JPMorgan
Chase Financial Company LLC |
June 2024 |
|
Pricing Supplement |
|
Registration Statement Nos. 333-270004 and 333-270004-01 |
|
Dated June 28, 2024 |
|
Filed pursuant to Rule 424(b)(2) |
Structured Investments
Opportunities in U.S. and International Equities
PLUS Based on the Performance of a Basket of Six Exchange-Traded
Funds and One Index due December 30, 2024
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Fully and Unconditionally Guaranteed
by JPMorgan Chase & Co.
The PLUS will pay no interest and do not guarantee any return of your
principal at maturity. At maturity, if the basket has appreciated in value, investors will receive the stated principal amount of their
investment plus leveraged upside performance of the basket, subject to a maximum payment at maturity. However, if the basket has declined
in value, at maturity investors will lose 1% for every 1% decline. The PLUS are for investors who seek exposure to an unequally weighted
basket of the six exchange-traded funds and one index specified below and who are willing to risk their principal and forgo current income
and upside above the maximum payment at maturity in exchange for the leverage feature that applies to a limited range of positive performance
of the basket. The PLUS 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., issued as part of JPMorgan
Financial’s Medium-Term Notes, Series A, program. Any payment on the PLUS is subject to the credit risk of JPMorgan Financial,
as issuer of the PLUS, and the credit risk of JPMorgan Chase & Co., as guarantor of the PLUS. The investor may lose some
or all of the stated principal amount of the PLUS.
FINAL
TERMS |
Issuer:
|
JPMorgan Chase
Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co. |
Guarantor:
|
JPMorgan Chase & Co. |
Basket:
|
Basket
components |
Bloomberg
ticker symbol |
Basket
component weighting |
|
Shares of the Invesco S&P 500®
Equal Weight ETF (the “RSP ETF”) |
RSP UP Equity |
25.00% |
|
EURO STOXX 50® Index (the “SX5E
Index”) |
SX5E Index |
15.00% |
|
Shares of the iShares® MSCI Emerging
Markets ETF (the “EEM ETF”) |
EEM UP Equity |
15.00% |
|
Shares of the VanEck® Gold Miners
ETF (the “GDX ETF”) |
GDX UP Equity |
15.00% |
|
Shares of the iShares® Biotechnology
ETF (the “IBB ETF”) |
IBB UQ Equity |
10.00% |
|
Shares of the SPDR® S&P®
Bank ETF (the “KBE ETF”) |
KBE UP Equity |
10.00% |
|
Shares of the Energy Select Sector SPDR®
Fund (the “XLE ETF”) |
XLE UP Equity |
10.00% |
We refer to the SX5E Index as the underlying index; the RSP ETF, the EEM ETF, the GDX
ETF, the IBB ETF, the KBE ETF and the XLE ETF as the ETFs; shares of the RSP ETF, the EEM ETF, the GDX ETF, the IBB ETF, the KBE
ETF and the XLE ETF as the ETF Shares; and the underlying index and the ETF Shares collectively as the basket components. Because
the RSP ETF makes up 25.00% of the basket, we expect that generally the market value of your PLUS and your payment at maturity will
depend significantly on the performance of the RSP ETF. |
Aggregate principal amount: |
$12,572,000 |
Payment
at maturity: |
If the final basket value is greater than the initial basket value, for each
$1,000 stated principal amount PLUS, |
|
$1,000 + leveraged upside payment |
|
In no event will the payment at maturity exceed the
maximum payment at maturity. |
|
If the final basket value is less than or equal to the initial basket value,
for each $1,000 stated principal amount PLUS, |
|
$1,000 × basket performance factor |
|
This amount will be less than or equal to the stated
principal amount of $1,000 per PLUS. |
Leveraged
upside payment: |
$1,000 × leverage factor × basket percent increase |
Basket
percent increase: |
(final basket value – initial basket value) / initial basket value |
Initial
basket value: |
Set equal to 100 on the pricing date |
Final
basket value: |
The basket closing value on the valuation date |
Leverage
factor: |
200% |
Basket
performance factor: |
final basket value / initial basket value |
Maximum
payment at maturity: |
$1,070.00 (107.00% of the stated principal amount) per PLUS. |
Stated
principal amount: |
$1,000 per PLUS |
Issue
price: |
$1,000 per PLUS (see “Commissions and issue price” below) |
Pricing
