Pricing supplement
To prospectus dated April 13, 2023,
prospectus supplement dated April 13, 2023,
product supplement no. 4-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 22, 2024
Rule 424(b)(2)
|
JPMorgan Chase Financial Company LLC
|
Structured
Investments
|
$4,500,000
Callable Buffered Return Enhanced Notes Linked to
the S&P 500® Index due May 21, 2026
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co. |
General
| · | The
notes are designed for investors who seek early exit prior to maturity at a premium if we elect to redeem the notes early, in whole but
not in part, at our option on any of the Optional Call Dates. |
| · | If
the notes are not redeemed early, investors will receive uncapped, leveraged exposure of 1.14 times any appreciation of the S&P 500®
Index at maturity. |
| · | Investors
should be willing to forgo interest and dividend payments and, if the notes are not redeemed early and the Ending Index Level is less
than the Index Strike Level by more than 15.00%, be willing to lose some or all of their principal amount at maturity. |
| · | The
notes may be redeemed early, in whole but not in part, at our option on any of the Optional Call Dates. The earliest date on which a
call may be initiated is May 29, 2025. |
| · | 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. |
Index: |
The S&P 500® Index (Bloomberg ticker: SPX) |
Early Redemption: |
We, at our election, may call the notes early, in whole but not in part,
on any of the Optional Call Payment Dates at a price, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Call Premium
Amount applicable to that Optional Call Payment Date. If we intend to redeem your notes early, we will deliver notice to The Depository
Trust Company, or DTC, at least three business days before the applicable Optional Call Payment Date on which the notes are redeemed early.
If the notes are redeemed early, you will not benefit from the Upside
Leverage Factor that applies to the payment at maturity if the Ending Index Level is greater than the Index Strike Level. Because the
Upside Leverage Factor does not apply to the payment upon an early redemption, the payment upon an early redemption may be significantly
less than the payment at maturity for the same level of appreciation in the Index. |
Payment at Maturity: |
If the notes have not been redeemed early and the Ending Index Level is greater than the Index Strike Level, at maturity you will receive a cash payment that provides you with a return per $1,000 principal amount note equal to the Index Return multiplied by the Upside Leverage Factor. Accordingly, under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows: |
|
$1,000 + ($1,000 × Index Return × Upside Leverage Factor) |
|
If the notes have not been redeemed early and the Ending Index Level is equal to the Index Strike Level or is less than the Index Strike Level by up to 15.00%, you will receive the principal amount of your notes at maturity. |
|
If the notes have not been redeemed early and the Ending Index Level is less than the Index Strike Level by more than 15.00%, you will lose 1.17647% of the principal amount of your notes for every 1% that the Ending Index Level is less than the Index Strike Level by more than 15.00%. Under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows: |
|
$1,000 + [$1,000 × (Index Return + 15.00%) × 1.17647] |
|
If the notes have not been redeemed early, you will lose some or all of your principal amount at maturity if the Ending Index Level is less than the Index Strike Level by more than 15.00%. |
Upside Leverage Factor: |
1.14 |
Buffer Amount: |
15.00% |
Downside Leverage Factor: |
1.17647 |
Call Premium Amount: |
The Call Premium Amount with respect to each Optional Call Payment Date is
set forth below:
|
|
· |
First Call Payment Date: |
12.00% × $1,000 |
|
· |
Second Call Payment Date: |
15.00% × $1,000 |
|
· |
Third Call Payment Date: |
18.00% × $1,000 |
|
· |
Fourth Call Payment Date: |
21.00% × $1,000 |
Index Return: |
(Ending Index Level – Index Strike
Level)
Index Strike Level |
Index Strike Level: |
5,297.10, which was the closing level of the Index on the Strike Date. The Index Strike Level is not determined by reference to the closing level of the Index on the Pricing Date |
Ending Index Level: |
The closing level of the Index on the Valuation Date |
Strike Date: |
May 16, 2024 |
Pricing Date: |
May 22, 2024 |
Original Issue Date: |
On or about May 28, 2024 (Settlement Date) |
Optional Call Dates*: |
May 29, 2025, August 18, 2025, November 17, 2025 and February 17, 2026 |
Optional Call Settlement Dates*: |
June 3, 2025, August 21, 2025, November 20, 2025 and February 20, 2026 |
Valuation Date*: |
May 18, 2026 |
Maturity Date*: |
May 21, 2026 |
CUSIP: |
48135MRF7 |
| * | 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-11 of
the accompanying product supplement and “Selected Risk Considerations” beginning on page PS-6 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 |
$13.50 |
$986.50 |
Total |
$4,500,000.00 |
$60,750.00 |
$4,439,250.00 |
| (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 $13.50 per $1,000 principal amount note it receives from us to other affiliated or unaffiliated dealers. See “Plan of Distribution
(Conflicts of Interest)” in the accompanying product supplement |
The estimated value of the notes, when the terms of the notes were set,
was $976.40 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- 2 |
Callable Buffered Return Enhanced Notes Linked to the S&P 500® Index | |
What Is the Total Return on the
Notes, Assuming a Range of Performances for the Index?
