June 3, 2024 |
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
JPMorgan Chase Financial Company LLC
Structured Investments
$588,000
Capped Accelerated Barrier Notes Linked to the Lesser
Performing of the Common Stock of Gilead Sciences, Inc. and the Common Stock of Target Corporation due June 8, 2027
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
| · | The notes are designed for investors who seek a return of 5.00 times any appreciation of the lesser performing of the Reference Stocks,
up to a maximum return of 200.00%, at maturity. |
| · | Investors should be willing to forgo interest and dividend 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. |
| · | Payments on the notes are not linked to a basket composed of the Reference Stocks. Payments on the notes are linked to the performance
of each of the Reference Stocks individually, as described below. |
| · | Minimum denominations of $1,000 and integral multiples thereof |
| · | The notes priced on June 3, 2024 and are expected to settle on or about June 6, 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-4 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, 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 |
$8.50 |
$991.50 |
Total |
$588,000 |
$4,998 |
$583,002 |
(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 $8.50 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 $978.90 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, 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.
Reference
Stocks: As specified under “Key Terms Relating to the Reference Stocks” in this
pricing supplement
Maximum
Return: 200.00% (corresponding to a maximum payment at maturity of $3,000.00 per $1,000 principal
amount note)
Upside
Leverage Factor: 5.00
Barrier Amount: With respect
to each Reference Stock, 75.00% of its Initial Value, as specified under “Key Terms Relating to the Reference Stocks” in this
pricing supplement
Pricing
Date: June 3, 2024
Original
Issue Date (Settlement Date): On or about June 6, 2024
Observation
Date*: June 3, 2027
Maturity
Date*: June 8, 2027
* Subject to postponement in the event of a market disruption
event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple
Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement |
Payment at Maturity:
If the Final Value of each Reference Stock is greater than its Initial
Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing Stock
Return × Upside Leverage Factor), subject to the Maximum Return
If the Final Value of either Reference Stock is equal to or less than
its Initial Value but the Final Value of each Reference Stock is greater than or equal to its Barrier Amount, you will receive the principal
amount of your notes at maturity.
If the Final Value of either Reference Stock is less than its Barrier
Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing Stock
Return)
If the Final Value of either Reference Stock is less than its Barrier
Amount, you will lose more than 25.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
Lesser Performing Reference Stock: The
Reference Stock with the Lesser Performing Stock Return
Lesser Performing Stock Return: The
lower of the Stock Returns of the Reference Stocks
Stock Return:
With respect to each Reference Stock,
(Final Value – Initial Value)
Initial Value
Initial
Value: With respect to each Reference Stock, the closing
price of one share of that Reference Stock on the Pricing Date, as specified under “Key Terms Relating to the Reference Stocks”
in this pricing supplement.
Final
Value: With respect to each Reference Stock, the closing price of one share of that Reference Stock on the Observation Date
Stock
Adjustment Factor: With respect to each Reference Stock, the Stock Adjustment Factor is referenced in determining the closing
price of one share of that Reference Stock and is set equal to 1.0 on the Pricing Date. The Stock Adjustment Factor of each Reference
Stock is subject to adjustment upon the occurrence of certain corporate events affecting that Reference Stock. See “The Underlyings
— Reference Stocks — Anti-Dilution Adjustments” and “The Underlyings — Reference Stocks — Reorganization
Events” in the accompanying product supplement for further information.
|
PS-1
| Structured Investments
Capped Accelerated Barrier Notes Linked to the Lesser Performing
of the Common Stock of Gilead Sciences, Inc. and the Common Stock of Target Corporation |
|
Key Terms Relating
to the Reference Stocks
Reference Stock |
Bloomberg
Ticker Symbol |
Initial Value |
Barrier Amount |
Common stock of Gilead Sciences, Inc., par value $0.001 per share |
GILD |
$63.43 |
$47.5725 |
Common stock of Target Corporation, par value $0.0833 per share |
TGT |
$153.03 |
$114.7725 |
Supplemental Terms of the Notes
Any values of the Reference Stocks, 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.
PS-2
| Structured Investments
Capped Accelerated Barrier Notes Linked to the Lesser Performing
of the Common Stock of Gilead Sciences, Inc. and the Common Stock of Target Corporation |
|
Hypothetical Payout Profile
The following table and graph illustrate the hypothetical
total return and payment at maturity on the notes linked to two hypothetical Reference Stocks. 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:
| · | a Initial Value for the Lesser Performing Reference Stock of $100.00; |
| · | a Maximum Return of 200.00%; |
| · | an Upside Leverage Factor of 5.00; and |
| · | a Barrier Amount for the Lesser Performing Reference Stock of $75.00 (equal to 75.00% of its hypothetical Initial Value). |
The hypothetical Initial Value of the Lesser Performing
Reference Stock of $100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value of either Reference
Stock. The actual Initial Value of each Reference Stock is the closing price of one share of that Reference Stock on the Pricing Date
and is specified under “Key Terms Relating to the Reference Stocks” in this pricing supplement. For historical data regarding
the actual closing prices of one share of each Reference Stock, please see the historical information set forth under “The Reference
Stocks” 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 and graph have been rounded for ease of analysis.
