May 13, 2024 |
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(3) |
JPMorgan Chase Financial Company LLC
Structured Investments
$609,372,790†
Alerian MLP Index®* ETNs due January 28,
2044
*with payment at maturity or upon early repurchase or
redemption based on the VWAP level of the Index and with coupons based on cash distributions on the components of the Index
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
| · | The return on the notes is linked to the performance of the Alerian MLP Index®, which we refer to as the Index, as
measured by its VWAP level, and to cash distributions on its components: |
| · | The notes may pay a variable quarterly coupon based on cash distributions on the components of the Index, subject to the deduction
of an investor fee of 0.85% per annum that accrues each day. If cash distributions on the components of the Index are less than the investor
fee accrued, the shortfall will be carried forward and offset against future coupon payments. You are not guaranteed any coupon payments. |
| · | The payment on the notes at maturity or upon early repurchase or redemption is based on the VWAP level of the Index over a five-day
Measurement Period, together with any coupon payment, subject to the deduction of any remaining investor fee shortfall. The VWAP level
reflects the volume-weighted average prices of the components of the Index. You may lose some or all of your initial investment at
maturity or upon early repurchase or redemption. |
| · | The Index measures the composite performance of energy-oriented Master Limited Partnerships (“MLPs") that earn the
majority of their cash flows from qualified activities involving energy commodities using a capped, float-adjusted, capitalization-weighted
methodology. MLPs are limited partnerships primarily engaged in the exploration, marketing, mining, processing, production, refining,
storage or transportation of any mineral or natural resource. |
| · | On any business day on or after July 26, 2024, we may, in our sole discretion, redeem the notes, in whole or in part. |
| · | On a weekly basis, you may request that we repurchase a minimum of 50,000 notes if you comply with the required procedures. Any payment
upon early repurchase will also be subject to the deduction of a repurchase fee of 0.125%. |
| · | The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial,
the payment of 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. |
| · | The notes are listed on NYSE Arca, Inc., which we refer to as NYSE Arca, under the ticker symbol “AMJB.” No assurance
can be given as to the continued listing for the term of the notes, or the liquidity or trading market for the notes. We are not required
to maintain a listing on NYSE Arca or any other exchange. |
| · | The Intraday Intrinsic Note Value is published every 15 seconds on the Bloomberg Professional® service (“Bloomberg”)
under the ticker symbol “AMJBIV” and on Bloomberg.com under the ticker symbol “AMJBIV:IND.” See “Understanding
the Value of the Notes” and “Bloomberg Ticker Symbols” in this pricing supplement. |
| · | The purpose of this amendment no. 1 to the pricing supplement is to reflect the issuance on May 13, 2024 of additional notes with
an aggregate principal amount of $505,372,790 pursuant to a registration statement on Form S-4 (Registration Nos. 333-276554 and 333-276554-01)
and an amended and restated prospectus dated April 15, 2024 (the “Exchange Offer”). $104,000,000 aggregate principal
amount of notes were originally issued on January 30, 2024, which we refer to as the “original notes.” The additional
notes issued pursuant to the Exchange Offer constitute a further issuance of, and are consolidated with and form a single tranche with,
the original notes. The additional notes issued pursuant to the Exchange Offer have the same CUSIP as the original notes and will trade
interchangeably with the original notes. References to the “notes” collectively refer to such additional notes pursuant to
the Exchange Offer and the original notes. Upon the issuance of such additional notes, the aggregate principal amount of the outstanding
notes of this tranche is $609,372,790. |
Investing in the notes involves a number of risks. See
“Risk Factors” beginning on page PS-2 of the accompanying prospectus supplement, “Risk Factors” beginning on page
PS-4 of the accompanying product supplement and “Selected Risk Considerations” beginning on page PS-9 of this pricing supplement.
The notes may not be suitable for all investors and should
be used only by investors with the sophistication and knowledge necessary to understand the risks inherent in the Index and investments
in MLPs generally. Investors should consult with their broker or financial advisor when making an investment decision and to evaluate
their investment in the notes.
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 and prospectus. Any representation to the contrary is a criminal
offense.
None of the notes were sold on the Inception Date. As of
May 13, 2024, we have sold or delivered approximately $535,402,790 aggregate principal amount of notes, including $505,372,790 principal
amount of notes delivered pursuant to the Exchange Offer. The remainder of the notes and any additional notes may be offered and sold
from time to time, at our sole discretion, through J.P. Morgan Securities LLC, which we refer to as JPMS, at market prices prevailing
at the time of sale, at prices related to market prices or at negotiated prices that may vary from the Intraday Intrinsic Note Value.
However, we are under no obligation to issue additional notes or sell any notes or additional notes at any time. If we limit, restrict
or stop sales of the notes or any additional notes, or if we subsequently resume sales of the notes or any additional notes, the liquidity
and trading price of the notes in the secondary market could be materially and adversely affected. We will receive proceeds equal to 100%
of the offering price of any remaining or additional notes that are sold. See “Supplemental Plan of Distribution” in this
pricing supplement.
JPMS will not receive selling commissions in connection with
sales of the notes. JPMS will be entitled to receive the aggregate profits generated from the deduction of the investor fee to cover license
fees and other costs related to the notes and as projected profits for managing our hedge and a structuring fee for developing the notes.
See “Supplemental Plan of Distribution” in this pricing supplement.
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.
† $104,000,000 aggregate principal amount
of notes were issued on January 30, 2024, and $505,372,790 aggregate principal amount of notes were registered on Registration Statement
Nos. 333-276554 and 333-276554-01 and issued on May 13, 2024 pursuant to the Exchange Offer.
Amendment no. 1 to pricing supplement dated January 26,
2024 to product supplement no. 7-I dated December 19, 2023 and the prospectus supplement and prospectus, each dated April 13, 2023
Key Terms
Issuer: JPMorgan
Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor:
JPMorgan Chase & Co.
Principal Amount*:
$26.00 per note, which is equal to the Initial VWAP Level divided by ten, rounded to the nearest cent
Index:
The return on the notes is linked to the performance of the Alerian MLP Index® (Bloomberg ticker: AMZ), which we refer
to as the Index, as measured by its VWAP level, and to cash distributions on its components. See “— Terms Relating to Closing
Intrinsic Note Value — VWAP Level” below.
The Index measures the composite performance
of energy-oriented Master Limited Partnerships, or MLPs, that earn the majority of their cash flows from qualified activities involving
energy commodities (the “Index Components”) using a capped, float-adjusted, capitalization-weighted
methodology. The Index is calculated and maintained by VettaFi LLC (“VettaFi”).
Coupon Payments:
For each note you hold on a Coupon Record Date,
you will receive on the immediately following Coupon
Payment Date an amount in cash equal to the Coupon
Amount, if any, as of the immediately preceding Coupon Valuation Date.
Coupon Amount*:
The Coupon Amount as of any Coupon Valuation
Date will equal:
| · | the Reference Distribution Amount with respect to that Coupon
Valuation Date, minus |
| · | the Accrued Investor Fee with respect to that Coupon Valuation
Date, |
provided that the Coupon Amount will not
be less than $0.
If the Reference Distribution Amount
on a Coupon Valuation Date is less than the Accrued Investor Fee on that Coupon Valuation Date, an amount equal to the excess of the Accrued
Investor Fee over the Reference Distribution Amount (the “Investor Fee Shortfall”)
will be included in the Accrued Investor Fee with respect to the next Coupon Valuation Date.
The Accrued Investor Fee will reduce each
Coupon Amount. In addition, no Coupon Payment will be payable with respect to a Coupon Valuation Date if the Reference Distribution Amount
is less than the Accrued Investor Fee, even if the Reference Distribution Amount is positive. You are not guaranteed any Coupon Payments.
Payment at Maturity:
For each note, unless earlier repurchased or
redeemed, you will receive at maturity a cash payment equal to the Closing Intrinsic Note Value determined over the Measurement Period
with respect to the Final Valuation Date. If that amount is less than or equal to zero, the payment at maturity will be $0.
Issuer Redemption:
On any Business Day on or after July 26, 2024,
we may, in our sole discretion, redeem the notes, in whole or in part. If we exercise our right to redeem your notes prior to maturity,
for each note that is redeemed, you will
receive on the Redemption Settlement Date a cash payment equal to the Closing Intrinsic Note
Value determined over the Measurement Period with respect to the Redemption Valuation Date. If that amount is less than or equal to zero,
the payment upon early redemption will be $0.
Weekly Repurchase:
On a weekly
basis, you may request that we repurchase a minimum of 50,000* notes if you comply with the required procedures, subject to a repurchase
fee of 0.125%. For each note that is repurchased, you will receive on the relevant Repurchase Date a cash payment equal to the Closing
Intrinsic Note Value determined over the Measurement Period with respect to the Repurchase Valuation Date minus the Repurchase
Fee Amount with respect to the Repurchase Valuation Date.
If the amount calculated above is less than or
equal to zero, the payment upon early repurchase will be $0.
_____________
You may lose some or all of your initial
investment at maturity or upon early repurchase or redemption. The aggregate payments on your notes will be less than your initial investment
if any Coupon Payments (which reflect the negative effect of the Accrued Investor Fee) are insufficient to offset any decrease in the
VWAP level of the Index and the negative effect of any Investor Fee Shortfall (and, in the case of early repurchase, the Repurchase Fee
Amount).
Terms Relating
to Closing Intrinsic Note Value
Closing Intrinsic Note Value*:
As of any date of determination, an amount per
note equal to:
| · | the Principal Amount, multiplied by the Index Ratio
as of that date, plus |
| · | the Coupon Amount as of that date, calculated
as if that date were a Coupon Valuation Date (the “Stub
Coupon Amount”), minus |
| · | any Investor Fee Shortfall determined in calculating that
Stub Coupon Amount. |
In addition, if the Coupon Ex-Date
with respect to the Coupon Amount as of the immediately preceding Coupon Valuation Date has not yet occurred, the Closing Intrinsic Note
Value will also include that Coupon Amount (an “Unpaid Coupon Amount”).
For purposes of determining the Closing Intrinsic
Note Value over any Measurement Period, the Index Ratio is determined based on the arithmetic average of the VWAP Levels over that Measurement
Period, and the date of determination for purposes of determining the Coupon Amount, any Investor Fee Shortfall and any Unpaid Coupon
Amount is the final day of that Measurement Period.
The Closing Intrinsic Note Value is not the
closing price or any other trading price of the notes in the secondary market and is not intended as a price or quotation, or as an offer
or solicitation for the purchase or sale of your notes or as a recommendation to transact in the notes at the stated price. The trading
price of the notes at any time may vary significantly from the Closing Intrinsic Note Value due to, among other things, imbalances of
supply and demand (including as a result of any decision of ours
PS-1 | Structured Investments Alerian MLP Index® ETNs | |
to issue, stop issuing or resume issuing additional
notes), lack of liquidity, transaction costs, credit considerations and bid-offer spreads.
If the Reference Distribution Amount used
to calculate the Stub Coupon Amount on any Index Business Day is less than the Accrued Investor Fee used to calculate that Stub Coupon
Amount, the resulting Investor Fee Shortfall will be deducted in calculating the Closing Intrinsic Note Value on that Index Business Day.
Accordingly, the payment at maturity or upon early repurchase or redemption will be reduced by the amount of any Investor Fee Shortfall
reflected in the relevant Closing Intrinsic Note Value.
Index Ratio:
As of any date of determination, the Index Ratio
is equal to:
VWAP
Level
Initial VWAP Level
provided that, solely for purposes
of determining the Closing Intrinsic Note Value in connection with any payment at maturity or upon early repurchase or redemption,
the Index Ratio determined over the relevant Measurement Period is equal to:
Final
VWAP Level
Initial VWAP Level
Initial VWAP Level:
The arithmetic average of the VWAP Levels determined
over a period of five Index Business Days ending on the Inception Date, which was 260.0267
Final VWAP Level:
With respect to a Measurement Period, the arithmetic
average of the VWAP Levels on the five Index Business Days in that Measurement Period, as calculated by the Note Calculation Agent
Measurement Period**:
With respect to the Final Valuation Date or any
Repurchase Valuation Date or Redemption Valuation Date, the five Index Business Days starting from and including the Final Valuation Date
or that Repurchase Valuation Date or Redemption Valuation Date, as applicable (or, if that day is not an Index Business Day, the five
Index Business Days immediately following that day)
VWAP Level:
On any Index Business Day, as calculated by the
VWAP Calculation Agent, the sum of the products for each Index Component of:
| · | the VWAP of that Index Component as of that day; and |
| · | the Index Units of that Index Component as of that day, divided
by the Index Divisor as of that day |
The calculation of the VWAP Level may be modified
in circumstances described under “General Terms of Notes — Postponement of an Averaging Date” and “General Terms
of Notes — Discontinuation of an Index; Alteration of Method of Calculation” in the accompanying product supplement.
The official closing level of the Index may
vary significantly from the VWAP Level.
VWAP:
With respect to each Index Component, as of any
date of determination, the volume-weighted average price of one share of that Index Component as determined by the VWAP Calculation Agent
based on the Primary Exchange for that Index Component
Index Units:
With respect to each Index Component, as of any
date of determination, the number of units of that Index Component included in the Index for purposes of the calculation of the official
level of the Index by the Index Calculation Agent. For more information about Index Units, see “The Alerian MLP Index®
— Units Outstanding” in the accompanying product supplement.
