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 U.S. and International Equities
Contingent Income Callable Securities
due August 5, 2027
All Payments on the Securities Based on the Worst Performing
of the Nikkei 225 Index, the S&P 500® Index and the Russell 2000® Index
Principal at Risk Securities
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
Contingent Income 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
equal to 3.50% of the stated principal amount with respect to each quarterly monitoring period during which the closing level of each
of the Nikkei 225 Index, the S&P 500® Index and the Russell 2000® Index on each day is greater
than or equal to 80% of its initial index value, which we refer to as a coupon barrier level. However, if, on any day
during a quarterly monitoring period, the closing level of any underlying index is less than its coupon barrier level, you will
not receive any contingent quarterly payment for the related quarterly monitoring period. In addition, we will have the right
to redeem the securities at our discretion on any contingent payment date (other than the final contingent payment date) for an early
redemption payment equal to the stated principal amount plus any contingent quarterly payment otherwise due with respect to the
related quarterly monitoring period. Any early redemption of the securities will be at our discretion and will not automatically occur
based on the performance of the underlying indices. If the securities have not been redeemed prior to maturity and the final index value
of each underlying index is greater than or equal to 75% of its initial index value, which we refer to as a downside threshold
level, the payment at maturity due on the securities will be the stated principal amount and, if the closing level of each underlying
index on each day during the final quarterly monitoring period is greater than or equal to its coupon barrier level, the contingent quarterly
payment with respect to the final quarterly monitoring period. If, however, the securities have not been redeemed prior to maturity
and the final index value of any underlying index is less than its downside threshold level, you will be exposed to the decline
in the worst performing of the underlying indices, as compared to its initial index value, on a 1-to-1 basis and will receive a cash payment
at maturity that is less than 75% 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. Because all payments on the securities are based on the worst performing of the underlying indices,
(i) a decline of any underlying index below its coupon barrier level will result in few or no contingent quarterly payments and (ii) a
decline of any underlying index below its downside threshold on the final determination date will result in a significant loss of your
initial investment, even if the other underlying indices appreciate or have not declined as much. Investors will not participate
in any appreciation of any underlying index. 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.
Issuer: |
JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co. |
Guarantor: |
JPMorgan Chase & Co. |
Underlying indices: |
Nikkei 225 Index (Bloomberg Ticker: NKY Index) (the “NKY Index”), S&P 500® Index (Bloomberg Ticker: SPX Index) (the “SPX Index”) and Russell 2000® Index (Bloomberg Ticker: RTY Index) (the “RTY Index”) (each an “underlying index”) |
Aggregate principal amount: |
$15,736,000 |
Optional early redemption: |
We, at our discretion, may redeem the securities early, in whole but not in part, on any of the contingent payment dates (other than the final contingent payment date) for the early redemption payment. If we intend to redeem your securities early, we will deliver notice to The Depository Trust Company, or DTC, at least three business days before the applicable contingent payment date. Any early redemption of the securities will be at our discretion and will not automatically occur based on the performance of the underlying indices. No further payments will be made on the securities once they have been redeemed. |
Early redemption payment: |
The early redemption payment will be an amount equal to (i) the stated principal amount plus (ii) any contingent quarterly payment otherwise due with respect to the related quarterly monitoring period. |
Contingent quarterly payment: |
· If the closing level of each underlying index is greater than or equal to its coupon barrier level
on each day during a quarterly monitoring period, we will pay a contingent quarterly payment of $35.00 (3.50% of the stated principal
amount) per security on the related contingent payment date.
· If the closing level of any underlying index is less than its coupon barrier level on any
day during a quarterly monitoring period, no contingent quarterly payment will be payable with respect to that quarterly monitoring
period. It is possible that one or more of the underlying indices will be below their respective coupon barrier levels on at least
one day during most or all of the quarterly monitoring periods so that you will receive few or no contingent quarterly payments. |
Payment at maturity: |
· If
the final index value of each underlying index is greater than or equal to its downside threshold level: |
(i) the stated principal amount plus, (ii) if the closing level of each underlying index on each day during the final quarterly monitoring period is greater than or equal to its coupon barrier level, the contingent quarterly payment with respect to the final quarterly monitoring period. |
|
· If
the final index value of any underlying index is less than its downside threshold level: |
(i) the stated principal amount times (ii) the index performance factor of the worst performing underlying index. This cash payment will be less than 75% of the stated principal amount of the securities and could be zero. |
Coupon barrier level: |
With respect to the NKY Index: 31,281.456, which is equal to 80%
of its initial index value
With respect to the SPX Index: 4,417.84, which is equal to 80% of
its initial index value
With respect to the RTY Index: 1,803.5872, which is equal to 80%
of its initial index value |
Downside threshold level: |
With respect to the NKY Index: 29,326.365, which is equal to 75%
of its initial index value
With respect to the SPX Index: 4,141.725, which is equal to 75% of
its initial index value
With respect to the RTY Index: 1,690.863, which is equal to 75% of
its initial index value |
Stated principal amount: |
$1,000 per security |
Issue price: |
$1,000 per security (see “Commissions and issue price” below) |
Pricing date: |
July 31, 2024 |
Original issue date (settlement date): |
August 5, 2024 |
Maturity date*: |
August 5, 2027 |
|
Terms continued on the following page |
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 |
$15.00 (2) |
$980.714 |
|
|
|
$4.286 (3) |
|
Total |
|
$15,736,000.00 |
$303,484.496 |
$15,432,515.504 |
| (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 $15.00 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 $4.286 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 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 securities on the pricing date was $953.80
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 10 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, underlying 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, underlying supplement, prospectus supplement and prospectus, 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
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
Contingent Income Callable Securities due August 5, 2027
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the Russell 2000® Index
Principal at Risk Securities
Terms continued from previous page: |
Quarterly monitoring period: |
With respect to each contingent payment date, the period from but excluding the second immediately preceding determination date (or, in the case of the first determination date, from but excluding the pricing date) to and including the immediately preceding determination date |
