September 25, 2024 |
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
JPMorgan Chase Financial Company LLC
Structured Investments
$1,793,000
Capped Notes Linked to the Least Performing of the S&P 500®
Index, the S&P 500® Equal Weight Index and the Dow Jones Industrial Average® due December 31, 2026
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
| · | The notes are designed for investors who seek exposure to any appreciation of the least performing of the S&P 500®
Index, the S&P 500® Equal Weight Index and the Dow Jones Industrial Average®, which we refer to as the
Indices, over the term of the notes up to a maximum return of 19.00% at maturity. |
| · | Investors should be willing to forgo interest and dividend payments, while seeking full repayment of principal 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 Indices. Payments on the notes are linked to the performance of each
of the Indices individually, as described below. |
| · | Minimum denominations of $1,000 and integral multiples thereof |
| · | The notes priced on September 25, 2024 and are expected to settle on or about September 30, 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-12 of the accompanying product supplement and “Selected Risk Considerations” beginning on page PS-3 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 |
$10 |
$990 |
Total |
$1,793,000 |
$17,930 |
$1,775,070 |
(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 $10.00 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
$984.60 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. 3-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.
Indices:
The S&P 500® Index (Bloomberg ticker: SPX), the S&P 500® Equal Weight
Index (Bloomberg ticker: SPW) and the Dow Jones Industrial Average® (Bloomberg ticker: INDU)
Participation Rate:
100.00%
Maximum Amount:
$190.00 per $1,000 principal amount note
Pricing Date:
September 25, 2024
Original
Issue Date (Settlement Date): On or about September 30, 2024
Observation Date*:
December 28, 2026
Maturity Date*:
December 31, 2026
* 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:
At maturity, you will receive a cash payment, for each $1,000 principal amount note,
of $1,000 plus the Additional Amount, which may be zero and will not be greater than the Maximum Amount.
You are entitled to repayment of principal in full at maturity, subject to the
credit risks of JPMorgan Financial and JPMorgan Chase & Co.
Additional Amount:
The Additional Amount payable at maturity per $1,000
principal amount note will equal:
$1,000 × Least Performing Index Return × Participation
Rate,
provided that the Additional Amount will not be less than zero or greater than
the Maximum Amount.
Least Performing Index: The
Index with the Least Performing Index Return
Least Performing Index Return: The
lowest of the Index Returns of the Indices
Index Return:
With respect to each Index,
(Final Value – Initial Value)
Initial Value
Initial
Value: With respect to each Index, the closing level
of that Index on the Pricing Date, which was 5,722.26 for the S&P 500® Index, 7,171.64 for the S&P 500®
Equal Weight Index and 41,914.75 for the Dow Jones Industrial Average®
Final
Value: With respect to each Index, the closing level of that Index on the Observation Date
PS-1
| Structured Investments
Capped Notes Linked to the Least Performing of the S&P 500®
Index, the S&P 500® Equal Weight Index and the Dow Jones Industrial Average® |
|
Supplemental Terms of
the Notes
Any values of the Indices,
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
The following table and graph illustrate the hypothetical payment
at maturity on the notes linked to three hypothetical Indices. The hypothetical payments set forth below assume the following:
| · | an Initial Value for the Least Performing Index of 100.00; |
| · | a Participation Rate of 100.00%; and |
| · | a Maximum Amount of $190.00 per $1,000 principal amount note. |
The hypothetical Initial Value of the Least Performing Index of
100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value of any Index. The actual Initial
Value of each Index is the closing level of that 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 each Index, please see the historical information
set forth under “The Indices” in this pricing supplement.
Each hypothetical payment at maturity set forth below is for illustrative
purposes only and may not be the actual 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 Least
Performing Index |
Least Performing Index
Return |
Additional Amount |
Payment at Maturity |
180.00 |
80.00% |
$190.00 |
$1,190.00 |
165.00 |
65.00% |
$190.00 |
$1,190.00 |
150.00 |
50.00% |
$190.00 |
$1,190.00 |
140.00 |
40.00% |
$190.00 |
$1,190.00 |
130.00 |
30.00% |
$190.00 |
$1,190.00 |
120.00 |
20.00% |
$190.00 |
$1,190.00 |
119.00 |
19.00% |
$190.00 |
$1,190.00 |
110.00 |
10.00% |
$100.00 |
$1,100.00 |
105.00 |
5.00% |
$50.00 |
$1,050.00 |
101.00 |
1.00% |
$10.00 |
$1,010.00 |
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 |
60.00 |
-40.00% |
$0.00 |
$1,000.00 |
50.00 |
-50.00% |
$0.00 |
$1,000.00 |
40.00 |
-60.00% |
$0.00 |
$1,000.00 |
30.00 |
-70.00% |
$0.00 |
$1,000.00 |
20.00 |
-80.00% |
$0.00 |
$1,000.00 |
10.00 |
-90.00% |
$0.00 |
$1,000.00 |
0.00 |
-100.00% |
$0.00 |
$1,000.00 |
PS-2
| Structured Investments
Capped Notes Linked to the Least Performing of the S&P 500®
Index, the S&P 500® Equal Weight Index and the Dow Jones Industrial Average® |
|
The following graph demonstrates the hypothetical payments at maturity
on the notes for a range of Least Performing Index Returns. There can be no assurance that the performance of the Least Performing
Index will result in a payment at maturity in excess of $1,000.00 per $1,000 principal amount note, subject to the credit risks of JPMorgan
Financial and JPMorgan Chase & Co.
