June
28, 2024 |
Registration
Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
JPMorgan Chase Financial Company LLC
Structured Investments
$546,000
Auto Callable Accelerated Barrier Notes Linked to the
S&P 500® Futures Excess Return Index due July 3, 2029
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
| · | The notes are designed for
investors who seek early exit prior to maturity at a premium if, on the Review Date, the
closing level of the S&P 500® Futures Excess Return Index, which we refer
to as the Index, is at or above the Call Value. |
| · | The date on which an automatic
call may be initiated is July 7, 2025. |
| · | The notes are also designed
for investors who seek an uncapped return of 1.70 times any appreciation of the Index
at maturity, if the notes have not been automatically called. |
| · | Investors should be willing
to forgo interest payments and be willing to lose some or all of their principal amount at
maturity. |
| · | The notes are unsecured
and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to
as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan
Chase & Co. Any payment on the notes is subject to the credit risk of JPMorgan Financial,
as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor of
the notes. |
| · | Minimum denominations of
$1,000 and integral multiples thereof |
| · | The notes priced on June
28, 2024 and are expected to settle on or about July 3, 2024. |
Investing in the notes involves a number of risks. See
“Risk Factors” beginning on page S-2 of the accompanying prospectus supplement, Annex A to the accompanying prospectus addendum,
“Risk Factors” beginning on page PS-11 of the accompanying product supplement and “Selected Risk Considerations”
beginning on page PS-5 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing
supplement or the accompanying product supplement, underlying supplement, prospectus supplement, prospectus and prospectus addendum.
Any representation to the contrary is a criminal offense.
|
Price to Public (1) |
Fees and Commissions
(2) |
Proceeds to Issuer |
Per
note |
$1,000 |
$6 |
$994 |
Total |
$546,000 |
$3,276 |
$542,724 |
(1) See “Supplemental Use of Proceeds”
in this pricing supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer to
as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions of $6.00 per $1,000 principal amount note
it receives from us to other affiliated or unaffiliated dealers. See “Plan of Distribution (Conflicts of Interest)” in
the accompanying product supplement. |
The estimated value of the notes, when the terms of the
notes were set, was $971.90 per $1,000 principal amount note. See “The Estimated Value of the Notes” in this pricing supplement
for additional information.
The notes are not bank deposits, are not insured by the
Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Pricing supplement to product supplement no. 4-I dated April
13, 2023, underlying supplement no. 1-I dated April 13, 2023,
the prospectus and prospectus supplement, each dated April
13, 2023, and the prospectus addendum dated June 3, 2024
Key Terms
Issuer: JPMorgan
Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan
Chase & Co.
Index: The
S&P 500® Futures Excess Return Index (Bloomberg ticker: SPXFP)
Call Premium Amount:
$186.50 per $1,000 principal amount note
Call Value:
100.00% of the Initial Value
Upside Leverage Factor:
1.70
Barrier Amount: 70.00%
of the Initial Value, which is 331.079
Pricing
Date: June 28, 2024
Original Issue Date
(Settlement Date): On or about July 3, 2024
Review Date*:
July 7, 2025
Call Settlement Date*:
July 10, 2025
Observation Date*:
June 28, 2029
Maturity Date*:
July 3, 2029
* Subject to postponement in the event of a market disruption
event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single
Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General Terms of Notes —
Postponement of a Payment Date” in the accompanying product supplement
Automatic Call:
If the closing level of the Index on the Review Date is greater than
or equal to the Call Value, the notes will be automatically called for a cash payment, for each $1,000 principal amount note, equal to
(a) $1,000 plus (b) the Call Premium Amount, payable on the Call Settlement Date. No further payments will be made on the notes.
If the notes are automatically called, you will not benefit from
the Upside Leverage Factor that applies to the payment at maturity if the Final Value is greater than the Initial Value. Because
the Upside Leverage Factor does not apply to the payment upon an automatic call, the payment upon an automatic call may be significantly
less than the payment at maturity for the same level of appreciation in the Index.
Payment at Maturity:
If the notes have not been automatically called and the Final Value
is greater than the Initial Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Index Return × Upside
Leverage Factor)
If the notes have not been automatically called and the Final Value
is equal to the Initial Value or is less than the Initial Value but greater than or equal to the Barrier Amount, you will receive the
principal amount of your notes at maturity.
If the notes have not been automatically called and the Final Value
is less than the Barrier Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Index Return)
If the notes have not been automatically
called and the Final Value is less than the Barrier Amount, you will lose more than 30.00% of your principal amount at maturity and could
lose all of your principal amount at maturity.