date: |
June 28, 2024 |
Original
issue date (settlement date): |
July 3, 2024 |
Valuation
date*: |
December 23, 2024 |
Maturity
date*: |
December 30, 2024 |
CUSIP / ISIN: |
48135NLB0 / US48135NLB00 |
Listing: |
The PLUS will not be listed on any securities exchange. |
Agent: |
J.P. Morgan Securities LLC (“JPMS”) |
|
Terms continued on the following page |
Commissions and issue price: |
Price
to public(1) |
Fees
and commissions |
Proceeds
to issuer |
Per PLUS |
$1,000.00 |
$12.50(2) |
$982.50 |
|
|
$5.003) |
|
Total |
$12,572,000.00 |
$220,010.00 |
$12,351,990.00 |
|
|
|
|
|
|
| (1) | See “Additional Information about the PLUS —
Supplemental use of proceeds and hedging” in this document for information about the
components of the price to public of the PLUS. |
| (2) | JPMS, acting
as agent for JPMorgan Financial, will pay all of the selling commissions of $12.50 per $1,000
stated principal amount PLUS it receives from us to Morgan Stanley Smith Barney LLC (“Morgan
Stanley Wealth Management”). See “Plan of Distribution (Conflicts of Interest)”
in the accompanying product supplement. |
| (3) | Reflects a
structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates
of $5.00 for each $1,000 stated principal amount PLUS |
* Subject to postponement in the event of a market
disruption event and as described under “General Terms of Notes — Postponement of a Payment Date” in the accompanying
product supplement or early acceleration in the event of a change-in-law event as described under “General Terms of Notes —
Consequences of a Change-in-Law Event” in the accompanying product supplement and “Selected Risk Considerations — Risks
Relating to the Notes Generally — We May Accelerate Your Notes If a Change-in-Law Event Occurs” in this document
The estimated value of the PLUS on the pricing
date was $971.50 per $1,000 stated principal amount PLUS. See “Additional Information about the PLUS — The estimated value
of the PLUS” in this document for additional information.
Investing in the PLUS involves a number of risks. See “Risk
Factors” beginning on page S-2 of the accompanying prospectus supplement, Annex A to the accompanying prospectus addendum, “Risk
Factors” beginning on page PS-11 of the accompanying product supplement and “Risk Factors” beginning on page 9 of this
document.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the PLUS or passed upon the accuracy or the adequacy of this document
or the accompanying product supplement, underlying supplement, prospectus supplement, prospectus and prospectus addendum. Any representation
to the contrary is a criminal offense.
The PLUS 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.
You should
read this document together with the related product supplement, underlying supplement, prospectus
supplement and prospectus, each of which can be accessed via the hyperlinks below. Please also see “Additional Information about
the PLUS” at the end of this document.
Product supplement no. 4-I dated April 13, 2023: http://www.sec.gov/Archives/edgar/data/19617/000121390023029539/ea152803_424b2.pdf
Underlying supplement no. 1-I dated April 13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000121390023029543/ea151873_424b2.pdf
Prospectus supplement and prospectus, each dated April
13, 2023: http://www.sec.gov/Archives/edgar/data/19617/000095010323005751/crt_dp192097-424b2.pdf
Prospectus addendum dated June 3, 2024: http://www.sec.gov/Archives/edgar/data/1665650/000095010324007599/dp211753_424b3.htm
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of a Basket of Six Exchange-Traded Funds and One Index due December 30, 2024
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Terms continued
from previous page: |
Basket
closing value: |
The basket closing value on the valuation date will be calculated
as follows:
100 × [1 + sum of (basket component return of each basket
component × basket component weighting of that basket component)] |
Basket
component return: |
On the valuation date, the basket
component return for each basket component is equal to the index return or share return, as applicable, for that basket component
on the valuation date |
Index
return: |
With respect to the underlying index:
