|
PRICING SUPPLEMENT dated August 30, 2024
(To the Prospectus and Prospectus Supplement, each
dated April 13, 2023, Product
Supplement no. WF-1-I
dated April 13, 2023, Underlying Supplement no. 1-I
dated April 13, 2023 and Prospectus Addendum dated
June 3, 2024) |
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-270004 and 333-270004-01 |
 |
|
JPMorgan Chase Financial Company LLC
Global Medium-Term Notes, Series A
Fully and Unconditionally Guaranteed by
JPMorgan Chase & Co. |
|
$2,408,000 Market Linked Securities —Leveraged Upside Participation
to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500®
Equal Weight Index due March 4, 2027 |
|
n
Linked to the S&P 500® Equal Weight Index (the “Index”)
n
Unlike ordinary debt securities, the securities do not pay interest or repay a fixed amount of principal at maturity. Instead, the securities
provide for a maturity payment amount that may be greater than, equal to or less than the principal amount of the securities, depending
on the performance of the Index from the starting level to the ending level. The maturity payment amount will reflect the following terms:
n
If the level of the Index increases, you will receive the principal amount plus a positive return equal to 150% of the percentage
increase in the level of the Index from the starting level, subject to a maximum return at maturity of 27.50% of the principal amount.
As a result of the maximum return, the maximum maturity payment amount is $1,275.00 per security.
n
If the level of the Index remains flat or decreases but is not less than 80% of the starting level (the “threshold level”),
you will receive the principal amount.
n
If the level of the Index decreases and is less than the threshold level, you will have full downside exposure to the decrease in the
level of the Index from the starting level, and you will lose more than 20%, and possibly all, of the principal amount.
n
Investors may lose some or all of the principal amount.
n
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. 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.
n
No periodic interest payments or dividends
n
No exchange listing; designed to be held to maturity |
The securities have complex features and investing in
the securities involves risks not associated with an investment in conventional debt securities. See “Risk Factors” beginning
on page S-2 of the accompanying prospectus supplement, Annex A to the accompanying prospectus addendum, “Risk Factors” beginning
on page PS-11 of the accompanying product supplement and “Selected Risk Considerations” on page PS-9 in this pricing supplement.
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
pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement, prospectus and prospectus addendum.
Any representation to the contrary is a criminal offense.
| |
Price to Public(1) |
Fees and Commissions(2)(3) |
Proceeds to Issuer |
| Per Security |
$1,000.00 |
$25.75 |
$974.25 |
| Total |
$2,408,000 |
$62,006 |
$2,345,994 |
| (1) | See “Supplemental Use of Proceeds” in this pricing supplement for information about the components
of the price to public of the securities. |
| (2) | Wells Fargo Securities, LLC, which we refer to as WFS, acting as agent for JPMorgan Financial, will receive
selling commissions from us of $25.75 per security. WFS has advised us that it may provide dealers,
which may include Wells Fargo Advisors (“WFA”) (the trade name of the retail brokerage business of WFS’s affiliates,
Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC), with a selling concession of $20.00 per security.
In addition to the concession allowed to WFA, WFS has advised us that it may pay $0.75 per security of the selling commissions to WFA
as a distribution expense fee for each security sold by WFA. See “Plan of Distribution (Conflicts of Interest)” in the accompanying
product supplement. |
| (3) | In respect of certain securities sold in this offering, J.P. Morgan Securities LLC, which we refer to as
JPMS, may pay a fee of $2.50 per security to selected dealers in consideration for marketing and other services in connection with the
distribution of the securities to other dealers. |
The estimated value of the securities, when the terms
of the securities were set, was $969.80 per security. See “The Estimated Value of the Securities” in this pricing supplement
for additional information.