Index Divisor:
As of any date of determination, the divisor
used in the calculation of the official level of the Index by the Index Calculation Agent. For more information about the Index Divisor,
see “The Alerian MLP Index® — Index Calculation” in the accompanying product supplement.
Inception Date:
January 26, 2024
Initial Issue
Date: January 30, 2024
Final Valuation
Date: January 20, 2044
Maturity Date**:
January 28, 2044
Terms Relating
to Coupon Payments
Accrued Investor Fee*:
The Accrued Investor Fee accrues at a rate of
0.85% per annum each day. In addition, the Accrued Investor Fee carries forward any shortfall if the Reference Distribution Amount
determined in connection with any Coupon Payment is less than the Accrued Investor Fee at that time.
With respect to each Coupon Valuation Date, the
Accrued Investor Fee is an amount equal to:
| · | the Periodic Investor Fee with respect to that Coupon Valuation
Date, plus |
| · | the Investor Fee Shortfall, if any, as of the immediately
preceding Coupon Valuation Date, if any. |
Periodic Investor Fee*:
With respect to each Coupon Valuation Date, an
amount equal to the product of:
| · | the investor fee of 0.85% per annum; |
| · | the Principal Amount multiplied by the Index Ratio
as of the immediately preceding Index Business Day that is not a Disrupted Day for any Index Component; and |
| · | the day count fraction, calculated using a 30/360 day count
convention as described under “General Terms of Notes — Day Count Fraction” in the accompanying product supplement. |
Reference Distribution Amount*:
With respect to each Coupon Valuation Date, an
amount equal to the sum of the gross cash distributions that a Reference Holder would have been entitled to receive in respect of each
Index Component held by that Reference Holder on the “record date” with respect to that Index Component, for those cash distributions
whose “ex-dividend date” occurs during the Coupon Accrual Period for that Coupon Valuation Date.
PS-2 | Structured Investments Alerian MLP Index® ETNs | |
Notwithstanding the foregoing, with respect to
cash distributions for an Index Component that are scheduled to be paid prior to the applicable Coupon Ex-Date, if the issuer of that
Index Component fails to pay the distribution to holders of that Index Component by the scheduled payment date for that distribution,
that distribution will be assumed to be zero for the purposes of calculating the applicable Reference Distribution Amount.
Reference Holder*:
As of any date of determination, a hypothetical
holder of a number of shares of each Index Component equal to:
| · | the Index Units of that Index Component as of that date, divided by |
| · | the Index Divisor as of that date multiplied by 10, |
provided that solely for purposes of
determining the Reference Distribution Amount included in any Stub Coupon Amount payable at maturity or upon early repurchase or redemption,
the Reference Holder will be deemed to hold four-fifths, three-fifths, two-fifths and one-fifth of the shares of each Index Component
it would otherwise hold on the second, third, fourth and fifth Index Business Days, respectively, in the relevant Measurement Period.
Coupon Accrual Period:
With respect to each Coupon Valuation Date, the
period from but excluding the immediately preceding Coupon Valuation Date (or, in the case of the first Coupon Valuation Date, from but
excluding November 15, 2023) to and including that Coupon Valuation Date
Coupon Valuation Date:
The first Index Business Day occurring on or
after the 15th of February, May, August and November of each calendar year during the term of the notes, beginning on February
15, 2024
Coupon Ex-Date:
With respect to a Coupon Amount, the first Exchange
Business Day on which the notes trade without the right to receive that Coupon Amount. Under current NYSE Arca practice, the Coupon Ex-Date
will generally be the first Exchange Business Day immediately preceding the applicable Coupon Record Date; however, beginning May 28,
2024, under NYSE Arca practice, the Coupon Ex-Date is expected to generally be the applicable Coupon Record Date. For purposes of this
paragraph, “Exchange Business Day” means any day on which the primary exchange or market for trading of the notes is scheduled
to be open for trading.
Coupon Record Date:
The 9th Index Business Day following each Coupon
Valuation Date
Coupon Payment Date:
The 15th Index Business Day following each Coupon
Valuation Date.
Terms Relating
to Issuer Redemption
Early Redemption:
On any Business Day on or after July 26, 2024,
we may, in our sole discretion, redeem the notes, in whole or in part. If we exercise our right to redeem your notes, we will deliver
an irrevocable redemption notice (the “Redemption Notice”) to The Depository Trust
Company (“DTC”) (the holder of the master note evidencing the
notes) at least five
Business Days prior to the Redemption Valuation Date specified in the Redemption Notice. If fewer than all the notes are to be redeemed,
we will specify in the Redemption Notice the principal amount of notes to be redeemed, and the Trustee will select the notes to be redeemed
pro rata, by lot or in such manner as it deems appropriate and fair.
Payment upon Early Redemption:
If we exercise our right to redeem your notes
prior to maturity, for each note selected for redemption by the Trustee, you will receive on the Redemption Settlement Date a cash payment
equal to the Closing Intrinsic Note Value determined over the Measurement Period with respect to the Redemption Valuation Date. If that
amount is less than or equal to zero, the payment upon early redemption will be $0.
Redemption Valuation Date:
The date specified as the Redemption Valuation
Date in the Redemption Notice
Redemption Settlement Date:
Unless otherwise specified in the Redemption
Notice, the day that follows the final day in the Measurement Period with respect to the Redemption Valuation Date by a number of Business
Days corresponding to the standard settlement cycle, which is currently two Business Days and which is expected to be one Business Day
beginning May 28, 2024. In no event will the Redemption Notice specify a Redemption Settlement Date that follows the final day in the
Measurement Period by more than five Business Days.
Terms Relating
to Weekly Repurchase Right
Early Repurchase:
On a weekly basis, you may request that we repurchase
a minimum of 50,000* notes if you comply with the procedures described under “— Repurchase Procedures” below and unless
we have delivered a Redemption Notice to DTC to redeem all of the outstanding notes. We may from time to time, in our sole discretion,
reduce the minimum number of notes required for an early repurchase on a consistent basis for all holders of the notes, but we are under
no obligation to do so.
Payment upon Early Repurchase:
Subject to your compliance with the required
procedures, for each note that is repurchased, you will receive on the relevant Repurchase Date a cash payment equal to the Closing Intrinsic
Note Value determined over the Measurement Period with respect to the Repurchase Valuation Date minus the Repurchase Fee Amount
with respect to the Repurchase Valuation Date. If that amount is less than or equal to zero, the payment upon early redemption will be
$0.
Repurchase Fee Amount:
With respect to any Repurchase Valuation Date,
an amount per note in cash equal to 0.125% of the Closing Intrinsic Note Value with respect to that Repurchase Valuation Date (but excluding
any Unpaid Coupon Amount included in that Closing Intrinsic Note Value)
Repurchase Valuation Date:
The last Index Business Day of each week, generally
Friday
Repurchase Date:
Unless otherwise specified in the Issuer’s
acknowledgement, the day that follows the final day in
PS-3 | Structured Investments Alerian MLP Index® ETNs | |
the Measurement Period with respect to the Repurchase
Valuation Date by a number of Business Days corresponding to the standard settlement cycle, which is currently two Business Days and which
is expected to be one Business Day beginning May 28, 2024. In no event will the Issuer’s acknowledgement specify a Repurchase Date
that follows the final day in the Measurement Period by more than five Business Days.
Repurchase Notice:
A repurchase notice in the form attached to this
pricing supplement as Annex A
Repurchase Procedures:
In order to request that we repurchase your notes,
you must instruct your broker or other person through which you hold your notes to take the following steps:
| · | send a completed Repurchase Notice to us via email at ETN_Repurchase@jpmorgan.com
by no later than 4:00 p.m., New York City time, on the Business Day immediately preceding the applicable
Repurchase Valuation Date; |
| · | instruct your DTC custodian to book a delivery versus payment
trade with respect to your notes on the final day in the Measurement Period with respect to the relevant Repurchase Valuation Date at
a price equal to the amount payable upon early repurchase of the notes; and |
| · | cause your DTC custodian to deliver the trade as booked for
settlement via DTC at or prior to 10:00 a.m., New York City time, on the relevant Repurchase Date. |
Different brokerage firms may have different
deadlines for accepting instructions from their customers. Accordingly, you should consult the brokerage firm through which you own your
interest in the notes in respect of those deadlines.
Once delivered, a Repurchase Notice may not be
revoked. If we do not receive your Repurchase Notice by the deadline, your Repurchase Notice will not be effective. The Issuer or its
affiliate must acknowledge receipt of the Repurchase Notice on the same Business Day for it to be effective, which acknowledgment will
be deemed to evidence its acceptance of your repurchase request. The Note Calculation Agent will, in its sole discretion, resolve any
questions that may arise as to the
validity of a Repurchase Notice and the timing of receipt of a Repurchase Notice.
Questions about repurchase procedures should
be directed to ETN_Repurchase@jpmorgan.com.
Additional Terms
Business Day:
Any day other than a day on which the banking
institutions in the City of New York are authorized or required by law, regulation or executive order to close or a day on which transactions
in dollars are not conducted
Index Business Day:
Any day on which the Primary Exchange and the
Related Exchange with respect to each Index Component are scheduled to be open for trading
Primary Exchange:
With respect to each Index Component, the primary
exchange or market of trading of that Index Component
Related Exchange:
With respect to each Index Component, each exchange
or quotation system where trading has a material effect (as determined by the Note Calculation Agent) on the overall market for futures
or options contracts relating to that Index Component
Disrupted Day:
With respect to an Index Component, a day on
which the Primary Exchange or any Related Exchange with respect to that Index Component fails to open for trading during its regular trading
session or on which a market disruption event (as described in the accompanying product supplement) with respect to that Index Component
has occurred or is continuing, and, in each case, the occurrence of which is determined by the Note Calculation Agent to have a material
effect on the VWAP Level
Index Sponsor:
VettaFi
Index Calculation
Agent: VettaFi
VWAP Calculation
Agent: Solactive AG
Note Calculation
Agent: J.P. Morgan Securities LLC (“JPMS”)
Published ETN
Value Calculation Agent: Solactive AG
Trustee:
Deutsche Bank Trust Company Americas
* Subject to adjustment in the event of a split
or reverse split of the notes as described under “Split or Reverse Split of the Notes” in the accompanying product supplement
** Subject to postponement in the event of a
market disruption event and as described under “General Terms of Notes — Postponement of an Averaging Date” and “General
Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
PS-4 | Structured Investments Alerian MLP Index® ETNs | |
What Is the
Alerian MLP Index®?
The return on the notes is linked to the performance
of the Alerian MLP Index®, which we refer to as the Index, as measured by its VWAP Level, and to cash distributions on
its components. The VWAP Level reflects the volume-weighted average prices of the components of the Index.
The Index measures the composite performance of MLPs
that earn the majority of their cash flows from qualified activities involving energy commodities, which are referred to as Index Components,
using a capped, float-adjusted, capitalization-weighted methodology. Qualified activities include compression,
gathering and processing, liquefaction, marketing, pipeline transportation, rail terminating and storage of energy commodities.
How Are Payments
on the Notes Determined, and What Fees Are Incurred by Investors in the Notes?
The notes may pay a variable quarterly coupon based
on cash distributions on the Index Components over the relevant quarterly period, which we refer to as the Reference Distribution Amount,
minus an Accrued Investor Fee. The Accrued Investor Fee accrues at a rate of 0.85% per annum each day. If the Reference Distribution
Amount determined in connection with any Coupon Payment is less than the Accrued Investor Fee at that time, such shortfall, which we refer
to as an Investor Fee Shortfall, will be carried forward. The Accrued Investor Fee is incurred by all investors in the notes and is deducted
in connection with each Coupon Payment.
At maturity or upon early repurchase or redemption,
the notes provide for a cash payment based on the Closing Intrinsic Note Value calculated using the average VWAP Level over a five-day
Measurement Period minus, in the case of an early repurchase, a Repurchase Fee Amount of 0.125% of that Closing Intrinsic Note
Value (but excluding any Unpaid Coupon Amount). The Repurchase Fee Amount is borne by investors in the notes who submit notes for repurchase
prior to maturity. In addition, the Stub Coupon Amount and any Unpaid Coupon Amount will be added, and any Investor Fee Shortfall will
be deducted in calculating the Closing Intrinsic Note Value and each Intraday Intrinsic Note Value on that Index Business Day. Accordingly,
the payment at maturity or upon early repurchase or redemption will be reduced by the amount of any Investor Fee Shortfall reflected in
the relevant Closing Intrinsic Note Value.
Coupon Payments and the Accrued Investor Fee
For each note you hold on a Coupon Record Date, you
will receive on the immediately following Coupon Payment Date an amount in cash equal to the Coupon Amount, if any, as of the immediately
preceding Coupon Valuation Date. Coupon Payments on the notes will be payable quarterly in arrears on the fifteenth Index Business Day
following each Coupon Valuation Date.
The Coupon Amount as of any Coupon Valuation Date will
equal:
| · | the Reference Distribution Amount with respect to that Coupon
Valuation Date, minus |
| · | the Accrued Investor Fee with respect to that Coupon Valuation
Date, |
provided that the Coupon Amount will not be
less than $0.
