JPMorgan Chase Financial Company LLC |
July 2024 |
Pricing Supplement
Registration Statement Nos. 333-270004 and
333-270004-01
Dated July 31, 2024
Filed pursuant to Rule 424(b)(2)
Structured
Investments
Opportunities in International Equities
Dual Directional Trigger PLUS Based on the Value of the
MSCI Emerging Markets Index due August 4, 2027
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Fully and Unconditionally Guaranteed by JPMorgan Chase &
Co.
The Dual Directional Trigger PLUS, or “Trigger PLUS,” will pay
no interest and do not guarantee any return of your principal at maturity. At maturity, if the underlying index has appreciated
in value, investors will receive the stated principal amount of their investment plus leveraged upside performance of the underlying
index, subject to a maximum upside payment at maturity. If the underlying index has depreciated in value, but by no more than 20%,
investors will receive at maturity the stated principal amount of the Trigger PLUS plus an unleveraged positive return equal to
the absolute value of the percentage decline, which will effectively be limited to a positive 20% return. However, if the underlying index
has depreciated by more than 20% in value, at maturity investors will lose the benefit of the absolute return feature and will
lose 1% of the stated principal amount for every 1% of decline in the value of the underlying index over the term of the Trigger PLUS.
The Trigger PLUS are for investors who are willing to risk their principal and forgo current income and appreciation above the maximum
upside payment at maturity in exchange for the leverage and absolute return features that in each case apply to a limited range of the
performance of the underlying index. The Trigger PLUS 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 Trigger PLUS is subject to the
credit risk of JPMorgan Financial, as issuer of the Trigger PLUS, and the credit risk of JPMorgan Chase & Co., as guarantor of the
Trigger PLUS. The investor may lose some or all of the stated principal amount of the Trigger PLUS.
FINAL TERMS |
Issuer: |
JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co. |
Guarantor: |
JPMorgan Chase & Co. |
Underlying index: |
MSCI Emerging Markets Index (Bloomberg ticker: MXEF Index) |
Aggregate principal amount: |
$2,575,000 |
Payment at maturity: |
If the final index value is greater than the initial index value, for each $1,000 stated principal amount Trigger PLUS: |
|
$1,000 + leveraged upside payment |
|
Under these circumstances, in no event will the payment at maturity exceed the maximum upside payment at maturity. |
|
If the final index value is less than or equal to the initial index value but is greater than or equal to the trigger level, for each $1,000 stated principal amount Trigger PLUS: |
|
$1,000 + ($1,000 × absolute index return) |
|
In this scenario, you will receive a 1% positive return on the Trigger PLUS for each 1% negative return on the underlying index. In no event will this amount exceed the stated principal amount plus $200.00. Accordingly, the maximum downside payment at maturity is $1,200.00 per Trigger PLUS. |
|
If the final index value is less than the trigger level, for each $1,000 stated principal amount Trigger PLUS: |
|
$1,000 × index performance factor |
|
This amount will be less than the stated principal amount of $1,000 per Trigger PLUS and will represent a loss of more than 20%, and possibly all, of your investment. |
Leveraged upside payment: |
$1,000 × leverage factor × index percent change |
Index percent change: |
(final index value – initial index value) / initial index value |
Absolute index return: |
The absolute value of the index percent change. For example, a -5% index percent change will result in a +5% absolute index return. |
Initial index value: |
The closing level of the underlying index on the pricing date, which was 1,084.77 |
Final index value: |
The closing level of the underlying index on the valuation date |
Trigger level: |
867.816, which is 80% of the initial index value |
Leverage factor: |
200% |
Index performance factor: |
final index value / initial index value |
Maximum upside payment at maturity: |
$1,355.00 (135.50% of the stated principal amount) per Trigger PLUS |
Stated principal amount: |
$1,000 per Trigger PLUS |
Issue price: |
$1,000 per Trigger PLUS (see “Commissions and issue price” below) |
Pricing date: |
July 31, 2024 |
Original issue date (settlement date): |
August 5, 2024 |
Valuation date*: |
July 30, 2027 |
Maturity date*: |
August 4, 2027 |
CUSIP / ISIN: |
48135PLB5 / US48135PLB57 |
Listing: |
The Trigger PLUS 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 Trigger
PLUS |
$1,000.00 |
$25.00 (2) |
$970.00 |
|
|
$5.00(3) |
|
Total |
$2,575,000.00 |
$77,250.00 |
$2,497,750.00 |
| (1) | See “Additional Information about the Trigger PLUS — Supplemental use of proceeds and hedging” in this document
for information about the components of the price to public of the Trigger PLUS. |
| (2) | JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions of $25.00 per $1,000 stated principal amount
Trigger PLUS 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 Trigger PLUS |
* 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 or early acceleration in the event of a change-in-law event as described
under “General Terms of Notes — Consequences of a Change-in-Law Event” in the accompanying product supplement and “Selected
Risk Considerations — Risks Relating to the Notes Generally — We May Accelerate Your Notes If a Change-in-Law Event Occurs”
in this document
The estimated value of the Trigger PLUS on the pricing date was $958.30
per $1,000 stated principal amount Trigger PLUS. See “Additional Information about the Trigger PLUS — The estimated value
of the Trigger PLUS” in this document for additional information.