Index Return:
(Final Value
– Initial Value)
Initial Value
Initial Value: The
closing level of the Index on the Pricing Date, which was 472.97
Final Value: The
closing level of the Index on the Observation Date
PS-1
| Structured Investments
Auto Callable Accelerated Barrier Notes Linked to the S&P
500® Futures Excess Return Index |
|
Supplemental
Terms of the Notes
The notes are not futures contracts or swaps
and are not regulated under the Commodity Exchange Act of 1936, as amended (the “Commodity Exchange Act”). The notes
are offered pursuant to an exemption from regulation under the Commodity Exchange Act, commonly known as the hybrid instrument exemption,
that is available to securities that have one or more payments indexed to the value, level or rate of one or more commodities, as set
out in section 2(f) of that statute. Accordingly, you are not afforded any protection provided by the Commodity Exchange Act or any regulation
promulgated by the Commodity Futures Trading Commission.
For purposes of the accompanying product supplement,
the Index will be deemed to be an Equity Index, except as provided below, and any references in the accompanying product supplement to
the securities included in an Equity Index (or similar references) should be read to refer to the securities included in the S&P
500® Index, which is the reference index for the futures contracts included in the Index. Notwithstanding the foregoing,
the Index will be deemed to be a Commodity Index for purposes of the section entitled “The Underlyings — Indices —
Discontinuation of an Index; Alteration of Method of Calculation” in the accompanying product supplement.
Notwithstanding anything to the contrary in the
accompanying product supplement, if a Determination Date (as defined in the accompanying product supplement) has been postponed to the
applicable Final Disrupted Determination Date (as defined in the accompanying product supplement) and that day is a Disrupted Day (as
defined in the accompanying product supplement), the calculation agent will determine the closing level of the Index for that Determination
Date on that Final Disrupted Determination Date in accordance with the formula for and method of calculating the closing level of the
Index last in effect prior to the commencement of the market disruption event (or prior to the non-trading day), using the official settlement
price (or, if trading in the relevant futures contract has been materially suspended or materially limited, the calculation agent’s
good faith estimate of the applicable settlement price that would have prevailed but for that suspension or limitation) at the close
of the principal trading session on that date of each futures contract most recently composing the Index, as well as any futures contract
required to roll any expiring futures contract in accordance with the method of calculating the Index.
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 notes. Notwithstanding anything to the contrary in the indenture governing the
notes, that amendment will become effective without consent of the holders of the notes or any other party.
Hypothetical
Payout Profile
Payment upon an Automatic Call
PS-2
| Structured Investments
Auto Callable Accelerated Barrier Notes Linked to the S&P
500® Futures Excess Return Index |
|
Payment at Maturity If the Notes Have Not Been
Automatically Called
Call Premium Amount
The Call Premium Amount per $1,000 principal amount
note if the notes are automatically called is $186.50.
PS-3
| Structured Investments
Auto Callable Accelerated Barrier Notes Linked to the S&P
500® Futures Excess Return Index |
|
Payment at Maturity If the Notes Have Not Been Automatically
Called
The following table illustrates the hypothetical total
return and payment at maturity on the notes linked to a hypothetical Index if the notes have not been automatically called. The “total
return” as used in this pricing supplement is the number, expressed as a percentage, that results from comparing the payment at
maturity per $1,000 principal amount note to $1,000. The hypothetical total returns and payments set forth below assume the following:
| · | the
notes have not been automatically called; |
| · | an
Initial Value of 100.00; |
| · | an
Upside Leverage Factor of 1.70; and |
| · | a
Barrier Amount of 70.00 (equal to 70.00% of the hypothetical Initial Value). |
The hypothetical Initial Value of 100.00 has been chosen
for illustrative purposes only and does not represent the actual Initial Value. The actual Initial Value is the closing level of the
Index on the Pricing Date and is specified under “Key Terms — Initial Value” in this pricing supplement. For historical
data regarding the actual closing levels of the Index, please see the historical information set forth under “The Index”
in this pricing supplement.
Each hypothetical total return or hypothetical payment
at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable
to a purchaser of the notes. The numbers appearing in the following table have been rounded for ease of analysis.