Initial index value: |
With respect to the NKY Index: 39,101.82, which is its closing level on the pricing date
With respect to the SPX Index: 5,522.30, which is its closing level on the pricing date
With respect to the RTY Index: 2,254.484, which is its closing level on the pricing date |
Final index value: |
With respect to each underlying index, its closing level on the final determination date |
Worst performing underlying index: |
The underlying index with the worst index performance factor |
Index performance factor: |
With respect to each underlying index, the final index value divided by the initial index value |
Determination dates*: |
October 31, 2024, January 31, 2025, April 30, 2025, July 31, 2025, October 31, 2025, February 2, 2026, April 30, 2026, July 31, 2026, November 2, 2026, February 1, 2027, April 30, 2027 and August 2, 2027 |
Contingent payment dates*: |
November 5, 2024, February 5, 2025, May 5, 2025, August 5, 2025, November 5, 2025, February 5, 2026, May 5, 2026, August 5, 2026, November 5, 2026, February 4, 2027, May 5, 2027 and the maturity date |
CUSIP/ISIN: |
48135PUW9 / US48135PUW93 |
Listing: |
The securities will not be listed on any securities exchange. |
* Subject to postponement in the event of a market disruption event
and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple Underyings”
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
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due August 5, 2027
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the Russell 2000® Index
Principal at Risk Securities
Investment Summary
The Contingent Income Callable Securities due
August 5, 2027 Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the Russell 2000®
Index, 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, which is an amount equal to $35.00 (3.50% of the stated principal amount) per security,
with respect to each quarterly monitoring period during which the closing level of each underlying index on each day is greater than or
equal to 80% of its initial index value, which we refer to as a coupon barrier level. The contingent quarterly payment, if any, will be
payable quarterly on the contingent payment date immediately following the determination date on which the related quarterly monitoring
period ends. However, if the closing level of any underlying index is less than its coupon barrier level on any day during a quarterly
monitoring period, investors will receive no contingent quarterly payment for that quarterly monitoring period. It is possible that the
closing level of one or more underlying indices could be below their respective coupon barrier levels on at least one day during most
or all of the quarterly monitoring periods 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 all of the underlying indices were to be at or above their respective coupon barrier levels on each day during some quarterly
monitoring periods, one or more underlying indices may fluctuate below their respective coupon barrier level(s) on any day during others.
In addition, we will have the right to redeem
the securities at our discretion on any contingent payment date (other than the final contingent payment date) for the early redemption
payment equal to the stated principal amount plus any contingent quarterly payment otherwise due with respect to the related quarterly
monitoring period. Any early redemption of the securities will be at our discretion and will not automatically occur based on the performance
of the underlying indices. If the securities have not previously been redeemed and the final index value of each underlying index is greater
than or equal to 75% of its initial index value, which we refer to as a downside threshold level, the payment at maturity will be the
sum of the stated principal amount and, if the closing level of each underlying index on each day during the final quarterly monitoring
period is greater than or equal to its coupon barrier level, the contingent quarterly payment with respect to the final quarterly monitoring
period. However, if the securities have not previously been redeemed and the final index value of any underlying index is less than its
downside threshold level, investors will be exposed to the decline in the worst performing underlying index, as compared to its initial
index value, on a 1-to-1 basis. Under these circumstances, the payment at maturity will be (i) the stated principal amount times (ii)
the index performance factor of the worst performing underlying index, which will be less than 75% 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 indices.
Supplemental Terms of the Securities
For purposes of the accompanying product supplement, each underlying
index is an “Index.”
Any values of the underlying indices, 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 Callable Securities due August 5, 2027
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the Russell 2000® Index
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 equal to 3.50% of the stated principal amount with
respect to each quarterly monitoring period during which the closing level of each underlying index on each day is greater than or
equal to 80% of its initial index value, which we refer to as a coupon barrier level. The securities may be redeemed prior to maturity
for the stated principal amount per security plus any contingent quarterly payment otherwise due with respect to the related quarterly
monitoring period, and the payment at maturity will vary depending on the closing level of each underlying index on each day during the
final quarterly monitoring period including its final index value, as follows:
Scenario 1 |
On any contingent payment date (other than the
final contingent payment date), we elect to redeem the securities.
§
The securities will be redeemed for (i) the stated principal amount plus (ii) any contingent quarterly payment otherwise
due with respect to the related quarterly monitoring period.
§
Investors will not participate in any appreciation of any underlying index from its initial index value.
Any early redemption of the securities will
be at our discretion and will not automatically occur based on the performance of the underlying indices. It is more likely that we will
redeem the securities when it would otherwise be advantageous for you to continue to hold the securities. As such, we will be more likely
to redeem the securities when the closing level of each underlying index is at or above its coupon barrier level, which would otherwise
potentially result in an amount of interest payable on the securities that is greater than instruments issued by us of a comparable maturity
and credit rating trading in the market. In other words, we will be more likely to redeem the securities when the securities are paying
above-market interest.
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. Under these
circumstances, 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. On the other hand, we will be less likely to exercise our redemption right when the closing level of any underlying index
is below its coupon barrier level and downside threshold level, such that you will receive no contingent quarterly payments and/or that
you might suffer a significant loss on your investment in the securities at maturity. Therefore, if we do not exercise our redemption
right, it is more likely that you will receive few or no contingent quarterly payments and that you will suffer a significant loss on
your investment at maturity. |
Scenario 2 |
The securities are not redeemed prior to maturity,
and the final index value of each underlying index is greater than or equal to its downside threshold level.
§
The payment due at maturity will be (i) the stated principal amount plus, (ii) if the closing level of each underlying index
on each day during the final quarterly monitoring period is greater than or equal to its coupon barrier level, a contingent quarterly
payment with respect to the final quarterly monitoring period.