Investing in the Trigger PLUS 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 6 of this
document.
Neither the Securities and Exchange Commission (the “SEC”) nor
any state securities commission has approved or disapproved of the Trigger PLUS or passed upon the accuracy or the adequacy of this document
or the accompanying product supplement, underlying supplement, prospectus supplement, prospectus and prospectus addendum. Any representation
to the contrary is a criminal offense.
The Trigger PLUS 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, underlying supplement, prospectus supplement, prospectus and prospectus addendum, each of which can be accessed via
the hyperlinks below. Please also see “Additional Information about the Trigger PLUS” 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
Underlying supplement no. 1-I dated April 13, 2023: http://www.sec.gov/Archives/edgar/data/19617/000121390023029543/ea151873_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
Dual Directional Trigger PLUS Based on the Value of the MSCI Emerging Markets Index due August 4, 2027
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Investment Summary
Dual Directional Trigger Performance Leveraged
Upside Securities
Principal at Risk Securities
The Dual Directional Trigger PLUS Based on the Value of the MSCI
Emerging Markets Index due August 4, 2027 (the “Trigger PLUS”) can be used:
| § | As an alternative to direct exposure to the underlying index that enhances returns for a certain range of positive performance of
the underlying index. |
| § | To enhance returns and potentially outperform the underlying index in a moderately bullish scenario. |
| § | To potentially achieve similar levels of upside exposure to the underlying index as a direct investment, subject to the maximum upside
payment at maturity, while using fewer dollars by taking advantage of the leverage factor. |
| § | To provide an unleveraged positive return in the event of a decline of the underlying index but only if the final index value is greater
than or equal to the trigger level. |
Maturity: |
Approximately 3 years |
Leverage factor: |
200% (applicable only if the final index value is greater than the initial index value) |
Trigger level: |
80% of the initial index value |
Maximum upside payment at maturity: |
$1,355.00 (135.50% of the stated principal amount) per Trigger PLUS |
Minimum payment at maturity: |
None. Investors may lose their entire initial investment in the Trigger PLUS. |
Supplemental Terms of the Trigger PLUS
For purposes of the accompanying product supplement, the underlying
index is an “Index.”
Any values of the underlying index, 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 Trigger PLUS. Notwithstanding anything to the contrary in the indenture governing the Trigger PLUS, that amendment will become
effective without consent of the holders of the Trigger PLUS or any other party.
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Value of the MSCI Emerging Markets Index due August 4, 2027
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Key Investment Rationale
Trigger PLUS offer leveraged upside exposure to an underlying asset
and the opportunity, through the absolute return feature, to earn a positive return at maturity for a limited range of negative performance
of the underlying asset. At maturity, if the underlying asset has appreciated, investors will receive the stated principal amount
of their investment plus leveraged upside performance of the underlying asset, subject to the maximum upside payment at maturity.
At maturity, if the underlying asset has depreciated in value but by no more than 20%, investors will receive the stated principal
amount of their investment plus an unleveraged positive return equal to the absolute value of the percentage decline in the underlying
asset, which will effectively be limited to a positive 20% return. However, at maturity, if the underlying asset has depreciated
in value by more than 20%, investors will lose the benefit of the absolute return feature and will lose 1% of the stated principal amount
for every 1% of decline, without any buffer. Investors may lose some or all of the stated principal amount of the Trigger PLUS.