The Accrued Investor Fee accrues on a daily basis at
a rate of 0.85% per annum, applied to the Principal Amount, as adjusted to reflect the performance of the Index from the Initial VWAP
Level to the VWAP Level on the Index Business Day immediately preceding the relevant Coupon Valuation Date. On any Index Business Day,
the VWAP Level reflects the weighted VWAPs of the Index Components, where the VWAP of each Index Component is the volume-weighted average
price of one share of that Index Component as determined by the VWAP Calculation Agent based on the Primary Exchange for that Index Component.
All else being equal, if the VWAP Level increases, the amount of the Accrued Investor Fee will increase, and, if the VWAP Level decreases,
the amount of the Accrued Investor Fee will decrease.
In addition, if the Reference Distribution Amount on
a Coupon Valuation Date is less than the Accrued Investor Fee on that Coupon Valuation Date, an amount equal to the excess of the Accrued
Investor Fee over the Reference Distribution Amount, which we refer to as the Investor Fee Shortfall, will be included in the Accrued
Investor Fee with respect to the next Coupon Valuation Date.
The Accrued Investor Fee will reduce each Coupon
Amount. In addition, no Coupon Payment will be payable with respect to a Coupon Valuation Date if the Reference Distribution Amount is
less than the Accrued Investor Fee, even if that Reference Distribution Amount is positive. You are not guaranteed any Coupon Payments.
For information about the precise mechanics used to
determine the Reference Distribution Amount and the Accrued Investor Fee, see “Key Terms — Terms Relating to Coupon Payments”
above.
Payment at Maturity or upon Early Redemption or
Repurchase
Payment at maturity. For each note, unless earlier
repurchased or redeemed, you will receive at maturity a cash payment equal to the Closing Intrinsic Note Value determined over the Measurement
Period with respect to the Final Valuation Date. If that amount is less than or equal to zero, the payment at maturity will be $0.
Payment upon early redemption. On any Business
Day on or after July 26, 2024, we may, in our sole discretion, redeem the notes, in whole or in part. If we exercise our right to redeem
your notes prior to maturity, for each note that is redeemed, you will receive on the Redemption Settlement Date a cash payment equal
to the Closing Intrinsic Note Value determined over the Measurement Period with respect to the Redemption Valuation Date. If that amount
is less than or equal to zero, the payment upon early redemption will be $0.
PS-5 | Structured Investments Alerian MLP Index® ETNs | |
Payment upon early repurchase. On a weekly basis,
you may request that we repurchase a minimum of 50,000 notes if you comply with the required procedures, subject to a repurchase fee of
0.125%. For each note that is repurchased, you will receive on the relevant Repurchase Date a cash payment equal to the Closing Intrinsic
Note Value determined over the Measurement Period with respect to the Repurchase Valuation Date minus the Repurchase Fee Amount
with respect to the Repurchase Valuation Date. If that amount is less than or equal to zero, the payment upon early repurchase will be
$0.
The Repurchase Fee Amount with respect to any Repurchase
Valuation Date is equal to 0.125% of the Closing Intrinsic Note Value with respect to that date (but excluding any Unpaid Coupon Amount
included in that Closing Intrinsic Note Value). Accordingly, the Repurchase Fee Amount will vary based on the performance of the VWAP
Level, the Stub Coupon Amount and any Investor Fee Shortfall with respect to the Stub Coupon Amount.
Closing Intrinsic Note Value. As of any date
of determination, the Closing Intrinsic Note Value is an amount per note equal to:
| · | the Principal Amount, multiplied by the Index Ratio
as of that date, plus |
| · | the Coupon Amount as of that date, calculated as if that date
were a Coupon Valuation Date, which we refer to as the Stub Coupon Amount, minus |
| · | any Investor Fee Shortfall determined in calculating that
Stub Coupon Amount. |
In addition, if the Coupon Ex-Date with respect to
the Coupon Amount as of the immediately preceding Coupon Valuation Date has not yet occurred, the Closing Intrinsic Note Value will also
include that Coupon Amount, which we refer to as an Unpaid Coupon Amount.
For purposes of determining the Closing Intrinsic Note
Value in connection with any payment at maturity or upon early repurchase or redemption, the Index Ratio as of the final day of the relevant
Measurement Period reflects the performance of the Index from the Initial VWAP Level to the arithmetic average of the VWAP Levels on the
five Index Business Days in that Measurement Period, which we refer to as the Final VWAP Level.
_____________
You may lose some or all of your initial investment
at maturity or upon early repurchase or redemption. The aggregate payments on your notes will be less than your initial investment if
any Coupon Payments (which reflect the negative effect of the Accrued Investor Fee) are insufficient to offset any decrease in the VWAP
Level and the negative effect of any Investor Fee Shortfall (and, in the case of early repurchase, the Repurchase Fee Amount).
Timing of Payment upon Early Repurchase
Because the payment upon early repurchase is based
on the average VWAP Level over a five-day Measurement Period that begins after the deadline for submitting a Repurchase Notice, you will
not know the payment upon early repurchase amount you will receive at the time you elect to request that we repurchase your notes. For
example, if you request that we repurchase your notes in connection with the Repurchase Valuation Date occurring on Friday, May 17, 2024,
the following timeline will apply:
Thursday, May 16, 2024 |
A Repurchase Notice must be received by 4:00 p.m. New York City time, and the Issuer or its affiliate must acknowledge receipt. |
Friday, May 17, 2024* –
Thursday, May 23, 2024* |
The amount payable upon early repurchase is determined, based in part, on the average VWAP Level over a five-Index Business Day Measurement Period. |
Tuesday, May 28, 2024* |
The payment upon early repurchase is made on the second** Business Day following the last Index Business Day in the Measurement Period, assuming that the Issuer’s acknowledgement does not specify a different Repurchase Date. |
* Subject to postponement in the event of a market
disruption event and as described under “General Terms of Notes — Postponement of an Averaging Date” and “General
Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement.
** Beginning May 28, 2024, the standard settlement
cycle will be shortened such that the payment upon early repurchase would be made on the first Business Day following the last Index Business
Day in the Measurement Period, assuming that the Issuer’s acknowledgement does not specify a different Repurchase Date.
Understanding
the Value of the Notes
The initial offering price was determined on the Inception
Date. The initial offering price, the Closing Intrinsic Note Value and the Intraday Intrinsic Note Value are not the same as the trading
price, which is the price at which you may be able to sell your notes in the secondary market, if one exists. An explanation of each of
those values is set forth below:
Initial Offering Price to the Public
The initial offering price to the public is equal to
the Principal Amount of the notes. The initial offering price reflects the value of the notes only on the Inception Date.
Closing Intrinsic Note Value / Daily Closing Intrinsic
Note Value
The Closing Intrinsic Note Value is calculated and
published on each Index Business Day and is meant to approximate the intrinsic value of the notes at the close on that day, but the published
value is not the same as the Closing Intrinsic Note Value
PS-6 | Structured Investments Alerian MLP Index® ETNs | |
used to calculate any payment at maturity or upon early
repurchase or redemption. We refer to the published value as the Daily Closing Intrinsic Note Value.
The Closing Intrinsic Note Value on any date of determination
reflects the Principal Amount of the notes, as adjusted by the Index Ratio on that date, plus the Stub Coupon Amount on that date,
minus any Investor Fee Shortfall with respect to that Stub Coupon Amount. In addition, if the Coupon Ex-Date with respect to the
Coupon Amount as of the immediately preceding Coupon Valuation Date has not yet occurred, the Closing Intrinsic Note Value will also include
any Unpaid Coupon Amount.
The Index Ratio for the Daily Closing Intrinsic Note
Value reflects the VWAP Level on that Index Business Day as compared to the Initial VWAP Level. However, the payment at maturity or upon
early repurchase or redemption will be determined based on the Closing Intrinsic Note Value calculated using an Index Ratio that reflects
the average VWAP Level over a five-day Measurement Period as compared to the Initial VWAP Level (subject to a repurchase fee of 0.125%
in the case of an early repurchase).
The Closing Intrinsic Note Value is not the closing
price or any other trading price of the notes in the secondary market and is not intended as a price or quotation, or as an offer or solicitation
for the purchase or sale of your notes or as a recommendation to transact in the notes at the stated price. The trading price of the notes
at any time may vary significantly from the Closing Intrinsic Note Value due to, among other things, imbalances of supply and demand (including
as a result of any decision of ours to issue, stop issuing or resume issuing additional notes), lack of liquidity, transaction costs,
credit considerations and bid-offer spreads.
Intraday Intrinsic Note Value
The Intraday Intrinsic Note Value is calculated and
published by NYSE Arca every 15 seconds during NYSE Arca’s Core Trading Session, which is currently from 9:30 a.m. to 4:00 p.m.,
New York City time, on each Index Business Day and is meant to approximate the intrinsic value of the notes at that time. Accordingly,
the Intraday Intrinsic Note Value at any time reflects the Principal Amount of the notes, as adjusted by the cumulative performance of
the Index (calculated using the level of the Index at that time rather than the VWAP Level) from the Initial VWAP Level, plus the
Stub Coupon Amount on that Index Business Day, minus any Investor Fee Shortfall with respect to that Stub Coupon Amount. In addition,
if the Coupon Ex-Date with respect to the Coupon Amount as of the immediately preceding Coupon Valuation Date has not yet occurred, the
Intraday Intrinsic Note Value will also include any Unpaid Coupon Amount. Because the Intraday Intrinsic Note Value is calculated every
15 seconds, the level of the Index (which is also calculated every 15 seconds) is used instead of the VWAP Level (which is calculated
only once each day following the close).
The Intraday Intrinsic Note Value is not the closing
price or any other trading price of the notes in the secondary market and is not intended as a price or quotation, or as an offer or solicitation
for the purchase or sale of your notes or as a recommendation to transact in the notes at the stated price. No payments on the notes will
be based on the Intraday Intrinsic Note Value. The trading price of the notes at any time may vary significantly from the Intraday Intrinsic
Note Value at that time due to, among other things, imbalances of supply and demand (including as a result of any decision of ours to
issue, stop issuing or resume issuing additional notes), lack of liquidity, transaction costs, credit considerations and bid-offer spreads.
A premium or discount over the Intraday Intrinsic Note Value can also arise in the trading price as a result of mismatches of trading
hours between the notes and the components included in the Index underlying the notes, actions (or failure to take action) by the index
sponsor and NYSE Arca and technical or human errors by service providers, market participants and others.
Trading Price
The market value of the notes at any given time, which
we refer to as the Trading Price, is the price at which you may be able to sell your notes in the secondary market, if one exists. The
Trading Price of the notes at any time may vary significantly from the Intraday Intrinsic Note Value or the Closing Intrinsic Note Value
due to, among other things, imbalances of supply and demand (including as a result of any decision of ours to issue, stop issuing or resume
issuing additional notes), lack of liquidity, transaction costs, credit considerations, bid-offer spreads, mismatches of trading hours
between the notes and the components included in the Index underlying the notes, actions (or failure to take action) by the index sponsor
and NYSE Arca and technical or human errors by service providers, market participants and others. These and other factors may cause the
notes to trade at a premium or discount, which may be significant, in relation to the Intraday Intrinsic Note Value or the Closing Intrinsic
Note Value. Investors can compare the trading price, if any, of the notes against the Intraday Intrinsic Note Value to determine whether
the notes are trading in the secondary market at a premium or a discount to the intrinsic value of the notes at any given time.
If you pay a premium for the notes above the Closing
Intrinsic Note Value and the Intraday Intrinsic Note Value, you could incur significant losses if you sell your notes at a time when the
premium is no longer present in the market. In addition, the payment on the notes at maturity or upon early repurchase or redemption will
be determined based on the Closing Intrinsic Note Value calculated using the average VWAP Level over a five-day Measurement Period, which
may vary significantly from the trading price of the notes and will not reflect any premium. Furthermore, if you sell your notes in the
market at a time when the notes are trading at a discount below the Closing Intrinsic Note Value and the Intraday Intrinsic Note Value,
you will receive less than the Closing Intrinsic Note Value and the Intraday Intrinsic Note Value.
PS-7 | Structured Investments Alerian MLP Index® ETNs | |
Bloomberg
Ticker Symbols
The Bloomberg ticker symbols under which information
relating to the Index can be located are set forth below. The publication of the Intraday Intrinsic Note Value on the Bloomberg website
below will be subject to a delay of at least 15 minutes, and the publication of the other information below may also occasionally be subject
to delay or postponement.
Intraday Index Level: |
AMZ |
|
Closing Index Level: |
AMZ |
|
VWAP Level: |
AMZVWAP |
|
The Bloomberg ticker symbols and Bloomberg websites
under which information relating to the notes can be located are set forth below. The publication of this information may occasionally
be subject to delay or postponement. The information on the Bloomberg websites set forth below is not incorporated by reference into this
pricing supplement and should not be considered part of this pricing supplement. The Published ETN Value Calculation Agent is responsible
for calculating the Daily Closing Intrinsic Note Value, the Intraday Intrinsic Note Value and the Interim Coupon or Shortfall Amount for
purposes of publication.
Daily Closing Intrinsic Note Value*: |
AMJBVWAP |
www.bloomberg.com/quote/AMJBVWAP:IND |
Intraday Intrinsic Note Value: |
AMJBIV |
www.bloomberg.com/quote/AMJBIV:IND |
Trading Price of the Notes: |
AMJB |
www.bloomberg.com/quote/AMJB:US |
Interim Coupon or Shortfall Amount**: |
AMJBEU |
www.bloomberg.com/quote/AMJBEU:IND |
* The Daily Closing Intrinsic Note Value on any date
of determination is the Closing Intrinsic Note Value on that date calculated using the VWAP Level on that date. However, the payment at
maturity or upon early repurchase or redemption will be determined based on the Closing Intrinsic Note Value calculated using the average
VWAP Level over a five-day Measurement Period.