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.
| Wells Fargo Securities |
 |
Market Linked Securities — Leveraged Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Equal Weight Index due March 4, 2027
Terms of the Securities
| Issuer: |
JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co. |
| Guarantor: |
JPMorgan Chase & Co. |
| Index: |
S&P 500® Equal Weight Index (Bloomberg ticker: SPW) (the “Index”) |
| Pricing Date: |
August 30, 2024 |
| Issue Date: |
September 5, 2024 |
| Calculation Day1: |
March 1, 2027 |
| Stated Maturity Date1: |
March 4, 2027 |
| Principal Amount: |
$1,000 per security. References in this pricing supplement to a “security” are to a security with a principal amount of $1,000. |
| Maturity Payment Amount: |
On the stated maturity date, you will be entitled to receive a cash payment per security
in U.S. dollars equal to the maturity payment amount. The “maturity payment amount” per security will equal:
·
if the ending level is greater than the starting level: $1,000 plus the lesser of:
(i)
$1,000 × index return × upside participation rate; and
(ii)
the maximum return;
·
if the ending level is less than or equal to the starting level, but greater than or equal to the threshold level: $1,000; or
·
if the ending level is less than the threshold level:
$1,000 + ($1,000 × index return)
If the ending level is less than the threshold level, you will have full downside
exposure to the decrease in the level of the Index from the starting level and will lose more than 20%, and possibly all, of the principal
amount of your securities at maturity. |
| Maximum Return: |
The “maximum return” is 27.50% of the principal amount ($275.00 per security). As a result of the maximum return, the maximum maturity payment amount is $1,275.00 per security. |
| Upside Participation Rate: |
150% |
| Index Return: |
The “index return” is the percentage change from the starting level
to the ending level, calculated as follows:
ending level – starting level
starting level |
| Threshold Level: |
5,693.024, which is equal to 80% of the starting level |
| Starting Level: |
7,116.28, the closing level of the Index on the pricing date |
| Ending Level: |
The “ending level” will be the closing level of the Index on the calculation day. |
| Closing Level: |
“Closing level” has the meaning set forth under “The Underlyings — Indices — Certain Definitions” in the accompanying product supplement. |
| Additional Terms: |
Terms used in this pricing supplement, but not defined herein, will have the meanings ascribed to them in the accompanying product supplement. |
| Calculation Agent: |
J.P. Morgan Securities LLC (“JPMS”) |
Market Linked Securities — Leveraged Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Equal Weight Index due March 4, 2027
| Tax Considerations: |
For a discussion of the material U.S. federal income tax consequences of the ownership and disposition of the securities, see “Tax Considerations.” |
| Denominations: |
$1,000 and any integral multiple of $1,000 |
| CUSIP: |
48135P2J9 |
| Fees and Commissions: |
Wells Fargo Securities, LLC, which we refer to as WFS, acting as agent for JPMorgan
Financial, will receive selling commissions from us of $25.75 per security. WFS has advised us that it may provide dealers, which may
include Wells Fargo Advisors (“WFA”) (the trade name of the retail brokerage business of WFS’s affiliates, Wells Fargo
Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC), with a selling concession of $20.00 per security. In addition
to the concession allowed to WFA, WFS has advised us that it may pay $0.75 per security of the selling commissions to WFA as a distribution
expense fee for each security sold by WFA. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product
supplement.
In addition, in respect of certain securities sold in this offering, JPMS may pay a
fee of $2.50 per security to selected securities dealers in consideration for marketing and other services in connection with the distribution
of the securities to other securities dealers.
We, WFS or an affiliate may enter into swap agreements or related hedge transactions
with one of our or their other affiliates or unaffiliated counterparties in connection with the sale of the securities and JPMS, WFS 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” below and “Use of Proceeds and Hedging” in the accompanying product supplement. |
1 Subject to postponement in the event of a non-trading day or a market
disruption event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked
to a Single Underlying” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product
supplement.
Market Linked Securities — Leveraged Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Equal Weight Index due March 4, 2027
Additional Information
about the Issuer, the Guarantor and the Securities
You should read this pricing supplement together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which these 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 pricing supplement, 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, 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):
Our Central Index Key, or CIK, on the SEC website is 1665650, and
JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us” and “our”
refer to JPMorgan Financial.