How the Notes Work
Upside Scenario:
If the Final Value of each Index is greater than its Initial Value,
investors will receive at maturity the $1,000 principal amount plus the Additional Amount, which is equal to $1,000 times
the Least Performing Index Return times the Participation Rate of 100.00%, and which will not be greater than the Maximum Amount
of $190.00 per $1,000 principal amount note. An investor will realize the maximum payment at maturity at a Final Value of the Least Performing
Index of 119.00% or more of its Initial Value.
| · | If the closing level of the Least Performing Index increases 5.00%, investors will receive at maturity a return equal to 5.00%, or
$1,050.00 per $1,000 principal amount note. |
| · | If the closing level of the Least Performing Index increases 50.00%, investors will receive at maturity a return equal to 19.00%,
or $1,190.00 per $1,000 principal amount note, which is the maximum payment at maturity. |
Par Scenario:
If the Final Value of any Index is less than or equal to its Initial
Value, the Additional Amount will be zero and investors will receive at maturity the principal amount of their notes.
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.
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
| · | THE NOTES MAY NOT PAY MORE THAN THE PRINCIPAL AMOUNT AT MATURITY — |
If the Final Value of any Index is less than or equal to
its Initial Value, you will receive only the principal amount of your notes at maturity, and you will not be compensated for any loss
in value due to inflation and other factors relating to the value of money over time.
| · | YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE MAXIMUM AMOUNT, |
regardless of any appreciation of any Index, which may be
significant.
PS-3
| Structured Investments
Capped Notes Linked to the Least Performing of the S&P 500®
Index, the S&P 500® Equal Weight Index and the Dow Jones Industrial Average® |
|
| · | 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 LEVEL OF EACH INDEX — |
Payments on the notes are not linked to a basket composed
of the Indices and are contingent upon the performance of each individual Index. Poor performance by any of the Indices over the term
of the notes may negatively affect your payment at maturity and will not be offset or mitigated by positive performance by any other Index.
| · | YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING INDEX. |
| · | THE NOTES DO NOT PAY INTEREST. |
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN ANY INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES. |
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.
| · | 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.
PS-4
| Structured Investments
Capped Notes Linked to the Least Performing of the S&P 500®
Index, the S&P 500® Equal Weight Index and the Dow Jones Industrial Average® |
|
| · | 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 levels of the Indices. 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 Indices
| · | JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE INDICES, |
but JPMorgan Chase & Co. will not have any
obligation to consider your interests in taking any corporate action that might affect the level of any Index.
PS-5
| Structured Investments
Capped Notes Linked to the Least Performing of the S&P 500®
Index, the S&P 500® Equal Weight Index and the Dow Jones Industrial Average® |
|
The Indices
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 S&P 500®
Index, see “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying underlying supplement.
The S&P 500® Equal Weight Index is an equal-weighted
version of the S&P 500® Index. The S&P 500® Index consists of stocks of 500 companies selected to
provide a performance benchmark for the U.S. equity markets. For additional information about the S&P 500® Equal Weight
Index, see “Equity Index Descriptions — The S&P Equal Weight Indices” in the accompanying underlying supplement.
The Dow Jones Industrial Average® consists of 30
common stocks chosen as representative of the broad market of U.S. industry. For additional information about the Dow Jones Industrial
Average®, see “Equity Index Descriptions — The Dow Jones Industrial Average®” in the accompanying
underlying supplement.
Historical Information
The following graphs set forth the historical performance of each
Index based on the weekly historical closing levels from January 4, 2019 through September 20, 2024. The closing level of the S&P
500® Index on September 25, 2024 was 5,722.26. The closing level of the S&P 500® Equal Weight Index
on September 25, 2024 was 7,171.64. The closing level of the Dow Jones Industrial Average® on September 25, 2024 was 41,914.75.
We obtained the closing levels above and below from the Bloomberg Professional® service (“Bloomberg”), without
independent verification.
