Pricing supplement
To prospectus dated April 13, 2023,
prospectus supplement dated April 13, 2023,
product supplement no. 3-I dated April 13, 2023 and
underlying supplement no. 1-I dated April 13, 2023 |
Registration Statement Nos. 333-270004 and 333-270004-01
Dated May 20, 2024
Rule 424(b)(2)
|
JPMorgan Chase Financial Company LLC |
Structured
Investments |
$2,395,000
Capped Notes Linked to the SPDR®
Gold Trust due June 23, 2025
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co. |
General
| · | The notes are designed for investors who seek exposure to
any appreciation of the SPDR® Gold Trust over the term of the notes, up to a maximum return of 10.75% at maturity. |
| · | Investors should be willing to forgo interest and dividend
payments, while seeking full repayment of principal at maturity. |
| · | The notes are unsecured and unsubordinated obligations of
JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed
by JPMorgan Chase & Co. Any payment on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the
notes, and the credit risk of JPMorgan Chase & Co., as guarantor of the notes. |
| · | Minimum denominations of $10,000 and integral multiples of
$1,000 in excess thereof |
Key Terms
Issuer: |
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co. |
Guarantor: |
JPMorgan Chase & Co. |
Fund: |
The SPDR® Gold Trust (Bloomberg ticker: GLD UP) |
Payment at Maturity: |
At maturity, you will receive a cash payment, for each $1,000 principal
amount note, of $1,000 plus the Additional Amount, which may be zero and will not be greater than the Maximum Amount.
You are entitled to repayment of principal in full at maturity,
subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co. |
Additional Amount: |
The Additional Amount payable at maturity per $1,000 principal amount
note will equal:
$1,000 × Fund Return × Participation
Rate,
provided that the Additional Amount will not be less than zero or
greater than the Maximum Amount. |
Maximum Amount: |
$107.50 per $1,000 principal amount note |
Participation Rate: |
100.00% |
Fund Return: |
(Final Share Price – Share Strike
Price)
Share Strike Price |
Share Strike Price: |
$223.66, which was the closing price of one share of the Fund on the Strike Date. The Share Strike Price is not determined by reference to the closing price of one share of the Fund on the Pricing Date. |
Final Share Price: |
The closing price of one share of the Fund on the Valuation Date |
Strike Date: |
May 17, 2024 |
Pricing Date: |
May 20, 2024 |
Original Issue Date: |
On or about May 23, 2024 (Settlement Date) |
Valuation Date*: |
June 17, 2025 |
Maturity Date*: |
June 23, 2025 |
CUSIP: |
48135MRU4 |
| * | Subject to postponement in the event of a market disruption event and as described under “General Terms of Notes — Postponement
of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity
Index)” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement |
Investing in the notes involves a number of risks. See “Risk
Factors” beginning on page S-2 of the accompanying prospectus supplement, “Risk Factors” beginning on page PS-12 of
the accompanying product supplement and “Selected Risk Considerations” beginning on page PS-5 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing
supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation to
the contrary is a criminal offense.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
Per note |
$1,000.00 |
$10.42 |
$989.58 |
Total |
$2,395,000.00 |
$24,955.90 |
$2,370,044.10 |
| (1) | See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price to public
of the notes. |
| (2) | J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions
of $10.42 per $1,000 principal amount note it receives from us to other affiliated or unaffiliated dealers. See “Plan of Distribution
(Conflicts of Interest)” in the accompanying product supplement |
The estimated value of the notes,
when the terms of the notes were set, was $985.90 per $1,000 principal amount note. See “The Estimated Value of the Notes”
in this pricing supplement for additional information.
The notes are not bank deposits, are not insured by the Federal Deposit
Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
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 the accompanying product supplement and the accompanying
underlying supplement. This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes
all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing
terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials
of ours. You should carefully consider, among other things, the matters set forth in the “Risk Factors” sections of the
accompanying prospectus supplement and the accompanying product supplement, 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.
| |
JPMorgan Structured Investments — | PS- 1 |
Capped Notes Linked to the SPDR® Gold Trust | |
What Is the Total Return on the
Notes at Maturity, Assuming a Range of Performances for the Fund?