Leveraged Upside Performance |
The Trigger PLUS offer investors an opportunity to capture enhanced returns for a certain range of positive performance relative to a direct investment in the underlying index. |
Absolute Return Feature |
The Trigger PLUS offer investors an opportunity to earn an unleveraged positive return if the final index value is less than or equal to the initial index value but is greater than or equal to the trigger level. |
Upside Scenario if the Underlying Index Appreciates |
The final index value is greater than the initial index value and, at maturity, the Trigger PLUS pay the stated principal amount of $1,000 plus a return equal to 200% of the index percent change, subject to the maximum upside payment at maturity of $1,355.00 (135.50% of the stated principal amount) per Trigger PLUS. |
Absolute Return Scenario |
The final index value is less than or equal to the initial index value but is greater than or equal to the trigger level, which is 80% of the initial index value. In this case, the Trigger PLUS pay a 1% positive return for each 1% negative return of the underlying index. For example, if the final index value is 5% less than the initial index value, the Trigger PLUS will provide a total positive return of 5% at maturity. The maximum return you may receive in this scenario is a positive 20% return at maturity. |
Downside Scenario |
The final index value is less than the trigger level. In this case, the Trigger PLUS pay an amount that is over 20% less than the stated principal amount and this decrease will be by an amount that is proportionate to the percentage decline in the final index value from the initial index value. (Example: if the underlying index decreases in value by 30%, the Trigger PLUS will pay an amount that is less than the stated principal amount by 30%, or $700.00 per Trigger PLUS.) |
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Value of the MSCI Emerging Markets Index due August 4, 2027
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
How the Dual Directional Trigger PLUS Work
Payoff Diagram
The payoff diagram below illustrates the payment at maturity on the
Trigger PLUS based on the following terms:
Stated principal amount: |
$1,000 per Trigger PLUS |
Leverage factor: |
200% |
Trigger level: |
80% of the initial index value |
Maximum upside payment at maturity: |
$1,355.00 (135.50% of the stated principal amount) per Trigger PLUS |
Dual Directional Trigger PLUS Payoff Diagram |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024064818/image_001.jpg)
|
How it works
§
Upside Scenario. If the final index value
is greater than the initial index value, for each $1,000 principal amount Trigger PLUS, investors will receive the $1,000 stated principal
amount plus a return equal to 200% of the appreciation of the underlying index over the term of the Trigger PLUS, subject to the
maximum upside payment at maturity. Under the terms of the Trigger PLUS, an investor will realize the maximum upside payment at maturity
at a final index value of 117.75% of the initial index value.
§
For example, if the underlying index appreciates 5%, investors will receive a 10% return, or $1,100.00 per Trigger PLUS.
§
Absolute Return Scenario. If the final index
value is less than or equal to the initial index value but is greater than or equal to the trigger level, investors will receive a 1%
positive return on the Trigger PLUS for each 1% negative return of the underlying index.
§ For
example, if the underlying index depreciates 5%, investors will receive a 5% return, or $1,050.00 per Trigger PLUS.
§
The maximum return you may receive in this scenario is a positive 20% return at maturity.
§
Downside Scenario. If the final index value
is less than the trigger level, investors will lose the benefit of the absolute return feature and will instead receive an amount that
is significantly less than the stated principal amount by an amount proportionate to the percentage decrease of the final index value
from the initial index value. This amount will be less than 80% of the stated principal amount per Trigger PLUS.
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Value of the MSCI Emerging Markets Index due August 4, 2027
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
§
For example, if the underlying index depreciates 50%, investors will lose 50% of their principal and receive only $500.00 per
Trigger PLUS at maturity, or 50% of the stated principal amount.
The hypothetical returns and hypothetical payments
on the Trigger PLUS shown above apply only if you hold the Trigger PLUS for their entire term. 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
Dual Directional Trigger PLUS Based on the Value of the MSCI Emerging Markets Index due August 4, 2027
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Risk Factors
The following
is a non-exhaustive list of certain key risk factors for investors in the Trigger PLUS. 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 Trigger PLUS.
Risks Relating to the
Trigger PLUS Generally
| § | The Trigger PLUS do not pay interest or guarantee the return of any principal
and your investment in the Trigger PLUS may result in a loss. The terms of the Trigger PLUS differ from those of ordinary debt
securities in that the Trigger PLUS do not pay interest or guarantee the payment of any principal amount at maturity. If the final index
value is less than the trigger level (which is 80% of the initial index value), you will lose the benefit of the absolute return feature
and the payment at maturity will be an amount in cash that is over 20% less than the stated principal amount of each Trigger PLUS, and
this decrease will be by an amount that is proportionate to the decrease in the value of the underlying index and may be zero. There is
no minimum payment at maturity on the Trigger PLUS, and, accordingly, you could lose your entire initial investment in the Trigger PLUS. |
| § | The appreciation potential of the Trigger PLUS is limited by the maximum
upside payment at maturity if the underlying index has appreciated. The appreciation potential of
Trigger PLUS is limited by the maximum upside payment at maturity of $1,355.00 (135.50% of the stated principal amount) per Trigger PLUS
if the underlying index has appreciated. Although the leverage factor provides 200% exposure to any increase in the final index value
as compared to the initial index value on the valuation date, because the maximum upside payment at maturity will be limited to 135.50%
of the stated principal amount for the Trigger PLUS, any increase in the final index value by more than 17.75% will not further increase
the return on the Trigger PLUS. |
| § | Your maximum downside gain on the Trigger PLUS is limited by the trigger
level. If the final index value is less than or equal to the initial index value and greater than or equal to the trigger level,
you will receive at maturity $1,000 plus a return equal to the absolute index return, which will reflect a 1% positive return for
each 1% negative return on the underlying index, subject to an effective limit of 20%. Because you will not receive a positive return
if the underlying index has depreciated below the trigger level, your maximum downside payment will be $1,200.00 per $1,000.00 stated
principal amount Trigger PLUS. |
| § | The Trigger PLUS 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 Trigger PLUS. Investors are dependent on our and JPMorgan Chase &
Co.’s ability to pay all amounts due on the Trigger PLUS. 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 Trigger PLUS. If we and JPMorgan Chase & Co. were to default on our payment
obligations, you may not receive any amounts owed to you under the Trigger PLUS 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 Trigger PLUS. 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 Trigger PLUS as they come due. If JPMorgan Chase & Co. does not make payments to us and we are unable to make payments
on the Trigger PLUS, 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. |
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Value of the MSCI Emerging Markets Index due August 4, 2027
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
| § | The benefit provided by the trigger level may terminate on the valuation
date. If the final index value is less than the trigger level, the benefit provided by the trigger
level will terminate and you will be fully exposed to any depreciation of the underlying index. |
| § | Secondary trading may be limited. The
Trigger PLUS will not be listed on a securities exchange. There may be little or no secondary market for the Trigger PLUS. Even if there
is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Trigger PLUS easily.