(final index value – initial index value)
initial index value |
Initial
index value: |
With respect to the underlying
index, the closing level of the underlying index on the pricing date, which was 4,894.02 |
Final
index value: |
With respect to the underlying
index, the closing level of the underlying index on the valuation date |
Share
return: |
With respect to each ETF,
(final share price – initial share price)
initial share price |
Initial
share price: |
With respect to each ETF, the closing
price of one applicable ETF Share on the pricing date, which was $164.28 for the Invesco S&P 500® Equal Weight
ETF, $42.59 for the iShares® MSCI Emerging Markets ETF, $33.93 for the VanEck® Gold Miners ETF, $137.26
for the iShares® Biotechnology ETF, $46.39 for the SPDR® S&P® Bank ETF and $91.15
for the Energy Select Sector SPDR® Fund |
Final
share price: |
With respect to each ETF, the closing
price of one applicable ETF Share on the valuation date |
Share
adjustment factor: |
The share adjustment factor is
referenced in determining the closing price of one applicable ETF Share and is set initially at 1.0 on the pricing date. With
respect to each ETF, the share adjustment factor is subject to adjustment in the event of certain events affecting the ETF Shares. See
“The Underlyings — Funds — Anti-Dilution Adjustments” in the accompanying product supplement. |
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of a Basket of Six Exchange-Traded Funds and One Index due December 30, 2024
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Investment Summary
Performance Leveraged Upside Securities
Principal at Risk Securities
The PLUS Based on the Performance of a Basket of Six Exchange-Traded
Funds and One Index due December 30, 2024 (the “PLUS”) can be used:
| § | As
an alternative to direct exposure to the basket components that enhances returns for a certain
range of positive performance of the basket. |
| § | To
potentially achieve similar levels of upside exposure to the basket as a direct investment,
subject to the maximum payment at maturity, while using fewer dollars by taking advantage
of the leverage factor. |
The PLUS are exposed on a 1:1 basis to the
negative performance of the basket.
Maturity: |
Approximately 6 months |
Leverage
factor: |
200% |
Maximum
payment at maturity: |
$1,070.00 (107.00% of the stated principal
amount) per PLUS |
Minimum
payment at maturity: |
None. Investors may lose their
entire initial investment in the PLUS. |
Basket
component weightings: |
25.00% for the RSP ETF, 15.00% for the SX5E
Index, 15.00% for the EEM ETF, 15.00% for the GDX ETF, 10.00% for the IBB ETF, 10.00% for the KBE ETF and 10.00% for the XLE ETF |
Supplemental Terms of the PLUS
For purposes of the accompanying product supplement, each underlying
index is an “Index” and each ETF is a “Fund.”
Any values of the underlying basket components, and any values
derived therefrom, included in this document may be corrected, in the event of manifest error or inconsistency, by amendment of this
document and the corresponding terms of the PLUS. Notwithstanding anything to the contrary in the indenture governing the PLUS, that
amendment will become effective without consent of the holders of the PLUS or any other party.
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of a Basket of Six Exchange-Traded Funds and One Index due December 30, 2024
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Key Investment Rationale
PLUS offer leveraged exposure to an underlying asset, which may
be equities, commodities and/or currencies, without any protection against negative performance of the underlying asset. If the underlying
asset has decreased in value, investors are fully exposed to the negative performance of the underlying asset. At maturity, if the underlying
asset has appreciated, investors will receive the stated principal amount of their investment plus leveraged upside performance of the
underlying asset, subject to the maximum payment at maturity. At maturity, if the underlying asset has depreciated, the investor will
lose 1% for every 1% decline. Investors may lose some or all of the stated principal amount of the PLUS.