§
Investors will not participate in any appreciation of any underlying index from its initial index value. |
Scenario 3 |
The securities are not redeemed prior to maturity,
and the final index value of any underlying index is less than its downside threshold level.
§
The payment due at maturity will be (i) the stated principal amount times (ii) the index performance factor of the worst
performing underlying index.
Investors will lose some, and may lose all,
of their principal in this scenario. |
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due August 5, 2027
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the Russell 2000® Index
Principal at Risk Securities
How the Securities Work
The following diagrams illustrate the potential outcomes for the securities
depending on (1) the closing levels of the underlying indices, (2) the final index values of the underlying indices and (3) whether we
exercise our option to redeem the securities.
Diagram #1: Quarterly Monitoring Periods (Other
Than the Final Quarterly Monitoring Period)
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024064820/image_001.jpg)
Diagram #2: Payment at Maturity
if No Early Redemption Occurs
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024064820/image_002.jpg)
For more information about the payment upon an early redemption
or at maturity in different hypothetical scenarios, see “Hypothetical Examples” starting on page 6.
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due August 5, 2027
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the Russell 2000® Index
Principal at Risk Securities
Hypothetical Examples
The following hypothetical examples illustrate how to determine whether
a contingent quarterly payment is payable with respect to a quarterly monitoring period, how to calculate the early redemption payment
if we elect to redeem the securities early and how to calculate the payment at maturity if the securities have not been redeemed early.
The following examples are for illustrative purposes only. Whether you receive a contingent quarterly payment will be determined by reference
to the closing level of each underlying index on each day during a quarterly monitoring period and the amount you will receive at maturity,
if any, will be determined by reference to the final index value of each underlying index and the closing level of each underlying index
on each day during the final quarterly monitoring period. Any early redemption of the securities will be at our discretion and will not
automatically occur based on the performance of the underlying indices. The hypothetical initial index value of each underlying index
of 100.00 has been chosen for illustrative purposes only and does not represent the actual initial index value of any underlying index.
The actual initial index value of each underlying index is the closing level of that underlying index on the pricing date and is specified
on the cover of this pricing supplement. For historical data regarding the actual closing levels of each underlying index, please see
the historical information set forth under “Nikkei 225 Index Overview,” “S&P 500® Index Overview”
and “Russell 2000® Index Overview,” as applicable, in this pricing supplement. The actual coupon barrier level
and downside threshold level of each underlying index are specified on the cover of this pricing supplement. Any payment on the securities
is subject to our and JPMorgan Chase & Co.’s credit risks. The numbers in the hypothetical examples below may have
been rounded for the ease of analysis.
The examples below are based on the following assumed terms:
Contingent quarterly payment: |
A contingent quarterly payment of $35.00 per quarter per security will be paid on the securities on each contingent payment date but only if the closing level of each underlying index is at or above its coupon barrier level on each day during the related quarterly monitoring period. |
Early redemption: |
We, at our discretion, may redeem the securities early, in whole but not in part, on any of the contingent payment dates (other than the final contingent payment date) for the early redemption payment equal to the stated principal amount plus any contingent quarterly payment otherwise due with respect to the related quarterly monitoring period. |
Payment at maturity (if the securities have not been redeemed early): |
If the final index value of each underlying index is greater than
or equal to its downside threshold level: the stated principal amount and, if the closing level of each underlying index on each day
of the final quarterly monitoring period is greater than or equal to its coupon barrier level, the contingent quarterly payment with respect
to the final quarterly monitoring period.
If the final index value of any underlying index is less than its downside
threshold level: (i) the stated principal amount times (ii) the index performance factor of the worst performing underlying index |
Stated principal amount: |
$1,000 per security |
Hypothetical initial index value: |
With respect to the NKY Index: 100.00
With respect to the SPX Index: 100.00
With respect to the RTY Index: 100.00 |
Hypothetical coupon barrier level: |
With respect to the NKY Index: 80.00, which is 80% of the hypothetical initial
index value for such index
With respect to the SPX Index: 80.00, which is 80% of the hypothetical initial
index value for such index
With respect to the RTY Index: 80.00, which is 80% of the hypothetical initial
index value for such index |
Hypothetical downside threshold level: |
With respect to the NKY Index: 75.00, which is 75% of the hypothetical initial
index value for such index
With respect to the SPX Index: 75.00, which is 75% of the hypothetical initial
index value for such index
With respect to the RTY Index: 75.00, which is 75% of the hypothetical initial
index value for such index |
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due August 5, 2027
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the Russell 2000® Index
Principal at Risk Securities
How to determine whether a contingent quarterly payment
is payable with respect to a quarterly monitoring period:
|
Lowest closing level during quarterly monitoring period |
Contingent quarterly
payment |
|
NKY Index |
SPX Index |
RTY Index |
|
Hypothetical Quarterly
Monitoring Period 1 |
80
(at or above coupon
barrier level) |
85
(at or above coupon
barrier level) |
90
(at or above coupon
barrier level) |
$35.00 |
Hypothetical Quarterly
Monitoring Period 2 |
50
(below coupon barrier
level) |
80
(at or above coupon
barrier level) |
55
(below coupon barrier
level) |
$0 |
Hypothetical Quarterly
Monitoring Period 3 |
80
(at or above coupon
barrier level) |
45
(below coupon barrier
level) |
50
(below coupon barrier
level) |
$0 |
Hypothetical Quarterly
Monitoring Period 4 |
50
(below coupon barrier
level) |
40
(below coupon barrier
level) |
30
(below coupon barrier
level) |
$0 |
During hypothetical quarterly monitoring period 1, each underlying index
closes at or above its coupon barrier level on each day. Therefore, a contingent quarterly payment of $35.00 is payable on the relevant
contingent payment date.
