated decline in our or JPMorgan
Chase & Co.’s credit ratings or increase in our or JPMorgan Chase & Co.’s credit spreads determined
by the market for taking that credit risk is likely to adversely affect the market value of the securities. If we and JPMorgan Chase & Co.
were to default on our payment obligations, you may not receive any amounts owed to you under the securities 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 securities. 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 securities as they come due. If JPMorgan Chase & Co.
does not make payments to us and we are unable to make payments on the securities, you may have to seek payment under the related guarantee
by JPMorgan Chase & Co., |
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 5, 2027
Based on the Performance of the Common Stock of NVIDIA Corporation Principal at Risk Securities
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.
| § | Investors will not participate in any appreciation of the underlying stock.
Investors will not participate in any appreciation of the underlying stock from the initial stock price,
and the return on the securities will be limited to the contingent quarterly payment that is paid with respect to each determination date
on which the closing price is greater than or equal to the downside threshold level, if any. |
| § | Early redemption risk. The term of
your investment in the securities may be limited to as short as approximately three months by the automatic early redemption feature of
the securities. If the securities are redeemed prior to maturity, you will receive no more contingent quarterly payments and may be forced
to reinvest in a lower interest rate environment and you may not be able to reinvest the proceeds from an investment in the securities
at a comparable return for a similar level of risk. |
| § | Secondary trading may be limited. The
securities will not be listed on a securities exchange. There may be little or no secondary market for the securities. Even if there is
a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities easily.
JPMS may act as a market maker for the securities, but is not required to do so. Because we do not expect that other market makers
will participate significantly in the secondary market for the securities, the price at which you may be able to trade your securities
is likely to depend on the price, if any, at which JPMS
is willing to buy the securities. If at any time JPMS
or another agent does not act as a market maker, it is likely that there would be little or no secondary market for the securities. |
| § | The U.S. federal income tax consequences of an investment in the securities are uncertain. There is no direct legal authority
as to the proper U.S. federal income tax treatment of the securities, and we do not intend to request a ruling from the IRS. The
IRS might not accept, and a court might not uphold, the treatment of the securities as prepaid forward contracts with associated contingent
coupons, as described in “Additional Information about the Securities — Additional Provisions — Tax considerations”
in this document and in “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement. If the
IRS were successful in asserting an alternative treatment for the securities, the timing and character of any income or loss on the securities
could be materially affected. Although the U.S. federal income tax treatment of contingent quarterly payments (including any contingent
quarterly payments paid in connection with an early redemption or at maturity) is uncertain, in determining our reporting responsibilities
we intend (in the absence of an administrative determination or judicial ruling to the contrary) to treat any contingent quarterly payments
as ordinary income. 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 securities, possibly with retroactive effect. You should review carefully the section
entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement and consult your tax adviser
regarding the U.S. federal income tax consequences of an investment in the securities, including possible alternative treatments and the
issues presented by this notice. |
Non-U.S. Holders — Tax Considerations.
The U.S. federal income tax treatment of contingent quarterly payments is uncertain, and although we believe it is reasonable
to take a position that contingent quarterly 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 any contingent quarterly
payment 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 securities 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 securities, including
the possibility of obtaining a refund of any withholding tax and the certification requirement described above.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 5, 2027
Based on the Performance of the Common Stock of NVIDIA Corporation Principal at Risk Securities
Risks Relating to Conflicts of Interest
| § | Economic interests of the issuer, the guarantor, the calculation agent, the agent of the offering of the securities and other affiliates
of the issuer may be different from those of investors. We
and our affiliates play a variety of roles in connection with the issuance of the securities, including acting as calculation agent and
as an agent of the offering of the securities, hedging our obligations under the securities and making the assumptions used to determine
the pricing of the securities and the estimated value of the securities, which we refer to as the estimated value of the securities. 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 securities. The calculation agent has
determined the initial stock price and the downside threshold level and will determine the final stock price and whether the closing price
of the underlying stock on any determination date is greater than or equal to the initial stock price or is below the downside threshold
level. Determinations made by the calculation agent, including with respect to the occurrence or non-occurrence of market disruption events,
may affect the payment to you at maturity or whether the securities are redeemed early. |
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 securities
and the value of the securities. It is possible that hedging or trading activities of ours or our affiliates in connection with the securities
could result in substantial returns for us or our affiliates while the value of the securities declines. Please refer to “Risk Factors
— Risks Relating to Conflicts of Interest” in the accompanying product supplement for additional information about these risks.
| § | Hedging and trading activities by the issuer and its affiliates could potentially affect the value of the securities.