The following table and examples illustrate the hypothetical
total return and the hypothetical payment at maturity on the notes. The “total return” as used in this pricing supplement
is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount note to $1,000.
Each hypothetical total return or payment at maturity set forth below assumes a hypothetical Share Strike Price of 100.00 and reflects
the Maximum Amount of $107.50 per $1,000 principal amount note and the Participation Rate of 100.00%. The hypothetical Share Strike Price
of 100.00 has been chosen for illustrative purposes only and does not represent the actual Share Strike Price. Each hypothetical total
return or payment at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity
applicable to a purchaser of the notes. The numbers appearing in the following table and in the examples below have been rounded for ease
of analysis.
Final Share
Price |
Fund
Return |
Additional
Amount |
Payment at
Maturity |
Total
Return |
180.00 |
80.00% |
$107.50 |
$1,107.50 |
10.75% |
170.00 |
70.00% |
$107.50 |
$1,107.50 |
10.75% |
160.00 |
60.00% |
$107.50 |
$1,107.50 |
10.75% |
150.00 |
50.00% |
$107.50 |
$1,107.50 |
10.75% |
140.00 |
40.00% |
$107.50 |
$1,107.50 |
10.75% |
130.00 |
30.00% |
$107.50 |
$1,107.50 |
10.75% |
120.00 |
20.00% |
$107.50 |
$1,107.50 |
10.75% |
110.75 |
10.75% |
$107.50 |
$1,107.50 |
10.75% |
110.00 |
10.00% |
$100.00 |
$1,100.00 |
10.00% |
105.00 |
5.00% |
$50.00 |
$1,050.00 |
5.00% |
102.50 |
2.50% |
$25.00 |
$1,025.00 |
2.50% |
100.00 |
0.00% |
N/A |
$1,000.00 |
0.00% |
97.50 |
-2.50% |
N/A |
$1,000.00 |
0.00% |
95.00 |
-5.00% |
N/A |
$1,000.00 |
0.00% |
90.00 |
-10.00% |
N/A |
$1,000.00 |
0.00% |
80.00 |
-20.00% |
N/A |
$1,000.00 |
0.00% |
70.00 |
-30.00% |
N/A |
$1,000.00 |
0.00% |
60.00 |
-40.00% |
N/A |
$1,000.00 |
0.00% |
50.00 |
-50.00% |
N/A |
$1,000.00 |
0.00% |
40.00 |
-60.00% |
N/A |
$1,000.00 |
0.00% |
30.00 |
-70.00% |
N/A |
$1,000.00 |
0.00% |
20.00 |
-80.00% |
N/A |
$1,000.00 |
0.00% |
10.00 |
-90.00% |
N/A |
$1,000.00 |
0.00% |
0.00 |
-100.00% |
N/A |
$1,000.00 |
0.00% |
| |
JPMorgan Structured Investments — | PS- 2 |
Capped Notes Linked to the SPDR® Gold Trust | |
Hypothetical Examples of Amount
Payable at Maturity
The following examples illustrate how the payment at
maturity in different hypothetical scenarios is calculated.
Example 1: The price of one share of the Fund increases
from the Share Strike Price of 100.00 to an Final Share Price of 105.00.
Because the Final Share Price of 105.00 is greater than
the Share Strike Price of 100.00 and the Fund Return is 5.00%, the investor receives an Additional Amount equal to $50.00 per $1,000 principal
amount note, calculated as follows:
$1,000 × 5.00% × 100.00%
= $50.00
Accordingly, the total Payment at Maturity will be $1,050.00
per $1,000 principal amount note.
Example 2: The price of one share of the Fund decreases
from the Share Strike Price of 100.00 to an Final Share Price of 95.00.