During each of the hypothetical quarterly monitoring periods 2 and
3, one underlying index closes at or above its coupon barrier level on each day but the other underlying indices close below their respective
coupon barrier levels on at least one day. Therefore, no contingent quarterly payment is payable on the relevant contingent payment date.
During hypothetical quarterly monitoring period 4, each underlying
index closes below its coupon barrier level on at least one day and, accordingly, no contingent quarterly payment is payable on the relevant
contingent payment date.
You will not receive a contingent quarterly payment on any contingent
payment date if the closing level of any underlying index is below its coupon barrier level on any day during the related quarterly monitoring
period.
How to calculate the early redemption payment if we
elect to redeem the securities early:
|
Lowest closing level during quarterly monitoring period |
Early redemption payment |
|
NKY Index |
SPX Index |
RTY Index |
|
Example 1: |
45
(below coupon
barrier level) |
90
(at or above coupon
barrier level) |
50
(below coupon
barrier level) |
$1,000 (the stated principal
amount) |
Example 2: |
80
(at or above
coupon barrier
level) |
85
(at or above coupon
barrier level) |
90
(at or above coupon
barrier level) |
$1,035.00 (the stated
principal amount plus the
contingent quarterly payment
with respect to the related
quarterly monitoring period) |
In example 1, we elect to redeem the securities early on a contingent
payment date (other than the final contingent payment date). During the related quarterly monitoring period, one underlying index closes
at or above its coupon barrier level on each day but the other underlying indices close below their respective coupon barrier levels on
at least one day. Therefore, you receive an early redemption payment equal to the stated principal amount of the securities. No further
payments will be made on the securities once they have been redeemed.
In example 2, we elect to redeem the securities early on a contingent
payment date (other than the final contingent payment date). During the related quarterly monitoring period, each underlying index closes
at or above its coupon barrier level on each
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due August 5, 2027
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the Russell 2000® Index
Principal at Risk Securities
day. Therefore, you receive an early redemption payment equal to the
stated principal amount plus the contingent quarterly payment with respect to the related quarterly monitoring period. No further
payments will be made on the securities once they have been redeemed.
How to calculate the payment at maturity (if the securities
have not been redeemed early):
|
Lowest closing level during final quarterly
monitoring period |
Final index value |
Payment at
maturity |
|
NKY Index |
SPX Index |
RTY Index |
NKY Index |
SPX Index |
RTY Index |
|
Example 1: |
90
(at or above
coupon
barrier level) |
80
(at or above
coupon
barrier level) |
80
(at or above
coupon
barrier level) |
100
(at or above
downside
threshold
level) |
90
(at or above
downside
threshold
level) |
80
(at or above
downside
threshold
level) |
$1,035.00 (the stated
principal amount plus
the contingent
quarterly payment
with respect to the
final quarterly
monitoring period) |
Example 2: |
40
(below
coupon
barrier level) |
55
(below
coupon
barrier level) |
50
(below
coupon
barrier level) |
80
(at or above
downside
threshold
level) |
90
(at or above
downside
threshold
level) |
85
(at or above
downside
threshold
level) |
$1,000 (the stated
principal amount) |
Example 3: |
80
(at or above
coupon
barrier level) |
35
(below
coupon
barrier level) |
40
(below
coupon
barrier level) |
110
(at or above
downside
threshold
level) |
50
(below
downside
threshold
level) |
55
(below
downside
threshold
level) |
$1,000 × index
performance factor of
the
worst performing
underlying index =
$1,000 × (50 / 100) =
$500.00 |
Example 4: |
30
(below
coupon
barrier level) |
50
(below
coupon
barrier level) |
40
(below
coupon
barrier level) |
40
(below
downside
threshold
level) |
55
(below
downside
threshold
level) |
50
(below
downside
threshold
level) |
$1,000 × (40 / 100) =
$400.00 |
Example 5: |
40
(below
coupon
barrier level) |
20
(below
coupon
barrier level) |
30
(below
coupon
barrier level) |
50
(below
downside
threshold
level) |
40
(below
downside
threshold
level) |
30
(below
downside
threshold
level) |
$1,000 × (30 / 100) =
$300.00 |
In example 1, the final index value of each underlying index is at
or above its downside threshold level and each underlying index closes at or above its coupon barrier level on each day during the final
quarterly monitoring period. Therefore, you receive at maturity the stated principal amount of the securities and the contingent quarterly
payment with respect to the final quarterly monitoring period.
In example 2, the final index value of each underlying index is at
or above its downside threshold level but at least one underlying index closes below its coupon barrier level on at least one day during
the final quarterly monitoring period. Therefore, you receive at maturity the stated principal amount of the securities but no contingent
quarterly payment is payable with respect to the final quarterly monitoring period.
In example 3, the final index value of one underlying index is at or
above its downside threshold level but the final index values of the other underlying indices are below their respective downside threshold
levels. Therefore, you are exposed to the downside performance of the worst performing underlying index at maturity and receive a cash
payment at maturity equal to the stated principal amount times the index performance factor of the worst performing underlying index.
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due August 5, 2027
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the Russell 2000® Index
Principal at Risk Securities
Similarly, in examples 4 and 5, the final index value of each underlying
index is below its downside threshold level, and you receive a cash payment at maturity equal to the stated principal amount times
the index performance factor of the worst performing underlying index.
If the final index value of ANY underlying index is below its downside
threshold level, you will be exposed to the downside performance of the worst performing underlying index at maturity, and your payment
at maturity will be less than 75% of the stated principal amount per security and could be zero.