Leveraged
Performance |
The PLUS offer investors an opportunity to capture enhanced returns
for a certain range of positive performance relative to a direct investment in the basket. |
Upside
Scenario |
The final basket value is greater than the initial basket value and, at maturity,
the PLUS pay the stated principal amount of $1,000 plus a return equal to 200% of the basket percent increase, subject to
the maximum payment at maturity of $1,070.00 (107.00% of the stated principal amount) per PLUS. |
Par
Scenario |
The final basket value is equal to the initial basket value and, at maturity,
the PLUS pay the stated principal amount of $1,000 per PLUS. |
Downside
Scenario |
The final basket value is less than the initial basket value and, at maturity,
the PLUS pay an amount that is less than the stated principal amount. This decrease will be by an amount that is proportionate
to the percentage decline of the final basket value from the initial basket value. (Example: if the basket decreases in
value by 30%, the PLUS will pay an amount that is less than the stated principal amount by 30%, or $700.00 per PLUS.) |
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of a Basket of Six Exchange-Traded Funds and One Index due December 30, 2024
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
How the PLUS Work
Payoff Diagram
The payoff diagram below illustrates the payment at maturity on
the PLUS based on the following terms:
Stated
principal amount: |
$1,000 per PLUS |
Leverage
factor: |
200% |
Maximum
payment at maturity: |
$1,070.00 (107.00% of the stated principal amount)
per PLUS |
PLUS
Payoff Diagram |
|
|
How it works
| § | Upside
Scenario. If the final basket value is greater than the initial basket value,
for each $1,000 principal amount PLUS investors will receive the $1,000 stated principal
amount plus a return equal to 200% of the appreciation of the basket over the term
of the PLUS, subject to the maximum payment at maturity. Under the terms of the PLUS, an
investor will realize the maximum payment at maturity at a final basket value of 103.50%
of the initial basket value. |
| § | Par
Scenario. If the final basket value is equal to the initial basket value, investors
will receive the stated principal amount of $1,000 per PLUS. |
| § | Downside
Scenario. If the final basket value is less than the initial basket value, investors
will receive an amount that is less than the stated principal amount by an amount proportionate
to the percentage decrease of the final basket value from the initial basket value. |
| § | For
example, if the basket depreciates 50%, investors will lose 50% of their principal and receive
only $500 per PLUS at maturity, or 50% of the stated principal amount. |
The hypothetical returns and hypothetical payments
on the PLUS shown above apply only if you hold the PLUS 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 Chase Financial Company LLC
PLUS Based on the Performance of a Basket of Six Exchange-Traded Funds and One Index due December 30, 2024
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Hypothetical Payouts on the PLUS at Maturity
Below are three examples of how to calculate the payment at maturity
based on the hypothetical component values in the respective tables below. The following hypothetical examples are provided for illustrative
purposes only. Actual results may vary. For purposes of the following examples, (i) an “initial component value” means the
initial index value of the underlying index or the initial share price of an ETF, as applicable, and (ii) a “final component value”
means the final index value of the underlying index or the final share price of an ETF, as applicable. The hypothetical initial component
value of each basket component of 100.00 has been chosen for illustrative purposes only and may not represent a likely actual initial
component value of any basket component. The actual initial index value of the underlying index will be the closing level of the underlying
index on the pricing date and will be provided in the pricing supplement. The actual initial share price of each ETF will be the closing
price of one applicable ETF Share on the pricing date and will be provided in the pricing supplement. For historical data regarding the
actual closing levels of the underlying index and the actual closing prices of each applicable ETF Share, please see the historical information
set forth under “Basket Overview” in this pricing supplement.
Example 1: The final basket value is
greater than the initial basket value, and the payment at maturity is less than the hypothetical maximum payment at maturity.
Basket
component |
Weight
in
Basket |
Hypothetical
initial component value |
Hypothetical
final component value |
Basket
component
return |
RSP Shares |
25.00% |
$100.00 |
$102.50 |
+2.50% |
SX5E Index |
15.00% |
100.00 |
102.50 |
+2.50% |
EEM Shares |
15.00% |
$100.00 |
$102.50 |
+2.50% |
GDX Shares |
15.00% |
$100.00 |
$102.50 |
+2.50% |
IBB Shares |
10.00% |
$100.00 |
$102.50 |
+2.50% |
KBE Shares |
10.00% |
$100.00 |
$102.50 |
+2.50% |
XLE Shares |
10.00% |
$100.00 |
$102.50 |
+2.50% |
Basket percent increase
= (final basket value – initial basket value) / initial basket value
Initial basket value =
100
Final basket level = 100
× [1 + sum of (basket component return of each basket component × basket component weighting of that basket component)]
Using the hypothetical
values above, the sum of the basket component return of each basket component times the basket component weighting of that basket component:
[($102.50
– $100.00) / $100.00] × 25.00% = 0.625% |
[(102.50
–100.00) / 100.00] × 15.00% = 0.375% |
[($102.50
– $100.00) / $100.00] × 15.00% = 0.375% |
[($102.50
– $100.00) / $100.00] × 15.00% = 0.375% |
[($102.50
– $100.00) / $100.00] × 10.00% = 0.250% |
[($102.50
– $100.00) / $100.00] × 10.00% = 0.250% |
[($102.50
– $100.00) / $100.00] × 10.00% = 0.250% |
0.625%
+ 0.375%+ 0.375%+ 0.375% + 0.250% + 0.250% + 0.250% = 2.50% |
| Final basket value | = |
100
× (1 + 2.50%), which equals 102.50 |
| Basket percent increase | = |
(102.50
– 100) / 100, which equals 2.50% |
The payment at maturity per PLUS will equal $1,000 plus the
leveraged upside payment, subject to the maximum payment at maturity. The leveraged upside payment will equal (i) $1,000 times
(ii) the leverage factor times (iii) the basket percent increase, or:
$1,000 × 200% × 2.50% = $50.00
Because this amount would not result in a payment at maturity that
would exceed the hypothetical maximum payment at maturity of $1,070.00 per PLUS, the payment at maturity will equal $1,000 plus
the leveraged upside payment, or:
$1,000 + $50.00 = $1,050.00
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of a Basket of Six Exchange-Traded Funds and One Index due December 30, 2024
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Example 2: The final basket value is
greater than the initial basket value, and the payment at maturity is equal to the hypothetical maximum payment at maturity.