JPMS may act as a market maker for the Trigger PLUS, 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 Trigger PLUS, the price at which you may be able to trade your Trigger
PLUS is likely to depend on the price, if any, at which JPMS
is willing to buy the Trigger PLUS. 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 Trigger PLUS. |
| § | We may accelerate your Trigger PLUS in our sole discretion and the calculation agent may
adjust their final payment in good faith and in a commercially reasonable manner if a change-in-law event occurs. Upon the
announcement or occurrence of legal or regulatory changes that the calculation agent determines are likely to interfere with your or our
ability to transact in or hold the Trigger PLUS or our ability to hedge or perform our obligations under the Trigger PLUS, we may, in
our sole and absolute discretion, accelerate the payment on your Trigger PLUS and pay you an amount determined in good faith and in a
commercially reasonable manner by the calculation agent. If the payment on your Trigger PLUS is accelerated, your investment may result
in a loss and you may not be able to reinvest your money in a comparable investment. Please see “General Terms of Notes —
Consequences of a Change-in-Law Event” in the accompanying product supplement for more information. |
| § | The tax consequences of an investment in the Trigger PLUS are uncertain. There is no direct legal authority as to the proper
U.S. federal income tax characterization of the Trigger PLUS, 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 Trigger PLUS described in “Additional Information about the Trigger PLUS
― 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 Trigger PLUS, the timing
and character of any income or loss on the Trigger PLUS could differ materially and adversely from our description herein. In addition,
in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward
contracts” and similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue
income over the term of their investment. It also asks for comments on a number of related topics, including the character of income or
loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to which the instruments
are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject to
withholding tax; and whether these instruments are or should be subject to the “constructive ownership” regime, which very
generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. While
the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated
after consideration of these issues could materially and adversely affect the tax consequences of an investment in the Trigger PLUS, 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 Trigger PLUS, including possible alternative treatments and the issues presented by this notice. |
Risks Relating to Conflicts
of Interest
| § | Economic interests of the issuer, the guarantor, the calculation agent, the agent of the offering of the Trigger PLUS 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 Trigger PLUS, including acting as calculation agent
and as an agent of the offering of the Trigger PLUS, hedging our obligations under the Trigger PLUS and making the assumptions used to
determine the pricing of the Trigger PLUS and the estimated value of the Trigger PLUS, which we refer to as the estimated value of the
Trigger PLUS. 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 Trigger PLUS. The calculation
agent has determined the initial index value and the trigger level, will determine the final index value and will calculate the amount
of payment you will receive at maturity, if any. Determinations made by the calculation agent, including with respect to the occurrence
or non-occurrence |
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Value of the MSCI Emerging Markets Index due August 4, 2027
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
of market disruption events, the selection of a successor
to the underlying index or calculation of the final index value in the event of a discontinuation or material change in method of calculation
of the underlying index, may affect the payment to you at maturity.