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 Callable Securities due August 5, 2027
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the Russell 2000® Index
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
principal amount at maturity. Instead, if the securities have not been redeemed prior to maturity and if the final index value of any
of the underlying indices is less than its downside threshold level, you will be exposed to the decline in the closing level of the worst
performing underlying index, as compared to its initial index value, on a 1-to-1 basis. Under these circumstances, you will receive for
each security that you hold at maturity a cash payment equal to the stated principal amount times the index performance factor
of the worst performing underlying index. In this case, your payment at maturity will be less than 75% of the stated principal amount
and could be zero. |
| § | You will not receive any contingent quarterly payment for any quarterly monitoring period if the closing level of any underlying
index is less than its coupon barrier level on any day during that quarterly monitoring period. 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 will be made with respect to a quarterly monitoring period only if the closing level of each underlying index on each
day during the quarterly monitoring period is greater than or equal to its coupon barrier level. If the closing level of any underlying
index is below its coupon barrier level on any day during a quarterly monitoring period, you will not receive a contingent quarterly payment
for that quarterly monitoring period. |
It
is possible that the closing level of one or more underlying indices could
be below their respective coupon barrier levels on
at least one day during most or all of the quarterly monitoring periods 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 on the closing levels of the underlying indices during the quarterly monitoring periods.
Whether the contingent quarterly payment will be made with respect to a quarterly monitoring period will be based on the closing
level of each underlying index on each day during that quarterly monitoring period. As a result, you will not know whether you will receive
the contingent quarterly payment until the end of the related quarterly monitoring period. Moreover, because the contingent quarterly
payment is based on the closing level of each underlying index on each day during that quarterly monitoring period, if the closing level
of any of the underlying indices on any day during that quarterly monitoring period is below its coupon barrier level, you will not receive
any contingent quarterly payment with respect to that quarterly monitoring period, even if the closing level of that underlying index
was higher on other days during that quarterly monitoring period. |
| § | You are exposed to the price risk of all three underlying indices, with respect to all the contingent quarterly payments, if any,
and the payment at maturity, if any. Your return on the securities is not linked to a basket consisting of the underlying indices.
Rather, it will be contingent upon the independent performance of each underlying index. Unlike an instrument with a return linked to
a basket of underlying assets in which risk is mitigated and diversified among all the components of the basket, you will be exposed to
the risks related to each underlying index. The performance of the underlying indices may not be correlated. Poor performance by any
underlying index over the term of the securities may negatively affect your return and will not be offset or mitigated by any positive
performance by the other underlying indices. Accordingly, your investment is subject to the risk of decline in the closing level of each
underlying index. |
To receive any contingent quarterly
payments, each underlying index must close at or above its coupon barrier level on
each day throughout a quarterly monitoring period. In addition, if any underlying index has declined to below its downside threshold
level as of the final determination date, you will be fully exposed to the decline in the worst performing underlying index, as
compared to its initial index value, on a 1-to-1 basis, even if the other underlying indices have appreciated. Under this scenario, the
value of any such payment will be less than 75% of the stated principal amount and could be zero.
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due August 5, 2027
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the Russell 2000® Index
Principal at Risk Securities
| § | Because the securities are linked to the performance of the worst performing underlying index,
you are exposed to greater risks of no contingent quarterly payments and sustaining a significant loss on your investment than if the
securities were linked to just one underlying index. The risk that you will not receive any contingent quarterly payments, or that
you will suffer a significant loss on your investment is greater if you invest in the securities than if you invest in substantially similar
securities that are linked to the performance of just one underlying index. With three underlying
indices, it is more likely that any one underlying index will close below its coupon barrier level
on any day during a quarterly monitoring period or below its downside threshold level on
the final determination date than if the securities were linked to only one underlying index. In addition, you will not benefit from the
performance of any underlying index other than the worst performing underlying index. Therefore
it is more likely that you will not receive any contingent quarterly payments and that you will suffer a significant loss on your investment. |
| § | 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., 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 any underlying index.
Investors will not participate in any appreciation of any underlying index from its initial index value,
and the return on the securities will be limited to the contingent quarterly payment that is paid with respect to each quarterly monitoring
period during which the closing level of each underlying index on each day is greater than or equal to its coupon barrier 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 optional early redemption feature of the securities. Any early redemption
of the securities will be at our discretion and will not automatically occur based on the performance of the underlying indices. It is
more likely that we will redeem the securities when it would otherwise be advantageous for you to continue to hold the securities. As
such, we will be more likely to redeem the securities when the closing level of each underlying index is at or above its coupon barrier
level, which would otherwise potentially result in an amount of interest payable on the securities that is greater than instruments issued
by us of a comparable maturity and credit rating trading in the market. In other words, we will be more likely to redeem the securities
when the securities are paying above-market interest. |
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. Under
these circumstances, 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. On the other hand, we will be less likely to exercise our redemption right when the closing level of any underlying index
is below its coupon barrier level and downside threshold
level, such that you will receive no contingent quarterly payments and/or that you might suffer a significant loss on your investment
in the securities at maturity. Therefore, if we do not exercise our redemption right, it is more likely that you will receive few or no
contingent quarterly payments and that you will suffer a significant loss on your investment at maturity.
| § | 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 |
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due August 5, 2027
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the Russell 2000® Index
Principal at Risk Securities
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.
| § | We may accelerate your securities 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 securities or
our ability to hedge or perform our obligations under the securities, we may, in our sole and absolute discretion, accelerate the payment
on your securities and pay you an amount determined in good faith and in a commercially reasonable manner by the calculation agent. If
the payment on your securities 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 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.
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 |
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due August 5, 2027
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the Russell 2000® Index
Principal at Risk Securities
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 index values, the coupon barrier levels and the downside threshold levels and will determine the final index values
and whether the closing level of each underlying index is below its coupon barrier level on any day during any quarterly monitoring period
or below its downside threshold level on the final determination date. 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 upon an early redemption.