The historical closing levels of each Index should not be taken
as an indication of future performance, and no assurance can be given as to the closing level of any Index on the Observation Date. There
can be no assurance that the performance of the Indices will result in a payment at maturity in excess of your principal amount,
subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
PS-6
| Structured Investments
Capped Notes Linked to the Least Performing of the S&P 500®
Index, the S&P 500® Equal Weight Index and the Dow Jones Industrial Average® |
|
Tax Treatment
There is uncertainty regarding the U.S. federal income tax consequences
of an investment in the notes due to the lack of governing authority. You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences,” and in particular the subsection thereof entitled “— Tax Consequences to U.S.
Holders — Notes with a Term of More than One Year — Notes Treated as Contingent Payment Debt Instruments” in the accompanying
product supplement no. 3-I. Based on current market conditions, we intend to treat the notes for U.S. federal income tax purposes as “contingent
payment debt instruments.” Assuming this treatment is respected, as discussed in that subsection, unlike a traditional debt instrument
that provides for periodic payments of interest at a single fixed rate, with respect to which a cash-method investor generally recognizes
income only upon receipt of stated interest, you generally will be required to accrue original issue discount (“OID”) on your
notes in each taxable year at the “comparable yield,” as determined by us, although we will not make any payment with respect
to the notes until maturity. Upon sale or exchange (including at maturity), you will recognize taxable income or loss equal to the difference
between the amount received from the sale or exchange and your adjusted basis in the note, which generally will equal the cost thereof,
increased by the amount of OID you have accrued in respect of the note. You generally must treat any income as interest income and any
loss as ordinary loss to the extent of previous interest inclusions, and the balance as capital loss. The deductibility of capital losses
is subject to limitations. Special rules may apply if the amount payable at maturity is treated as becoming fixed prior to maturity. You
should consult your tax adviser concerning the application of these rules. The discussions herein and in the accompanying product supplement
do not address the consequences to taxpayers subject to special tax accounting rules under Section 451(b) of the Code. Purchasers who
are not initial purchasers of notes at their issue price should
PS-7
| Structured Investments
Capped Notes Linked to the Least Performing of the S&P 500®
Index, the S&P 500® Equal Weight Index and the Dow Jones Industrial Average® |
|
consult their tax advisers with respect to the tax consequences of an investment
in notes, including the treatment of the difference, if any, between the basis in their notes and the notes’ adjusted issue price.
Our intended treatment of the notes as CPDIs will be binding
on you, unless you properly disclose to the IRS an alternative treatment. Also, the IRS may challenge the treatment of the notes as CPDIs.
If the IRS successfully challenges the treatment of the notes as CPDIs, then the notes will be treated as debt instruments that are not
CPDIs and, would require the accrual of original issue discount as ordinary interest income based on a yield to maturity higher than the
comparable yield. Accordingly, under this treatment, your annual taxable income from (and adjusted tax basis in) the notes would be higher
than if the notes were treated as CPDIs, and any loss recognized upon a disposition of the notes (including upon maturity) would be capital
loss, the deductibility of which is subject to limitations. Accordingly, this alternative treatment could result in adverse tax consequences
to you.
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 discussions in the preceding paragraphs, when read in combination
with the section entitled “Material U.S. Federal Income Tax Consequences” (and in particular the subsection thereof entitled
“— Tax Consequences to U.S. Holders — Notes with a Term of More than One Year — Notes Treated as Contingent Payment
Debt Instruments”) in the accompanying product supplement, to the extent they reflect statements of law, constitute the full opinion
of Davis Polk & Wardwell LLP regarding the material U.S. federal income tax consequences of owning and disposing of the notes.
Comparable Yield and Projected
Payment Schedule
We have determined that
the “comparable yield” is an annual rate of 4.88%, compounded semiannually. Based on our determination of the comparable yield,
the “projected payment schedule” per $1,000 principal amount note consists of a single payment at maturity, equal to $1,114.67.
Assuming a semiannual accrual period, the following table sets out the amount of OID that will accrue with respect to a note during each
calendar period, based upon our determination of the comparable yield and projected payment schedule.
Calendar Period |
Accrued OID During
Calendar Period (Per
$1,000 Principal Amount
Note) |
Total Accrued OID from Original
Issue Date (Per $1,000 Principal
Amount Note) as of End of Calendar
Period |
September 30, 2024 through December 31, 2024 |
$12.20 |
$12.20 |
January 1, 2025 through December 31, 2025 |
$50.00 |
$62.20 |
January 1, 2026 through December 31, 2026 |
$52.47 |
$114.67 |
The comparable yield and
projected payment schedule are determined solely to calculate the amount on which you will be taxed with respect to the notes in each
year and are neither a prediction nor a guarantee of what the actual yield will be. The amount you actually receive at maturity or earlier
sale or exchange of your notes will affect your income for that year, as described above under “Tax Treatment.”