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 Trigger PLUS and the value of the Trigger PLUS. It is possible
that hedging or trading activities of ours or our affiliates in connection with the Trigger PLUS could result in substantial returns for
us or our affiliates while the value of the Trigger PLUS 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 Trigger
PLUS. The hedging or trading activities of the issuer’s affiliates and of any other hedging counterparty with respect
to the Trigger PLUS 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 index and, as a result, could
decrease the amount an investor may receive on the Trigger PLUS at maturity, if any. Any of these hedging or trading activities
on or prior to the pricing date could have affected the initial index value and the trigger level and, therefore, could potentially increase
the level that the final index value must reach before you receive a payment at maturity that exceeds the issue price of the Trigger PLUS
or so that you do not suffer a loss on your initial investment in the Trigger PLUS. Additionally, these hedging or trading activities
during the term of the Trigger PLUS, including on
the valuation date, could adversely affect the final index value and, accordingly, the payment to you at maturity, if any. It is possible
that these hedging or trading activities could result in substantial returns for us or our affiliates while the value of the Trigger PLUS
declines. |
Risks Relating to the
Estimated Value and Secondary Market Prices of the Trigger PLUS
| § | The estimated value of the Trigger PLUS is lower than the original issue
price (price to public) of the Trigger PLUS. The estimated value of the Trigger PLUS is only an
estimate determined by reference to several factors. The original issue price of the Trigger PLUS exceeds the estimated value of the Trigger
PLUS because costs associated with selling, structuring and hedging the Trigger PLUS are included in the original issue price of the Trigger
PLUS. 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 Trigger PLUS and the estimated cost of hedging our obligations under
the Trigger PLUS. See “Additional Information about the Trigger PLUS — The estimated value of the Trigger PLUS” in this
document. |
| § | The estimated value of the Trigger PLUS does not represent future values
of the Trigger PLUS and may differ from others’ estimates. The estimated value of the Trigger PLUS is determined by reference to
internal pricing models of our affiliates. This estimated value of the Trigger PLUS 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
Trigger PLUS that are greater than or less than the estimated value of the Trigger PLUS. 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 Trigger PLUS 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 Trigger
PLUS from you in secondary market transactions. See “Additional Information about the Trigger PLUS — The estimated value of
the Trigger PLUS” in this document. |
| § | The estimated value of the Trigger PLUS is derived by reference to an internal
funding rate. The internal funding rate used in the determination of the estimated value of the
Trigger PLUS 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 Trigger PLUS as well as the higher issuance, operational and ongoing liability management costs of the Trigger PLUS
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co.
This internal funding rate is based on certain market |
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Value of the MSCI Emerging Markets Index due August 4, 2027
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
inputs and assumptions, which may prove to be incorrect,
and is intended to approximate the prevailing market replacement funding rate for the Trigger PLUS. The
use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the Trigger PLUS and
any secondary market prices of the Trigger PLUS. See “Additional Information about the Trigger PLUS — The estimated value
of the Trigger PLUS” in this document.
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Value of the MSCI Emerging Markets Index due August 4, 2027
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
| § | The value of the Trigger PLUS as published by JPMS (and which may be reflected
on customer account statements) may be higher than the then-current estimated value of the Trigger PLUS for a limited time period.
We generally expect that some of the costs included in the original issue price of the Trigger PLUS
will be partially paid back to you in connection with any repurchases of your Trigger PLUS 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 Trigger PLUS — Secondary market prices of the Trigger PLUS” in this document for
additional information relating to this initial period. Accordingly, the estimated value of your Trigger PLUS during this initial period
may be lower than the value of the Trigger PLUS as published by JPMS (and which may be shown on your customer account statements). |
| § | Secondary market prices of the Trigger PLUS will likely be lower than the
original issue price of the Trigger PLUS. Any secondary market prices of the Trigger PLUS will likely
be lower than the original issue price of the Trigger PLUS 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
Trigger PLUS. As a result, the price, if any, at which JPMS will be willing to buy Trigger PLUS 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 Trigger PLUS. |
The Trigger
PLUS are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Trigger PLUS to maturity.
See “— Risks Relating to the Trigger PLUS Generally — Secondary trading may be limited” above.
| § | Secondary market prices of the Trigger PLUS will be impacted by many economic
and market factors. The secondary market price of the Trigger PLUS 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 level of the underlying index, 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 of the underlying index; |
| o | the time to maturity of the Trigger PLUS; |
| o | the dividend rates on the equity securities included in the underlying index; |
| o | interest and yield rates in the market generally; |
| o | the exchange rates and the volatility of the exchange rates between the U.S. dollar and each of the currencies in which the equity
securities included in the underlying index trade and the correlation among those rates and the levels of the underlying index; 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 Trigger PLUS, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the Trigger PLUS, if any, at which JPMS may be willing to purchase your
Trigger PLUS in the secondary market.
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Value of the MSCI Emerging Markets Index due August 4, 2027
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Risks Relating to the Underlying
Index
| § | Investing in the Trigger PLUS is not equivalent to investing in the underlying
index. Investing in the Trigger PLUS is not equivalent to investing in the underlying index or its
component stocks. Investors in the Trigger PLUS will not have voting rights or rights to receive dividends or other distributions or any
other rights with respect to the stocks that constitute the underlying index. |
| § | Adjustments to the underlying index could adversely affect the value of
the Trigger PLUS. The underlying index publisher may discontinue or suspend calculation or publication
of the underlying index at any time. In these circumstances, the calculation agent will have the sole discretion to substitute a successor
index that is comparable to the discontinued underlying index and is not precluded from considering indices that are calculated and published
by the calculation agent or any of its affiliates. |
| § | The Trigger PLUS are subject to
risks associated with securities issued by non-U.S. companies. The equity securities included in the underlying index have been issued
by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity securities involve risks associated with
the securities markets in the home countries of the issuers of those non-U.S. equity securities, including risks of volatility in those
markets, governmental intervention in those markets and cross shareholdings in companies in certain countries. Also, there is generally
less publicly available information about companies in some of these jurisdictions than there is about U.S. companies that are subject
to the reporting requirements of the SEC, and generally non-U.S. companies are subject to accounting, auditing and financial reporting
standards and requirements and securities trading rules different from those applicable to U.S. reporting companies. |
| § | The Trigger PLUS are subject to
risks associated with emerging markets. The equity securities included in the underlying index have been issued by non-U.S. companies
located in emerging markets countries. Countries with emerging markets may have relatively unstable governments, may present the risks
of nationalization of businesses, restrictions on foreign ownership and prohibitions on the repatriation of assets, and may have less
protection of property rights than more developed countries. The economies of countries with emerging markets may be based on only a few
industries, may be highly vulnerable to changes in local or global trade conditions, and may suffer from extreme and volatile debt burdens
or inflation rates. Local securities markets may trade a small number of securities and may be unable to respond effectively to increases
in trading volume, potentially making prompt liquidation of holdings difficult or impossible at times. |
| § | The Trigger PLUS are subject to
currency exchange risk. Because the prices of the equity securities included in the underlying index are converted into U.S. dollars
for the purposes of calculating the values of the underlying index, holders of the Trigger PLUS will be exposed to currency exchange rate
risk with respect to the currencies in which securities included in the underlying index are traded. Your net exposure will depend on
the extent to which the currencies in which securities included in the underlying index are traded strengthen or weaken against the U.S.