Final
Value |
Index
Return |
Total
Return on the Notes |
Payment
at Maturity |
165.00 |
65.00% |
110.50% |
$2,105.00 |
150.00 |
50.00% |
85.00% |
$1,850.00 |
140.00 |
40.00% |
68.00% |
$1,680.00 |
130.00 |
30.00% |
51.00% |
$1,510.00 |
120.00 |
20.00% |
34.00% |
$1,340.00 |
110.00 |
10.00% |
17.00% |
$1,170.00 |
105.00 |
5.00% |
8.50% |
$1,085.00 |
101.00 |
1.00% |
1.70% |
$1,017.00 |
100.00 |
0.00% |
0.00% |
$1,000.00 |
95.00 |
-5.00% |
0.00% |
$1,000.00 |
90.00 |
-10.00% |
0.00% |
$1,000.00 |
80.00 |
-20.00% |
0.00% |
$1,000.00 |
70.00 |
-30.00% |
0.00% |
$1,000.00 |
69.99 |
-30.01% |
-30.01% |
$699.90 |
60.00 |
-40.00% |
-40.00% |
$600.00 |
50.00 |
-50.00% |
-50.00% |
$500.00 |
40.00 |
-60.00% |
-60.00% |
$400.00 |
30.00 |
-70.00% |
-70.00% |
$300.00 |
20.00 |
-80.00% |
-80.00% |
$200.00 |
10.00 |
-90.00% |
-90.00% |
$100.00 |
0.00 |
-100.00% |
-100.00% |
$0.00 |
PS-4
| Structured Investments
Auto Callable Accelerated Barrier Notes Linked to the S&P
500® Futures Excess Return Index |
|
How the
Notes Work
Upside Scenario If Automatic Call:
If the closing level of the Index on the Review Date
is greater than or equal to the Call Value, the notes will be automatically called and investors will receive on the Call Settlement
Date the $1,000 principal amount plus the Call Premium Amount of $186.50. No further payments will be made on the notes.
| · | If
the closing level of the Index increases 20.00% as of the Review Date, the notes will be
automatically called and investors will receive a return equal to 18.65%, or $1,186.50 per
$1,000 principal amount note. |
Upside Scenario If No Automatic Call:
If the notes have not been automatically called and
the Final Value is greater than the Initial Value, investors will receive at maturity the $1,000 principal amount plus a return
equal to the Index Return times the Upside Leverage Factor of 1.70.
| · | If
the notes have not been automatically called and the closing level of the Index increases
5.00%, investors will receive at maturity a return equal to 8.50%, or $1,085.00 per $1,000
principal amount note. |
Par Scenario:
If the notes have not been automatically called and
the Final Value is equal to the Initial Value or is less than the Initial Value but greater than or equal to the Barrier Amount of 70.00%
of the Initial Value, investors will receive at maturity the principal amount of their notes.
Downside Scenario:
If the notes have not been automatically called and
the Final Value is less than the Barrier Amount of 70.00% of the Initial Value, investors will lose 1% of the principal amount of their
notes for every 1% that the Final Value is less than the Initial Value.
| · | For
example, if the notes have not been automatically called and the closing level of the Index
declines 60.00%, investors will lose 60.00% of their principal amount and receive only $400.00
per $1,000 principal amount note at maturity. |
The hypothetical returns and hypothetical payments on
the notes shown above apply only if you hold the notes for their entire term or until automatically called. 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.
Selected
Risk Considerations
An investment in the notes involves significant risks.
These risks are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement and product
supplement and in Annex A to the accompanying prospectus addendum.
Risks Relating to the Notes Generally
| · | YOUR
INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — |
The notes do not guarantee any return of principal.
If the notes have not been automatically called and the Final Value is less than the Barrier Amount, you will lose 1% of the principal
amount of your notes for every 1% that the Final Value is less than the Initial Value. Accordingly, under these circumstances, you will
lose more than 30.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
| · | CREDIT
RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. — |
Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.’s
creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely affect the value
of the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed to
you under the notes and you could lose your entire investment.
| · | AS
A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
— |
As a finance subsidiary of JPMorgan Chase &
Co., we have no independent operations beyond the issuance and administration of our securities and the collection of intercompany obligations.
Aside from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of JPMorgan
Chase & Co. to make payments under loans made by us to JPMorgan Chase & Co. or under other intercompany agreements. As a result,
we are dependent upon payments from JPMorgan Chase & Co. to meet our obligations under the notes. We are not a key operating subsidiary
of JPMorgan Chase & Co. and in a
PS-5
| Structured Investments
Auto Callable Accelerated Barrier Notes Linked to the S&P
500® Futures Excess Return Index |
|
bankruptcy or resolution of JPMorgan Chase &
Co. we are not expected to have sufficient resources to meet our obligations in respect of the notes as they come due. If JPMorgan Chase
& Co. does not make payments to us and we are unable to make payments on the notes, you may have to seek payment under the related
guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu with all other unsecured and unsubordinated obligations
of JPMorgan Chase & Co. For more information, see the accompanying prospectus addendum.
| · | IF
THE NOTES ARE AUTOMATICALLY CALLED, THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO
THE CALL PREMIUM AMOUNT PAID ON THE NOTES, |
regardless of any appreciation of the Index,
which may be significant. In addition, if the notes are automatically called, you will not benefit from the Upside Leverage Factor
that applies to the payment at maturity if the Final Value is greater than the Initial Value. Because the Upside Leverage Factor
does not apply to the payment upon an automatic call, the payment upon an automatic call may be significantly less than the payment at
maturity for the same level of appreciation in the Index.
| · | THE
BENEFIT PROVIDED BY THE BARRIER AMOUNT MAY TERMINATE ON THE OBSERVATION DATE — |
If the Final Value is less than the Barrier
Amount and the notes have not been automatically called, the benefit provided by the Barrier Amount will terminate and you will be fully
exposed to any depreciation of the Index.