Market Linked Securities — Leveraged Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Equal Weight Index due March 4, 2027
The Estimated Value
of the Securities
The estimated value of the securities set forth on the cover of this
pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component with
the same maturity as the 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 “Selected Risk Considerations — 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 pricing supplement. 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 is determined when the terms of the
securities are set based on market conditions and other relevant factors and assumptions existing at that time. See “Selected Risk
Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities — The Estimated Value
of the Securities Does Not Represent Future Values of the Securities and May Differ from Others’ Estimates” in this pricing
supplement.
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 WFS (which WFS has advised us includes selling concessions
and distribution expense fees), 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 “Selected Risk Considerations — 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 pricing
supplement.
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 Notes
— Secondary market prices of the securities will be impacted by many economic and market factors” in the accompanying product
supplement. In addition, we generally expect that some of the costs included in the original issue price of the 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 approximately three months. 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 “Selected Risk Considerations — 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 the Then-Current Estimated Value of the Securities for
a Limited Time Period” in this pricing supplement.
Supplemental Use
of Proceeds
The securities are offered to meet investor demand for products that
reflect the risk-return profile and market exposure provided by the securities. See “Hypothetical Examples and Returns” in
this pricing supplement for an illustration of the risk-return profile of the securities and “The S&P 500® Equal
Weight Index” in this pricing supplement 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 WFS (which WFS has advised us includes selling concessions and distribution
expense fees), 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.
Supplemental Terms
of the Securities
Any values of the Index, and any values derived therefrom, included
in this pricing supplement may be corrected, in the event of manifest error or inconsistency, by amendment of this pricing supplement
and the corresponding terms of the securities.
Market Linked Securities — Leveraged Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Equal Weight Index due March 4, 2027
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.
Market Linked Securities — Leveraged Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Equal Weight Index due March 4, 2027
Investor Considerations
The securities are not appropriate for all investors. The securities
may be an appropriate investment for you if all of the following statements are true:
| § | You do not seek an investment that produces periodic interest or coupon payments or other sources of current income. |
| § | You anticipate that the ending level will be greater than the starting level, and you are willing and able to accept the risk that,
if the ending level is less than the threshold level, you will lose more than 20%, and possibly all, of the principal amount of your securities
at maturity. |
| § | You are willing and able to accept that any potential return on the securities is limited to the maximum return. |
| § | You are willing and able to accept the risks associated with an investment linked to the performance of the Index, as explained in
more detail in the “Selected Risk Considerations” section of this pricing supplement. |
| § | You understand and accept that you will not be entitled to receive dividends or distributions that may be paid to holders of the securities
composing the Index, nor will you have any voting rights with respect to the securities composing the Index. |
| § | You do not seek an investment for which there will be an active secondary market and you are willing and able to hold the securities
to maturity. |
| § | You are willing and able to assume our and JPMorgan Chase & Co.’s credit risks for all payments on the securities. |
The securities may not be an appropriate investment for you if
any of the following statements are true:
| § | You seek an investment that produces periodic interest or coupon payments or other sources of current income. |
| § | You seek an investment that provides for the full repayment of principal at maturity. |
| § | You anticipate that the ending level will be less than the starting level, or you are unwilling or unable to accept the risk that,
if the ending level is less than the threshold level, you will lose more than 30%, and possibly all, of the principal amount of your securities
at maturity. |
| § | You seek an investment with uncapped exposure to any positive performance of the Index. |
| § | You are unwilling or unable to accept the risks associated with an investment linked to the performance of the Index, as explained
in more detail in the “Selected Risk Considerations” section of this pricing supplement. |
| § | You seek an investment that entitles you to dividends or distributions on, or voting rights related to, the securities composing the
Index. |
| § | You seek an investment for which there will be an active secondary market and/or you are unwilling or unable to hold the securities
to maturity. |
| § | You are unwilling or unable to assume our and JPMorgan Chase & Co.’s credit risks for all payments on the securities. |
The considerations identified above are not exhaustive. Whether
or not the securities are an appropriate investment for you will depend on your individual circumstances, and you should reach an investment
decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered the appropriateness of
an investment in the securities in light of your particular circumstances. You should also review carefully the “Selected Risk Considerations”
section in this pricing supplement and the “Risk Factors” sections in the accompanying prospectus supplement and product supplement
and Annex A to the accompanying prospectus addendum. For more information about the Index, please see the section titled “The S&P
500® Equal Weight Index” below.