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 closing
levels of the underlying indices. Any of these hedging or trading activities on or prior to the pricing date could have affected
the initial index values and, as a result, the coupon barrier levels, which are the respective levels at or above which the underlying
indices must close on each day during a quarterly monitoring period in order for you to earn a contingent quarterly payment or, if the
securities are not redeemed prior to maturity, the downside threshold levels, which are the respective levels at or above which the underlying
indices must close on the final determination date in order for you to avoid being exposed to the negative price performance of the worst
performing underlying index at maturity. Additionally, these hedging or trading activities during the term of the securities could potentially
affect the values of the underlying indices on any day during any quarterly monitoring period or on the final determination date and,
accordingly, whether investors will receive one or more contingent quarterly payments 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 those
costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is |
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due August 5, 2027
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the Russell 2000® Index
Principal at Risk Securities
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 level of each 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 each underlying index; |
| o | the time to maturity of the securities; |
| o | whether the closing level of any underlying index has been, or is expected to be, less than its coupon
barrier level on any day during any quarterly monitoring period and whether the final index value of any underlying index is expected
to be less than its downside threshold level; |
| o | whether we are expected to exercise our right to redeem the securities early; |
| o | the dividend rates on the equity securities included in the underlying indices; |
| o | the actual and expected positive or negative correlation between the underlying indices, or the actual
or expected absence of any such correlation; |
| 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 NKY Index trade and the correlation among those rates and the levels of the NKY 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 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.
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due August 5, 2027
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the Russell 2000® Index
Principal at Risk Securities
Risks
Relating to the Underlying Indices
| § | JPMorgan Chase & Co. is currently one of the companies that
make up the SPX Index. JPMorgan Chase & Co. is currently one of the companies that
make up the SPX Index. JPMorgan Chase & Co. will not have any obligation to consider your interests as a holder of the securities
in taking any corporate action that might affect the value of the underlying index or the securities. |
| § | Investing in the securities is not equivalent to investing in any underlying index. Investing in the securities is not
equivalent to investing in any underlying index or its component stocks. Investors in the securities will not have voting rights
or rights to receive dividends or other distributions or any other rights with respect to stocks that constitute any underlying index. |
| § | Adjustments to any underlying index could adversely affect the value of the securities. The underlying index publisher
of any underlying index may discontinue or suspend calculation or publication of that 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 securities are subject to risks associated with securities issued by non-U.S. companies with respect to the NKY Index.
The equity securities included in the NKY 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 securities are not directly exposed to fluctuations in foreign exchange rates with respect to the NKY Index. The value
of your securities will not be adjusted for exchange rate fluctuations between the U.S. dollar and the currencies upon which the equity
securities included in the NKY Index are based, although any currency fluctuations could affect the performance of the NKY Index. Therefore,
if the applicable currencies appreciate or depreciate relative to the U.S. dollar over the term of the securities, you will not receive
any additional payment or incur any reduction in any payment on the securities. |
| § | An investment in the securities is subject to risks associated with small
capitalization stocks with respect to the RTY Index. The stocks that constitute the RTY Index are
issued by companies with relatively small market capitalization. The stock prices of smaller companies may be more volatile than stock
prices of large capitalization companies. Small capitalization companies may be less able to withstand adverse economic, market, trade
and competitive conditions relative to larger companies. Small capitalization companies are less likely to pay dividends on their stocks,
and the presence of a dividend payment could be a factor that limits downward stock price pressure under adverse market conditions. |
| § | 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 securities included in any underlying index, or engaging
in transactions in them, and any such action could adversely affect the value of the securities or any underlying index. These legislative
and regulatory actions could result in restrictions on the securities. You may lose a significant portion or all of your initial
investment in the securities 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. |
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due August 5, 2027
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the Russell 2000® Index
Principal at Risk Securities
Nikkei 225 Index Overview
The Nikkei 225 Index is a stock index that measures the composite
price performance of selected Japanese stocks. The Nikkei 225 Index is based on 225 underlying stocks trading on the Tokyo Stock Exchange,
Inc., which we refer to as the TSE, representing a broad cross-section of Japanese industries. All of these underlying stocks are stocks
listed on the TSE Prime Market. Stocks listed on the TSE Prime Market are among the most actively traded stocks on the TSE. For additional
information about the Nikkei 225 Index, see “Equity Index Descriptions ― The Nikkei 225 Index” in the accompanying underlying
supplement.
Information as of market close on July 31, 2024:
Bloomberg Ticker Symbol: |
NKY |
52 Week High (on 7/11/2024): |
42,224.02 |
Current Closing Level: |
39,101.82 |
52 Week Low (on 10/4/2023): |
30,526.88 |
52 Weeks Ago (on 7/31/2023): |
33,172.22 |
|
|
The following table sets forth the published high and low closing levels,
as well as end-of-quarter closing levels, of the Nikkei 225 Index for each quarter in the period from January 1, 2019 through July 31,
2024. The graph following the table sets forth the daily closing levels of the Nikkei 225 Index during the same period. The closing level
of the Nikkei 225 Index on July 31, 2024 was 39,101.82. We obtained the closing level information above and in the table and graph below
from Bloomberg Professional® service (“Bloomberg”), without independent verification. The historical levels
of the Nikkei 225 Index should not be taken as an indication of future performance, and no assurance can be given as to the closing level
of the Nikkei 225 Index on any day during any quarterly monitoring period, including on the final determination date. The payment of dividends
on the stocks that constitute the Nikkei 225 Index are not reflected in its closing level and, therefore, have no effect on the calculation
of the payment at maturity.