| · | THE
AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT — |
If your notes are automatically called, the
term of the notes may be reduced to as short as approximately one year. There is no guarantee that you would be able to reinvest the
proceeds from an investment in the notes at a comparable return for a similar level of risk. Even in cases where the notes are called
before maturity, you are not entitled to any fees and commissions described on the front cover of this pricing supplement.
| · | THE
NOTES DO NOT PAY INTEREST. |
| · | YOU
WILL NOT HAVE ANY RIGHTS WITH RESPECT TO THE E-MINI® S&P 500®
FUTURES CONTRACTS (THE “UNDERLYING FUTURES CONTRACTS”) OR THE SECURITIES
INCLUDED IN THE INDEX UNDERLYING THE UNDERLYING FUTURES CONTRACTS. |
| · | THE
RISK OF THE CLOSING LEVEL OF THE INDEX FALLING BELOW THE BARRIER AMOUNT IS GREATER IF THE
LEVEL OF THE INDEX IS VOLATILE. |
The notes will not be listed on any securities
exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS
is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your notes to maturity.
Risks Relating to Conflicts of Interest
We and our affiliates play a variety of roles
in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests are potentially
adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours or our affiliates in
connection with the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please
refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement.
Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes
| · | THE
ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF
THE NOTES — |
The estimated value of the notes is only an
estimate determined by reference to several factors. The original issue price of the notes exceeds the estimated value of the notes because
costs associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include
the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging
our obligations under the notes and the estimated cost of hedging our obligations under the notes. See “The Estimated Value of
the Notes” in this pricing supplement.
PS-6
| Structured Investments
Auto Callable Accelerated Barrier Notes Linked to the S&P
500® Futures Excess Return Index |
|
| · | THE
ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS’ ESTIMATES — |
See “The Estimated Value of the Notes”
in this pricing supplement.
| · | THE
ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
|
The internal funding rate used in the determination
of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar
maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is
based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market
replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse
effect on the terms of the notes and any secondary market prices of the notes. See “The Estimated Value of the Notes” in
this pricing supplement.
| · | THE
VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS)
MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD
— |
We generally expect that some of the costs
included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes
by JPMS in an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices of the Notes”
in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes
during this initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account
statements).
| · | SECONDARY
MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES
— |
Any secondary market prices of the notes will
likely be lower than the original issue price of the notes because, among other things, secondary market prices take into account our
internal secondary market funding rates for structured debt issuances and, also, because secondary market prices may exclude selling
commissions, projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the notes.
As a result, the price if any, at which JPMS will be willing to buy the notes from you in secondary market transactions, if at all, is
likely to be lower than the original issue price. Any sale by you prior to the Maturity Date could result in a substantial loss to you.
| · | SECONDARY
MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS — |
The secondary market price of the notes during
their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the
selling commissions, projected hedging profits, if any, estimated hedging costs and the level of the Index. Additionally, independent
pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account
statements. This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase
your notes in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying
product supplement.
Risks Relating to the Index
| · | JPMORGAN
CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500®
INDEX, THE INDEX UNDERLYING THE UNDERLYING FUTURES CONTRACTS OF THE INDEX, |
but JPMorgan Chase & Co. will not have
any obligation to consider your interests in taking any corporate action that might affect the level of the Index.
| · | THE
INDEX IS SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH THE UNDERLYING FUTURES CONTRACTS —
|
The Index tracks the excess return of the Underlying
Futures Contracts. The price of an Underlying Futures Contract depends not only on the level of the underlying index referenced by the
Underlying Futures Contract, but also on a range of other factors, including but not limited to the performance and volatility of the
U.S. stock market, corporate earnings reports, geopolitical events, governmental and regulatory policies and the policies of the Chicago
Mercantile Exchange (the “Exchange”) on which the Underlying Futures Contracts trade. In addition, the futures markets are
subject to temporary distortions or other disruptions due to various factors, including the lack of liquidity in the markets, the participation
of speculators and government regulation and intervention. These factors and others can cause the prices of the Underlying Futures Contracts
to be volatile and could adversely affect the level of the Index and any payments on, and the value of, your notes.
PS-7
| Structured Investments
Auto Callable Accelerated Barrier Notes Linked to the S&P
500® Futures Excess Return Index |
|
| · | SUSPENSION
OR DISRUPTIONS OF MARKET TRADING IN THE UNDERLYING FUTURES CONTRACTS MAY ADVERSELY AFFECT
THE VALUE OF YOUR NOTES — |
Futures markets are subject to temporary distortions
or other disruptions due to various factors, including lack of liquidity, the participation of speculators, and government regulation
and intervention. In addition, futures exchanges generally have regulations that limit the amount of the Underlying Futures Contract
price fluctuations that may occur in a single day. These limits are generally referred to as “daily price fluctuation limits”
and the maximum or minimum price of a contract on any given day as a result of those limits is referred to as a “limit price.”