Because the Final Share Price of 95.00 is less than
the Share Strike Price of 100.00, the Additional Amount equals zero and the total Payment at Maturity will be $1,000.00 per $1,000 principal
amount note.
Example 3: The price of one share of the Fund increases
from the Share Strike Price of 100.00 to an Final Share Price of 150.00.
Because the Final Share Price of 150.00 is greater than
the Share Strike Price of 100.00 and the Fund Return of 50.00% exceeds the maximum return of 10.75%, the investor receives the Maximum
Amount of $107.50 per $1,000 principal amount note, calculated as follows:
$1,000 × 10.75% × 100.00%
= $107.50
Accordingly, the total Payment at Maturity will be $1,107.50
per $1,000 principal amount note.
The hypothetical returns and hypothetical payments on
the notes shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect 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.
| |
JPMorgan Structured Investments — | PS- 3 |
Capped Notes Linked to the SPDR® Gold Trust | |
Selected Purchase Considerations
| · | CAPPED APPRECIATION POTENTIAL
— The notes provide exposure to any appreciation of the Fund, up to the maximum return of 10.75%. Because the notes are our unsecured
and unsubordinated obligations, the payment of which is fully and unconditionally guaranteed by JPMorgan Chase & Co., payment
of any amount on the notes is subject to our ability to pay our obligations as they become due and JPMorgan Chase & Co.’s
ability to pay its obligations as they become due. |
| · | RETURN
LINKED TO THE SPDR®
GOLD
TRUST
— The SPDR® Gold
Trust is an investment trust sponsored by World Gold Trust Services, LLC. The investment
objective of the SPDR®
Gold
Trust is for its shares to reflect the performance of the price of gold bullion, less the
expenses of the SPDR®
Gold
Trust’s operations. The SPDR® Gold
Trust holds gold bars. We refer to gold as the Underlying Commodity with respect to the Fund.
For additional information about the SPDR® Gold
Trust, see “Fund Descriptions — The SPDR® Gold
Trust” in the accompanying underlying supplement. |
| · | TAX TREATMENT —
There is uncertainty regarding the U.S. federal income tax consequences of an investment in the notes due to the lack of governing authority.
You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences,” and in particular the subsection
thereof entitled “Tax Consequences to U.S. Holders — Notes with a Term of More than One Year — Notes Treated as Contingent
Payment Debt Instruments” in the accompanying product supplement no. 3-I. Notwithstanding that the notes do not provide for the
full repayment of their principal amount at or prior to maturity, our special tax counsel, Latham & Watkins LLP, is of the opinion
that the notes should be treated for U.S. federal income tax purposes as debt instruments. Based on current market conditions, we intend
to treat the notes for U.S. federal income tax purposes as “contingent payment debt instruments.” Assuming this treatment
is respected, as discussed in that subsection, unlike a traditional debt instrument that provides for periodic payments of interest at
a single fixed rate, with respect to which a cash-method investor generally recognizes income only upon receipt of stated interest, you
generally will be required to accrue original issue discount (“OID”) on your notes in each taxable year at the “comparable
yield,” as determined by us, although we will not make any payment with respect to the notes until maturity. Upon sale or exchange
(including at maturity), you will recognize taxable income or loss equal to the difference between the amount received from the sale or
exchange and your adjusted basis in the note, which generally will equal the cost thereof, increased by the amount of OID you have accrued
in respect of the note. You generally must treat any income as interest income and any loss as ordinary loss to the extent of previous
interest inclusions, and the balance as capital loss. The deductibility of capital losses is subject to limitations. Special rules may
apply if the Additional Amount is treated as becoming fixed prior to maturity. You should consult your tax adviser concerning the application
of these rules. The discussions herein and in the accompanying product supplement do not address the consequences to taxpayers subject
to special tax accounting rules under Section 451(b) of the Code. Purchasers who are not initial purchasers of notes at their issue price
should consult their tax advisers with respect to the tax consequences of an investment in notes, including the treatment of the difference,
if any, between the basis in their notes and the notes’ adjusted issue price. |
Our intended treatment of the notes
as CPDIs will be binding on you, unless you properly disclose to the IRS an alternative treatment. Also, the IRS may challenge the treatment
of the notes as CPDIs. If the IRS successfully challenges the treatment of the notes as CPDIs, then the notes will be treated as debt
instruments that are not CPDIs and, would require the accrual of original issue discount as ordinary interest income based on a yield
to maturity higher than the comparable yield. Accordingly, under this treatment, your annual taxable income from (and adjusted tax basis
in) the notes would be higher than if the notes were treated as CPDIs, and any loss recognized upon a disposition of the notes (including
upon maturity) would be capital loss, the deductibility of which is subject to limitations. Accordingly, this alternative treatment could
result in adverse tax consequences to you.