The table below illustrates the Call Premium amount
per $1,000 principal amount note for each optional Call Payment Date based on the Call Premium Amounts set forth under “Key Terms
— Call Premium Amount” above.
Optional Call Payment Date |
Call Premium Amount |
First Call Payment Date |
$120.00 |
Second Call Payment Date |
$150.00 |
Third Call Payment Date |
$180.00 |
Fourth Call Payment Date |
$210.00 |
The following table and examples illustrate the hypothetical
total return and the hypothetical payment at maturity on the notes if the notes have not been redeemed early. 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 Index Strike
Level of 100.00 and reflects the Upside Leverage Factor of 1.14, the Buffer Amount of 15.00% and the Downside Leverage Factor of 1.17647.
The hypothetical Index Strike Level of 100.00 has been chosen for illustrative purposes only and does not represent the actual Index Strike
Level. 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.
Ending Index
Level |
Index
Return |
Total Return |
180.00 |
80.00% |
91.20000% |
170.00 |
70.00% |
79.80000% |
160.00 |
60.00% |
68.40000% |
150.00 |
50.00% |
57.00000% |
140.00 |
40.00% |
45.60000% |
130.00 |
30.00% |
34.20000% |
120.00 |
20.00% |
22.80000% |
110.00 |
10.00% |
11.40000% |
105.00 |
5.00% |
5.70000% |
102.50 |
2.50% |
2.85000% |
100.00 |
0.00% |
0.00000% |
97.50 |
-2.50% |
0.00000% |
95.00 |
-5.00% |
0.00000% |
90.00 |
-10.00% |
0.00000% |
85.00 |
-15.00% |
0.00000% |
84.99 |
-15.01% |
-0.01176% |
80.00 |
-20.00% |
-5.88235% |
70.00 |
-30.00% |
-17.64705% |
60.00 |
-40.00% |
-29.41175% |
50.00 |
-50.00% |
-41.17645% |
40.00 |
-60.00% |
-52.94115% |
30.00 |
-70.00% |
-64.70585% |
20.00 |
-80.00% |
-76.47055% |
10.00 |
-90.00% |
-88.23525% |
0.00 |
-100.00% |
-100.00000% |
| |
JPMorgan Structured Investments — | PS- 3 |
Callable Buffered Return Enhanced Notes Linked to the S&P 500® Index | |
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 notes are not redeemed early, and
the level of the Index increases from the Index Strike Level of 100.00 to an Ending Index Level of 105.00.
Because the Ending Index Level of 105.00 is greater
than the Index Strike Level of 100.00 and the Index Return is 5.00%, the investor receives a payment at maturity of $1,057.00 per $1,000.00
principal amount note, calculated as follows:
$1,000 + ($1,000 × 5.00% ×
1.14) = $1,057.00
Example 2: The notes are not redeemed early, and
the level of the Index decreases from the Index Strike Level of 100.00 to an Ending Index Level of 85.00.
Although the Index Return is negative, because the Ending
Index Level of 85.00 is less than the Index Strike Level of 100.00 by up to the Buffer Amount of 15.00%, the investor receives a payment
at maturity of $1,000.00 per $1,000 principal amount note.
Example 3: The notes are not redeemed early, and
the level of the Index decreases from the Index Strike Level of 100.00 to an Ending Index Level of 40.00.