The hedging or trading activities of the issuer’s affiliates and of any other hedging counterparty with respect to the securities
on or prior to the pricing date and prior to maturity could have adversely affected, and may continue to adversely affect, the value of
the underlying stock. Any of these hedging or trading activities on or prior to the pricing date could have affected the initial
stock price and, as a result, the downside threshold level, which is the price at or above which the underlying stock must close on each
determination date in order for you to earn a contingent quarterly payment or, if the securities are not redeemed prior to maturity, in
order for you to avoid being exposed to the negative price performance of the underlying stock at maturity. Additionally, these hedging
or trading activities during the term of the securities could potentially affect the price of the underlying stock on the determination
dates and, accordingly, whether investors will receive one or more contingent quarterly payments, whether the securities are automatically
redeemed prior to maturity and, if the securities are not redeemed prior to maturity, the payment to you at maturity. It is possible that
these hedging or trading activities could result in substantial returns for us or our affiliates while the value of the securities declines. |
Risks Relating to the Estimated Value and Secondary
Market Prices of the Securities
| § | The estimated value of the securities is lower than the original issue price (price to public) of the securities. The
estimated value of the securities is only an estimate determined by reference to several factors. The original issue price of the securities
exceeds the estimated value of the securities because costs associated with selling, structuring and hedging the securities are included
in the original issue price of the securities. These costs include the selling commissions, the structuring fee, the projected profits,
if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the securities and the estimated
cost of hedging our obligations under the securities. See “Additional Information about the Securities — The estimated value
of the securities” in this document. |
| § | The estimated value of the securities does not represent future values
of the securities and may differ from others’ estimates. The estimated value of the securities is determined by reference to internal
pricing models of our affiliates. This estimated value of the securities is based on market conditions
and other relevant factors existing at the time of pricing 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 securities that are
greater than or less than the estimated value of the securities. 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 securities 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 securities from you in
secondary market transactions. See “Additional Information about the Securities — The estimated value of the securities”
in this document. |
| § | The estimated value of the securities is derived by reference to an internal
funding rate. The internal funding rate used in the determination of the estimated value of the
securities 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 securities as well as the higher issuance, operational and ongoing liability management costs of the securities
in comparison to |
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 5, 2027
Based on the Performance of the Common Stock of NVIDIA Corporation Principal at Risk Securities
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 securities. The use of an internal funding rate and any potential changes to that rate may have
an adverse effect on the terms of the securities and any secondary market prices of the securities. See “Additional Information
about the Securities — The estimated value of the securities” in this document.
| § | The value of the securities as published by JPMS (and which may be reflected
on customer account statements) may be higher than the then-current estimated value of the securities for a limited time period. We
generally expect that some of the costs included in the original issue price of the securities will be partially paid back to you in connection
with any repurchases of your securities by JPMS in an amount that will decline to zero over an initial predetermined period. These costs
can include selling commissions, the structuring fee, projected hedging profits, if any, and, in some circumstances, estimated hedging
costs and our internal secondary market funding rates for structured debt issuances. See “Additional Information about the Securities
— Secondary market prices of the securities” in this document for additional information relating to this initial period.
Accordingly, the estimated value of your securities during this initial period may be lower than the value of the securities as published
by JPMS (and which may be shown on your customer account statements). |
| § | Secondary market prices of the securities will likely be lower than the
original issue price of the securities. Any secondary market prices of the securities will likely
be lower than the original issue price of the securities 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,
the structuring fee, projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the
securities. As a result, the price, if any, at which JPMS will be willing to buy securities from you in secondary market transactions,
if at all, is likely to be lower than the original issue price. Any sale by you prior to the maturity date could result in a substantial
loss to you. See the immediately following risk factor for information about additional factors that will impact any secondary market
prices of the securities. |
The securities
are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your securities to maturity.