Nikkei 225 Index |
High |
Low |
Period End |
2019 |
|
|
|
First Quarter |
21,822.04 |
19,561.96 |
21,205.81 |
Second Quarter |
22,307.58 |
20,408.54 |
21,275.92 |
Third Quarter |
22,098.84 |
20,261.04 |
21,755.84 |
Fourth Quarter |
24,066.12 |
21,341.74 |
23,656.62 |
2020 |
|
|
|
First Quarter |
24,083.51 |
16,552.83 |
18,917.01 |
Second Quarter |
23,178.10 |
17,818.72 |
22,288.14 |
Third Quarter |
23,559.30 |
21,710.00 |
23,185.12 |
Fourth Quarter |
27,568.15 |
22,977.13 |
27,444.17 |
2021 |
|
|
|
First Quarter |
30,467.75 |
27,055.94 |
29,178.80 |
Second Quarter |
30,089.25 |
27,448.01 |
28,791.53 |
Third Quarter |
30,670.10 |
27,013.25 |
29,452.66 |
Fourth Quarter |
29,808.12 |
27,528.87 |
28,791.71 |
2022 |
|
|
|
First Quarter |
29,332.16 |
24,717.53 |
27,821.43 |
Second Quarter |
28,246.53 |
25,748.72 |
26,393.04 |
Third Quarter |
29,222.77 |
25,935.62 |
25,937.21 |
Fourth Quarter |
28,383.09 |
26,093.67 |
26,094.50 |
2023 |
|
|
|
First Quarter |
28,623.15 |
25,716.86 |
28,041.48 |
Second Quarter |
33,706.08 |
27,472.63 |
33,189.04 |
Third Quarter |
33,753.33 |
31,450.76 |
31,857.62 |
Fourth Quarter |
33,681.24 |
30,526.88 |
33,464.17 |
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due August 5, 2027
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the Russell 2000® Index
Principal at Risk Securities
Nikkei 225 Index |
High |
Low |
Period End |
2024 |
|
|
|
First Quarter |
40,888.43 |
33,288.29 |
40,369.44 |
Second Quarter |
39,838.91 |
37,068.35 |
39,583.08 |
Third Quarter (through July 31, 2024) |
42,224.02 |
37,667.41 |
39,101.82 |
Nikkei 225 Index Historical Performance – Daily Closing Levels*
January 4, 2019 to July 31, 2024 |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024064820/image_003.jpg) |
*The
red dotted line in the graph indicates the coupon barrier level, equal to 80% of the initial index value and the black dotted line
in the graph indicates the downside threshold level, equal to 75% of the initial index value. |
License Agreement. JPMorgan Chase & Co. or
its affiliate expects to enter into an agreement with Nikkei Inc. that would provide 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 Nikkei 225 Index, which is owned
and published by Nikkei Inc., in connection with certain securities. For more information, see “Equity Index Descriptions
— The Nikkei 225 Index — License Agreement” in the accompanying underlying supplement.
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due August 5, 2027
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the Russell 2000® Index
Principal at Risk Securities
S&P 500® Index Overview
The S&P 500® Index, which is calculated, maintained
and published by S&P Dow Jones Indices LLC, consists of stocks of 500 companies selected to provide a performance benchmark for the
U.S. equity markets. For additional information about the S&P 500® Index, see “Equity Index Descriptions —
The S&P U.S. Indices” in the accompanying underlying supplement.
Information as of market close on July 31, 2024:
Bloomberg Ticker Symbol: |
SPX |
52 Week High (on 7/16/2024): |
5,667.20 |
Current Closing Level: |
5,522.30 |
52 Week Low (on 10/27/2023): |
4,117.37 |
52 Weeks Ago (on 7/31/2023): |
4,588.96 |
|
|
The following table sets forth the published high and low closing levels,
as well as end-of-quarter closing levels, of the S&P 500® Index for each quarter in the period from January 1, 2019
through July 31, 2024. The graph following the table sets forth the daily closing levels of the S&P 500® Index during
the same period. The closing level of the S&P 500® Index on July 31, 2024 was 5,522.30. We obtained the closing level
information above and in the table and graph below from Bloomberg, without independent verification. The historical levels of the S&P
500® Index should not be taken as an indication of future performance, and no assurance can be given as to the closing
level of the S&P 500® Index on any day during any quarterly monitoring period, including on the final determination
date. The payment of dividends on the stocks that constitute the S&P 500® Index are not reflected in its closing level
and, therefore, have no effect on the calculation of the payment at maturity.
S&P 500® Index |
High |
Low |
Period End |
2019 |
|
|
|
First Quarter |
2,854.88 |
2,447.89 |
2,834.40 |
Second Quarter |
2,954.18 |
2,744.45 |
2,941.76 |
Third Quarter |
3,025.86 |
2,840.60 |
2,976.74 |
Fourth Quarter |
3,240.02 |
2,887.61 |
3,230.78 |
2020 |
|
|
|
First Quarter |
3,386.15 |
2,237.40 |
2,584.59 |
Second Quarter |
3,232.39 |
2,470.50 |
3,100.29 |
Third Quarter |
3,580.84 |
3,115.86 |
3,363.00 |
Fourth Quarter |
3,756.07 |
3,269.96 |
3,756.07 |
2021 |
|
|
|
First Quarter |
3,974.54 |
3,700.65 |
3,972.89 |
Second Quarter |
4,297.50 |
4,019.87 |
4,297.50 |
Third Quarter |
4,536.95 |
4,258.49 |
4,307.54 |
Fourth Quarter |
4,793.06 |
4,300.46 |
4,766.18 |
2022 |
|
|
|
First Quarter |
4,796.56 |
4,170.70 |
4,530.41 |
Second Quarter |
4,582.64 |
3,666.77 |
3,785.38 |
Third Quarter |
4,305.20 |
3,585.62 |
3,585.62 |
Fourth Quarter |
4,080.11 |
3,577.03 |
3,839.50 |
2023 |
|
|
|
First Quarter |
4,179.76 |
3,808.10 |
4,109.31 |
Second Quarter |
4,450.38 |
4,055.99 |
4,450.38 |
Third Quarter |
4,588.96 |
4,273.53 |
4,288.05 |
Fourth Quarter |
4,783.35 |
4,117.37 |
4,769.83 |
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due August 5, 2027
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the Russell 2000® Index
Principal at Risk Securities
S&P 500® Index |
High |
Low |
Period End |
2024 |
|
|
|
First Quarter |
5,254.35 |
4,688.68 |
5,254.35 |
Second Quarter |
5,487.03 |
4,967.23 |
5,460.48 |
Third Quarter (through July 31, 2024) |
5,667.20 |
5,399.22 |
5,522.30 |
S&P 500® Index Historical Performance – Daily Closing Levels*
January 2, 2019 to July 31, 2024 |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024064820/image_004.jpg) |
*The red dotted line in the graph indicates the coupon barrier level,
equal to 80% of the initial index value and the black dotted line in the graph indicates the downside threshold level, equal to 75% of
the initial index value. |
License Agreement. “S&P®”
and “S&P 500®” are trademarks of S&P Global, Inc. or its affiliates have been licensed for use by JPMorgan
Chase & Co. and its affiliates, including JPMorgan Financial. See “Equity Index Descriptions — The S&P U.S.