Section 871(m) of the Code and Treasury
regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty
applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S.
equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments
linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations. Additionally, a recent
IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2025 that do not have a delta of one with
respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying
Security”). Based on certain determinations made by us, our special tax counsel is of the opinion that Section 871(m) should not
apply to the notes with regard to Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination.
Section 871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other transactions
with respect to an Underlying Security. You should consult your tax adviser regarding the potential application of Section 871(m) to the
notes.
The discussions in the preceding paragraphs,
when read in combination with the section entitled “Material U.S. Federal Income Tax Consequences” (and in particular the
subsection thereof entitled “— Tax Consequences to U.S. Holders — Notes with a Term of More than One Year — Notes
Treated as Contingent Payment Debt Instruments”) in the accompanying product supplement, to the extent they reflect statements of
law, constitute
| |
JPMorgan Structured Investments — | PS- 4 |
Capped Notes Linked to the SPDR® Gold Trust | |
the full opinion of Latham & Watkins LLP regarding
the material U.S. federal income tax consequences of owning and disposing of the notes.
| · | COMPARABLE YIELD AND PROJECTED PAYMENT SCHEDULE — We have determined that the “comparable
yield” is an annual rate of 4.83%, compounded semiannually. Based on our determination of the comparable yield, the “projected
payment schedule” per $1,000 principal amount note consists of a single payment at maturity, equal to $1,053.12. Assuming a semiannual
accrual period, the following table sets out the amount of OID that will accrue with respect to a note during each calendar period, based
upon our determination of the comparable yield and projected payment schedule. |
Calendar Period |
Accrued OID During
Calendar Period
(Per $1,000
Principal Amount
Note) |
Total Accrued OID from
Original Issue Date (Per
$1,000 Principal Amount
Note) as of End of Calendar
Period |
May 23, 2024 through December 31, 2024 |
$29.23 |
$29.23 |
January
1, 2025 through June 23, 2025 |
23.89 |
$53.12 |
Neither the comparable yield nor the projected payment
schedule constitutes a representation by us regarding the actual amount of the payment that we will make on the notes. The amount you
actually receive at maturity or earlier sale or exchange of your notes will affect your income for that year, as described above under
“Treatment as Contingent Payment Debt Instruments.”
Selected Risk Considerations
An investment in the notes involves significant risks.
Investing in the notes is not equivalent to investing directly in the Fund or the Underlying Commodity. These risks are explained in more
detail in the “Risk Factors” section of the accompanying product supplement.
Risks Relating to the Notes Generally
| · | THE NOTES MAY NOT PAY MORE THAN THE PRINCIPAL AMOUNT AT MATURITY —
If the Final Share Price is less than or equal to the Share Strike Price, you will receive only the principal amount of your notes at
maturity, and you will not be compensated for any loss in value due to inflation and other factors relating to the value of money over
time. |
| · | YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE MAXIMUM AMOUNT
— If the Final Share Price is greater than the Share Strike Price, for each $1,000 principal amount
note, you will receive at maturity $1,000 plus an Additional Amount that will not exceed the Maximum Amount of $107.50 per $1,000
principal amount note, regardless of the appreciation of the Fund, which may be significant. |
| · | CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO.