Market Linked Securities — Leveraged Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Equal Weight Index due March 4, 2027
Determining Timing
and Amount of Payment on the Securities
On the stated maturity date, you will receive a cash payment per
security (the maturity payment amount) calculated as follows:
Market Linked Securities — Leveraged Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Equal Weight Index due March 4, 2027
Selected Risk Considerations
An investment in the securities involves significant risks. Investing
in the securities is not equivalent to investing directly in the Index or its components. Some of the risks that apply to an investment
in the securities are summarized below, but we urge you to read the more detailed explanation of risks relating to the securities generally
in the “Risk Factors” sections of the accompanying prospectus supplement and the accompanying product supplement and in Annex
A to the accompanying prospectus addendum. You should not purchase the securities unless you understand and can bear the risks of investing
in the securities.
Risks Relating to the Securities Generally
| · | If the Ending Level Is Less Than the Threshold Level, You Will Lose More
Than 20%, and Possibly All, of the Principal Amount of Your Securities at Maturity — The securities do not guarantee the full
return of principal. The return on the securities at maturity is linked to the performance of the Index and will depend on whether, and
the extent to which, the Index has appreciated or depreciated. If the ending level is less than the threshold level, you will lose 1%
of the principal amount of the securities for every 1% that the ending level is less than the starting level. Accordingly, under these
circumstances, you will lose more than 20%, and possibly all, of your principal amount at maturity. |
| · | Your Return Will Be Limited to the Maximum Return and May Be Lower Than the Return on a Direct Investment
in the Securities Composing the Index — If the ending level is greater than the starting level, for each $1,000 security, you
will receive at maturity $1,000 plus an additional return that will not exceed the maximum return, regardless of the appreciation
of the Index, which may be significant. Therefore, your return on the securities may be lower than the return on a direct investment in
the securities composing the Index. Furthermore, the effect of the upside participation rate will be progressively reduced for all ending
levels exceeding the ending level at which the maximum return is reached. |
| · | The Securities Are Subject to the Credit Risks of JPMorgan Financial and JPMorgan Chase & Co.
— Investors are dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts due on the securities.
Any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads, as determined
by the market for taking that credit risk, is likely to adversely affect the value of the 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. |
| · | The Benefit Provided by the Threshold Level May Terminate on the Calculation Day — If the ending
level is less than the threshold level, the benefit provided by the threshold level will terminate and you will be fully exposed to any
depreciation of the Index. |
| · | No Interest or Dividend Payments or Voting Rights — As a holder of the securities, you will
not receive interest payments, and you will not have voting rights or rights to receive cash dividends or other distributions or other
rights that holders of the securities included in Index would have. |
| · | Lack of Liquidity — The securities will not be listed on any securities exchange. Accordingly,
the price at which you may be able to trade your securities is likely to depend on the price, if any, at which JPMS or WFS is willing
to buy the securities. You may not be able to sell your 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. |
| · | The U.S. Federal Tax Consequences of the Securities Are Uncertain, and May Be Adverse to a Holder of the
Securities — See “Tax Considerations” below and “Risk Factors — Risks Relating to the Notes Generally
— The tax consequences of an investment in the notes are uncertain” in the accompanying product supplement. |
Risks Relating to Conflicts of Interest
| · | Potential Conflicts — We and our affiliates play a variety of roles in connection with the issuance
of the securities, including acting as calculation agent and hedging our obligations under the securities and making the assumptions used
to determine the pricing of the securities and the estimated value of the securities when the terms of the securities are set, which we
refer to as the |
Market Linked Securities — Leveraged Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Equal Weight Index due March 4, 2027
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. 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.