Once the limit price has been reached in a particular contract, no trades may be made at a price beyond the limit, or trading may be
limited for a set period of time. Limit prices have the effect of precluding trading in a particular contract or forcing the liquidation
of contracts at potentially disadvantageous times or prices. These circumstances could delay the calculation of the level of the Index
and could adversely affect the level of the Index and any payments on, and the value of, your notes.
| · | The
Performance of the Index Will Differ from the Performance of the Index Underlying the Underlying
Futures Contracts — |
A variety of factors can lead to a disparity between
the performance of a futures contract on an equity index and the performance of that equity index, including the expected dividend yields
of the equity securities included in that equity index, an implicit financing cost associated with futures contracts and policies of
the exchange on which the futures contracts are traded, such as margin requirements. Thus, a decline in expected dividends yields or
an increase in margin requirements may adversely affect the performance of the Index. In addition, the implicit financing cost will negatively
affect the performance of the Index, with a greater negative effect when market interest rates are higher. During periods of high market
interest rates, the Index is likely to underperform the equity index underlying the Underlying Futures Contracts, perhaps significantly.
| · | NEGATIVE
ROLL RETURNS ASSOCIATED WITH THE UNDERLYING FUTURES CONTRACTS MAY ADVERSELY AFFECT THE LEVEL
OF THE INDEX AND THE VALUE OF THE NOTES — |
The Index tracks the excess return of the Underlying
Futures Contracts. Unlike common equity securities, futures contracts, by their terms, have stated expirations. As the exchange-traded
Underlying Futures Contracts approach expiration, they are replaced by contracts of the same series that have a later expiration. For
example, an Underlying Futures Contract notionally purchased and held in June may specify a September expiration date. As time passes,
the contract expiring in September is replaced by a contract for delivery in December. This is accomplished by notionally selling the
September contract and notionally purchasing the December contract. This process is referred to as “rolling.” Excluding other
considerations, if prices are higher in the distant delivery months than in the nearer delivery months, the notional purchase of the
December contract would take place at a price that is higher than the price of the September contract, thereby creating a negative “roll
return.” Negative roll returns adversely affect the returns of the Underlying Futures Contracts and, therefore, the level of the
Index and any payments on, and the value of, the notes. Because of the potential effects of negative roll returns, it is possible for
the level of the Index to decrease significantly over time, even when the levels of the underlying index referenced by the Underlying
Futures Contracts are stable or increasing.
| o | THE
INDEX COMPRISES NOTIONAL ASSETS AND LIABILITIES. THERE IS NO ACTUAL PORTFOLIO OF ASSETS TO
WHICH ANY PERSON IS ENTITLED OR IN WHICH ANY PERSON HAS ANY OWNERSHIP INTEREST. |
PS-8
| Structured Investments
Auto Callable Accelerated Barrier Notes Linked to the S&P
500® Futures Excess Return Index |
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The Index
The Index measures the performance of the nearest maturing
quarterly Underlying Futures Contracts trading on the Chicago Mercantile Exchange (the “Exchange”). The Underlying Futures
Contracts are U.S. dollar-denominated futures contracts based on 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 and the Underlying Futures Contracts, see Annex A in this pricing supplement.
Historical Information
The following graph sets forth the historical performance
of the Index based on the weekly historical closing levels of the Index from January 4, 2019 through June 28, 2024. The closing level
of the Index on June 28, 2024 was 472.97. 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 Review
Date or the Observation Date. There can be no assurance that the performance of the Index will result in the return of any of your principal
amount.
Tax Treatment
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. The following discussion,
when read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding
the material U.S. federal income tax consequences of owning and disposing of notes.
Based on current market conditions, in the opinion
of our special tax counsel it is reasonable to treat the notes 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 notes should be treated as long-term capital gain or loss if you hold
your notes for more than a year, whether or not you are an initial purchaser of notes 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 notes 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 notes,
possibly with retroactive effect. You should consult your tax adviser regarding the
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U.S. federal income tax consequences of an investment
in the notes, 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 certain determinations made by us, our special tax counsel is of the opinion that Section 871(m) should not
apply to the notes with regard to Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination.
Section 871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other transactions
with respect to an Underlying Security. You should consult your tax adviser regarding the potential application of Section 871(m) to
the notes.
The Estimated
Value of the Notes
The estimated value of the notes set forth on the
cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt
component with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives
underlying the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be
willing to buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of
the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity
issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is
based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market
replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse
effect on the terms of the notes and any secondary market prices of the notes. For additional information, see “Selected Risk Considerations
— Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Derived
by Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives underlying
the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such
as the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and
which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or
environments. Accordingly, the estimated value of the notes is determined when the terms of the notes are set based on market conditions
and other relevant factors and assumptions existing at that time.