Basket
component |
Weight
in Basket |
Hypothetical
initial component value |
Hypothetical
final component value |
Basket
component
return |
RSP
Shares |
25.00% |
$100.00 |
$130.00 |
+30.00% |
SX5E
Index |
15.00% |
100.00 |
130.00 |
+30.00% |
EEM
Shares |
15.00% |
$100.00 |
$130.00 |
+30.00% |
GDX
Shares |
15.00% |
$100.00 |
$130.00 |
+30.00% |
IBB
Shares |
10.00% |
$100.00 |
$130.00 |
+30.00% |
KBE
Shares |
10.00% |
$100.00 |
$130.00 |
+30.00% |
XLE
Shares |
10.00% |
$100.00 |
$130.00 |
+30.00% |
Basket percent increase
= (final basket value – initial basket value) / initial basket value
Initial basket value = 100
Final basket level = 100
× [1 + sum of (basket component return of each basket component × basket component weighting of that basket component)]
Using the hypothetical
values above, the sum of the basket component return of each basket component times the basket component weighting of that basket component:
[($130.00
– $100.00) / $100.00] × 25.00% = 7.50% |
[(130.00
– 100.00) / 100.00] × 15.00% = 4.50% |
[($130.00
– $100.00) / $100.00] × 15.00% = 4.50% |
[($130.00
– $100.00) / $100.00] × 15.00% = 4.50% |
[($130.00
– $100.00) / $100.00] × 10.00% = 3.00% |
[($130.00
– $100.00) / $100.00] × 10.00% = 3.00% |
[($130.00
– $100.00) / $100.00] × 10.00% = 3.00% |
7.50%
+ 4.50%+ 4.50%+ 4.50% + 3.00% + 3.00% + 3.00% = 30.00% |
| Final basket value | = |
100
× (1 + 30.00%), which equals 130.00 |
| Basket percent increase | = |
(130.00
– 100) / 100, which equals 30.00% |
The payment at maturity per PLUS will equal $1,000 plus
the leveraged upside payment, subject to the maximum payment at maturity. The leveraged upside payment will equal (i) $1,000 times
(ii) the leverage factor times (iii) the basket percent increase, or:
$1,000 × 200% × 30.00% = $1,600.00
Because this amount would result in a payment at maturity that would
exceed the hypothetical maximum payment at maturity of $1,070.00 per PLUS, the payment at maturity will equal the hypothetical maximum
payment at maturity of $1,070.00 per PLUS.
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of a Basket of Six Exchange-Traded Funds and One Index due December 30, 2024
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Example 3: The final basket value is
less than or equal to the initial basket value.