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
PS-8
| Structured Investments
Capped Notes Linked to the Least Performing of the S&P 500®
Index, the S&P 500® Equal Weight Index and the Dow Jones Industrial Average® |
|
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.
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 Indices”
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.
PS-9
| Structured Investments
Capped Notes Linked to the Least Performing of the S&P 500®
Index, the S&P 500® Equal Weight Index and the Dow Jones Industrial Average® |
|
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.
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-10
| Structured Investments
Capped Notes Linked to the Least Performing of the S&P 500®
Index, the S&P 500® Equal Weight Index and the Dow Jones Industrial Average® |
|
S-3
424B2
EX-FILING FEES
333-270004
0000019617
JPMORGAN CHASE & CO
0000019617
2024-09-27
2024-09-27
iso4217:USD
xbrli:pure
xbrli:shares
Calculation of Filing Fee Tables
|
S-3
|
JPMORGAN CHASE & CO
|
The maximum aggregate offering price of the securities to which the prospectus relates is $1,793,000. The prospectus is a final prospectus for the related offering.
|
|
v3.24.3
X |
- DefinitionA unique 10-digit SEC-issued value to identify entities that have filed disclosures with the SEC. It is commonly abbreviated as CIK.
+ ReferencesReference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher SEC -Name Exchange Act -Number 240 -Section 12 -Subsection b-2
+ Details
Name: |
dei_EntityCentralIndexKey |
Namespace Prefix: |
dei_ |
Data Type: |
dei:centralIndexKeyItemType |
Balance Type: |
na |
Period Type: |
duration |
|
X |
- DefinitionThe exact name of the entity filing the report as specified in its charter, which is required by forms filed with the SEC.
+ ReferencesReference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher SEC -Name Exchange Act -Number 240 -Section 12 -Subsection b-2
+ Details
Name: |
dei_EntityRegistrantName |
Namespace Prefix: |
dei_ |
Data Type: |
xbrli:normalizedStringItemType |
Balance Type: |
na |
Period Type: |
duration |
|
X |
- References
+ Details
Name: |
ffd_FeeExhibitTp |
Namespace Prefix: |
ffd_ |
Data Type: |
ffd:feeExhibitTypeItemType |
Balance Type: |
na |
Period Type: |
duration |
|
X |
- References
+ Details
Name: |
ffd_RegnFileNb |
Namespace Prefix: |
ffd_ |
Data Type: |
ffd:fileNumberItemType |
Balance Type: |
na |
Period Type: |
duration |
|
X |
- References
+ Details
Name: |
ffd_SubmissionLineItems |
Namespace Prefix: |
ffd_ |
Data Type: |
xbrli:stringItemType |
Balance Type: |
na |
Period Type: |
duration |
|
X |
- References
+ Details
Name: |
ffd_SubmissnTp |
Namespace Prefix: |
ffd_ |
Data Type: |
ffd:submissionTypeItemType |
Balance Type: |
na |
Period Type: |
duration |
|
v3.24.3
X |
- ReferencesReference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher SEC -Name Securities Act -Number 230
+ Details
Name: |
ffd_FeesSummaryLineItems |
Namespace Prefix: |
ffd_ |
Data Type: |
xbrli:stringItemType |
Balance Type: |
na |
Period Type: |
duration |
|
X |
- ReferencesReference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher SEC -Name Securities Act -Number 230
+ Details
Name: |
ffd_FnlPrspctsFlg |
Namespace Prefix: |
ffd_ |
Data Type: |
xbrli:booleanItemType |
Balance Type: |
na |
Period Type: |
duration |
|
X |
- ReferencesReference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher SEC -Name Securities Act -Number 230
+ Details
Name: |
ffd_NrrtvDsclsr |
Namespace Prefix: |
ffd_ |
Data Type: |
dtr-types:textBlockItemType |
Balance Type: |
na |
Period Type: |
duration |
|
X |
- ReferencesReference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher SEC -Name Securities Act -Number 230
+ Details
Name: |
ffd_NrrtvMaxAggtOfferingPric |
Namespace Prefix: |
ffd_ |
Data Type: |
ffd:nonNegative100TMonetary2ItemType |
Balance Type: |
na |
Period Type: |
duration |
|
Alerian Mlp Index ETNs d... (AMEX:AMJB)
Historical Stock Chart
From Aug 2024 to Sep 2024
Alerian Mlp Index ETNs d... (AMEX:AMJB)
Historical Stock Chart
From Sep 2023 to Sep 2024