The estimated value of the notes does not represent
future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide valuations
for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant
factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change
significantly based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest
rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in
secondary market transactions.
The estimated value of the notes is lower than
the original issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original
issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the
projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes
and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced
by market forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss.
A portion of the profits, if any, realized in hedging our obligations under the notes may be allowed to other affiliated or unaffiliated
dealers, and we or one or more of our affiliates will retain any remaining hedging profits. See “Selected Risk Considerations —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Lower Than
the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
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Secondary
Market Prices of the Notes
For information about factors that will impact any secondary
market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the
Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product
supplement. In addition, we generally expect that some of the costs included in the original issue price of the notes will be partially
paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined
period. These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated hedging
costs and our internal secondary market funding rates for structured debt issuances. This initial predetermined time period is intended
to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects the structure
of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging
the notes and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations — Risks Relating
to the Estimated Value and Secondary Market Prices of the Notes — The Value of the Notes as Published by JPMS (and Which May Be
Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period”
in this pricing supplement.
Supplemental
Use of Proceeds
The notes are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the notes. See “Hypothetical Payout Profile” and “How
the Notes Work” in this pricing supplement for an illustration of the risk-return profile of the notes and “The Index”
in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to
the estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus)
the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the
notes, plus the estimated cost of hedging our obligations under the notes.
Validity
of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP,
as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by this pricing supplement have
been issued by JPMorgan Financial pursuant to the indenture, the trustee and/or paying agent has made, in accordance with the instructions
from JPMorgan Financial, the appropriate entries or notations in its records relating to the master global note that represents such
notes (the “master note”), and such notes have been delivered against payment as contemplated herein, such notes will be
valid and binding obligations of JPMorgan Financial and the related guarantee will constitute a valid and binding obligation of JPMorgan
Chase & Co., enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting
creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation,
concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion as to (i) the
effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above or (ii)
any provision of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar provision of
applicable law by limiting the amount of JPMorgan Chase & Co.’s obligation under the related guarantee. This opinion is given
as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware and the
Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustee’s authorization,
execution and delivery of the indenture and its authentication of the master note and the validity, binding nature and enforceability
of the indenture with respect to the trustee, all as stated in the letter of such counsel dated February 24, 2023, which was filed as
an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24, 2023.
Additional
Terms Specific to the Notes
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of
which these notes are a part, the accompanying prospectus addendum and the more detailed information contained in the accompanying product
supplement and the accompanying underlying supplement. This pricing supplement, together with the documents listed below, contains the
terms of the notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including
preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets,
brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk
Factors” sections of the accompanying prospectus supplement and the accompanying product supplement and in Annex A to the accompanying
prospectus addendum, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment,
legal, tax, accounting and other advisers before you invest in the notes.
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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.
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Annex
A
The S&P 500®
Futures Excess Return Index
All information contained in this pricing supplement
regarding the S&P 500® Futures Excess Return Index (the “SPX Futures Index”), including, without limitation,
its make-up, method of calculation and changes in its components, has been derived from publicly available information, without independent
verification. This information reflects the policies of, and is subject to change by, S&P Dow Jones Indices LLC (“S&P Dow
Jones”). The SPX Futures Index is calculated, maintained and published by S&P Dow Jones. S&P Dow Jones has no obligation
to continue to publish, and may discontinue the publication of, the SPX Futures Index.
The SPX Futures Index is reported by Bloomberg L.P.
under the ticker symbol “SPXFP.”
The SPX Futures Index measures the performance of
the nearest maturing quarterly E-mini® S&P 500® futures contracts (Symbol: ES) (the “Underlying
Futures Contracts”) trading on the Chicago Mercantile Exchange (the “Exchange”). E-mini® S&P 500®
futures contracts are U.S. dollar-denominated futures contracts based on the S&P 500® Index. For additional
information about the S&P 500® Index, see “Equity Index Descriptions — The S&P U.S. Indices”
in the accompanying underlying supplement. The SPX Futures Index is calculated real-time from the price change of the Underlying Futures
Contracts. The SPX Futures Index is an “excess return” index that is based on price levels of the Underlying Futures Contracts
as well as the discount or premium obtained by “rolling” hypothetical positions in the Underlying Futures Contracts as they
approach delivery. The SPX Futures Index does not reflect interest earned on hypothetical, fully collateralized contract positions.
Index Rolling
As each Underlying Futures Contract approaches maturity,
it is replaced by the next maturing Underlying Futures Contract in a process referred to as “rolling.” The rolling of the
SPX Futures Index occurs quarterly over a one-day rolling period (the “roll day”) every March, June, September and December,
effective after the close of trading five business days preceding the last trading date of the maturing Underlying Futures Contract.