dollar. If the U.S. dollar strengthens against the currencies in which securities included in the underlying index are traded, the value
of the underlying index will be adversely affected and the amount we pay you at maturity may be reduced. Of particular importance to potential
currency exchange risk are: |
| o | existing and expected rates of inflation; |
| o | existing and expected interest rate levels; |
| o | the balance of payments in the countries issuing those currencies and the United
States and between each country and its major trading partners; |
| o | political, civil or military unrest in the countries issuing those currencies
and the United States; and |
| o | the extent of government surpluses or deficits in the countries issuing those
currencies and the United States. |
All of these factors are
in turn sensitive to the monetary, fiscal and trade policies pursued by the governments of the countries issuing those currencies and
the United States and other countries important to international trade and finance.
| § | Recent executive orders may adversely affect the performance of the underlying
index. Pursuant to recent executive orders, U.S. persons are prohibited from engaging in transactions in, or possession of,
publicly traded securities of certain companies that are determined to be linked to the People’s Republic of China military, intelligence
and security apparatus, or securities that are derivative of, or are designed to provide investment exposure to, those securities.
The sponsor of the underlying index has recently removed the equity securities of a small number of companies from the underlying index
in response to these executive orders. If the issuer of |
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Value of the MSCI Emerging Markets Index due August 4, 2027
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
any of the equity securities included in the underlying index
is in the future designated as such a prohibited company, the value of that company may be adversely affected, perhaps significantly,
which would adversely affect the performance of the underlying index. In addition,
under these circumstances, the sponsor of the underlying index is expected to remove the equity securities of that company from the underlying
index. Any changes to the composition of the underlying index in response to these executive orders could adversely affect the performance
of the underlying index.
| § | Governmental legislative and regulatory actions, including sanctions, could adversely affect your investment in the Trigger PLUS.
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 Trigger PLUS or the securities included in the underlying index, or engaging
in transactions in them, and any such action could adversely affect the value of the Trigger PLUS or the underlying index. These
legislative and regulatory actions could result in restrictions on the Trigger PLUS. You may lose a significant portion or all of
your initial investment in the Trigger PLUS if you are forced to divest the Trigger PLUS due to the government mandates, especially if
such divestment must be made at a time when the value of the Trigger PLUS has declined. |
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Value of the MSCI Emerging Markets Index due August 4, 2027
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
MSCI Emerging Markets Index Overview
The MSCI Emerging Markets Index is a free-float adjusted market
capitalization index that is designed to measure equity market performance of global emerging markets. For additional information about
the MSCI Emerging Markets Index, see the information set forth under “Equity Index Descriptions — The MSCI Indices”
in the accompanying underlying supplement.
Information as of market close on July 31, 2024:
Bloomberg Ticker Symbol: |
MXEF |
52 Week High (on 7/11/2024): |
1,124.86 |
Current Closing Level: |
1,084.77 |
52 Week Low (on 10/26/2023): |
910.91 |
52 Weeks Ago (on 7/31/2023): |
1,046.91 |
|
|
The following table sets forth the published high and low closing
levels, as well as end-of-quarter closing levels, of the underlying index for each quarter in the period from January 1, 2019 through
July 31, 2024. The closing level of the underlying index on July 31, 2024 was 1,084.77. The associated graph shows the closing levels
of the underlying index for each day in the same period. We obtained the closing level information above and in the table and graph below
from the Bloomberg Professional® service (“Bloomberg”), without independent verification. The historical closing
levels of the underlying index should not be taken as an indication of future performance, and no assurance can be given as to the closing
level of the underlying index on the valuation date. The payment of dividends on the stocks that constitute the underlying index are not
reflected in its closing level and, therefore, have no effect on the calculation of the payment at maturity.