— The notes are subject to our and JPMorgan Chase & Co.’s credit risks, and our and JPMorgan Chase & Co.’s
credit ratings and credit spreads may adversely affect the market value of the notes. 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. |
| · | NO INTEREST OR DIVIDEND PAYMENTS OR VOTING RIGHTS — As a
holder of the notes, you will not receive interest payments, and you will not have voting rights or rights to receive cash dividends or
other distributions or other rights that holders of the shares of the Fund or of the Underlying Commodity would have. |
| · | 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. |
| · | LACK OF LIQUIDITY
— The notes will not be listed on any securities exchange. JPMS intends to offer to purchase the notes in the secondary market but
is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the notes
easily. Because other dealers are not likely to make a secondary market for the notes, the price at which you may be able to trade your
notes is likely to depend on the price, if any, at which JPMS is willing to buy the notes. |
| |
JPMorgan Structured Investments — | PS- 5 |
Capped Notes Linked to the SPDR® Gold Trust | |
Risks Relating to Conflicts of Interest
| · | POTENTIAL CONFLICTS — We and our affiliates play a variety
of roles in connection with the issuance of the notes, including acting as calculation agent and as an agent of the offering of the notes,
hedging our obligations under the notes and making the assumptions used to determine the pricing of the notes and the estimated value
of the notes when the terms of the notes are set, which we refer to as the estimated value of the notes. In performing these duties, our
and JPMorgan Chase & Co.’s economic interests and the economic interests of the calculation agent and other affiliates
of ours are potentially adverse to your interests as an investor in the notes. . In addition, our and JPMorgan Chase & Co.’s
business activities, including hedging and trading activities, could cause our and JPMorgan Chase & Co.’s economic
interests to be adverse to yours and could adversely affect any payment on the notes and the value of 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 for additional information about these risks. |
In addition, the benchmark price of the Fund’s
Underlying Commodity is administered by the London Bullion Market Association (“LBMA”) or an independent service provider
appointed by the LBMA, and we are, or one of our affiliates is, a price participant that contributes to the determination of that price.
Furthermore, our affiliate is the custodian of each Fund. We and our affiliates will have no obligation to consider your interests as
a holder of the notes in taking any actions in connection with our roles as a price participant and a custodian that might affect the
Fund or the notes.
Risks Relating to the Estimated
Value and Secondary Market Prices of the Notes
| · | THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL
ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES — The estimated value of the notes is only an estimate determined by reference to
several factors. The original issue price of the notes exceeds the estimated value of the notes because costs associated with selling,
structuring and hedging the notes are included in the original issue price of the notes. These costs include the selling commissions,
the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the
notes and the estimated cost of hedging our obligations under the notes. See “The Estimated Value of the Notes” in this pricing
supplement. |
| · | THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE
VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES — The estimated value of the notes is determined by reference
to internal pricing models of our affiliates when the terms of the notes are set. This estimated value of the notes is based on market
conditions and other relevant factors existing at that time and assumptions about market parameters, which can include volatility, dividend
rates, interest rates and other factors. Different pricing models and assumptions could provide valuations for the notes that are greater
than or less than the estimated value of the notes. In addition, market conditions and other relevant factors in the future may change,
and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly based on, among other
things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements and
other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market transactions.
See “The Estimated Value of the Notes” in this pricing supplement. |
| · | THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE
TO AN INTERNAL FUNDING RATE — The internal funding rate used in the determination of the estimated value of the notes may differ
from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co.
or its affiliates. Any difference may be based on, among other things, our and our affiliates’ view of the funding value of the
notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison to those costs for
the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based on certain market
inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate
for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the
notes and any secondary market prices of the notes. See “The Estimated Value of the Notes” in this pricing supplement. |
| · | THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH
MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD
— We generally expect that some of the costs included in the original issue price of the notes will be partially paid back to
you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period.