On any scheduled roll day, the occurrence of either
of the following circumstances will result in an adjustment of the roll day according to the procedure set forth in this section:
| · | An exchange holiday occurs
on that scheduled roll day. |
| · | The daily contract price
of any Underlying Futures Contract within the index on that scheduled roll day is a limit
price. |
If either of the above events occur, the relevant
roll day will take place on the next designated commodity index business day whereby none of the circumstances identified take place.
If a disruption is approaching the last trading
day of a contract expiration, the Index Committee (defined below) will convene to determine the appropriate course of action, which may
include guidance from the Exchange.
The Index Committee may change the date of a given
rebalancing for reasons including market holidays occurring on or around the scheduled rebalancing date. Any such change will be announced
with proper advance notice where possible.
Index Calculations
The closing level of the SPX Futures Index on any
trading day reflects the change in the daily contract price of the Underlying Futures Contract since the immediately preceding trading
day. On each quarterly roll day, the closing level of the SPX Futures Index reflects the change from the daily contract price of the
maturing Underlying Futures Contract on the immediately preceding trading day to the daily contract price of the next maturing Underlying
Futures Contract on that roll day.
The daily contract price of an Underlying Futures
Contract will be the settlement price reported by the Exchange. If the Exchange fails to open due to unforeseen circumstances, such as
natural disasters, inclement weather, outages, or other events, the SPX Futures Index uses the prior daily contract prices. In situations
where the Exchange is forced to close early due to unforeseen events, such as computer or electric power failures, weather conditions
or other events, S&P Dow Jones calculates the closing level of the SPX Futures Index based on (1) the daily contract price published
by the Exchange, or (2) if no daily contract price is available, the Index Committee determines the course of action and notifies clients
accordingly.
Index Corrections and Recalculations
S&P Dow Jones reserves the right to recalculate
an index at its discretion in the event that settlement prices are amended or upon the occurrence of a missed index methodology event
(deviation from what is stated in the methodology document).
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Index Governance
An S&P Dow Jones index committee (the “Index
Committee”) maintains the SPX Futures Index. All committee members are full-time professional members of S&P Dow Jones’
staff. The Index Committee may revise index policy covering rules for including currencies, the timing of rebalancing or other matters.
The Index Committee considers information about changes to the SPX Futures Index and related matters to be potentially market moving
and material. Therefore, all Index Committee discussions are confidential.
The Index Committees reserve the right to make exceptions
when applying the methodology of the SPX Futures Index if the need arises. In any scenario where the treatment differs from the general
rules stated in this document or supplemental documents, notice will be provided, whenever possible.
In addition to the daily governance of the SPX Futures
Index and maintenance of its index methodology, at least once within any 12-month period, the Index Committee reviews the methodology
to ensure the SPX Futures Index continues to achieve the stated objectives, and that the data and methodology remain effective. In certain
instances, S&P Dow Jones may publish a consultation inviting comments from external parties.
License Agreement
JPMorgan Chase & Co. or its affiliate has entered
into an agreement with S&P Dow Jones that provides 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 SPX Futures Index, which is owned and published by S&P Dow
Jones, in connection with certain securities, including the notes.
The notes are not sponsored, endorsed, sold or promoted
by S&P Dow Jones or its third-party licensors. Neither S&P Dow Jones nor its third-party licensors make any representation or
warranty, express or implied, to the owners of the notes or any member of the public regarding the advisability of investing in securities
generally or in the notes particularly or the ability of the SPX Futures Index to track general stock market performance. S&P Dow
Jones’ and its third-party licensors’ only relationship to JPMorgan Financial or JPMorgan Chase & Co. is the licensing
of certain trademarks and trade names of S&P Dow Jones and the third-party licensors and of the SPX Futures Index which is determined,
composed and calculated by S&P Dow Jones or its third-party licensors without regard to JPMorgan Financial or JPMorgan Chase &
Co. or the notes. S&P Dow Jones and its third-party licensors have no obligation to take the needs of JPMorgan Financial or JPMorgan
Chase & Co. or the owners of the notes into consideration in determining, composing or calculating the SPX Futures Index. Neither
S&P Dow Jones nor its third-party licensors are responsible for and has not participated in the determination of the prices and amount
of the notes or the timing of the issuance or sale of the notes or in the determination or calculation of the equation by which the notes
are to be converted into cash. S&P Dow Jones has no obligation or liability in connection with the administration, marketing or trading
of the notes.