Basket
component |
Weight
in Basket |
Hypothetical
initial component value |
Hypothetical
final component value |
Basket
component
return |
RSP Shares |
25.00% |
$100.00 |
$15.00 |
-85.00% |
SX5E Index |
15.00% |
100.00 |
105.00 |
+5.00% |
EEM Shares |
15.00% |
$100.00 |
$105.00 |
+5.00% |
GDX Shares |
15.00% |
$100.00 |
$105.00 |
+5.00% |
IBB Shares |
10.00% |
$100.00 |
$105.00 |
+5.00% |
KBE Shares |
10.00% |
$100.00 |
$105.00 |
+5.00% |
XLE Shares |
10.00% |
$100.00 |
$105.00 |
+5.00% |
Basket performance factor
= final basket value / initial basket value
Initial basket value = 100
Final basket level = 100
× [1 + sum of (basket component return of each basket component × basket component weighting of that basket component)]
Using the hypothetical
values above, the sum of the basket component return of each basket component times the basket component weighting of that basket component:
[($15.00
– $100.00) / $100.00] × 25.00% = -21.250% |
[(105.00
–100.00) / 100.00] × 15.00% = 0.750% |
[($105.00
– $100.00) / $100.00] × 15.00% = 0.750% |
[($105.00
– $100.00) / $100.00] × 15.00% = 0.750% |
[($105.00
– $100.00) / $100.00] × 10.00% = 0.500% |
[($105.00
– $100.00) / $100.00] × 10.00% = 0.500% |
[($105.00
– $100.00) / $100.00] × 10.00% = 0.500% |
-21.250%
+ 0.750%+ 0.750%+ 0.750% + 0.500% + 0.500% + 0.500% = -17.50% |
| Final basket value | = |
100
× (1 + (-17.50%)), which equals 82.50 |
| Basket performance increase | = |
82.50
/ 100, which equals 82.50% |
In the above example, the final component values of all the basket
components except for the RSP ETF (with a combined weighting of 75.00% of the basket) are each higher than their respective initial component
values, but the final component value of the RSP ETF (with a weighting of 25.00% of the basket) is lower than its initial component value.
Accordingly, although the final component values of 75.00% of the basket components (by weight) have increased in value over their respective
initial component values, the final component value of the other 25.00% (by weight) of the basket has declined and, because it has declined
significantly, its decline more than offsets the increases in the other basket components and, consequently, the basket performance factor
is less than 100%.
Because the final basket value is less than or equal to the initial
basket value in this example, the payment at maturity per PLUS will equal $1,000 times the basket performance factor; or
$1,000 × 82.50% = $825.00
The payment at maturity per PLUS will be $825.00, which is less
than the stated principal amount by an amount that is proportionate to the percentage decline in the basket.
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of a Basket of Six Exchange-Traded Funds and One Index due December 30, 2024
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Risk Factors
The following is a non-exhaustive list of certain key risk factors for
investors in the PLUS. For further discussion of these and other risks, you should read the sections entitled “Risk Factors”
of the accompanying prospectus supplement and the accompanying product supplement and in Annex A to the accompanying prospectus addendum.
We urge you to consult your investment, legal, tax, accounting and other advisers in connection with your investment in the PLUS.
Risks Relating to the
PLUS Generally
| § | The
PLUS do not pay interest or guarantee the return of any principal and your investment in
the PLUS may result in a loss. The terms of the PLUS differ from those of ordinary
debt securities in that the PLUS do not pay interest or guarantee the payment of any principal
amount at maturity. If the final basket value is less than the initial basket value, the
payment at maturity will be an amount in cash that is less than the stated principal amount
of each PLUS by an amount proportionate to the decrease in the value of the basket and may
be zero. |
| § | The
appreciation potential of the PLUS is limited by the maximum payment at maturity. The
appreciation potential of the PLUS is limited by the maximum payment at maturity of $1,070.00
(107.00% of the stated principal amount) per PLUS. Because the maximum payment at maturity
will be limited to 107.00% of the stated principal amount for the PLUS, any increase in the
final basket value by more than 3.50% will not further increase the return on the PLUS. |
| § | The
PLUS are subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.,
and any actual or anticipated changes to our or JPMorgan Chase & Co.’s
credit ratings or credit spreads may adversely affect the market value of the PLUS. Investors
are dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts
due on the PLUS. Any actual or anticipated decline in our or JPMorgan Chase & Co.’s
credit ratings or increase in our or JPMorgan Chase & Co.’s credit spreads
determined by the market for taking that credit risk is likely to adversely affect the market
value of the PLUS. If we and JPMorgan Chase & Co. were to default on our payment
obligations, you may not receive any amounts owed to you under the PLUS and you could lose
your entire investment. |
| § | As
a finance subsidiary, JPMorgan Financial has no independent operations and has limited assets.