MSCI Emerging Markets Index |
High |
Low |
Period End |
2019 |
|
|
|
First Quarter |
1,070.95 |
949.57 |
1,058.13 |
Second Quarter |
1,096.39 |
984.81 |
1,054.86 |
Third Quarter |
1,064.63 |
960.81 |
1,001.00 |
Fourth Quarter |
1,118.61 |
989.20 |
1,114.66 |
2020 |
|
|
|
First Quarter |
1,146.83 |
758.20 |
848.58 |
Second Quarter |
1,014.62 |
827.26 |
995.10 |
Third Quarter |
1,121.60 |
1,001.08 |
1,082.00 |
Fourth Quarter |
1,291.26 |
1,081.71 |
1,291.26 |
2021 |
|
|
|
First Quarter |
1,444.93 |
1,288.42 |
1,316.43 |
Second Quarter |
1,390.85 |
1,292.78 |
1,374.64 |
Third Quarter |
1,368.22 |
1,220.78 |
1,253.10 |
Fourth Quarter |
1,301.13 |
1,190.08 |
1,232.01 |
2022 |
|
|
|
First Quarter |
1,267.34 |
1,026.77 |
1,141.79 |
Second Quarter |
1,161.65 |
987.82 |
1,000.67 |
Third Quarter |
1,016.83 |
873.29 |
875.79 |
Fourth Quarter |
984.26 |
842.76 |
956.38 |
2023 |
|
|
|
First Quarter |
1,052.46 |
941.35 |
990.28 |
Second Quarter |
1,030.03 |
958.53 |
989.48 |
Third Quarter |
1,046.91 |
944.08 |
952.78 |
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Value of the MSCI Emerging Markets Index due August 4, 2027
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
MSCI Emerging Markets Index |
High |
Low |
Period End |
Fourth Quarter |
1,023.74 |
910.91 |
1,023.74 |
2024 |
|
|
|
First Quarter |
1,049.07 |
958.39 |
1,043.20 |
Second Quarter |
1,101.91 |
1,004.17 |
1,086.25 |
Third Quarter (through July 31, 2024) |
1,124.86 |
1,071.60 |
1,084.77 |
MSCI Emerging Markets Index
– Daily Closing Levels*
January 2, 2019 through July
31, 2024 |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024064818/image_002.jpg) |
*The dotted line in the graph indicates the trigger level, equal to 80% of the initial index value. |
License Agreement. JPMorgan Chase & Co. or its affiliate
has entered into an agreement with MSCI Inc. providing it and certain of its affiliates or subsidiaries, including JPMorgan Financial,
with a non-exclusive license and, for a fee, with the right to use the MSCI Emerging Markets Index, which are owned and published by MSCI
Inc., in connection with certain securities, including the securities. For more information, see “Equity Index Descriptions —
The MSCI Indices — License Agreement” in the accompanying underlying supplement.
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Value of the MSCI Emerging Markets Index due August 4, 2027
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Additional Information about the Trigger PLUS
Please read this information in conjunction with the summary terms
on the front cover of this document.
Additional Provisions: |
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 valuation date is not a trading day or if a market disruption event occurs on that day so that the valuation date is postponed and falls less than three business days prior to the scheduled maturity date, the maturity date of the Trigger PLUS will be postponed to the third business day following the valuation date as postponed. |
Minimum ticketing size: |
$1,000 / 1 Trigger PLUS |
Trustee: |
Deutsche Bank Trust Company Americas (formerly Bankers Trust Company) |
Calculation agent: |
JPMS |
The estimated value of the Trigger PLUS: |
The estimated value of the Trigger PLUS 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 Trigger PLUS, valued using the internal funding rate described below, and (2) the derivative or derivatives
underlying the economic terms of the Trigger PLUS. The estimated value of the Trigger PLUS does not represent a minimum price at which
JPMS would be willing to buy your Trigger PLUS in any secondary market (if any exists) at any time. The internal funding rate used in
the determination of the estimated value of the Trigger PLUS 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 Trigger PLUS as well as the higher issuance, operational and ongoing liability
management costs of the Trigger PLUS 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 Trigger PLUS. The use of an internal funding rate and any potential
changes to that rate may have an adverse effect on the terms of the Trigger PLUS and any secondary market prices of the Trigger PLUS.
For additional information, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Trigger
PLUS — The estimated value of the Trigger PLUS 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 Trigger PLUS 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 Trigger PLUS 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 Trigger PLUS — The estimated value of the Trigger PLUS does not
represent future values of the Trigger PLUS and may differ from others’ estimates” in this document.