Risks Relating to the Estimated Value of the Securities and the
Secondary Market
| · | 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 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 “The Estimated Value of the Securities” in this pricing
supplement. |
| · | 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 when the terms of the securities are set. This estimated value of the securities is based on market conditions and other
relevant factors existing at that time and assumptions about market parameters, which can include volatility, dividend rates, interest
rates and other factors. Different pricing models and assumptions could provide valuations for the 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 “The Estimated Value of the Securities” in this pricing supplement. |
| · | 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 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 “The Estimated Value of the Securities” in this pricing supplement. |
| · | 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, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market
funding rates for structured debt issuances. See “Secondary Market Prices of the Securities” in this pricing supplement 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, 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 stated maturity date could result in a substantial loss to you. See the immediately following risk consideration for information
about additional factors that will impact any secondary market prices of the 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 — Lack of Liquidity” above.
| · | Many Economic and Market Factors Will Impact the Value of the Securities — As described under
“The Estimated Value of the Securities” in this pricing supplement, the securities can be thought of as securities that combine
a fixed-income debt component with one or more derivatives. As a result, the factors that influence the values of fixed-income debt and
derivative instruments will also influence the terms of the securities at issuance and their value in the secondary market. Accordingly,
the |
Market Linked Securities — Leveraged Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Equal Weight Index due March 4, 2027
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, projected hedging profits, if any, estimated hedging costs and the level of the Index, including:
| · | any actual or potential change in our or JPMorgan Chase & Co.’s
creditworthiness or credit spreads; |
| · | customary bid-ask spreads for similarly sized trades; |
| · | our internal secondary market funding rates for structured debt issuances; |
| · | the actual and expected volatility of the Index; |
| · | the time to maturity of the securities; |
| · | the dividend rates on the equity securities included in the Index; |
| · | interest and yield rates in the market generally; and |
| · | a variety of other economic, financial, political, regulatory and judicial
events. |
Additionally, independent pricing vendors and/or third
party broker-dealers may publish a price for the securities, which may also be reflected on customer account statements. This price may
be different (higher or lower) than the price of the securities, if any, at which JPMS may be willing to purchase your securities in the
secondary market.
Risks Relating to the Index
| · | Each of JPMorgan Chase & Co. and Wells Fargo & Company (the Parent Company of WFS) Is
Currently One of the Companies that Make Up the Index — Each of JPMorgan Chase & Co. and Wells Fargo & Company
(the parent company of WFS) is currently one of the companies that make up the Index. JPMorgan Chase & Co. and Wells
Fargo & Company 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 Index and the securities. |
| · | The Maturity Payment Amount Will Depend upon the Performance of the Index and Therefore the Securities
Are Subject to the Following Risks, Each as Discussed in More Detail in the Accompanying Product Supplement. |
| · | You Will Have No Ownership Rights in the Index or Any of the Securities Underlying the Index. Investing
in the securities is not equivalent to investing directly in the Index or any of the securities underlying the Index or exchange-traded
or over-the-counter instruments based on any of the foregoing. As an investor in the securities, you will not have any ownership interests
or rights in any of the foregoing. |
| · | Historical Levels of the Index Should Not Be Taken as an Indication of the Future Performance of the Index
During the Term of the Securities. |
| · | The Sponsor of the Index May Adjust the Index in a Way that Affects Its Level, and the Index Sponsor Has
No Obligation to Consider Your Interests. |
| · | We Cannot Control Actions by Any of the Unaffiliated Companies Whose Securities Are Included in the Index. |
| · | We and Our Affiliates Have No Affiliation with the Index Sponsor and Have Not Independently Verified Its
Public Disclosure of Information.
|
Market Linked Securities — Leveraged Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Equal Weight Index due March 4, 2027
| Hypothetical
Examples and Returns |
The payout profile, return table and examples below illustrate the
maturity payment amount for a security on a hypothetical offering of securities under various scenarios, with the assumptions set forth
in the table below. The terms used for purposes of these hypothetical examples do not represent the actual starting level or threshold
level.