Final Value of the
Lesser Performing
Reference Stock |
Lesser Performing Stock
Return |
Total Return on the Notes |
Payment at Maturity |
$350.00 |
250.00% |
200.00% |
$3,000.00 |
$300.00 |
200.00% |
200.00% |
$3,000.00 |
$250.00 |
150.00% |
200.00% |
$3,000.00 |
$200.00 |
100.00% |
200.00% |
$3,000.00 |
$180.00 |
80.00% |
200.00% |
$3,000.00 |
$165.00 |
65.00% |
200.00% |
$3,000.00 |
$150.00 |
50.00% |
200.00% |
$3,000.00 |
$140.00 |
40.00% |
200.00% |
$3,000.00 |
$130.00 |
30.00% |
150.00% |
$2,500.00 |
$120.00 |
20.00% |
100.00% |
$2,000.00 |
$110.00 |
10.00% |
50.00% |
$1,500.00 |
$105.00 |
5.00% |
25.00% |
$1,250.00 |
$101.00 |
1.00% |
5.00% |
$1,050.00 |
$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 |
$75.00 |
-25.00% |
0.00% |
$1,000.00 |
$74.99 |
-25.01% |
-25.01% |
$750.00 |
$70.00 |
-30.00% |
-30.00% |
$700.00 |
$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-3
| Structured Investments
Capped Accelerated Barrier Notes Linked to the Lesser Performing
of the Common Stock of Gilead Sciences, Inc. and the Common Stock of Target Corporation |
|
The following graph demonstrates the hypothetical
payments at maturity on the notes for a range of Lesser Performing Stock Returns. There can be no assurance that the performance of the
Lesser Performing Reference Stock will result in the return of any of your principal amount.
How the Notes
Work
Upside Scenario:
If the Final Value of each Reference Stock is greater
than its Initial Value, investors will receive at maturity the $1,000 principal amount plus a return equal to the Lesser Performing
Stock Return times the Upside Leverage Factor of 5.00, up to a Maximum Return of 200.00%. An investor will realize the maximum
payment at maturity at a Final Value of the Lesser Performing Reference Stock of 140.00% or more of its Initial Value.
| · | If the closing price of one share of the Lesser Performing Reference Stock increases 10.00%, investors will receive at maturity a
return equal to 50.00%, or $1,500.00 per $1,000 principal amount note. |
| · | If the closing price of one share of the Lesser Performing Reference Stock increases 250.00%, investors will receive at maturity a
return equal to the 200.00% Maximum Return, or $3,000.00 per $1,000 principal amount note, which is
the maximum payment at maturity. |
Par Scenario:
If the Final Value of either Reference Stock is equal
to or less than its Initial Value but the Final Value of each Reference Stock is greater than or equal to its Barrier Amount of 75.00%
of its Initial Value, investors will receive at maturity the principal amount of their notes.
Downside Scenario:
If the Final Value of either Reference Stock is less
than its Barrier Amount of 75.00% of its Initial Value, investors will lose 1% of the principal amount of their notes for every 1% that
the Final Value of the Lesser Performing Reference Stock is less than its Initial Value.
| · | For example, if the closing price of one share of the Lesser Performing Reference Stock 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. 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.
PS-4
| Structured Investments
Capped Accelerated Barrier Notes Linked to the Lesser Performing
of the Common Stock of Gilead Sciences, Inc. and the Common Stock of Target Corporation |
|
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 Final Value of either Reference Stock is less than its Barrier Amount, you will lose 1% of the principal amount of your notes for
every 1% that the Final Value of the Lesser Performing Reference Stock is less than its Initial Value. Accordingly, under these circumstances,
you will lose more than 25.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
| · | YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE MAXIMUM RETURN — |
regardless of any appreciation of either Reference
Stock, which may be significant.
| · | 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 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.
| · | YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE PRICE OF ONE SHARE OF EACH REFERENCE STOCK — |
Payments on the notes are not linked to a basket
composed of the Reference Stocks and are contingent upon the performance of each individual Reference Stock. Poor performance by either
of the Reference Stocks over the term of the notes may negatively affect your payment at maturity and will not be offset or mitigated
by positive performance by the other Reference Stock.
| · | YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LESSER PERFORMING REFERENCE STOCK. |
| · | THE BENEFIT PROVIDED BY THE BARRIER AMOUNT MAY TERMINATE ON THE OBSERVATION DATE — |
If the Final Value of either Reference Stock
is less than its Barrier Amount, the benefit provided by the Barrier Amount will terminate and you will be fully exposed to any depreciation
of the Lesser Performing Reference Stock.
| · | THE NOTES DO NOT PAY INTEREST. |
| · | YOU WILL NOT RECEIVE DIVIDENDS ON ANY REFERENCE STOCK OR HAVE ANY RIGHTS WITH RESPECT TO ANY REFERENCE STOCK. |
| · | THE RISK OF THE CLOSING PRICE OF ONE SHARE OF A REFERENCE STOCK FALLING BELOW ITS BARRIER AMOUNT IS GREATER IF THE PRICE OF ONE
SHARE OF THAT REFERENCE STOCK 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.