As a finance subsidiary of JPMorgan Chase & Co., we have no independent
operations beyond the issuance and administration of our securities and the collection of
intercompany obligations. Aside from the initial capital contribution from JPMorgan Chase & Co.,
substantially all of our assets relate to obligations of JPMorgan Chase & Co.
to make payments under loans made by us to JPMorgan Chase & Co. or under other
intercompany agreements. As a result, we are dependent upon payments from JPMorgan Chase & Co.
to meet our obligations under the PLUS. We are not a key operating subsidiary of JPMorgan
Chase & Co. and in a bankruptcy or resolution of JPMorgan Chase & Co.
we are not expected to have sufficient resources to meet our obligations in respect of the
PLUS as they come due. If JPMorgan Chase & Co. does not make payments to us
and we are unable to make payments on the PLUS, you may have to seek payment under the related
guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu
with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
For more information, see the accompanying prospectus addendum. |
| § | Correlation
(or lack of correlation) of performances among the basket components may reduce the performance
of the basket, and changes in the values of the basket components may offset each other.
The PLUS are linked to an unequally weighted basket consisting of the underlying index and
the ETFs. Movements and performances of the basket components may or may not be correlated
with each other. At a time when the value of one or more of the basket components
increases, the
values of the other basket components may not increase as much or may decline. Therefore,
in calculating the final basket value, increases in the value of one or more of the basket
components may be moderated, or more than offset, by the lesser increases or declines in
the values of the other basket components. High correlation of movements in the values of
the basket components during periods of negative returns could have an adverse effect on
your return on your investment. There can be no assurance that the final basket value will
be greater than the initial basket value. |
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of a Basket of Six Exchange-Traded Funds and One Index due December 30, 2024
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
| § | The
basket components are not equally weighted. Because the basket components are not equally
weighted, the same percentage change in two of the basket components may have different effects
on the basket closing value. For example, because the weighting for the RSP ETF is greater
than the weighting for the SX5E Index, a 5% decrease in the value of the RSP ETF will have
a greater effect on the basket closing value than a 5% increase in the value of the SX5E
Index. Because the RSP ETF makes up 25.00% of the basket, we expect that generally the market
value of your PLUS and your payment at maturity will depend significantly on the performance
of the RSP ETF. See “Hypothetical Payouts on the PLUS at Maturity — Example 3”
in this document. |
| § | Secondary
trading may be limited. The PLUS will
not be listed on a securities exchange. There may be little or no secondary market for the
PLUS. Even if there is a secondary market, it may not provide enough liquidity to allow you
to trade or sell the PLUS easily.
JPMS may act as a market maker for the PLUS, but is not required to do so. Because
we do not expect that other market makers will participate significantly in the secondary
market for the PLUS, the price at which you may be able to trade your PLUS is likely to depend
on the price, if any, at which JPMS
is willing to buy the PLUS. If at any time JPMS
or another agent does not act as a market maker, it is likely that there would be
little or no secondary market for the PLUS. |
| § | We
may accelerate your PLUS in our sole discretion and the calculation agent may adjust their
final payment in good faith and in a commercially reasonable manner if a change-in-law event
occurs. Upon the announcement or occurrence of legal or regulatory changes that the calculation
agent determines are likely to interfere with your or our ability to transact in or hold
the PLUS or our ability to hedge or perform our obligations under the PLUS, we may, in our
sole and absolute discretion, accelerate the payment on your PLUS and pay you an amount determined
in good faith and in a commercially reasonable manner by the calculation agent. If the payment
on your PLUS is accelerated, your investment may result in a loss and you may not be able
to reinvest your money in a comparable investment. Please see “General Terms of Notes
— Consequences of a Change-in-Law Event” in the accompanying product supplement
for more information. |
| § | The
tax consequences of an investment in the PLUS are uncertain. There is no direct legal
authority as to the proper U.S. federal income tax characterization of the PLUS, and we do
not intend to request a ruling from the IRS. The IRS might not accept, and a court might
not uphold, the treatment of the PLUS described in “Additional Information about the
PLUS ― Additional Provisions ― Tax considerations” in this document and
in “Material U.S. Federal Income Tax Consequences” in the accompanying product
supplement. If the IRS were successful in asserting an alternative treatment for the PLUS,
the timing and character of any income or loss on the PLUS could differ materially and adversely
from our description herein. |
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 PLUS, 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 PLUS, including possible alternative treatments and the issues
presented by this notice.
Risks Relating to Conflicts
of Interest
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of a Basket of Six Exchange-Traded Funds and One Index due December 30, 2024
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
| § | Economic
interests of the issuer, the guarantor, the calculation agent, the agent of the offering
of the PLUS and other affiliates of the issuer may be different from those of investors.