The hypothetical starting level of 100.00 has been chosen for illustrative
purposes only and does not represent the actual starting level. The actual starting level is the closing level of the Index on the pricing
date and is specified under “Terms of the Securities — Starting Level” in this pricing supplement. For historical data
regarding the actual closing levels of the Index, please see the historical information set forth under “The S&P 500®
Equal Weight Index” in this pricing supplement.
The payout profile, return table and examples below assume that an investor purchases
the securities for $1,000 per security. These examples are for purposes of illustration only and the values used in the examples may have
been rounded for ease of analysis. The payout profile, return table and examples below do not take into account any tax consequences from
investing in the securities.
| Upside Participation Rate: |
150% |
| Maximum Return: |
27.50% per security |
| Hypothetical Starting Level: |
100.00 |
| Hypothetical Threshold Level: |
80.00 (80% of the hypothetical starting level) |
Hypothetical Payout Profile
Market Linked Securities — Leveraged Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Equal Weight Index due March 4, 2027
Hypothetical Returns
| |
|
|
|
|
Hypothetical
ending level |
Hypothetical
index return |
Hypothetical
maturity payment
amount per security |
Hypothetical
pre-tax total
rate of return(1) |
| 150.00000 |
50.00000% |
$1,275.00 |
27.50% |
| 140.00000 |
40.00000% |
$1,275.00 |
27.50% |
| 130.00000 |
30.00000% |
$1,275.00 |
27.50% |
| 120.00000 |
20.00000% |
$1,275.00 |
27.50% |
| 118.33334 |
18.33334% |
$1,275.00 |
27.50% |
| 110.00000 |
10.00000% |
$1,150.00 |
15.00% |
| 105.00000 |
5.00000% |
$1,075.00 |
7.50% |
| 102.50000 |
2.50000% |
$1,037.50 |
3.75% |
| 100.00000 |
0.00000% |
$1,000.00 |
0.00% |
| 90.00000 |
-10.00000% |
$1,000.00 |
0.00% |
| 80.00000 |
-20.00000% |
$1,000.00 |
0.00% |
| 79.00000 |
-21.00000% |
$790.00 |
-21.00% |
| 70.00000 |
-30.00000% |
$700.00 |
-30.00% |
| 60.00000 |
-40.00000% |
$600.00 |
-40.00% |
| 50.00000 |
-50.00000% |
$500.00 |
-50.00% |
| 40.00000 |
-60.00000% |
$400.00 |
-60.00% |
| 30.00000 |
-70.00000% |
$300.00 |
-70.00% |
| 20.00000 |
-80.00000% |
$200.00 |
-80.00% |
| 0.00000 |
-100.00000% |
$0.00 |
-100.00% |
| (1) | The hypothetical pre-tax total rate of return is the number, expressed as a percentage, that results from comparing the maturity payment
amount per security to the principal amount of $1,000. |
Market Linked Securities — Leveraged Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Equal Weight Index due March 4, 2027
Hypothetical Examples
Example 1. The ending level is greater than the starting level, and the maturity
payment amount is greater than the principal amount and reflects a return that is less than the maximum return:
| |
Index |
| Hypothetical starting level: |
100.00 |
| Hypothetical ending level: |
110.00 |
| Hypothetical threshold level: |
80.00 |
|
Hypothetical index return
(ending level – starting level)/starting level: |
10.00% |
Because the hypothetical ending level is greater than the hypothetical starting
level, the maturity payment amount per security would be equal to the principal amount of $1,000 plus a positive return equal to
the lesser of:
(i) $1,000
× index return × upside participation rate
$1,000 × 10.00% × 150.00%
= $150.00; and
(ii) the
maximum return of $275.00
On the stated maturity date, you would receive $1,150.00 per security.