Because the Ending Index Level of 40.00 is less than
the Index Strike Level of 100.00 by more than the Buffer Amount of 15.00% and the Index Return is -60.00%, the investor receives a payment
at maturity of $470.5885 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-60.00%
+ 15.00%) × 1.17647] = $470.5885
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- 4 |
Callable Buffered Return Enhanced Notes Linked to the S&P 500® Index | |
Selected Purchase Considerations
| · | APPRECIATION POTENTIAL — If the
notes are not redeemed early, the notes will provide the opportunity to earn an uncapped, leveraged return equal to any positive Index
Return multiplied by the Upside Leverage Factor. The notes are not subject to a predetermined maximum gain and, accordingly, any
return at maturity will be determined based on the movement of the level of the Index. 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. |
| · | LOSS OF PRINCIPAL BEYOND BUFFER AMOUNT
— If the notes are not redeemed early, we will pay you your principal back at maturity if the Ending Index Level is equal to the
Index Strike Level or is less than the Index Strike Level by up to the Buffer Amount of 15.00%. If the Ending Index Level is less than
the Index Strike Level by more than the Buffer Amount, for every 1% that the Ending Index Level is less than the Index Strike Level by
more than 15.00%, you will lose an amount equal to 1.17647% of the principal amount of your notes. Under these circumstances, you will
lose more than 15.00% of your principal amount at maturity and may lose all of your principal amount at maturity. |
| · | POTENTIAL EARLY EXIT AS A RESULT OF THE
OPTIONAL EARLY REDEMPTION FEATURE — We, at our election, may call the notes early, in whole but not in part, on any of the Optional
Call Dates. If the notes are redeemed early, you will receive $1,000 plus the applicable Call Premium Amount on the applicable
Optional Call Settlement Dates. Even in cases where the notes are redeemed before maturity, you are not entitled to any fees and commissions
described on the front cover of this pricing supplement. |
| · | RETURN LINKED TO THE S&P 500®
INDEX — The return on the notes is linked to the S&P 500® Index. The S&P 500® Index consists
of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For additional information about the
S&P 500® Index, see “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying underlying
supplement. |
| · | TAX TREATMENT — In determining
our reporting responsibilities, we intend to treat the notes for U.S. federal income tax purposes as “open transactions” that
are not debt instruments, as described in the section entitled “Material U.S. Federal Income Tax Consequences — Tax Consequences
to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement
no. 4-I. Based on the advice of Latham & Watkins LLP, our special tax counsel, we believe that this is a reasonable treatment, but
that there are other reasonable treatments that the IRS or a court may adopt, in which case the timing and character of any income or
loss on the notes could be materially and adversely affected. |
No statutory, judicial or administrative
authority directly addresses the characterization of the notes (or similar instruments) for U.S. federal income tax purposes, and no ruling
is being requested from the IRS with respect to their proper characterization and treatment. Assuming that “open transaction”
treatment is respected, the gain or loss on your notes should be treated as long-term capital gain or loss if you hold your notes for
more than a year, whether or not you are an initial purchaser of the notes at the issue price. However, the IRS or a court may not respect
the treatment of the notes as “open transactions,” in which case the timing and character of any income or loss on the notes
could be materially and adversely affected. For instance, the notes could be treated as contingent payment debt instruments, in which
case the gain on your notes would be treated as ordinary income and you would be required to accrue original issue discount 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.
In addition, in 2007 Treasury and
the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and
similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over the term
of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to
these instruments; the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree,
if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether
these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate to recharacterize
certain long-term capital gain as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate
transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could
materially and adversely affect the tax consequences of an investment in the notes, possibly with retroactive effect. You should 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.
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 (such an index, a “Qualified
Index”). Additionally, a recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2027
that do not have a delta of one with respect to underlying securities
| |
JPMorgan Structured Investments — | PS- 5 |
Callable Buffered Return Enhanced Notes Linked to the S&P 500® Index | |
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.
Withholding under legislation commonly
referred to as “FATCA” may (if the notes are recharacterized as debt instruments) apply to amounts treated as interest paid
with respect to the notes, as well as to payments of gross proceeds of a taxable disposition, including redemption at maturity, of a note,
although under recently proposed regulations (the preamble to which specifies that taxpayers are permitted to rely on them pending finalization),
no withholding will apply to payments of gross proceeds (other than any amount treated as interest). You should consult your tax adviser
regarding the potential application of FATCA to the notes.
Selected Risk Considerations
An investment in the notes involves significant risks.