See “— Risks Relating to the Securities Generally — Secondary trading may be limited” above.
| § | Secondary market prices of the securities will be impacted by many economic
and market factors. The secondary market price of the securities 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,
structuring fee, projected hedging profits, if any, estimated hedging costs and the closing price of one share of the underlying stock,
including: |
| o | any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads; |
| o | customary bid-ask spreads for similarly sized trades; |
| o | our internal secondary market funding rates for structured debt issuances; |
| o | the actual and expected volatility in the prices of the underlying stock; |
| o | the time to maturity of the securities; |
| o | whether the closing price of one share of the underlying stock has been, or is expected to be, less than the downside threshold level
on any determination date and whether the final stock price is expected to be less than the downside threshold level; |
| o | the likelihood of an early redemption being triggered; |
| o | the dividend rate on the underlying stock; |
| o | interest and yield rates in the market generally; |
| o | the occurrence of certain events affecting the issuer of the underlying stock that may or may not require an adjustment to the stock
adjustment factor, including a merger or acquisition; and |
| o | a variety of other economic, financial, political, regulatory and judicial events. |
Additionally, independent pricing vendors
and/or third party broker-dealers may publish a price for the securities, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the securities, if any, at which JPMS may be willing to purchase your
securities in the secondary market.
Risks Relating to the Underlying
Stock
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 5, 2027
Based on the Performance of the Common Stock of NVIDIA Corporation Principal at Risk Securities
| § | Investing in the securities is not equivalent to investing in the underlying
stock. Investors in the securities will not have voting rights or rights to receive dividends or
other distributions or any other rights with respect to the underlying stock. |
| § | No affiliation with NVIDIA Corporation.
NVIDIA Corporation is not an affiliate of ours, is not involved
with this offering in any way, and has no obligation to consider your interests in taking any corporate actions that might affect the
value of the securities. We have not made any due diligence inquiry with respect to NVIDIA Corporation in
connection with this offering. |
| § | We may engage in business with or involving NVIDIA Corporation
without regard to your interests.
We or our affiliates may presently or from time to time engage in business with NVIDIA
Corporation without regard to your interests and thus may
acquire non-public information about NVIDIA Corporation.
Neither we nor any of our affiliates undertakes to disclose any such information to you. In addition, we or our affiliates from time to
time have published and in the future may publish research reports with respect to NVIDIA Corporation,
which may or may not recommend that investors buy or hold the underlying stock. |
| § | Governmental legislative and regulatory actions, including sanctions, could adversely affect your investment in the securities.
Governmental legislative and regulatory actions, including, without limitation, sanctions-related actions by the U.S. or a foreign government,
could prohibit or otherwise restrict persons from holding the securities or the underlying stock, or engaging in transactions in them,
and any such action could adversely affect the value of the securities or the underlying stock. These legislative and regulatory
actions could result in restrictions on the securities or the delisting of the underlying stock. You may lose a significant portion
or all of your initial investment in the securities, including if the underlying stock is delisted or if you are forced to divest the
securities due to the government mandates, especially if such divestment must be made at a time when the value of the securities has declined. |
| § | The anti-dilution protection for the underlying stock is limited and may
be discretionary. The calculation agent will make adjustments to the stock adjustment factor and
other adjustments for certain corporate events affecting the underlying stock, such as mergers and spin-offs. However, the calculation
agent will not make an adjustment in response to all events that could affect the underlying stock. If an event occurs that does not require
the calculation agent to make an adjustment, the value of the securities may be materially and adversely affected. You should also be
aware that the calculation agent may make adjustments in response to events that are not described in the accompanying product supplement
to account for any diluting or concentrative effect, but the calculation agent is under no obligation to do so or to consider your interests
as a holder of the securities in making these determinations.