** The Interim Coupon or Shortfall Amount on any day
represents the adjustment made in the calculation of the Closing Intrinsic Note Value as of that day to reflect the Stub Coupon Amount,
any Investor Fee Shortfall with respect to the Stub Coupon Amount and any Unpaid Coupon Amount. Accordingly, as of any date of determination,
the Interim Coupon or Shortfall Amount is equal to the Coupon Amount as of that date, calculated as if that date were a Coupon Valuation
Date, minus any Investor Fee Shortfall with respect to that Stub Coupon Amount. In addition, if the Coupon Ex-Date with respect
to the Coupon Amount as of the immediately preceding Coupon Valuation Date has not yet occurred, the Interim Coupon or Shortfall Amount
will also include any Unpaid Coupon Amount. The Interim Coupon or Shortfall Amount will be negative if the cash distributions on the
Index Components over the relevant period are insufficient to offset the Accrued Investor Fee. While the Interim Coupon or Shortfall Amount
is calculated and published in connection with each Index Business Day, the Coupon Amount will be calculated and paid quarterly.
Reopening
Issuances
In our sole discretion, and without providing you notice
or obtaining your consent, we may decide to issue and sell additional notes from time to time. These further issuances, if any, will be
consolidated to form a single sub-series with the originally issued notes, will have the same CUSIP number and will trade interchangeably
with the notes immediately upon settlement.
However, we are under no obligation to issue or sell
additional notes at any time, and if we do sell additional notes, we may limit or restrict those sales, and we may stop and subsequently
resume selling additional notes at any time. If we limit, restrict or stop sales of such additional notes, or if we subsequently resume
sales of such additional notes, the liquidity and trading price of the notes in the secondary market could be materially and adversely
affected. Unless we indicate otherwise, if we suspend selling additional notes, we reserve the right to resume selling additional notes
at any time, which might result in the reduction or elimination of any premium in the trading price. If you pay a premium for the notes
above the Closing Intrinsic Note Value and the Intraday Intrinsic Note Value, you could incur significant losses if you sell your notes
at a time when the premium is no longer present in the market.
A suspension of additional issuances of the notes could
result in a significant reduction in the number of outstanding notes if investors subsequently exercise their right to have the notes
repurchased by us. Accordingly, the number of outstanding notes, and their liquidity, could vary substantially over the term of the notes.
For more information on such additional offerings,
see “General Terms of Notes — Reopening Issuances” in the accompanying product supplement.
PS-8 | Structured Investments Alerian MLP Index® ETNs | |
Selected Risk
Considerations
An investment in the notes involves significant risks.
These risks are explained in more detail in the “Risk Factors” section of the accompanying product supplement.
Risks Relating to the Notes Generally
| · | YOUR INVESTMENT IN THE NOTES MAY RESULT
IN A LOSS — |
You may lose
some or all of your initial investment at maturity or upon early repurchase or redemption. The aggregate payments on your notes will be
less than your initial investment if any Coupon Payments (which reflect the negative effect of the Accrued Investor Fee) are insufficient
to offset any decrease in the VWAP Level and the negative effect of any Investor Fee Shortfall (and,
in the case of early repurchase, the Repurchase Fee Amount).
| · | YOU ARE NOT GUARANTEED ANY COUPON PAYMENTS
— |
No Coupon Payment will be payable with respect
to a Coupon Valuation Date if the Reference Distribution Amount is less than the Accrued Investor Fee, even if that Reference Distribution
Amount is positive. The Reference Distribution Amount reflects cash distributions on the Index Components over a relevant quarterly period.
The Accrued Investor Fee accrues at a rate of 0.85% per annum each day. If the Reference Distribution Amount on the previous Coupon Valuation
Date is less than the Accrued Investor Fee on that Coupon Valuation Date, any Investor Fee Shortfall will also be included in the Accrued
Investor Fee.
In addition, the Coupon Amount as of any Coupon
Valuation Date will reflect only the excess of the Reference Distribution Amount over the Accrued Investor Fee with respect to that Coupon
Valuation Date. Any reduction in or elimination of the cash distributions of one or more Index Component will similarly reduce the Reference
Distribution Amount and the amount of the relevant Coupon Payment, if any.
| · | THE ACCRUED INVESTOR FEE AND THE REPURCHASE
FEE AMOUNT WILL REDUCE AMOUNTS PAYABLE ON THE NOTES — |
Each Coupon Amount reflects the deduction of
an Accrued Investor Fee, which will reduce each Coupon Amount, if any. The actual amount of the deduction will be determined on the relevant
Coupon Valuation Date and will depend on the VWAP Level as of the immediately preceding Index Business Day that is not a Disrupted Day
for any Index Component and any Investor Fee Shortfall carried over from the immediately preceding Coupon Valuation Date.
In addition, if the Reference Distribution Amount
used to calculate the Stub Coupon Amount on any Index Business Day (other than an actual Coupon Valuation Date) is less than the Accrued
Investor Fee used to calculate that Stub Coupon Amount, an amount equal to the difference between the Accrued Investor Fee and the Reference
Distribution Amount, which is the Investor Fee Shortfall, will be deducted in calculating the Closing Intrinsic Note Value and each Intraday
Intrinsic Note Value on that Index Business Day. Accordingly, the payment at maturity or upon early repurchase or redemption will be reduced
by the amount of any Investor Fee Shortfall reflected in the relevant Closing Intrinsic Note Value.
Furthermore, a Repurchase Fee Amount of 0.125%
of the Closing Intrinsic Note Value as of the final day of the relevant Measurement Period (but excluding any Unpaid Coupon Amount included
in that Closing Intrinsic Note Value) is deducted in determining the amount payable upon early repurchase. As a result, the Repurchase
Fee Amount will reduce the amount payable upon early repurchase.
| · | 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. Aside from the initial capital contribution
from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates to make payments under
loans made by us or other intercompany agreements. As a result, we are dependent upon payments from our affiliates to meet our obligations
under the notes. If these affiliates do not make payments to us and we fail 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.
| · | THE EARLY REDEMPTION FEATURE MAY FORCE A POTENTIAL EARLY EXIT — |
If we elect to redeem your notes early, the
term of the notes may be reduced to as short as approximately six months and you may lose some or all of your initial investment upon
early redemption. You will not receive any further payments, including any Coupon Payments, after the applicable Redemption Settlement
Date. 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.
PS-9 | Structured Investments Alerian MLP Index® ETNs | |
| · | THE PAYMENT ON THE NOTES IS LINKED TO THE
VWAP LEVELS, NOT TO THE CLOSING LEVELS OF THE INDEX — |
The payment at maturity or upon early repurchase
or redemption is linked to the performance of the Final VWAP Level with respect to the relevant Measurement Period, as compared to the
Initial VWAP Level. The Initial VWAP Level is the arithmetic average of the VWAP Levels determined over a period of five Index Business
Days ending on the Inception Date, and each Final VWAP Level is the arithmetic average of the VWAP Levels over five consecutive Index
Business Days. Although the VWAP Level is intended to track the performance of the Index, the calculation of the VWAP Level is different
from the calculation of the official closing level of the Index, and the VWAP Level will not necessarily correlate with the performance
of the official closing level of the Index. The official closing level of the Index may vary significantly from the VWAP Level. Therefore,
the payment at maturity or upon early repurchase or redemption may be different from, and may be significantly less than, the payment
you would receive if that payment were determined by reference to the official closing level of the Index.
| · | A TRADING MARKET MAY NOT DEVELOP, AND THE
NOTES MAY NOT CONTINUE TO BE LISTED OVER THEIR TERM — |
Although the notes are listed on NYSE Arca,
no assurance can be given as to the continued listing for the term of the notes, or the liquidity or trading market for the notes. There
can be no assurance that a secondary market for the notes will develop. We are not required to maintain a listing on NYSE Arca or any
other exchange.
| · | THE TRADING PRICE OF THE NOTES IN ANY SECONDARY MARKET MAY DIFFER SIGNIFICANTLY FROM THE CLOSING INTRINSIC NOTE VALUE AND INTRADAY
INTRINSIC NOTE VALUE — |
The Closing Intrinsic Note Value is published
on each Index Business Day and is meant to approximate the intrinsic value of the notes at the close on that day, and the Intraday Intrinsic
Note Value is calculated every 15 seconds on each Index Business Day and is meant to approximate the intrinsic value of the notes at that
time. See “Understanding the Value of the Notes” above in this pricing supplement. In contrast,
the trading price of the notes at any time is the price at which you may be able to sell your notes in the secondary market at that time,
if one exists.
The trading price
of the notes at any time may vary significantly from the Closing Intrinsic Note Value and the Intraday Intrinsic Note Value at that time
due to, among other things, imbalances of supply and demand (including as a result of any decision of ours to issue, stop issuing or resume
issuing additional notes), lack of liquidity, transaction costs, credit considerations and bid-offer spreads. A premium or discount
over the Intraday Intrinsic Note Value can also arise in the trading price as a result of mismatches of trading hours between the notes
and the components included in the Index underlying the notes, actions (or failure to take action) by the index sponsor and NYSE Arca
and technical or human errors by service providers, market participants and others. If you pay a premium
for the notes above the Closing Intrinsic Note Value and the Intraday Intrinsic Note Value, you could incur significant losses if you
sell your notes at a time when the premium is no longer present in the market.
In addition, the payment on the notes at maturity
or upon early repurchase or redemption will be determined based on the Closing Intrinsic Note Value calculated using the average VWAP
Level over a five-day Measurement Period, which may vary significantly from the trading price of the notes and will not reflect any premium.
Furthermore, if you sell your notes in the market at a time when the notes are trading at a discount below the Closing Intrinsic Note
Value and the Intraday Intrinsic Note Value, you will receive less than the Closing Intrinsic Note Value and the Intraday Intrinsic Note
Value.
| · | THE LIQUIDITY OF THE MARKET FOR THE NOTES
MAY VARY MATERIALLY OVER TIME, INCLUDING AS A RESULT OF ANY DECISION OF OURS TO ISSUE, STOP ISSUING OR RESUME ISSUING ADDITIONAL NOTES
— |
In our sole discretion, and without providing
you notice or obtaining your consent, we may decide to issue and sell additional notes from time to time. However, we are under no obligation
to issue or sell additional notes at any time, and if we do sell additional notes, we may limit or restrict those sales, and we may stop
and subsequently resume selling additional notes at any time. If we limit, restrict or stop sales of such additional notes, or if we subsequently
resume sales of such additional notes, the liquidity and trading price of the notes in the secondary market could be materially and adversely
affected. Unless we indicate otherwise, if we suspend selling additional notes, we reserve the right to resume selling additional notes
at any time, which might result in the reduction or elimination of any premium in the trading price. See “— The trading price
of the notes in any secondary market may differ significantly from the Closing Intrinsic Note Value and Intraday Intrinsic Note Value”
above.
In addition, affiliates of ours may engage in
limited purchase and resale transactions in the notes, although they are not required to do so. The number of notes outstanding or held
by persons other than our affiliates could be further reduced at any time due to early repurchase of the notes or due to our or our affiliates’
purchases of notes in the secondary market. A suspension of additional issuances of the notes could result in a significant reduction
in the number of outstanding notes if investors subsequently exercise their right to have the notes repurchased by us.