These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and
our internal secondary market funding rates for structured debt issuances. See “Secondary Market Prices of the Notes” in this
pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes during this
initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account statements). |
| · | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER
THAN THE ORIGINAL ISSUE PRICE OF THE NOTES — Any secondary market prices of the notes will likely be lower than the
original issue price of the notes because, among other things, secondary market prices take into account our internal secondary market
funding rates for structured debt issuances and, also, because secondary market prices may exclude selling commissions, projected hedging
profits, if any, and estimated hedging costs that are included in the original issue price of the notes. As a result, the price, if any,
at which JPMS will be willing to buy notes from you in secondary market transactions, if at all, is likely to be lower than the original
issue price. Any sale by you prior to the Maturity |
| |
JPMorgan Structured Investments — | PS- 6 |
Capped Notes Linked to the SPDR® Gold Trust | |
Date could result in a substantial loss to you. See the immediately
following risk consideration for information about additional factors that will impact any secondary market prices of the notes.
The
notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
See “— Lack of Liquidity” below.
| · | SECONDARY MARKET PRICES
OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS — The secondary market price of the notes during their term
will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the selling commissions,
projected hedging profits, if any, estimated hedging costs and the price of one share of the Fund. |
Additionally, independent pricing vendors
and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements. This
price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes in the
secondary market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes —
Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
Risks Relating to the Fund
| · | THE FUND IS NOT AN INVESTMENT COMPANY OR COMMODITY POOL AND WILL NOT BE SUBJECT TO REGULATION UNDER
THE INVESTMENT COMPANY ACT OF 1940, AS AMENDED, OR THE COMMODITY EXCHANGE ACT — Accordingly, you will not benefit from any regulatory
protections afforded to persons who invest in regulated investment companies or commodity pools. |
| · | THE PERFORMANCE AND MARKET VALUE OF THE FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY,
MAY NOT CORRELATE WITH THE PERFORMANCE OF THE FUND’S UNDERLYING COMMODITY, AS WELL AS THE NET ASSET VALUE PER SHARE —
The Fund does not fully replicate the performance of its Underlying Commodity due to the fees and expenses charged by the Fund or by restrictions
on access to the relevant Underlying Commodity due to other circumstances. The Fund does not generate any income, and as the Fund regularly
sells its Underlying Commodity to pay for ongoing expenses, the amount of its Underlying Commodity represented by each share gradually
declines over time. The Fund sells its Underlying Commodity to pay expenses on an ongoing basis irrespective of whether the trading price
of the shares rises or falls in response to changes in the price of its Underlying Commodity. The sale by the Fund of its Underlying Commodity
to pay expenses at a time of low prices for its Underlying Commodity could adversely affect the value of the notes. Additionally, there
is a risk that part or all of the Fund’s holdings in its Underlying Commodity could be lost, damaged or stolen. Access to the Fund’s
Underlying Commodity could also be restricted by natural events (such as an earthquake) or human actions (such as a terrorist attack).
All of these factors may lead to a lack of correlation between the performance of the Fund and its Underlying Commodity. In addition,
because the shares of the Fund are traded on a securities exchange and are subject to market supply and investor demand, the market value
of one share of the Fund may differ from the net asset value per share of the Fund. |
During periods of market volatility, the Underlying Commodity
of the Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately the net asset value
per share of the Fund and the liquidity of the Fund may be adversely affected. This kind of market volatility may also disrupt the ability
of market participants to create and redeem shares of the Fund. Further, market volatility may adversely affect, sometimes materially,
the prices at which market participants are willing to buy and sell shares of the Fund. As a result, under these circumstances, the market
value of shares of the Fund may vary substantially from the net asset value per share of the Fund. For all of the foregoing reasons, the
performance of the Fund may not correlate with the performance of its Underlying Commodity, as well as the net asset value per share of
the Fund, which could materially and adversely affect the value of the notes in the secondary market and/or reduce any payment on the
notes.