Indices — License Agreement” in the accompanying underlying supplement.
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due August 5, 2027
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the Russell 2000® Index
Principal at Risk Securities
Russell 2000® Index Overview
The Russell 2000® Index consists of the middle 2,000
companies included in the Russell 3000ETM Index and, as a result of the index calculation methodology, consists of the smallest
2,000 companies included in the Russell 3000® Index. The Russell 2000® Index is designed to track the performance
of the small capitalization segment of the U.S. equity market. For additional information about the Russell 2000® Index,
see “Equity Index Descriptions — The Russell Indices” in the accompanying underlying supplement.
Information as of market close on July 31, 2024:
Bloomberg Ticker Symbol: |
RTY |
52 Week High (on 7/16/2024): |
2,263.674 |
Current Closing Level: |
2,254.484 |
52 Week Low (on 10/27/2023): |
1,636.938 |
52 Weeks Ago (on 7/31/2023): |
2,003.177 |
|
|
The following table sets forth the published high and low closing
levels, as well as end-of-quarter closing levels, of the Russell 2000® Index for each quarter in the period from January
1, 2019 through July 31, 2024. The graph following the table sets forth the daily closing levels of the Russell 2000® Index
during the same period. The closing level of the Russell 2000® Index on July 31, 2024 was 2,254.484. We obtained the closing
level information above and in the table and graph below from Bloomberg, without independent verification. The historical levels of the
Russell 2000® Index should not be taken as an indication of future performance, and no assurance can be given as to the
closing level of the Russell 2000® Index on any day during any quarterly monitoring period, including on the final determination
date. The payment of dividends on the stocks that constitute the Russell 2000® Index are not reflected in its closing level
and, therefore, have no effect on the calculation of the payment at maturity.
Russell 2000® Index |
High |
Low |
Period End |
2019 |
|
|
|
First Quarter |
1,590.062 |
1,330.831 |
1,539.739 |
Second Quarter |
1,614.976 |
1,465.487 |
1,566.572 |
Third Quarter |
1,585.599 |
1,456.039 |
1,523.373 |
Fourth Quarter |
1,678.010 |
1,472.598 |
1,668.469 |
2020 |
|
|
|
First Quarter |
1,705.215 |
991.160 |
1,153.103 |
Second Quarter |
1,536.895 |
1,052.053 |
1,441.365 |
Third Quarter |
1,592.287 |
1,398.920 |
1,507.692 |
Fourth Quarter |
2,007.104 |
1,531.202 |
1,974.855 |
2021 |
|
|
|
First Quarter |
2,360.168 |
1,945.914 |
2,220.519 |
Second Quarter |
2,343.758 |
2,135.139 |
2,310.549 |
Third Quarter |
2,329.359 |
2,130.680 |
2,204.372 |
Fourth Quarter |
2,442.742 |
2,139.875 |
2,245.313 |
2022 |
|
|
|
First Quarter |
2,272.557 |
1,931.288 |
2,070.125 |
Second Quarter |
2,095.440 |
1,649.836 |
1,707.990 |
Third Quarter |
2,021.346 |
1,655.882 |
1,664.716 |
Fourth Quarter |
1,892.839 |
1,682.403 |
1,761.246 |
2023 |
|
|
|
First Quarter |
2,001.221 |
1,720.291 |
1,802.484 |
Second Quarter |
1,896.333 |
1,718.811 |
1,888.734 |
Third Quarter |
2,003.177 |
1,761.609 |
1,785.102 |
Fourth Quarter |
2,066.214 |
1,636.938 |
2,027.074 |
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due August 5, 2027
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the Russell 2000® Index
Principal at Risk Securities
Russell 2000® Index |
High |
Low |
Period End |
2024 |
|
|
|
First Quarter |
2,124.547 |
1,913.166 |
2,124.547 |
Second Quarter |
2,109.459 |
1,942.958 |
2,047.691 |
Third Quarter (through July 31, 2024) |
2,263.674 |
2,026.727 |
2,254.484 |
Russell 2000® Index Historical Performance – Daily Closing Levels*
January 2, 2019 to July 31, 2024 |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024064820/image_005.jpg) |
*The red dotted line in the graph indicates the coupon barrier level,
equal to 80% of the initial index value and the black dotted line in the graph indicates the downside threshold level, equal to 75% of
the initial index value. |
License Agreement. The “Russell
2000® Index” is a trademark of FTSE Russell and has been licensed for use by JPMorgan Chase Bank, National Association
and its affiliates. For more information, see “Equity Index Descriptions — The Russell Indices — Disclaimers”
in the accompanying underlying supplement.
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due August 5, 2027
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the Russell 2000® Index
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 Callable Securities due August 5, 2027
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the Russell 2000® Index
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 “Nikkei 225 Index Overview,”
“S&P 500® Index Overview” and “Russell 2000® Index 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 Callable Securities due August 5, 2027
Based on the Worst Performing of the Nikkei 225 Index, the S&P 500® Index and the Russell 2000® Index
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 and the
accompanying underlying 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
• 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
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
2024-08-02
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 $15,736,000. The prospectus is a final prospectus for the related offering.
|
|
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