The estimated value of the Trigger PLUS is lower than the original
issue price of the Trigger PLUS because costs associated with selling, structuring and hedging the Trigger PLUS are included in the original
issue price of the Trigger PLUS. 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 Trigger PLUS and the estimated cost of hedging our obligations under the Trigger PLUS. 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 Trigger PLUS 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 Trigger PLUS — The estimated value of the
Trigger PLUS is lower than the original issue price (price to public) of the Trigger PLUS” in this document. |
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Value of the MSCI Emerging Markets Index due August 4, 2027
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Secondary market prices of the Trigger PLUS: |
For information about factors that will impact any secondary market prices of the Trigger PLUS, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Trigger PLUS — Secondary market prices of the Trigger PLUS 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 Trigger PLUS will be partially paid back to you in connection with any repurchases of your Trigger PLUS 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 Trigger PLUS. The length of any such initial period reflects the structure of the Trigger PLUS, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the Trigger PLUS 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 Trigger PLUS — The value of the Trigger PLUS as published by JPMS (and which may be reflected on customer account statements) may be higher than the then-current estimated value of the Trigger PLUS 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. The following discussion, when read
in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding the
material U.S. federal income tax consequences of owning and disposing of the Trigger PLUS.
Based on current market conditions, in the opinion
of our special tax counsel, it is reasonable to treat your Trigger PLUS as “open transactions” that are not debt instruments
for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences
to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement.
Assuming this treatment is respected, the gain or loss on your Trigger PLUS should be treated as long-term capital gain or loss if you
hold your Trigger PLUS for more than a year, whether or not you are an initial purchaser of Trigger PLUS at the issue price. However,
the IRS or a court may not respect this treatment of the Trigger PLUS, in which case the timing and character of any income or loss on
the Trigger PLUS could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting
comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice
focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment. It
also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments; the
relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income
(including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are
or should be subject to the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term
capital gain as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate transition
rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially
and adversely affect the tax consequences of an investment in the Trigger PLUS, possibly with retroactive effect. You should consult
your tax adviser regarding the U.S. federal income tax consequences of an investment in the Trigger PLUS, including possible alternative
treatments and the issues presented by this notice. |
Supplemental use of proceeds and hedging: |
The Trigger PLUS are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the Trigger PLUS. See “How the Trigger PLUS Work” in
this document for an illustration of the risk-return profile of the Trigger PLUS and “MSCI Emerging Markets Index Overview”
in this document for a description of the market exposure provided by the Trigger PLUS.
The original issue price of the Trigger PLUS is equal to the
estimated value of the Trigger PLUS 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 Trigger PLUS, plus the estimated cost of hedging our obligations under the Trigger PLUS. |
Benefit plan investor considerations: |
See “Benefit Plan Investor Considerations” in the accompanying product supplement. |
Supplemental notice to investors: |
The Trigger PLUS may cause you to become subject to short position disclosure requirements if they confer a financial advantage on you in the event of a decrease in the price or value of any relevant shares under Regulation (EU) No. 236/2012 (the “Short Selling Regulation”). This will occur if the short position represented by the short exposure provided by the Trigger PLUS, when combined with other long and short positions you may hold, causes you to cross a relevant net short position disclosure threshold under the Short Selling Regulation. It is your responsibility to monitor your net short positions and to comply with the obligations applicable to you under the Short Selling Regulation. You should consult with your own legal and regulatory advisers regarding the Trigger PLUS should you have any concerns about these requirements. |
JPMorgan Chase Financial Company LLC
Dual Directional Trigger PLUS Based on the Value of the MSCI Emerging Markets Index due August 4, 2027
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Supplemental plan of distribution: |
Subject to regulatory constraints, JPMS intends to use its
reasonable efforts to offer to purchase the Trigger PLUS 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 Trigger PLUS.
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 Trigger PLUS 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 Trigger PLUS and the guarantee: |
In the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the Trigger PLUS 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 Trigger PLUS (the “master note”), and such Trigger PLUS have been delivered against payment as contemplated herein, such Trigger PLUS 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 Trigger PLUS are a
part, the accompanying prospectus addendum and the more detailed information contained in the accompanying product supplement and the
accompanying underlying supplement.
This document, together with the documents listed below, contains
the terms of the Trigger PLUS 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 Trigger PLUS 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 Trigger PLUS.
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
• Underlying supplement
no. 1-I dated April 13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000121390023029543/ea151873_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
Dual Directional Trigger PLUS Based on the Value of the MSCI Emerging Markets Index due August 4, 2027
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
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.
“Performance Leveraged Upside SecuritiesSM”
and “PLUSSM” are service marks of Morgan Stanley. |
S-3
424B2
EX-FILING FEES
333-270004
0000019617
JPMORGAN CHASE & CO
0000019617
2024-08-02
2024-08-02
iso4217:USD
xbrli:pure
xbrli:shares
Calculation of Filing Fee Tables
|
S-3
|
JPMORGAN CHASE & CO
|
The maximum aggregate offering price of the securities to which the prospectus relates is $2,575,000. The prospectus is a final prospectus for the related offering.
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- DefinitionA unique 10-digit SEC-issued value to identify entities that have filed disclosures with the SEC. It is commonly abbreviated as CIK.
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