| · | THE NOTES ARE SUBJECT TO RISKS ASSOCIATED WITH GOLD WITH RESPECT TO THE FUND —
The investment objective of the Fund is to reflect the performance of the price of gold bullion, less
the expenses of the Fund’s operations. The price of gold is primarily affected by the global demand for and supply of gold. The
market for gold bullion is global, and gold prices are subject to volatile price movements over short periods of time and are affected
by numerous factors, including macroeconomic factors, such as the structure of and confidence in the global monetary system, expectations
regarding the future rate of inflation, the relative strength of, and confidence in, the U.S. dollar (the currency in which the price
of gold is usually quoted), interest rates, gold borrowing and lending rates and global or regional economic, financial, political, regulatory,
judicial or other events. Gold prices may be affected by industry factors, such as industrial and jewelry demand as well as lending, sales
and purchases of gold by the official sector, including central banks and other governmental agencies and multilateral institutions that
hold gold. Additionally, gold prices may be affected by levels of gold production, production costs and short-term changes in supply and
demand due to trading activities in the gold market. From time to time, above-ground inventories of gold |
| |
JPMorgan Structured Investments — | PS- 7 |
Capped Notes Linked to the SPDR® Gold Trust | |
may also influence the market. It is not possible
to predict the aggregate effect of all or any combination of these factors. The price of gold has recently been, and may continue to be,
extremely volatile.
| · | THERE ARE RISKS RELATING TO COMMODITIES TRADING ON THE LBMA WITH RESPECT TO THE FUND — The
investment objective of the Fund is to reflect the performance of the price of gold bullion, less the expenses of Fund’s operations.
The prices of gold is determined by the LBMA or an independent service provider appointed by the LBMA. The LBMA is a self-regulatory association
of bullion market participants. Although all market-making members of the LBMA are supervised by the Bank of England and are required
to satisfy a capital adequacy test, the LBMA itself is not a regulated entity. If the LBMA should cease operations, or if bullion trading
should become subject to a value added tax or other tax or any other form of regulation currently not in place, the role of the LBMA gold
prices as a global benchmark for the values of gold may be adversely affected. The LBMA is a principals’ market, which operates
in a manner more closely analogous to an over-the-counter physical commodity market than regulated futures markets, and certain features
of U.S. futures contracts are not present in the context of LBMA trading. For example, there are no daily price limits on the LBMA which
would otherwise restrict fluctuations in the prices of LBMA contracts. In a declining market, it is possible that prices would continue
to decline without limitation within a trading day or over a period of trading days. The LBMA may alter, discontinue or suspend calculation
or dissemination of the LBMA gold prices, which could adversely affect the value of the notes. The LBMA, or an independent service provider
appointed by the LBMA, will have no obligation to consider your interests in calculating or revising the LBMA gold prices. |
| · | SINGLE COMMODITY PRICES TEND TO BE MORE VOLATILE THAN, AND MAY NOT CORRELATE WITH, THE PRICES OF
COMMODITIES GENERALLY — The Fund is linked to a single commodity and not to a diverse basket of commodities or a broad-based
commodity index. The Fund’s Underlying Commodity may not correlate to the price of commodities generally and may diverge significantly
from the prices of commodities generally. As a result, the notes carry greater risk and may be more volatile than notes linked to the
prices of more commodities or a broad-based commodity index. |
| · | THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED — The calculation agent will make
adjustments to the Share Adjustment Factor for the Fund for certain events affecting the shares of the Fund. However, the calculation
agent will not make an adjustment in response to all events that could affect the shares of the Fund. If an event occurs that does not
require the calculation agent to make an adjustment, the value of the notes may be materially and adversely affected. |
| |
JPMorgan Structured Investments — | PS- 8 |
Capped Notes Linked to the SPDR® Gold Trust | |
Historical Information
The following graph sets forth the historical performance
of the Fund based on the weekly historical closing prices of one share of the Fund from January 4, 2019 through May 17, 2024. The closing
price of one share of the Fund on May 20, 2024 was $224.56.