Investing in the notes is not equivalent to investing directly in the Index or any of the component securities of the Index. 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 — The notes
do not guarantee any return of principal. The return on the notes at maturity is linked to the performance of the Index and will depend
on whether, and the extent to which, the Index Return is positive or negative. Your investment will be exposed to a loss on a leveraged
basis if the Ending Index Level is less than the Index Strike Level by more than 15.00%. For every 1% that the Ending Index Level is less
than the Index Strike Level by more than 15.00%, you will lose an amount equal to 1.17647% of the principal amount of your notes. Accordingly,
you may lose some or all of your principal amount at maturity. |
| · | LIMITED APPRECIATION POTENTIAL — If the notes are redeemed early,
the appreciation potential of the notes is limited to the applicable Call Premium Amount paid on the notes, regardless of any appreciation
of the Index, which may be significant. In addition, if the notes are redeemed early, you will not benefit from the Upside Leverage Factor
that applies to the payment at maturity if the Ending Index Level is greater than the Index Strike Level. Because the Upside Leverage
Factor does not apply to the payment upon an early redemption, the payment upon an early redemption may be significantly less than the
payment at maturity for the same level of appreciation in the Index. |
| · | 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. |
| · | THE OPTIONAL 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 one year. There is no
guarantee that you would be able to reinvest the proceeds from an investment in the notes at a comparable return for a similar level of
risk. Even in cases where we elect to redeem your notes before maturity, you are not entitled to any fees and commissions described on
the front cover of this pricing supplement. |
| · | 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. |
| · | 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 securities included in the Index would have. |
| · | VOLATILITY RISK — Greater expected
volatility with respect to the Index indicates a greater likelihood as of the Pricing Date that the Ending Index Level could be less than
the Index Strike Level by more than the Buffer Amount. The Index’s volatility, however, can change significantly over the term of
the notes. The Index closing level could fall sharply during the term of the notes, which could result in your losing some or all of your
principal amount at maturity. |
| |
JPMorgan Structured Investments — | PS- 6 |
Callable Buffered Return Enhanced Notes Linked to the S&P 500® Index | |
| · | 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. |
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. |
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 |
| |
JPMorgan Structured Investments — | PS- 7 |
Callable Buffered Return Enhanced Notes Linked to the S&P 500® Index | |
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 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”.
| · | SECONDARY MARKET PRICES OF THE NOTES WILL
BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS — The secondary market price of the notes during their term will be impacted
by a number of economic and market factors, which may either offset or magnify each other, aside from the selling commissions, projected
hedging profits, if any, estimated hedging costs and the level of the Index. |
Additionally, independent pricing
vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes
in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
— Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
Risks Relating
to the Index
| · | JPMORGAN CHASE & CO.
IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE INDEX — JPMorgan Chase & Co. is currently one of the companies
that make up the Index, but JPMorgan Chase & Co. will have no obligation to consider your interests as a holder of the notes
in taking any corporate action that might affect the value of the Index. |
| |
JPMorgan Structured Investments — | PS- 8 |
Callable Buffered Return Enhanced Notes Linked to the S&P 500® Index | |
Historical Information
The following graph sets forth the historical performance
of the Index based on the weekly historical closing levels of the Index from January 4, 2019 through May 17, 2024. The closing level of
the Index on May 22, 2024 was 5,307.01.
We obtained the closing levels of the Index above and
below from the Bloomberg Professional® service (“Bloomberg”), without independent verification. The historical
levels of the Index should not be taken as an indication of future performance, and no assurance can be given as to the closing level
of the Index on the Valuation Date. There can be no assurance that the performance of the Index will result in the return of any of your
principal amount.
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.
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
| |
JPMorgan Structured Investments — | PS- 9 |
Callable Buffered Return Enhanced Notes Linked to the S&P 500® Index | |
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 Index?” 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 S&P 500® Index” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the
estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus) the
projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes,
plus the estimated cost of hedging our obligations under the notes.
Supplemental Terms of the Notes
Any values of
the Index, and any values derived therefrom, included in this pricing supplement may be corrected, in the event of manifest error or inconsistency,
by amendment of this pricing supplement and the corresponding terms of the notes. Notwithstanding anything to the contrary in the indenture
governing the notes, that amendment will become effective without consent of the holders of the notes or any other party.
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 |
Callable Buffered Return Enhanced Notes Linked to the S&P 500® Index |
|
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 $4,500,000.
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From May 2024 to Jun 2024
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Jun 2023 to Jun 2024