NEITHER S&P
DOW JONES, ITS AFFILIATES NOR THEIR THIRD-PARTY LICENSORS GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE SPX
FUTURES INDEX OR ANY DATA INCLUDED THEREIN OR ANY COMMUNICATIONS, INCLUDING BUT NOT LIMITED TO,
ORAL OR WRITTEN COMMUNICATIONS (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES, ITS AFFILIATES AND THEIR
THIRD-PARTY LICENSORS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS OR DELAYS THEREIN. S&P DOW JONES
MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE
OR USE WITH RESPECT TO THE MARKS, THE SPX FUTURES INDEX OR
ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES, ITS AFFILIATES OR THEIR
THIRD-PARTY LICENSORS BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE OR CONSEQUENTIAL DAMAGES, INCLUDING BUT NOT LIMITED TO,
LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN
CONTRACT, TORT, STRICT LIABILITY OR OTHERWISE.
“S&P®” and “S&P
500®” are trademarks of S&P Global, Inc. or its affiliates and have been licensed for use by JPMorgan Chase
& Co. and its affiliates, including JPMorgan Financial.
Background on Futures Contracts
Overview of Futures Markets
Futures contracts are contracts that legally obligate
the holder to buy or sell an asset at a predetermined delivery price during a specified future time period. Futures contracts are traded
on regulated futures exchanges, in the over-the-counter market and on various types of physical and electronic trading facilities and
markets. An exchange-traded futures contract provides for the purchase and sale of a specified type and quantity of an underlying asset
or financial instrument during a stated delivery month for a fixed price. A futures contract provides for a specified settlement month
in which the cash settlement is made or in which the underlying asset or financial instrument is to be delivered by the seller (whose
position is therefore described as “short”) and acquired by the purchaser (whose position is therefore described as “long”).
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No purchase price is paid or received on the purchase
or sale of a futures contract. Instead, an amount of cash or cash equivalents must be deposited with the broker as “initial margin.”
This amount varies based on the requirements imposed by the exchange clearing houses, but it may be lower than 5% of the notional value
of the contract. This margin deposit provides collateral for the obligations of the parties to the futures contract.
By depositing margin, which may vary in form depending
on the exchange, with the clearing house or broker involved, a market participant may be able to earn interest on its margin funds, thereby
increasing the total return that it may realize from an investment in futures contracts.
In the United States, futures contracts are traded
on designated contract markets. At any time prior to the expiration of a futures contract, a trader may elect to close out its position
by taking an opposite position on the exchange on which the trader obtained the position, subject to the availability of a liquid secondary
market. This operates to terminate the position and fix the trader’s profit or loss. Futures contracts are cleared through the
facilities of a centralized clearing house and a brokerage firm, referred to as a “futures commission merchant,” which is
a member of the clearing house.
Unlike common equity securities, futures contracts,
by their terms, have stated expirations. At a specific point in time prior to expiration, trading in a futures contract for the current
delivery month will cease. As a result, a market participant wishing to maintain its exposure to a futures contract on a particular asset
or financial instrument with the nearest expiration must close out its position in the expiring contract and establish a new position
in the contract for the next delivery month, a process referred to as “rolling.” For example, a market participant with a
long position in a futures contract expiring in November who wishes to maintain a position in the nearest delivery month will, as the
November contract nears expiration, sell the November contract, which serves to close out the existing long position, and buy a futures
contract expiring in December. This will “roll” the November position into a December position, and, when the November contract
expires, the market participant will still have a long position in the nearest delivery month.
Futures exchanges and clearing houses in the United
States are subject to regulation by the Commodity Futures Trading Commission (the “CFTC”). Exchanges may adopt rules and
take other actions that affect trading, including imposing speculative position limits, maximum price fluctuations and trading halts
and suspensions and requiring liquidation of contracts in certain circumstances. Futures markets outside the United States are generally
subject to regulation by foreign regulatory authorities comparable to the CFTC. The structure and nature of trading on non-U.S. exchanges,
however, may differ from the above description.
Underlying Futures Contracts
E-mini® S&P 500®
futures contracts are U.S. dollar-denominated futures contracts, based on the S&P 500® Index, traded on the Exchange,
representing a contract unit of $50 multiplied by the S&P 500® Index, measured in cents per index point.
E-mini® S&P 500®
futures contracts listed for the nearest nine quarters, for each March, June, September and December, and the nearest three Decembers
are available for trading. Trading of the E-mini® S&P 500® futures contracts will terminate at 9:30
A.M. Eastern time on the third Friday of the contract month.
The daily settlement prices of the E-mini®
S&P 500® futures contracts are based on trading activity in the relevant contract (and in the case of a lead
month also being the expiry month, together with trading activity on lead month-second month spread contracts) on the Exchange during
a specified settlement period. The final settlement price of E-mini® S&P 500® futures contracts is
based on the opening prices of the component stocks in the S&P 500® Index, determined on the third Friday of the contract
month.
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Exhibit 107.1
The pricing supplement to which this Exhibit is
attached is a final prospectus for the related offering(s). The maximum aggregate offering price of the related offering(s) is $546,000.
JP Morgan Alerian MLP (AMEX:AMJ)
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