Accordingly, the number of outstanding notes,
and their liquidity, could vary substantially over the term of the notes. There may not be sufficient liquidity to enable you to sell
your notes readily, and you may suffer substantial losses and/or sell your notes at prices substantially less than the Closing Intrinsic
Note Value and the Intraday Intrinsic Note Value, including being unable to sell them at all or only for a price of zero in the secondary
market. In addition, any election by holders to request that we repurchase the notes will be subject to the restrictive conditions and
procedures described in this pricing supplement, including the condition that you may request repurchase of at least 50,000 notes at any
one time and that you may only exercise your right to require us to repurchase the notes once per week. If the total number of outstanding
notes is close to or below 50,000, you may not be able to purchase enough notes to meet the minimum size requirement in order to exercise
your early repurchase right. The unavailability of the repurchase right can result in the
PS-10 | Structured Investments Alerian MLP Index® ETNs | |
notes trading in the secondary market at a discount
below the Closing Intrinsic Note Value and the Intraday Intrinsic Note Value.
| · | THERE ARE RESTRICTIONS ON THE MINIMUM NUMBER
OF NOTES YOU MAY REQUEST THAT WE REPURCHASE AND THE DATES ON WHICH YOU MAY EXERCISE YOUR RIGHT TO HAVE US REPURCHASE YOUR NOTES —
|
If you elect to exercise your right to have
us repurchase your notes, you must request that we repurchase at least 50,000 notes on the applicable Repurchase Date. If you own fewer
than 50,000 notes, you will not be able to have us repurchase your notes. Your request that we repurchase your notes is valid only if
we receive your Repurchase Notice by no later than 4:00 p.m., New York City time, on the Business Day immediately preceding the applicable
Repurchase Valuation Date (generally Thursday). Once delivered, a Repurchase Notice may not be revoked. If we do not receive your Repurchase
Notice by the deadline, your Repurchase Notice will not be effective, and we will not repurchase your notes on the corresponding Repurchase
Date. In addition, because of the timing requirements of the Repurchase Notice and the five-Index Business Day Measurement Period, settlement
of the repurchase will be prolonged when compared to a sale and settlement in the secondary market.
| · | YOU WILL NOT KNOW THE PAYMENT UPON EARLY
REPURCHASE OR THE REPURCHASE DATE AT THE TIME YOU ELECT TO REQUEST THAT WE REPURCHASE YOUR NOTES — |
You will not know the amount payable upon early
repurchase or the Repurchase Date at the time you elect to request that we repurchase your notes. Your notice must be received by us no
later than 4:00 p.m., New York City time, on the Business Day immediately preceding the applicable Repurchase Valuation Date. The Issuer’s
acknowledgement may specify a Repurchase Date that follows the final day in the Measurement Period by up to five Business Days. In addition,
the amount payable upon early repurchase will not be determined until the final day of the Measurement Period with respect to the Repurchase
Valuation Date, which is the fifth Index Business Day from the Repurchase Valuation Date, subject to postponement in the event of a market
disruption event and as described under “General Terms of Notes — Postponement of an Averaging Date” in the accompanying
product supplement. As a result, you will be exposed to market risk in the event the market fluctuates after we receive your request.
| · | NO DISTRIBUTIONS OR VOTING RIGHTS — |
As a holder of the notes, you will not have
voting rights or rights to receive cash distributions or other rights that direct holders of the Index Components would have.
| · | THE U.S. FEDERAL TAX CONSEQUENCES OF AN
INVESTMENT IN THE NOTES ARE UNCLEAR — |
There is no direct legal authority as to the
proper U.S. federal income tax treatment of the notes, and we do not intend to request a ruling from the Internal Revenue Service (the
“IRS”) regarding the notes. The IRS might not accept, and a court might not uphold, the treatment of the notes as “open
transactions” that are not debt instruments, as described in “Tax Treatment” in this document and in “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement. If the IRS were successful in asserting an alternative
treatment for the notes, the timing and character of any income or loss on the notes could be materially affected. For example, the IRS
could seek to treat you as the beneficial owner of the underlying MLPs for U.S. federal income tax purposes. In that event, you would
be required to recognize your allocable share of the taxable income earned by the underlying MLPs that are treated as partnerships for
U.S. federal income tax purposes, which in a particular taxable year could differ significantly from (and could be significantly greater
than) the amount of cash payments you receive on the notes in that year. In addition, among other potentially adverse consequences, a
Non-U.S. Holder treated as a beneficial owner of those underlying MLPs would be treated as engaged in a U.S. trade or business, would
be required to file tax returns in the jurisdiction in which those MLPs operate and generally would be subject to 15% withholding on amounts
deemed realized upon rebalancings of the Index and the sale or disposition of a note (including upon early repurchase or redemption at
maturity), which withholdings would generally be creditable against its U.S. federal income tax, provided it properly filed the required
tax return(s). Alternatively, the IRS could seek to treat the notes as “contingent payment debt instruments.” In this event,
a U.S. Holder will be required to accrue into income original issue discount on your notes, with the result that your taxable income in
any year could differ significantly from (and could be significantly higher than) the Coupon Amounts (if any) you receive in that year.
In addition, any gain recognized at maturity, upon early repurchase or redemption or upon a sale or exchange of your notes generally will
be treated as interest income, and if you recognize a loss above certain thresholds, you might be required to file a disclosure statement
with the IRS.
Even if the notes are treated as open transactions
that are not debt instruments, the notes could be treated as “constructive ownership transactions” within the meaning of Section
1260 of the Internal Revenue Code of 1986, as amended (the “Code”). Due to the lack of governing authority, our special tax
counsel is unable to opine as to whether the constructive ownership rules apply to the notes. If applicable, the constructive ownership
rules would recharacterize any gain recognized in respect of the notes that would otherwise be long-term capital gain and that is in excess
of the “net underlying long-term capital gain” (as defined in Code Section 1260) as ordinary income, and impose a notional
interest charge as if that income had accrued for tax purposes at a constant yield over your holding period for the notes. The “net
underlying long-term capital gain” is presumed to be zero unless you provide clear and convincing evidence to the contrary. You
will be responsible for obtaining information necessary to determine the “net underlying long-term capital gain” with respect
to the notes; we are not required, and do not intend, to supply you with such information. Accordingly, you should consult your tax advisers
regarding the potential application of the constructive ownership rules.
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, which may include the notes. The notice focuses in
PS-11 | Structured Investments Alerian MLP Index® ETNs | |
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 exchange-traded status of the
instruments and the nature of the underlying property to which the instruments are linked; and whether these instruments are or should
be subject to the “constructive ownership” regime. 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 review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement and consult your tax adviser regarding
the U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments and the issues presented
by this notice.
Subject to discussion in the next paragraph,
we generally expect that Coupon Amounts paid to Non-U.S. Holders will be withheld upon at a rate of 30%, subject to the possible reduction
or elimination of that rate under the “other income” or similar provision of an applicable income tax treaty. Coupon Amounts
that are treated as “effectively connected” with the conduct of a trade or business in the United States should not be subject
to this withholding tax. However, in order to avoid withholding on “effectively connected” Coupon Amounts, you will likely
be required to provide a properly completed IRS Form W-8ECI. Any “effectively connected income” from your notes, including
also any gain from the sale or settlement of your notes that is or is treated as effectively connected with your conduct of a United States
trade or business, will be subject to U.S. federal income tax, and will require you to file U.S. federal income tax returns, in each case
in the same manner as if you were a U.S. Holder. In particular, if you own or are treated as owning more than 5% of the notes, you could
be treated as owning a “United States real property interest” within the meaning of Code Section 897, in which case any gain
from the sale or settlement of your notes would be deemed to be “effectively connected income,” with the consequences described
above.
Code Section 871(m) and Treasury regulations
promulgated thereunder (“Section 871(m)”) generally imposes a 30% withholding tax (or a lower rate under the dividend provision
of an applicable income tax treaty) on certain “dividend equivalents” paid or deemed paid with respect to derivatives linked
to U.S. stocks or indices that include U.S. stocks under certain circumstances, even in cases where the derivatives do not provide for
payments explicitly linked to dividends. In general, this withholding regime applies to derivatives that substantially replicate the economic
performance of one or more underlying U.S. stocks, as determined when the derivative is issued, based on one of two tests set forth in
the regulations. Moreover, the applicable Treasury regulations generally require a “look through” of certain partnerships
(“Covered Partnerships”) that own stock of U.S. corporations. It would be prudent to assume that many of the Index Components
that are treated as partnerships for U.S. federal income tax purposes are Covered Partnerships. Accordingly, the applicable Treasury regulations
can deem non-U.S. investors to be receiving dividend equivalents in respect of Index Components that are treated as corporations for U.S.
federal income tax purposes and in respect of underlying U.S. stocks owned by Index Components that are Covered Partnerships, even if
no payments on the notes are directly traceable to any dividends on those underlying stocks. Withholding in the latter instance would
be based on the amount of dividends paid on underlying U.S. stocks owned by those Covered Partnerships during your ownership period. The
aggregate amounts actually paid on those underlying U.S. stocks during the applicable quarter may not be known until the following year,
if at all. Based on certain factual determinations made by us, we currently believe that an estimate of the dividend equivalent amounts
that are attributable to underlying U.S. stocks owned by Index Components that are Covered Partnerships is 0.1157% of the Principal Amount
per Coupon Payment (the “Estimated Amount”). We may change this estimate in subsequent years. In addition, a portion of each
Coupon Amount will be treated as a “dividend equivalent” with respect to each of Hess Midstream LP and Star Group LP, which
portion we will provide upon request. You generally should expect withholding agents to withhold from each Coupon Payment 30% (or a lower
rate under the dividend provision of an applicable income tax treaty) of (i) the Estimated Amount and (ii) the portion of the Coupon Payment
attributable to dividend equivalents with respect to Hess Midstream LP and Star Group LP, and also to withhold 30% (subject to possible
reduction or elimination of that rate under the “other income” or similar provision of an applicable income tax treaty) of
the remaining portion of the Coupon Payment, in each case assuming the income is not effectively connected with your conduct of a trade
or business in the United States (in which case, in order to avoid withholding, you will likely be required to provide a properly completed
IRS Form W-8ECI). Our estimate of the dividend equivalent amounts may be based on historical dividends or other non-prospective data and
may change from time to time. If you sell or otherwise dispose of the notes between Coupon Payment Dates, you generally should expect
withholding agents to withhold 30% (or a lower rate under the dividend provision of an applicable income tax treaty) of the estimated
dividend equivalent amounts attributable to the portion of the Coupon Amount that has accrued since the immediately preceding Coupon Payment
Date. Under applicable Treasury Regulations, withholding agents who have under-withheld on certain dividend amounts may adjust any withholding
prior to March 15 of the following year without penalties. We will not provide any further information concerning the actual dividend
equivalent amounts in any year, which may differ from our estimated dividend equivalent amounts in that year. If you are a Non-U.S. Holder,
you should consult your tax adviser regarding the potential application of Code Section 871(m) to the notes.
In the event of any withholding on the
notes, we will not be required to pay any additional amounts with respect to amounts so withheld. Non-U.S. Holders should consult their
tax advisers regarding the potential application of withholding tax to the notes.
PS-12 | Structured Investments Alerian MLP Index® ETNs | |
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.
The Note Calculation Agent will make all necessary
calculations and determinations in connection with the notes, including calculations and determinations relating to any payments on the
notes, market disruption events, splits and reverse splits of the notes and the replacement of the Index with a successor index. Exercises
of discretion by JPMS in its role as Note Calculation Agent could adversely affect the value of the notes.
On any business day on or after July 26, 2024,
we may, in our sole discretion, redeem the notes, in whole or in part.
In our sole discretion, and without providing
you notice or obtaining your consent, we may decide to issue and sell additional notes from time to time. However, we are under no obligation
to issue or sell additional notes at any time, and if we do sell additional notes, we may limit or restrict those sales, and we may stop
and subsequently resume selling additional notes at any time. Any notes held by us or an affiliate in inventory may be sold or lent to
market participants who may have made short sales of the notes.
| · | JPMS and its
affiliates may have published research, expressed opinions or provided recommendations that are inconsistent with investing in or holding
the notes. Any such research, opinions or recommendations could affect the market value of the notes —
|
JPMS and its affiliates publish research from
time to time on financial markets and other matters that may influence the value of the notes, or express opinions or provide recommendations
that are inconsistent with purchasing or holding the notes. JPMS and its affiliates may have published research or other opinions that
call into question the investment view implicit in an investment in the notes. Any research, opinions or recommendations expressed by
JPMS or its affiliates may not be consistent with each other and may be modified from time to time without notice. Investors should make
their own independent investigation of the merits of investing in the notes, the Index and the Index Components to which the notes are
linked.
Risks Relating to the Secondary Market Prices
of the Notes
| · | MANY ECONOMIC AND MARKET FACTORS WILL IMPACT
THE SECONDARY MARKET PRICE OF THE NOTES — |
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
VWAP Level and the level of the Index, including:
| · | any actual or potential change in our or JPMorgan
Chase & Co.’s creditworthiness or credit spreads; |
| · | the actual and expected volatility in the
Index and the prices of the Index Components; |
| · | the time to maturity of the notes; |
| · | the market price and actual and expected distributions
on the Index Components; |
| · | interest and yield rates in the market generally; |
| · | supply and demand for the notes, including
inventory positions with any market maker (supply and demand for the notes will be affected by any decision of ours to issue, stop issuing
or resume issuing additional notes); |
| · | the amount of the Accrued Investor Fee as
of a particular determination date; |
| · | the Index Components and changes to those
Index Components over time; and |
| · | a variety of economic, financial, political,
regulatory and judicial events. |
Risks Relating to the Index
| · | THERE IS NO ASSURANCE THAT THE STRATEGY
EMPLOYED BY THE INDEX WILL BE SUCCESSFUL — |
The Index measures the composite performance
of energy-oriented MLPs that earn the majority of their cash flows from qualified activities involving energy commodities, using a capped,
float-adjusted, capitalization-weighted methodology. There is, however, no assurance that the Index will outperform any other index or
strategy that tracks MLPs selected using other criteria. Because the Index uses a capped, floated-adjusted, capitalization-weighted methodology,
the performance of the VWAP Level and Coupon Payments on the notes may be lower than if a different weighting methodology were employed.
| · | ENERGY MLP MARKET RISKS MAY AFFECT THE
TRADING VALUE OF THE NOTES AND THE AMOUNT YOU WILL RECEIVE AT MATURITY — |
We expect that the VWAP Level and the amount
of any distributions on the Index Components will fluctuate in accordance with changes in the financial condition of the Index Components
and certain other factors. The financial condition of the Index Components may become impaired or the general condition of the energy-oriented
MLP market may deteriorate, either of which may cause a decrease in the VWAP Level and the amount of any distributions on the Index Components
and thus in the value of the notes. Securities are susceptible to general market fluctuations and to volatile increases and decreases
in value, as market confidence in and perceptions regarding the Index Components change. Investor perceptions of the Index Components
are based on various and unpredictable factors, including
PS-13 | Structured Investments Alerian MLP Index® ETNs | |
expectations regarding government, economic,
monetary, tax and fiscal policies, inflation and interest rates, economic expansion or contraction, and global or regional political,
economic and banking crises. The VWAP Level and the amount of any distributions on the Index Components are expected to fluctuate over
the term of the notes.
| · | THE INDEX COMPONENTS ARE CONCENTRATED IN
THE ENERGY INDUSTRY — |
All or substantially all of the Index Components
that have been issued by companies whose primary lines of business are directly associated with the energy industry including the oil
and gas sector. Many of the MLPs included in the Index are smaller, non-diversified businesses that are exposed to the risks associated
with such businesses, including the lack of capital funding to sustain or grow businesses and potential competition from larger, better
financed and more diversified businesses. In addition, the MLPs in the energy industry are significantly affected by a number of factors
including:
| · | worldwide and domestic supplies of, and demand
for, crude oil, natural gas, natural gas liquids, hydrocarbon products and refined products; |
| · | changes in tax or other laws affecting master
limited partnerships generally; |
| · | regulatory changes affecting pipeline fees
and other regulatory fees in the energy sector; |
| · | changes in the relative prices of competing
energy products; |
| · | the impact of environmental laws and regulations
and technological changes affecting the cost of producing and processing, and the demand for, energy products; |
| · | decreased supply of hydrocarbon products available
to be processed due to fewer discoveries of new hydrocarbon reserves, short- or long-term supply disruptions or otherwise; |
| · | risks of regulatory actions and/or litigation,
including as a result of leaks, explosions or other accidents relating to energy products; |
| · | uncertainty or instability resulting from
an escalation or additional outbreak of armed hostilities or further acts of terrorism in the United States, or elsewhere; and |
| · | general economic and geopolitical conditions
in the United States and worldwide. |
In addition, investments in securities of MLPs
involve risks that differ from investments in common stock including risks related to limited control and limited rights to vote on matters
affecting an MLPs, risks related to potential conflicts of interest between an MLP and its general partner, and cash flow risks.