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 5, 2027
Based on the Performance of the Common Stock of NVIDIA Corporation Principal at Risk Securities
NVIDIA Corporation Overview
NVIDIA Corporation is a full-stack computing infrastructure company with
data-center-scale offerings whose full-stack includes the CUDA programming model that runs on all of its graphics processing units (GPUs),
as well as domain-specific software libraries, software development kits and Application Programming Interfaces and whose data-center-scale
offerings include compute and networking solutions that can scale to tens of thousands of GPU-accelerated servers interconnected to function
as a single giant computer. The underlying stock is registered under the Securities Exchange Act of 1934, as amended (the “Exchange
Act”) and is listed on The Nasdaq Stock Market. Information provided to or filed with the SEC by NVIDIA Corporation pursuant to
the Exchange Act can be located by reference to the SEC file number 000-23985 through the SEC’s website at www.sec.gov.
Information as of market close on August 2, 2024:
| Bloomberg Ticker Symbol: |
NVDA |
52 Week High (on 6/18/2024): |
$135.58 |
| Current Closing Price: |
$107.27 |
52 Week Low (on 10/26/2023): |
$40.33 |
| 52 Weeks Ago (on 8/2/2023): |
$44.27 |
|
|
The table below sets forth the published high and low closing prices
of, as well as dividends on, the underlying stock for each quarter in the period from January 1, 2019 through August 2, 2024. The closing
price of the underlying stock on August 2, 2024 was $107.27. The associated graph shows the closing prices of the underlying stock for
each day in the same period. We obtained the closing price information above and the information in the table and graph below from the
Bloomberg Professional® service (“Bloomberg”), without independent verification. The closing prices may have
been adjusted by Bloomberg for corporate actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings
and bankruptcy.
Since its inception, the closing price of the underlying stock has
experienced significant fluctuations. The historical performance of the underlying stock should not be taken as an indication of its future
performance, and no assurance can be given as to the price of the underlying stock at any time, including on the determination dates.
| Common Stock of NVIDIA Corporation |
High |
Low |
Dividends (Declared) |
| 2019 |
|
|
|
| First Quarter |
$4.60 |
$3.20 |
$0.004 |
| Second Quarter |
$4.80 |
$3.34 |
$0.004 |
| Third Quarter |
$4.61 |
$3.72 |
$0.004 |
| Fourth Quarter |
$5.98 |
$4.33 |
$0.004 |
| 2020 |
|
|
|
| First Quarter |
$7.87 |
$4.91 |
$0.004 |
| Second Quarter |
$9.53 |
$6.08 |
$0.004 |
| Third Quarter |
$14.35 |
$9.53 |
$0.004 |
| Fourth Quarter |
$14.56 |
$12.53 |
$0.004 |
| 2021 |
|
|
|
| First Quarter |
$15.33 |
$11.59 |
$0.004 |
| Second Quarter |
$20.03 |
$13.67 |
$0.004 |
| Third Quarter |
$22.84 |
$18.16 |
$0.004 |
| Fourth Quarter |
$33.38 |
$19.73 |
$0.004 |
| 2022 |
|
|
|
| First Quarter |
$30.12 |
$21.33 |
$0.004 |
| Second Quarter |
$27.36 |
$15.16 |
$0.004 |
| Third Quarter |
$19.22 |
$12.14 |
$0.004 |
| Fourth Quarter |
$18.07 |
$11.23 |
$0.004 |
| 2023 |
|
|
|
| First Quarter |
$27.78 |
$14.27 |
$0.004 |
| Second Quarter |
$43.81 |
$26.24 |
$0.004 |
| Third Quarter |
$49.36 |
$40.86 |
$0.004 |
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 5, 2027
Based on the Performance of the Common Stock of NVIDIA Corporation Principal at Risk Securities
| Common Stock of NVIDIA Corporation |
High |
Low |
Dividends (Declared) |
| Fourth Quarter |
$50.41 |
$40.33 |
$0.004 |
| 2024 |
|
|
|
| First Quarter |
$95.00 |
$47.57 |
$0.004 |
| Second Quarter |
$135.58 |
$76.20 |
$0.010 |
| Third Quarter (through August 2, 2024) |
$134.91 |
$103.73 |
— |
We make no representation as to the amount of dividends, if any, that NVIDIA
Corporation may pay in the future. In any event, as an investor in the securities, you will not be entitled to receive dividends, if any,
that may be payable on the underlying stock.