We obtained the closing prices above and below from
the Bloomberg Professional® service (“Bloomberg”), without independent verification. The historical prices
of one share of the Fund should not be taken as an indication of future performance, and no assurance can be given as to the closing price
of one share of the Fund on the Valuation Date. There can be no assurance that the performance of the Fund will result in a payment at
maturity in excess of your principal amount, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
The Estimated Value of the Notes
The estimated value of the notes set forth on the cover
of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component
with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing to
buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated
value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by
JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding
rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing
market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an
adverse effect on the terms of the notes and any secondary market prices of the notes. For additional information, see “Selected
Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value
of the Notes Is Derived by Reference to an Internal Funding Rate” in this pricing supplement. The value of the derivative or derivatives
underlying the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs
such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable,
and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events
and/or environments. Accordingly, the estimated value of the notes is determined when the terms of the notes are set based on market conditions
and other relevant factors and assumptions existing at that time. See “Selected Risk Considerations — Risks Relating to the
Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Does Not Represent Future Values of
the Notes and May Differ from Others’ Estimates” in this pricing supplement.
The estimated value of the notes is lower than the original
issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue price
of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected profits,
if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated
cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market forces beyond
our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. We or one or more of
our affiliates will retain any profits realized in hedging our obligations under the notes. See “Selected Risk Considerations —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Lower Than
the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
| |
JPMorgan Structured Investments — | PS- 9 |
Capped Notes Linked to the SPDR® Gold Trust | |
Secondary Market Prices of the Notes
For information about factors that will impact any secondary
market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
— Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
In addition, we generally expect that some of the costs included in the original issue price of the notes will be partially paid back
to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period.
These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and
our internal secondary market funding rates for structured debt issuances. This initial predetermined time period is intended to be the
shorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects the structure of the
notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the notes
and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations — Risks Relating to
the Estimated Value and Secondary Market Prices of the Notes — The Value of the Notes as Published by JPMS (and Which May Be Reflected
on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this
pricing supplement.
Supplemental Use of Proceeds
The notes are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the notes. See “What Is the Total Return on the Notes at Maturity,
Assuming a Range of Performances for the Fund?” and “Hypothetical Examples of Amount Payable at Maturity” in this pricing
supplement for an illustration of the risk-return profile of the notes and “Selected Purchase Considerations — Return Linked
to the SPDR® Gold Trust” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the
estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus) the
projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes,
plus the estimated cost of hedging our obligations under the notes.
Supplemental Terms of the Notes
Any values of the Fund, and any values derived therefrom,
included in this pricing supplement may be corrected, in the event of manifest error or inconsistency, by amendment of this pricing supplement
and the corresponding terms of the notes. Notwithstanding anything to the contrary in the indenture governing the notes, that amendment
will become effective without consent of the holders of the notes or any other party.
Validity of the Notes and the Guarantee
In the opinion of Latham & Watkins LLP, as special
product counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by this pricing supplement have been
executed and issued by JPMorgan Financial and authenticated by the trustee pursuant to the indenture, and 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 special product counsel expresses no opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision
of applicable law on the conclusions expressed above or (ii) any provision of the indenture that purports to avoid the effect of fraudulent
conveyance, fraudulent transfer or similar provision of applicable law by limiting the amount of JPMorgan Chase & Co.’s
obligation under the related guarantee. This opinion is given as of the date hereof and is limited to the laws of the State of New York,
the General Corporation Law of the State of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject
to customary assumptions about the trustee’s authorization, execution and delivery of the indenture and its authentication of the
notes and the validity, binding nature and enforceability of the indenture with respect to the trustee, all as stated in the letter of
such counsel dated February 24, 2023, which was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and
JPMorgan Chase & Co. on February 24, 2023.
| |
JPMorgan Structured Investments — | PS- 10 |
Capped Notes Linked to the SPDR® Gold Trust | |
Exhibit 107.1
The pricing supplement to which this Exhibit is
attached is a final prospectus for the related offering(s). The maximum aggregate offering price of the related offering(s) is $2,395,000.
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