Prices of securities of an MLP can be affected
by fundamentals unique to the partnership, including earnings power and coverage ratio. Changes in the tax law affecting MLPs could adversely
affect the price performance of securities of MLPs. These factors could affect the relevant industries and the MLPs operating in these
industries and could cause some or all of the Index Components to decline in value, or to reduce their distributions, during the term
of the notes.
| · | AN INVESTMENT IN THE NOTES IS SUBJECT TO
RISKS ASSOCIATED WITH MID-SIZE AND SMALL CAPITALIZATION STOCKS — |
Mid-size and small capitalization companies
may be less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Mid-size and small
capitalization companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that
limits downward stock price pressure under adverse market conditions.
| · | THE INDEX CALCULATION AGENT MAY, IN ITS
SOLE DISCRETION, DISCONTINUE THE PUBLIC DISCLOSURE OF THE INTRADAY LEVEL OF THE INDEX — |
The Index Calculation Agent is not under any
obligation to continue to calculate the intraday level of the Index or required to calculate similar levels for any successor index. If
the Index Calculation Agent discontinues such public disclosure, we may not be able to provide the intraday levels related to the Index
required to maintain any listing of the notes on NYSE Arca. If the notes become delisted, the liquidity of the market for the notes may
be materially and adversely affected and you may sustain significant losses if you sell your notes in the secondary market.
PS-14 | Structured Investments Alerian MLP Index® ETNs | |
Hypothetical
Examples: Coupon Payments
The following examples illustrate hypothetical Coupon
Amounts on the notes over a hypothetical period of eight quarters based on hypothetical Reference Distribution Amounts. The “return
on Principal Amount” as used in this section is the number, expressed as a percentage, that results from comparing a Coupon Amount
to the Principal Amount.
In addition, the hypothetical Coupon Amounts and returns
set forth below assume that the notes are not repurchased or redeemed early, as well as the following:
| · | a Principal Amount of $25; |
| · | an Initial VWAP Level of 100.00 and a constant VWAP Level
of 100.00 over the hypothetical period (see “— Hypothetical Accrued Investor Fee Calculations” for an illustration of
the effect of fluctuating VWAP Levels on the Accrued Investor Fee); |
| · | an investor fee percentage of 0.85% per annum; and |
| · | each hypothetical quarterly period is a quarter of a year
with 360 days. |
The hypothetical Initial VWAP Level of 100.00 and the
VWAP Level on the Index Business Day immediately preceding each Coupon Valuation Date of 100.00 have been chosen for illustrative purposes
only and do not represent the actual Initial VWAP Level or a likely actual VWAP Level. The actual Initial VWAP Level is the arithmetic
average of the VWAP Levels determined over a period of five Index Business Days ending on the Inception Date and is specified under “Key
Terms — Terms Relating to Closing Intrinsic Note Value — Initial VWAP Level” in this pricing supplement. The actual
VWAP Level will fluctuate over the term of the notes. For information about how the Accrued Investor Fee will vary as the VWAP Level varies,
see “— Hypothetical Accrued Investor Fee Calculations” below.
Each hypothetical Reference Distribution Amount, Accrued
Investor Fee, Coupon Amount, Investor Fee Shortfall or return set forth below is for illustrative purposes only and may not be the actual
Reference Distribution Amount, Accrued Investor Fee, Coupon Amount, Investor Fee Shortfall or return applicable to a purchaser of the
notes. The actual Reference Distribution Amount, Coupon Payments, Accrued Investor Fee, Investor Fee Shortfall or return may be higher
or lower than the amounts shown in the table below. In addition, if you purchase the notes at a price that is higher or lower than the
Principal Amount used for these examples, the return on your notes represented by a Coupon Amount will be different from the returns set
forth in the examples below. The numbers appearing in the following examples have been rounded for ease of analysis.
Example 1 — A Coupon Payment is made with
respect to each quarterly Coupon Valuation Date.
Coupon
Valuation Date |
Reference
Distribution Amount |
Accrued
Investor Fee |
Coupon Amount |
Return on
Principal Amount |
|
Investor Fee
Shortfall |
First |
$0.1000 |
$0.0531 |
$0.0469 |
0.1875% |
|
$0.0000 |
Second |
$0.1500 |
$0.0531 |
$0.0969 |
0.3875% |
|
$0.0000 |
Third |
$0.2000 |
$0.0531 |
$0.1469 |
0.5875% |
|
$0.0000 |
Fourth |
$0.1250 |
$0.0531 |
$0.0719 |
0.2875% |
|
$0.0000 |
Fifth |
$0.2500 |
$0.0531 |
$0.1969 |
0.7875% |
|
$0.0000 |
Sixth |
$0.1125 |
$0.0531 |
$0.0594 |
0.2375% |
|
$0.0000 |
Seventh |
$0.0875 |
$0.0531 |
$0.0344 |
0.1375% |
|
$0.0000 |
Eighth |
$0.0750 |
$0.0531 |
$0.0219 |
0.0875% |
|
$0.0000 |
Because the Reference Distribution Amount with respect
to each Coupon Valuation Date is greater than the Accrued Investor Fee with respect to that Coupon Valuation Date, a Coupon Payment equal
to the relevant Coupon Amount is made with respect to each quarterly Coupon Valuation Date.
Example 2 — No Coupon Payments are made
with respect to any quarterly Coupon Valuation Date.
Coupon
Valuation Date |
Reference
Distribution Amount |
Accrued
Investor Fee |
Coupon Amount |
Return on
Principal Amount |
|
Investor Fee
Shortfall |
First |
$0.0000 |
$0.0531 |
$0.0000 |
0.0000% |
|
$0.0531 |
Second |
$0.0000 |
$0.1063 |
$0.0000 |
0.0000% |
|
$0.1063 |
Third |
$0.0000 |
$0.1594 |
$0.0000 |
0.0000% |
|
$0.1594 |
Fourth |
$0.0625 |
$0.2125 |
$0.0000 |
0.0000% |
|
$0.1500 |
Fifth |
$0.0750 |
$0.2031 |
$0.0000 |
0.0000% |
|
$0.1281 |
Sixth |
$0.0500 |
$0.1813 |
$0.0000 |
0.0000% |
|
$0.1313 |
Seventh |
$0.0875 |
$0.1844 |
$0.0000 |
0.0000% |
|
$0.0969 |
Eighth |
$0.0375 |
$0.1500 |
$0.0000 |
0.0000% |
|
$0.1125 |
Because the Reference Distribution Amount with respect
to each Coupon Valuation Date is less than the Accrued Investor Fee with respect to that Coupon Valuation Date, no Coupon Payments are
made with respect to any quarterly Coupon Valuation Date.
PS-15 | Structured Investments Alerian MLP Index® ETNs | |
Hypothetical Accrued Investor Fee Calculations
The Index Ratio used to calculate the Accrued Investor
Fee in the examples above is equal to 1.00 due to the assumptions that the Initial VWAP Level is equal to 100.00 and the VWAP Level is
remains flat at 100.00 over the hypothetical period. However, the actual VWAP Level and, therefore, the Index Ratio and the Accrued Investor
Fee, will fluctuate over the term of the notes.
The following table illustrates the hypothetical Accrued
Investor Fee on the notes for a hypothetical quarterly period, assuming a range of VWAP Levels as of the Index Business Day immediately
preceding the relevant Coupon Valuation Date.
In addition, the hypothetical Coupon Amounts and returns
set forth below assume that the notes are not repurchased or redeemed early, as well as the following:
| · | a Principal Amount of $25; |
| · | an Initial VWAP Level of 100.00; |
| · | an investor fee percentage of 0.85% per annum; |
| · | each hypothetical quarterly period is a quarter of a year
with 360 days; and |
| · | an Investor Fee Shortfall of $0 as of the immediately preceding
Coupon Valuation Date. |
The hypothetical Initial VWAP Level of 100.00 has been
chosen for illustrative purposes only and does not represent the actual Initial VWAP Level. The actual Initial VWAP Level is the arithmetic
average of the VWAP Levels determined over a period of five Index Business Days ending on the Inception Date and is specified under “Key
Terms — Terms Relating to Closing Intrinsic Note Value — Initial VWAP Level” in this pricing supplement. We cannot predict
the actual VWAP Level on any Index Business Day.
The Investor Fee Shortfall of $0 as of the immediately
preceding Coupon Valuation Date has been chosen for illustrative purposes only. The actual Investor Fee Shortfall as of the immediately
preceding Coupon Valuation Date will equal the excess, if any, of the Accrued Investor Fee over the Reference Distribution Amount as of
the immediately preceding Coupon Valuation Date.
Each hypothetical Reference Distribution Amount, Accrued
Investor Fee, Coupon Amount, Investor Fee Shortfall and return set forth below is for illustrative purposes only and may not be the Reference
Distribution Amount, Accrued Investor Fee, Coupon Amount, Investor Fee Shortfall or return applicable to a purchaser of the notes. The
actual Reference Distribution Amounts, Coupon Payments, Accrued Investor Fee, Investor Fee Shortfall and return may be higher than the
amounts shown in the table below. In addition, if you purchase the notes at a price that is higher or lower than the Principal Amount
used for this example, the return on your notes represented by a Coupon Amount will be different from the returns set forth in the examples
below. The numbers appearing in the following table have been rounded for ease of analysis.
VWAP Level |
Index Ratio |
Accrued
Investor Fee |
Percent of
Principal Amount |
200.00 |
200.00% |
$0.1063 |
0.4250% |
180.00 |
180.00% |
$0.0956 |
0.3825% |
160.00 |
160.00% |
$0.0850 |
0.3400% |
140.00 |
140.00% |
$0.0744 |
0.2975% |
120.00 |
120.00% |
$0.0638 |
0.2550% |
100.00 |
100.00% |
$0.0531 |
0.2125% |
80.00 |
80.00% |
$0.0425 |
0.1700% |
60.00 |
60.00% |
$0.0319 |
0.1275% |
40.00 |
40.00% |
$0.0213 |
0.0850% |
20.00 |
20.00% |
$0.0106 |
0.0425% |
PS-16 | Structured Investments Alerian MLP Index® ETNs | |
Hypothetical
Examples: Payment at Maturity or upon Early Repurchase or Redemption
The following examples illustrate the hypothetical total
return and payment at maturity or upon early repurchase or redemption on the notes. For illustrative purposes only, the hypothetical total
returns and payments set forth below assume the following:
| · | a Principal Amount of $25; |
| · | an Initial VWAP Level of 100.00; |
| · | an investor fee percentage of 0.85% per annum; |
| · | a repurchase fee percentage of 0.125%; |
| · | each hypothetical year is a year of 360 days; |
| · | the Final VWAP Level on any date of determination is the VWAP
Level on that date (the Final VWAP Level is actually the arithmetic average of the VWAP Levels on the five Index Business Days in the
relevant Measurement Period); |
| · | the VWAP Level increases or decreases, as applicable, on approximately
a straight-line basis over each year (the actual VWAP Level on any Index Business Day will reflect the volume-weighted average prices
of the Index Components on that Index Business Day); |
| · | the Reference Distribution Amount with respect to each Coupon
Valuation Date is $0 (the actual Reference Distribution Amount will vary and will be greater than $0 if any Index Component makes a cash
distribution with an ex-dividend date during the relevant Coupon Accrual Period); and |
| · | each “Year End” shown in the table below represents
an Index Business Day that occurs on an anniversary of the Initial Issue Date and on a quarterly Coupon Valuation Date (Coupon Valuation
Dates will actually occur on the first Index Business Day occurring on or after the 15th of January, April, July and October of each calendar
year during the term of the notes). |
The hypothetical Initial VWAP Level of 100.00 has been
chosen for illustrative purposes only and does not represent the actual Initial VWAP Level. The actual Initial VWAP Level is the arithmetic
average of the VWAP Levels determined over a period of five Index Business Days ending on the Inception Date and is specified under “Key
Terms — Terms Relating to Closing Intrinsic Note Value — Initial VWAP Level” in this pricing supplement. We cannot predict
the actual VWAP Level on any Index Business Day.