PS-5
| Structured Investments
Capped Accelerated Barrier Notes Linked to the Lesser Performing
of the Common Stock of Gilead Sciences, Inc. and the Common Stock of Target Corporation |
|
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.
| · | 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 prices of one share of the Reference Stocks. 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
PS-6
| Structured Investments
Capped Accelerated Barrier Notes Linked to the Lesser Performing
of the Common Stock of Gilead Sciences, Inc. and the Common Stock of Target Corporation |
|
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 Reference Stocks
| · | NO AFFILIATION WITH EITHER REFERENCE STOCK ISSUER — |
We have not independently verified any of the
information about either Reference Stock issuer contained in this pricing supplement. You should undertake your own investigation into
each Reference Stock and its issuer. We are not responsible for either Reference Stock issuer’s public disclosure of information,
whether contained in SEC filings or otherwise.
| · | THE ANTI-DILUTION PROTECTION FOR EACH REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY — |
The calculation agent will not make an adjustment
in response to all events that could affect a Reference Stock. The calculation agent may make adjustments in response to events that are
not described in the accompanying product supplement to account for any diluting or concentrative effect, but the calculation agent is
under no obligation to do so or to consider your interests as a holder of the notes in making these determinations.
PS-7
| Structured Investments
Capped Accelerated Barrier Notes Linked to the Lesser Performing
of the Common Stock of Gilead Sciences, Inc. and the Common Stock of Target Corporation |
|
All information contained herein on the Reference Stocks
and on the Reference Stock issuers is derived from publicly available sources, without independent verification. Each Reference Stock
is registered under the Securities Exchange Act of 1934, as amended, which we refer to as the Exchange Act, and is listed on the exchange
provided in the table below, which we refer to as the relevant exchange for purposes of that Reference Stock in the accompanying product
supplement. Information provided to or filed with the SEC by a Reference Stock issuer pursuant to the Exchange Act can be located by reference
to the SEC file number provided in the table below, and can be accessed through www.sec.gov. We do not make any representation that these
publicly available documents are accurate or complete. We obtained the closing prices below from the Bloomberg Professional®
service (“Bloomberg”) without independent verification.
Reference Stock |
Bloomberg
Ticker Symbol |
Relevant
Exchange |
SEC File
Number |
Closing Price on
June 3, 2024 |
Common stock of Gilead Sciences, Inc., par value $0.001 per share |
GILD |
The Nasdaq Stock Market |
000-19731 |
$63.43 |
Common stock of Target Corporation, par value $0.0833 per share |
TGT |
New York Stock Exchange |
001-06049 |
$153.03 |
According to publicly available filings of the relevant
Reference Stock issuer with the SEC:
| · | Gilead Sciences, Inc. is a biopharmaceutical company that discovers, develops and delivers medicines to prevent and treat life-threatening
diseases, including HIV, viral hepatitis, coronavirus disease 2019 and cancer. |
| · | Target Corporation is a general merchandise retailer selling products to its guests through its stores and digital channels. |
Historical Information
The following graphs set forth the historical performance
of each Reference Stock based on the weekly historical closing prices of one share of that Reference Stock from January 4, 2019 through
May 24, 2024. The closing prices above and below may have been adjusted by Bloomberg for corporate actions, such as stock splits, public
offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
The historical closing prices of one share of each
Reference Stock should not be taken as an indication of future performance, and no assurance can be given as to the closing price of one
share of any Reference Stock on the Observation Date. There can be no assurance that the performance of the Reference Stocks will result
in the return of any of your principal amount.
PS-8
| Structured Investments
Capped Accelerated Barrier Notes Linked to the Lesser Performing
of the Common Stock of Gilead Sciences, Inc. and the Common Stock of Target Corporation |
|
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 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.
PS-9
| Structured Investments
Capped Accelerated Barrier Notes Linked to the Lesser Performing
of the Common Stock of Gilead Sciences, Inc. and the Common Stock of Target Corporation |
|
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.
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.
PS-10
| Structured Investments
Capped Accelerated Barrier Notes Linked to the Lesser Performing
of the Common Stock of Gilead Sciences, Inc. and the Common Stock of Target Corporation |
|
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 Reference
Stocks” 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.
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.
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.
PS-11
| Structured Investments
Capped Accelerated Barrier Notes Linked to the Lesser Performing
of the Common Stock of Gilead Sciences, Inc. and the Common Stock of Target Corporation |
|
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 $588,000.
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