Example 2. The ending level is greater than the starting level, and the maturity
payment amount is greater than the principal amount and reflects a return equal to the maximum return:
| |
Index |
| Hypothetical starting level: |
100.00 |
| Hypothetical ending level: |
150.00 |
| Hypothetical threshold level: |
80.00 |
|
Hypothetical index return
(ending level – starting level)/starting level: |
50.00% |
Because the hypothetical ending level is greater than the hypothetical starting
level, the maturity payment amount per security would be equal to the principal amount of $1,000 plus a positive return equal to
the lesser of:
(i) $1,000
× index return × upside participation rate
$1,000 × 50.00% × 150.00%
= $750.00; and
(ii) the
maximum return of $275.00
On the stated maturity date, you would receive $1,275.00 per security, which is the maximum
maturity payment amount.
In addition to limiting your return on the securities, the maximum return limits the
positive effect of the upside participation rate. If the ending level is greater than the starting level, you will participate in the
performance of the Index at a rate of 150% up to a certain point. However, the effect of the upside participation rate will be progressively
reduced for ending levels that are greater than approximately 118.33334% of the starting level since your return on the securities for
any ending level greater than approximately 118.33334% of the starting level will be limited to the maximum return.
Market Linked Securities — Leveraged Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Equal Weight Index due March 4, 2027
Example 3. The ending level is less than the starting level but greater than
the threshold level, and the maturity payment amount is equal to the principal amount:
| |
Index |
| Hypothetical starting level: |
100.00 |
| Hypothetical ending level: |
90.00 |
| Hypothetical threshold level: |
80.00 |
|
Hypothetical index return
(ending level – starting level)/starting level: |
-10.00% |
Because the hypothetical ending level is less than the hypothetical starting
level, but is not less than the hypothetical threshold level, you would not lose any of the principal amount of your securities.
On the stated maturity date, you would receive $1,000.00 per security.
Example 4. The ending level is less than the threshold level, and the maturity
payment amount is less than the principal amount:
| |
Index |
| Hypothetical starting level: |
100.00 |
| Hypothetical ending level: |
40.00 |
| Hypothetical threshold level: |
80.00 |
|
Hypothetical index return
(ending level – starting level)/starting level: |
-60.00% |
Because the hypothetical ending level is less than the hypothetical threshold
level, you would lose a portion of the principal amount of your securities and receive the maturity payment amount equal to:
$1,000 + ($1,000 × index
return)
$1,000 + ($1,000 × -60.00%)
= $400.00
On the stated maturity date, you would receive $400.00 per security.
If the ending level is less than the threshold level, you will lose more than 20%,
and possibly all, of your principal amount of your securities at maturity.
The hypothetical returns and hypothetical payments on the securities shown above
apply only if you hold the securities for their entire term. These hypotheticals do not reflect the fees or expenses that would
be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns and hypothetical
payments shown above would likely be lower.
Market Linked Securities — Leveraged Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Equal Weight Index due March 4, 2027
The S&P 500®
Equal Weight Index
The Index is an equal-weighted version of the S&P
500® Index. The S&P 500® Index consists of stocks of 500 companies selected to provide a performance
benchmark for the U.S. equity markets. For additional information about the Index, see “Equity Index Descriptions — The S&P
Equal Weight Indices” in the accompanying underlying supplement.
Historical Information
The following graph sets forth the historical performance of the
Index based on the daily historical closing levels of the Index from January 2, 2019 through August 30, 2024. The closing level of the
Index on August 30, 2024 was 7,116.28. We obtained the closing levels above and below from the Bloomberg Professional®
service (“Bloomberg”), without independent verification.
The historical closing levels of the Index should not be taken as
an indication of future performance, and no assurance can be given as to the closing level of the Index on the calculation day. There
can be no assurance that the performance of the Index will not result in a loss of the principal amount of the securities.
Market Linked Securities — Leveraged Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Equal Weight Index due March 4, 2027
Tax Considerations
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. WF-1-I. The following discussion, when read in
combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding the material
U.S. federal income tax consequences of owning and disposing of securities.
Based on current market conditions, in the opinion of our special
tax counsel it is reasonable to treat the securities as “open transactions” that are not debt instruments for U.S. federal
income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S.
Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement. Assuming
this treatment is respected, the gain or loss on your securities should be treated as long-term capital gain or loss if you hold your
securities for more than a year, whether or not you are an initial purchaser of securities at the issue price. However, the IRS or a court
may not respect this treatment, in which case the timing and character of any income or loss on the securities could be materially and
adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment
of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to require investors in
these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including
the character of income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property
to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors
should be subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership”
regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest
charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance
promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities,
possibly with retroactive effect. 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 this notice.
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 our representation
that the securities do not have a “delta of one” within the meaning of the regulations, our special tax counsel believes that
these regulations should not apply to the securities with regard to non-U.S. Holders, and we have determined to treat the securities as
not being subject to Section 871(m). 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.
Market Linked Securities — Leveraged Upside Participation to a Cap and Contingent Downside
Principal at Risk Securities Linked to the S&P 500® Equal Weight Index due March 4, 2027
Validity of the
Securities and the Guarantees
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.
S-3
424B2
EX-FILING FEES
333-270004
0000019617
JPMORGAN CHASE & CO
0000019617
2024-09-04
2024-09-04
iso4217:USD
xbrli:pure
xbrli:shares
|
Calculation of Filing Fee Tables
|
|
S-3
|
|
JPMORGAN CHASE & CO
|
|
The maximum aggregate offering price of the securities to which the prospectus relates is $2,408,000. The prospectus is a final prospectus for the related offering.
|
|
|
v3.24.2.u1
| X |
- DefinitionA unique 10-digit SEC-issued value to identify entities that have filed disclosures with the SEC. It is commonly abbreviated as CIK. Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher SEC
-Name Exchange Act
-Number 240
-Section 12
-Subsection b-2
| Name: |
dei_EntityCentralIndexKey |
| Namespace Prefix: |
dei_ |
| Data Type: |
dei:centralIndexKeyItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- DefinitionThe exact name of the entity filing the report as specified in its charter, which is required by forms filed with the SEC. Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher SEC
-Name Exchange Act
-Number 240
-Section 12
-Subsection b-2
| Name: |
dei_EntityRegistrantName |
| Namespace Prefix: |
dei_ |
| Data Type: |
xbrli:normalizedStringItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- References
+ Details
| Name: |
ffd_FeeExhibitTp |
| Namespace Prefix: |
ffd_ |
| Data Type: |
ffd:feeExhibitTypeItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- References
+ Details
| Name: |
ffd_RegnFileNb |
| Namespace Prefix: |
ffd_ |
| Data Type: |
ffd:fileNumberItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- References
+ Details
| Name: |
ffd_SubmissionLineItems |
| Namespace Prefix: |
ffd_ |
| Data Type: |
xbrli:stringItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- References
+ Details
| Name: |
ffd_SubmissnTp |
| Namespace Prefix: |
ffd_ |
| Data Type: |
ffd:submissionTypeItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
v3.24.2.u1
| X |
- ReferencesReference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher SEC
-Name Securities Act
-Number 230
| Name: |
ffd_FeesSummaryLineItems |
| Namespace Prefix: |
ffd_ |
| Data Type: |
xbrli:stringItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- ReferencesReference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher SEC
-Name Securities Act
-Number 230
| Name: |
ffd_FnlPrspctsFlg |
| Namespace Prefix: |
ffd_ |
| Data Type: |
xbrli:booleanItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- ReferencesReference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher SEC
-Name Securities Act
-Number 230
| Name: |
ffd_NrrtvDsclsr |
| Namespace Prefix: |
ffd_ |
| Data Type: |
dtr-types:textBlockItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- ReferencesReference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher SEC
-Name Securities Act
-Number 230
| Name: |
ffd_NrrtvMaxAggtOfferingPric |
| Namespace Prefix: |
ffd_ |
| Data Type: |
ffd:nonNegative100TMonetary2ItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
JP Morgan Chase (NYSE:JPM-M)
Historical Stock Chart
From Oct 2024 to Nov 2024
JP Morgan Chase (NYSE:JPM-M)
Historical Stock Chart
From Nov 2023 to Nov 2024