Because the Reference Distribution Amount with respect
to each Coupon Valuation Date is assumed to be $0, the Stub Coupon Amount and Unpaid Coupon Amount would also be $0 on each Index Business
Day over the term of the notes. Under these circumstances, no Coupon Payments would be made over the term of the notes.
In addition, because the Reference Distribution Amount
with respect to each Coupon Valuation Date is assumed to be $0, the investor fee would not be offset by cash dividends on the Index Components.
Under these circumstances, due to the effect of the Investor Fee Shortfall, the Accrued Investor Fee with respect to any Coupon Valuation
Date will reflect the entire investor fee that has accrued over the term of the notes up to that Coupon Valuation Date. Any actual Investor
Fee Shortfall may be greater than the amounts shown below.
If the notes are repurchased or redeemed, the payment
upon early repurchase or redemption will be the applicable Closing Intrinsic Note Value minus, in the case of an early repurchase,
the applicable Repurchase Fee Amount.
Each hypothetical total return, payment and Closing Intrinsic
Note Value set forth below is for illustrative purposes only and may not be the actual total return, payment or Closing Intrinsic Note
Value applicable to a purchaser of the notes. In addition, if you purchase the notes at a price that is higher or lower than the Principal
Amount used for these examples, the return on your notes represented by the payment at maturity or upon early repurchase or redemption
will be different from the returns set forth in the examples below. The numbers appearing in the following tables have been rounded for
ease of analysis.
PS-17 | Structured Investments Alerian MLP Index® ETNs | |
Example 1 — The VWAP Level increases by
3% each year over the term of the notes.
Year End |
VWAP Level |
Accrued Investor Fee |
Closing Intrinsic
Note Value |
Percent of
Principal Amount |
|
Repurchase
Fee Amount |
— |
100.0000 |
— |
$25.0000 |
100.00% |
|
— |
First |
103.0000 |
$0.2165 |
$25.5335 |
102.13% |
|
$0.0319 |
Second |
106.0900 |
$0.4393 |
$26.0832 |
104.33% |
|
$0.0326 |
Third |
109.2727 |
$0.6687 |
$26.6495 |
106.60% |
|
$0.0333 |
Fourth |
112.5509 |
$0.9049 |
$27.2328 |
108.93% |
|
$0.0340 |
Fifth |
115.9274 |
$1.1480 |
$27.8338 |
111.34% |
|
$0.0348 |
Sixth |
119.4052 |
$1.3983 |
$28.4530 |
113.81% |
|
$0.0356 |
Seventh |
122.9874 |
$1.6560 |
$29.0908 |
116.36% |
|
$0.0364 |
Eighth |
126.6770 |
$1.9214 |
$29.7479 |
118.99% |
|
$0.0372 |
Ninth |
130.4773 |
$2.1945 |
$30.4248 |
121.70% |
|
$0.0380 |
Tenth |
134.3916 |
$2.4757 |
$31.1222 |
124.49% |
|
$0.0389 |
Eleventh |
138.4234 |
$2.7653 |
$31.8406 |
127.36% |
|
$0.0398 |
Twelfth |
142.5761 |
$3.0634 |
$32.5806 |
130.32% |
|
$0.0407 |
Thirteenth |
146.8534 |
$3.3703 |
$33.3430 |
133.37% |
|
$0.0417 |
Fourteenth |
151.2590 |
$3.6864 |
$34.1284 |
136.51% |
|
$0.0427 |
Fifteenth |
155.7967 |
$4.0118 |
$34.9374 |
139.75% |
|
$0.0437 |
Sixteenth |
160.4706 |
$4.3468 |
$35.7709 |
143.08% |
|
$0.0447 |
Seventeenth |
165.2848 |
$4.6918 |
$36.6294 |
146.52% |
|
$0.0458 |
Eighteenth |
170.2433 |
$5.0470 |
$37.5139 |
150.06% |
|
$0.0469 |
Nineteenth |
175.3506 |
$5.4127 |
$38.4250 |
153.70% |
|
$0.0480 |
Twentieth |
180.6111 |
$5.7893 |
$39.3635 |
157.45% |
|
$0.0492 |
If the notes are not repurchased or redeemed early,
the payment at maturity will be $39.3635 per note, representing a gain on principal of 57.45% and an annualized return of 2.30% per annum.
Example 2 — The VWAP Level decreases by
3% each year over the term of the notes.
Year End |
VWAP Level |
Accrued Investor Fee |
Closing Intrinsic
Note Value |
Percent of
Principal Amount |
|
Repurchase
Fee Amount |
— |
100.0000 |
— |
$25.0000 |
100.00% |
|
— |
First |
97.0000 |
$0.2085 |
$24.0415 |
96.17% |
|
$0.0301 |
Second |
94.0900 |
$0.4107 |
$23.1118 |
92.45% |
|
$0.0289 |
Third |
91.2673 |
$0.6067 |
$22.2102 |
88.84% |
|
$0.0278 |
Fourth |
88.5293 |
$0.7966 |
$21.3357 |
85.34% |
|
$0.0267 |
Fifth |
85.8734 |
$0.9808 |
$20.4875 |
81.95% |
|
$0.0256 |
Sixth |
83.2972 |
$1.1593 |
$19.6650 |
78.66% |
|
$0.0246 |
Seventh |
80.7983 |
$1.3324 |
$18.8672 |
75.47% |
|
$0.0236 |
Eighth |
78.3743 |
$1.5001 |
$18.0935 |
72.37% |
|
$0.0226 |
Ninth |
76.0231 |
$1.6627 |
$17.3431 |
69.37% |
|
$0.0217 |
Tenth |
73.7424 |
$1.8202 |
$16.6154 |
66.46% |
|
$0.0208 |
Eleventh |
71.5301 |
$1.9730 |
$15.9096 |
63.64% |
|
$0.0199 |
Twelfth |
69.3842 |
$2.1210 |
$15.2250 |
60.90% |
|
$0.0190 |
Thirteenth |
67.3027 |
$2.2645 |
$14.5612 |
58.24% |
|
$0.0182 |
Fourteenth |
65.2836 |
$2.4035 |
$13.9174 |
55.67% |
|
$0.0174 |
Fifteenth |
63.3251 |
$2.5383 |
$13.2930 |
53.17% |
|
$0.0166 |
Sixteenth |
61.4254 |
$2.6689 |
$12.6874 |
50.75% |
|
$0.0159 |
Seventeenth |
59.5826 |
$2.7955 |
$12.1002 |
48.40% |
|
$0.0151 |
Eighteenth |
57.7951 |
$2.9181 |
$11.5307 |
46.12% |
|
$0.0144 |
Nineteenth |
56.0613 |
$3.0370 |
$10.9784 |
43.91% |
|
$0.0137 |
Twentieth |
54.3794 |
$3.1521 |
$10.4427 |
41.77% |
|
$0.0131 |
If the notes are not repurchased or redeemed early,
the payment at maturity will be $10.4427 per note, representing a loss of principal of 58.23% and an annualized return of -4.27% per annum.
PS-18 | Structured Investments Alerian MLP Index® ETNs | |
Example 3 — The VWAP Level decreases by
3% each of the first ten years of the term of the notes and increases by 3% each of the remaining ten years of the term of the notes.
Year End |
VWAP Level |
Accrued Investor Fee |
Closing Intrinsic
Note Value |
Percent of
Principal Amount |
|
Repurchase
Fee Amount |
— |
100.0000 |
— |
$25.0000 |
100.00% |
|
— |
First |
97.0000 |
$0.2085 |
$24.0415 |
96.17% |
|
$0.0301 |
Second |
94.0900 |
$0.4107 |
$23.1118 |
92.45% |
|
$0.0289 |
Third |
91.2673 |
$0.6067 |
$22.2102 |
88.84% |
|
$0.0278 |
Fourth |
88.5293 |
$0.7966 |
$21.3357 |
85.34% |
|
$0.0267 |
Fifth |
85.8734 |
$0.9808 |
$20.4875 |
81.95% |
|
$0.0256 |
Sixth |
83.2972 |
$1.1593 |
$19.6650 |
78.66% |
|
$0.0246 |
Seventh |
80.7983 |
$1.3324 |
$18.8672 |
75.47% |
|
$0.0236 |
Eighth |
78.3743 |
$1.5001 |
$18.0935 |
72.37% |
|
$0.0226 |
Ninth |
76.0231 |
$1.6627 |
$17.3431 |
69.37% |
|
$0.0217 |
Tenth |
73.7424 |
$1.8202 |
$16.6154 |
66.46% |
|
$0.0208 |
Eleventh |
75.9547 |
$1.9809 |
$17.0078 |
68.03% |
|
$0.0213 |
Twelfth |
78.2333 |
$2.1463 |
$17.4120 |
69.65% |
|
$0.0218 |
Thirteenth |
80.5803 |
$2.3165 |
$17.8286 |
71.31% |
|
$0.0223 |
Fourteenth |
82.9977 |
$2.4917 |
$18.2577 |
73.03% |
|
$0.0228 |
Fifteenth |
85.4877 |
$2.6720 |
$18.6999 |
74.80% |
|
$0.0234 |
Sixteenth |
88.0523 |
$2.8577 |
$19.1554 |
76.62% |
|
$0.0239 |
Seventeenth |
90.6939 |
$3.0487 |
$19.6247 |
78.50% |
|
$0.0245 |
Eighteenth |
93.4147 |
$3.2454 |
$20.1082 |
80.43% |
|
$0.0251 |
Nineteenth |
96.2171 |
$3.4479 |
$20.6064 |
82.43% |
|
$0.0258 |
Twentieth |
99.1036 |
$3.6563 |
$21.1196 |
84.48% |
|
$0.0264 |
If the notes are not repurchased or redeemed early,
the payment at maturity will be $21.1196 per note, representing a loss of principal of 15.52% and an annualized return of -0.84% per annum.
The hypothetical returns and hypothetical payments on
the notes shown above apply only if you hold the notes for their entire term or until repurchased or redeemed early. 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-19 | Structured Investments Alerian MLP Index® ETNs | |
The following graph sets forth the historical performance
of the notes based on the daily historical closing prices of the notes from January 26, 2024 through May 10, 2024. The closing price of
the notes on May 10, 2024 was $28.5013. The notes commenced trading on the NYSE Arca on January
26, 2024. We obtained the closing prices above and below from Bloomberg, without independent verification.
The historical closing prices of the notes should not
be taken as an indication of past or future performance of the notes, and no assurance can be given as to the price, if any, at which
you will be able to sell your notes.
The following graph sets forth the historical performance
of the Index based on the daily historical closing levels of the Index from January 2, 2019 through May 10, 2024. The closing level of
the Index on May 10, 2024 was 280.7716. We obtained the closing levels above and below from Bloomberg, without independent verification.
The payment at maturity or upon early repurchase
or redemption is linked to the VWAP Levels, not to the closing levels of the Index. Although the VWAP Level is intended to track the
performance of the Index, the calculation of the VWAP Level is different from the calculation of the official closing level of the Index,
and the VWAP Level will not necessarily correlate with the performance of the official closing level of the Index. The official closing
level of the Index may vary significantly from the VWAP Level. Therefore, the payment at maturity or upon early repurchase or redemption
may be different from, and may be significantly less than, the payment you would receive if that payment were determined by reference
to the official closing level of the Index.
The historical closing levels of the Index should not
be taken as an indication of past or future performance of the VWAP Level on any Index Business Day, and no assurance can be given as
to the VWAP Level on any Index Business Day. There can be no assurance that the performance of the VWAP Level will result in the return
of any of your initial investment.
PS-20 | Structured Investments Alerian MLP Index® ETNs | |
Tax Treatment
If you are the beneficial owner of our Alerian MLP
Index ETNs due May 24, 2024 (the “2024 ETNs”) and you redeem your 2024 ETNs in connection with acquiring notes, the IRS could
assert that you have participated in a "deemed" taxable exchange of the 2024 ETNs for your notes. If the IRS were successful
in asserting this treatment, you could be required to recognize gain or loss, equal to the difference between the fair market value of
the notes and your tax basis in the 2024 ETNs at the time of the taxable exchange. You should consult your tax adviser concerning the
possible consequences of a deemed exchange. The remainder of this discussion assumes that you do not redeem any 2024 ETNs in connection
with acquiring notes.
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 7-I dated December 19, 2023.