The Common Stock of NVIDIA Corporation – Daily Closing Prices*
January 2, 2019 to August 2, 2024 |
 |
| *The
dotted line in the graph indicates the downside threshold level, equal to 50% of the initial stock price. |
This document relates only to the securities offered hereby and does
not relate to the underlying stock or other securities of NVIDIA Corporation. We have derived all disclosures contained in this document
regarding the underlying stock from the publicly available documents described in the first paragraph under this “NVIDIA Corporation
Overview” section without independent verification. In connection with the offering of the securities, neither we nor the agent
has participated in the preparation of such documents or made any due diligence inquiry with respect to NVIDIA Corporation. Neither we
nor the agent makes any representation that such publicly available documents or any other publicly available information regarding NVIDIA
Corporation is accurate or complete. Furthermore, we cannot give any assurance that all events occurring prior to the date hereof (including
events that would affect the accuracy or completeness of the publicly available documents described in the first paragraph under this
“NVIDIA Corporation Overview” section) that would affect the trading price of the underlying stock (and therefore the price
of the underlying stock at the time the securities are priced) have been publicly disclosed. Subsequent disclosure of any such events
or the disclosure of or failure to disclose material future events concerning NVIDIA Corporation could affect the value received at maturity
with respect to the securities and therefore the trading prices of the securities.
Neither we nor any of our affiliates makes any representation
to you as to the performance of the underlying stock.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 5, 2027
Based on the Performance of the Common Stock of NVIDIA Corporation Principal at Risk Securities
Additional Information about the Securities
Please read this information in conjunction with the terms on the front
cover of this document.
| Additional Provisions |
|
| Record date: |
The record date for each contingent payment date is the date one business day prior to that contingent payment date. |
| Postponement of maturity date: |
If the scheduled maturity date is not a business day, then the maturity date will be the following business day. If the scheduled final determination date is not a trading day or if a market disruption event occurs on that day so that the final determination date is postponed and falls less than three business days prior to the scheduled maturity date, the maturity date of the securities will be postponed to the third business day following that final determination date as postponed. |
| Minimum ticketing size: |
$1,000/1 security |
| Trustee: |
Deutsche Bank Trust Company Americas (formerly Bankers Trust Company) |
| Calculation agent: |
JPMS |
| The estimated value of the securities: |
The estimated value of the securities set forth on the cover
of this document 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 securities, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the securities. The estimated value of the securities does not represent a minimum price at which JPMS would be
willing to buy your securities in any secondary market (if any exists) at any time. The internal funding rate used in the determination
of the estimated value of the securities 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 securities as well as the higher issuance, operational and ongoing liability management
costs of the securities 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 securities. The use of an internal funding rate and any potential changes to that
rate may have an adverse effect on the terms of the securities and any secondary market prices of the securities. For additional information,
see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities — The estimated
value of the securities is derived by reference to an internal funding rate” in this document. The value of the derivative or derivatives
underlying the economic terms of the securities 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 securities on the pricing date is based on market conditions and other relevant
factors and assumptions existing at that time. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Securities — The estimated value of the securities does not represent future values of the securities and may differ
from others’ estimates” in this document.