Based on current market conditions, in the opinion of our special tax counsel, Davis Polk & Wardwell LLP, the notes should be
treated as “open transactions” that are not debt instruments for U.S. federal income tax purposes. Assuming this
treatment is respected, subject to the discussion of the “constructive ownership” rules below, our special tax counsel
is of the opinion that gain or loss on your notes should be treated as long-term capital gain or loss if you have held your notes
for more than one year. However, as discussed in the accompanying product supplement, the IRS or a court may not respect the
treatment described above, in which case the timing and character of income on your notes could be materially and adversely
affected. For example, the IRS could seek to treat you as the beneficial owner of the underlying MLPs for U.S. federal income tax
purposes. In that event, you would be required to recognize your allocable share of the taxable income earned by the underlying MLPs
that are treated as partnerships for U.S. federal income tax purposes, which in a particular taxable year could differ significantly
from (and could be significantly greater than) the amount of cash payments you receive on the notes in that year. Alternatively, the
IRS could seek to treat the notes as “contingent payment debt instruments.” In this event, a U.S. Holder will be
required to accrue into income original issue discount on your notes, with the result that your taxable income in any year could
differ significantly from (and could be significantly higher than) the Coupon Amounts (if any) you receive in that year. In
addition, any gain recognized at maturity, upon early repurchase or redemption or upon a sale or exchange of your notes generally
will be treated as interest income, and if you recognize a loss above certain thresholds, you might be required to file a disclosure
statement with the IRS.
Even if the notes are treated as open transactions
that are not debt instruments, the notes could be treated as “constructive ownership transactions” within the meaning of Code
Section 1260. Due to the lack of governing authority, our special tax counsel is unable to opine as to whether the constructive ownership
rules apply to the notes. If applicable, the constructive ownership rules would recharacterize any gain recognized in respect of the notes
that would otherwise be long-term capital gain and that is in excess of the “net underlying long-term capital gain” (as defined
in Code Section 1260) as ordinary income, and impose a notional interest charge as if that income had accrued for tax purposes at a constant
yield over your holding period for the notes. The “net underlying long-term capital gain” is presumed to be zero unless you
provide clear and convincing evidence to the contrary. You will be responsible for obtaining information necessary to determine the “net
underlying long-term capital gain” with respect to the notes; we are not required, and do not intend, to supply you with such information.
Accordingly, U.S. Holders should consult their tax advisers regarding the potential application of the constructive ownership rules.
The United States federal income tax treatment of the
Coupon Amounts is uncertain. Insofar as we have reporting responsibilities, we will treat Coupon Amounts as ordinary income (in the absence
of an administrative determination or judicial ruling to the contrary), and by purchasing the notes you will agree to do the same.
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, which may include
the notes. The notice focuses in particular on whether to
PS-21 | Structured Investments Alerian MLP Index® ETNs | |
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 exchange-traded status of the instruments and the nature of the underlying property to which the
instruments are linked; and whether these instruments are or should be subject to the “constructive ownership” regime described
above. 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.
Non-U.S. Holders – Tax Considerations.
The United States federal income tax treatment of the Coupon Amounts is uncertain. Insofar as we have reporting responsibilities, we will
treat Coupon Amounts as ordinary income (in the absence of an administrative determination or judicial ruling to the contrary), and by
purchasing the notes you will agree to do the same. Subject to the following sentence and the discussion in the next paragraph, we generally
expect that Coupon Amounts paid to Non-U.S. Holders will be withheld upon at a rate of 30%, subject to the possible reduction or elimination
of that rate under the “other income” or similar provision of an applicable income tax treaty. Coupon Amounts that are treated
as “effectively connected” with the conduct of a trade or business in the United States should not be subject to this withholding
tax. However, in order to avoid withholding on “effectively connected” Coupon Amounts, you will likely be required to provide
a properly completed IRS Form W-8ECI. Any “effectively connected income” from your notes, including also any gain from the
sale or settlement of your notes that is or is treated as effectively connected with your conduct of a United States trade or business,
will be subject to U.S. federal income tax, and will require you to file U.S. federal income tax returns, in each case in the same manner
as if you were a U.S. Holder. In particular, if you own or are treated as owning more than 5% of the notes, you could be treated as owning
a “United States real property interest” within the meaning of Code Section 897, in which case any gain from the sale or settlement
of your notes would be deemed to be “effectively connected income,” with the consequences described above.
Code Section 871(m) and Treasury regulations
promulgated thereunder (“Section 871(m)”) generally imposes a 30% withholding tax (or a lower rate under the dividend
provision of an applicable income tax treaty) on certain “dividend equivalents” paid or deemed paid with respect to
derivatives linked to U.S. stocks or indices that include U.S. stocks under certain circumstances, even in cases where the
derivatives do not provide for payments explicitly linked to dividends. In general, this withholding regime applies to derivatives
that substantially replicate the economic performance of one or more underlying U.S. stocks, as determined when the derivative is
issued, based on one of two tests set forth in the regulations. Moreover, the applicable Treasury regulations generally require a
“look through” of Covered Partnerships that own stock of U.S. corporations. It would be prudent to assume that many of
the Index Components that are treated as partnerships for U.S. federal income tax purposes are Covered Partnerships. Accordingly,
the applicable Treasury regulations can deem non-U.S. investors to be receiving dividend equivalents in respect of Index Components
that are treated as corporations for U.S. federal income tax purposes and in respect of underlying U.S. stocks owned by Index
Components, that are Covered Partnerships even if no payments on the New Notes are directly traceable to any dividends on those
underlying stocks. Withholding in the latter instance would be based on the amount of dividends paid on underlying U.S. stocks owned
by those Covered Partnerships during your ownership period. The aggregate amounts actually paid on those underlying U.S. stocks
during the applicable quarter may not be known until the following year, if at all. Based on certain factual determinations made by
us, we currently believe that an estimate of the dividend equivalent amounts that are attributable to underlying U.S. stocks owned
by Index Components that are Covered Partnerships is 0.1157% of the Principal Amount per Coupon Payment (the “Estimated
Amount”). We may change this estimate in subsequent years. In addition, a portion of each Coupon Amount will be treated as a
“dividend equivalent” with respect to each of Hess Midstream LP and Star Group LP, which portion we will provide upon
request. You generally should expect withholding agents to withhold from each Coupon Payment 30% (or a lower rate under the dividend
provision of an applicable income tax treaty) of (i) the Estimated Amount and (ii) the portion of the Coupon Payment attributable to
dividend equivalents with respect to Hess Midstream LP and Star Group LP, and also to withhold 30% (subject to possible reduction or
elimination of that rate under the “other income” or similar provision of an applicable income tax treaty) of the
remaining portion of the Coupon Payment, in each case assuming the income is not effectively connected with your conduct of a trade
or business in the United States (in which case, in order to avoid withholding, you will likely be required to provide a properly
completed IRS Form W-8ECI). Our estimate of the dividend equivalent amounts may be based on historical dividends or other
non-prospective data and may change from time to time. If you sell or otherwise dispose of the notes between Coupon Payment Dates,
you generally should expect withholding agents to withhold 30% (or a lower rate under the dividend provision of an applicable income
tax treaty) of the estimated dividend equivalent amounts attributable to the portion of the Coupon Amount that has accrued since the
immediately preceding Coupon Payment Date. Under applicable Treasury Regulations, withholding agents who have under-withheld on
certain dividend amounts may adjust any withholding prior to March 15 of the following year without penalties. We will not provide
any further information concerning the actual dividend equivalent amounts in any year, which may differ from our estimated dividend
equivalent amounts in that year. If you believe you have been subjected to over-withholding, you may file a claim for a refund or
credit from the IRS by filing the appropriate IRS Form, as to which you should consult your tax adviser. Non-U.S. Holders should
consult their tax advisers regarding the potential application of Section 871(m) to the notes.
As noted above and in the accompanying product supplement,
the IRS might not accept, and a court might not uphold, the treatment of the notes as “open transactions” that are not debt
instruments. For example, the IRS could seek to treat you as the beneficial owner of the underlying MLPs for U.S. federal income tax purposes.
If the IRS were successful in asserting this alternative treatment for the notes, you would be required to recognize your allocable share
of the taxable income earned by the underlying MLPs that are treated as partnerships for U.S. federal income tax purposes, which in a
particular taxable year could differ significantly from (and could be significantly greater than) the amount of cash payments you receive
on the notes in that year. In addition, among other potentially adverse consequences, you would be treated as engaged in a U.S. trade
or business, would be required to file tax returns in the jurisdiction in which those MLPs operate and generally would be subject to 15%
withholding on amounts deemed realized upon rebalancings of the Index and the sale or disposition of a note
PS-22 | Structured Investments Alerian MLP Index® ETNs | |
(including upon early repurchase
or redemption at maturity), which withholdings would generally be creditable against your U.S. federal income tax, provided you properly
filed the required tax return(s).
In the event of any withholding on the notes, we will
not be required to pay any additional amounts with respect to amounts so withheld.
The discussion in the preceding paragraphs, when read
in combination with the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement,
constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal income tax consequences of owning and
disposing of notes. Both U.S. and Non-U.S. Holders should consult their tax advisers regarding the U.S. federal income tax consequences
of an investment in the notes, including possible alternative treatments and the issues presented by the notice described above.
Supplemental
Plan of Distribution
$104,000,000 aggregate principal amount of notes were
issued on January 30, 2024, and $505,372,790 aggregate principal amount of notes were registered on Registration Statement Nos. 333-276554
and 333-276554-01 and issued on May 13, 2024 pursuant to the Exchange Offer.
None of the notes were sold on the Inception Date.
As of May 13, 2024, we have sold or delivered approximately $535,402,790 aggregate principal amount of notes, including $505,372,790 principal
amount of notes delivered pursuant to the Exchange Offer. The remainder of the notes and any additional notes may be offered and sold
from time to time, at our sole discretion, through JPMS at market prices prevailing at the time of sale, at prices related to market prices
or at negotiated prices that may vary from the Intraday Intrinsic Note Value. However, we are under no obligation to issue additional
notes or sell any notes or additional notes at any time, and if we do sell any notes or additional notes, we may limit or restrict those
sales, and we may stop and subsequently resume selling the notes or any additional notes at any time. If we limit, restrict or stop sales
of the notes or any additional notes, or if we subsequently resume sales of the notes or any additional notes, the liquidity and trading
price of the notes in the secondary market could be materially and adversely affected.
We will receive proceeds equal to 100% of the offering
price of any remaining or additional notes that are sold.
JPMS will not receive selling commissions in connection
with sales of the notes. JPMS will be entitled to receive the aggregate profits generated from the deduction of the investor fee to cover
license fees and other costs related to the notes and as projected profits for managing our hedge and a structuring fee for developing
the notes. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.
Affiliates of ours and dealers may purchase the notes
in secondary market transactions and may use this pricing supplement and the accompanying prospectus, prospectus supplement and product
supplement in connection with resales of some or all of the notes purchased in the secondary market.
Subject to applicable law (including, without limitation,
U.S. federal securities laws), we or our affiliates may, at any time and from time to time, purchase outstanding notes in the open market,
by private agreement or in other transactions.
Any notes held by us or an affiliate in inventory may
be sold or lent to market participants who may have made short sales of the notes.
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 “How Are Payments on the Notes Determined, and
What Fees Are Incurred by Investors in the Notes?”, “Hypothetical Examples: Coupon Payments”
and “Hypothetical Examples: Payment at Maturity or upon Early Repurchase or Redemption” in this pricing supplement for an
illustration of the risk-return profile of the notes and “What Is the Alerian MLP Index®?” in this pricing
supplement for a description of the market exposure provided by the notes.
Validity of
the Notes and the Guarantee
Restated below is the opinion of Davis Polk & Wardwell
LLP, as our special products counsel, delivered on January 26, 2024 relating to the notes that priced on that date.
“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 [January 26, 2024] 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,
PS-23 | Structured Investments Alerian MLP Index® ETNs | |
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, and the more detailed information contained in 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” section of the accompanying product supplement, 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-24 | Structured Investments Alerian MLP Index® ETNs | |
Annex A
FORM OF REPURCHASE NOTICE
| To: | ETN_Repurchase@jpmorgan.com |
| Subject: | JPMorgan Chase Financial Company LLC’s Alerian MLP Index® ETNs due January 28, 2044, CUSIP No. 48133Q309 (the
“notes”) |
The undersigned hereby delivers this Repurchase Notice
in order to irrevocably exercise its right to have you repurchase a number of its notes specified below.
The undersigned acknowledges that the notes specified
below will not be repurchased unless all of the requirements specified in the pricing supplement relating to the notes are satisfied and
that this Repurchase Notice may not be revoked once delivered. The undersigned also acknowledges having read “Key Terms —
Terms Relating to Weekly Repurchase Right — Repurchase Procedures,” “Selected Risk Considerations — Risks Relating
to the Notes Generally — There are restrictions on the minimum number of notes you may request that we repurchase and the dates
on which you may exercise your right to have us repurchase your notes” and “Selected Risk Considerations — Risks Relating
to the Notes Generally — You will not know the payment upon early repurchase or the repurchase date at the time you elect to request
that we repurchase your notes” in the pricing supplement relating to the notes.
The undersigned certifies that it will (a) instruct
its DTC custodian with respect to the notes to be repurchased specified below to book a delivery versus payment trade on the relevant
the final day in the Measurement Period with respect to the Repurchase Valuation Date with respect to the number of notes specified below
at a price per note equal to the amount payable upon early repurchase, facing DTC 352, and (b) cause the DTC custodian to deliver the
trade as booked for settlement via DTC at or prior to 10:00 am. New York City time, on the Repurchase Date.
Very truly yours,
[NAME OF HOLDER]
Name of holder:
Number of notes to be repurchased: |
(at least 50,000) |
Repurchase Valuation Date: |
(the last Index Business Day of the relevant week, subject to postponement as described in the product supplement relating to the notes) |
DTC # (and any relevant sub-account):
Contact Name:
Telephone:
Fax:
Email:
A-1
| Structured
Investments |
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