The estimated value of the securities is lower than the original
issue price of the securities because costs associated with selling, structuring and hedging the securities are included in the original
issue price of the securities. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers,
the structuring fee, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the securities and the estimated cost of hedging our obligations under the securities. Because hedging our obligations entails risk
and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected, or
it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the securities 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 “Risk
Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities — The estimated value of the
securities is lower than the original issue price (price to public) of the securities” in this document. |
| Secondary market prices of the securities: |
For information about factors that will impact any secondary market prices of the securities, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities — Secondary market prices of the securities will be impacted by many economic and market factors” in this document. In addition, we generally expect that some of the costs included in the original issue price of the securities will be partially paid back to you in connection with any repurchases of your securities by JPMS in an amount that will decline to zero over an initial predetermined period that is intended to be the shorter of two years and one-half of the stated term of the securities. The length of any such initial period reflects the structure of the securities, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the securities and when these costs are incurred, as determined by our affiliates. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities — The value of the securities as published by JPMS (and which may be reflected on customer account statements) may be higher than |
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 5, 2027
Based on the Performance of the Common Stock of NVIDIA Corporation Principal at Risk Securities
| |
the then-current estimated value of the securities for a limited time period.” |
| Tax considerations: |
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 securities for U.S. federal income tax purposes as prepaid forward contracts with associated contingent coupons
and (ii) any contingent quarterly payments as ordinary income, as described in the section entitled “Material U.S. Federal Income
Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated Contingent
Coupons” in the accompanying product supplement. Based on the advice of Davis Polk & Wardwell 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 securities could be materially affected. In addition, in 2007 Treasury
and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts”
and similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income
over the term of their investment. It also asks for comments on a number of related topics, including the character of income or
loss with respect to these instruments and the relevance of factors such as the nature of the underlying property to which the instruments
are linked. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or
other guidance promulgated after consideration of these issues could materially affect the tax consequences of an investment in the securities,
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 securities, 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 quarterly payments is uncertain, and although we believe it is reasonable to take a position that contingent
quarterly 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 any contingent quarterly payment 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 securities 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 securities, 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. 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 securities 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 securities.
In the event of any withholding on the securities, we will not be required
to pay any additional amounts with respect to amounts so withheld. |
| Supplemental use of proceeds and hedging: |
The securities are offered to meet investor demand for products that reflect
the risk-return profile and market exposure provided by the securities. See “How the Securities Work” and “Hypothetical
Examples” in this document for an illustration of the risk-return profile of the securities and “NVIDIA Corporation Overview”
in this document for a description of the market exposure provided by the securities.
The original issue price of the securities is equal to the estimated value
of the securities plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers and the structuring fee, plus
(minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under
the securities, plus the estimated cost of hedging our obligations under the securities. |
| Benefit plan investor considerations: |
See “Benefit Plan Investor Considerations” in the accompanying product supplement |
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 5, 2027
Based on the Performance of the Common Stock of NVIDIA Corporation Principal at Risk Securities
| Supplemental plan of distribution: |
Subject to regulatory constraints, JPMS intends to use its reasonable efforts
to offer to purchase the securities in the secondary market, but is not required to do so. JPMS, acting as agent for JPMorgan Financial,
will pay all of the selling commissions it receives from us to Morgan Stanley Wealth Management. In addition, Morgan Stanley Wealth Management
will receive a structuring fee as set forth on the cover of this document for each security.
We or our affiliate may enter into swap agreements or related hedge transactions
with one of our other affiliates or unaffiliated counterparties in connection with the sale of the securities and JPMS and/or an affiliate
may earn additional income as a result of payments pursuant to the swap or related hedge transactions. See “— Supplemental
use of proceeds and hedging” above and “Use of Proceeds and Hedging” in the accompanying product supplement. |
| Validity of the securities and the guarantee: |
In the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the securities 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 securities (the “master note”), and such securities have been delivered against payment as contemplated herein, such securities 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. |
Where you can find more information: |
You should read this document together with the accompanying prospectus,
as supplemented by the accompanying prospectus supplement, relating to our Series A medium-term notes of which these securities are a
part, the accompanying prospectus addendum and the more detailed information contained in the accompanying product supplement.
This document, together with the documents listed below, contains the terms
of the securities 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, stand-alone 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 securities 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 securities.
You may access these documents on the SEC website at www.sec.gov as follows
(or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
• Product
supplement no. 4-I dated April 13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000121390023029539/ea152803_424b2.pdf
• Prospectus supplement and prospectus, each dated April 13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000095010323005751/crt_dp192097-424b2.pdf
• Prospectus addendum dated June 3, 2024:
http://www.sec.gov/Archives/edgar/data/1665650/000095010324007599/dp211753_424b3.htm
Our Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan
Chase & Co.’s CIK is 19617.
As used in this document, “we,” “us” and “our”
refer to JPMorgan Financial. |
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 $29,461,000. The prospectus is a final prospectus for the related offering.
|
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