We and our
affiliates play a variety of roles in connection with the issuance of the PLUS, including
acting as calculation agent and as an agent of the offering of the PLUS, hedging our obligations
under the PLUS and making the assumptions used to determine the pricing of the PLUS and the
estimated value of the PLUS, which we refer to as the estimated value of the PLUS. 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 PLUS. The calculation agent will determine
the final basket value and will calculate the amount of payment you will receive at maturity,
if any. Determinations made by the calculation agent, including with respect to the occurrence
or non-occurrence of market disruption events, the selection of a successor to any basket
component, calculation of the final index value of the underlying index in the event of a
discontinuation or material change in method of calculation of the underlying index or the
calculation of the final share price of any ETF in the event of a discontinuation of an ETF
or any anti-dilution adjustments, may affect the payment to you at maturity. 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 PLUS and the
value of the PLUS. It is possible that hedging or trading activities of ours or our affiliates
in connection with the PLUS could result in substantial returns for us or our affiliates
while the value of the PLUS declines. Please refer to “Risk Factors — Risks Relating
to Conflicts of Interest” in the accompanying product supplement for additional information
about these risks. |
| § | Hedging
and trading activities by the issuer and its affiliates could potentially affect the value
of the PLUS. The hedging
or trading activities of the issuer’s affiliates and of any other hedging counterparty
with respect to the PLUS
on or prior to the pricing date and prior to maturity could have adversely affected and may
continue to adversely affect the values of the basket components and, as a result, could
decrease the amount an investor may receive on the PLUS at maturity, if any. Any of these
hedging or trading activities on or prior to the pricing date could potentially have
affected the initial index value or initial share price, as applicable, of a basket component
and, therefore, could potentially increase the value that the final index value or final
share price, as applicable, of a basket component must reach before you receive a payment
at maturity that exceeds the issue price of the PLUS or so that you do not suffer a loss
on your initial investment in the PLUS.
Additionally, these hedging or trading activities during the term of the PLUS,
including on the valuation date, could adversely affect the final basket value and, accordingly,
the payment to you at maturity, if any. It is possible that these hedging or trading activities
could result in substantial returns for us or our affiliates while the value of the PLUS
declines. |
Risks Relating to the Estimated
Value and Secondary Market Prices of the PLUS
| § | The
estimated value of the PLUS is lower than the original issue price (price to public) of the
PLUS. The estimated value of the PLUS is only an estimate
determined by reference to several factors. The original issue price of the PLUS exceeds
the estimated value of the PLUS because costs associated with selling, structuring and hedging
the PLUS are included in the original issue price of the PLUS. These costs include the selling
commissions, the structuring fee, the projected profits, if any, that our affiliates expect
to realize for assuming risks inherent in hedging our obligations under the PLUS and the
estimated cost of hedging our obligations under the PLUS. See “Additional Information
about the PLUS — The estimated value of the PLUS” in this document. |
| § | The
estimated value of the PLUS does not represent future values of the PLUS and may differ from
others’ estimates. The estimated value of the PLUS is determined by reference to internal
pricing models of our affiliates. This estimated value
of the PLUS is based on market conditions and other relevant factors existing at the time
of pricing 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 PLUS that are greater than or less than the estimated value of the PLUS.
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 PLUS 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 the PLUS
from you in secondary market transactions. See “Additional Information about the PLUS
— The estimated value of the PLUS” in this document. |
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of a Basket of Six Exchange-Traded Funds and One Index due December 30, 2024
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
| § | The
estimated value of the PLUS is derived by reference to an internal funding rate. The
internal funding rate used in the determination of the estimated value of the PLUS 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 PLUS
as well as the higher issuance, operational and ongoing liability management costs of the
PLUS 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 PLUS. The use of an internal funding rate and any
potential changes to that rate may have an adverse effect on the terms of the PLUS and any
secondary market prices of the PLUS. See “Additional Information about the PLUS —
The estimated value of the PLUS” in this document. |
| § | The
value of the PLUS as published by JPMS (and which may be reflected on customer account statements)
may be higher than the then-current estimated value of the PLUS for a limited time period.
We generally expect that some of the costs included
in the original issue price of the PLUS will be partially paid back to you in connection
with any repurchases of your PLUS by JPMS in an amount that will decline to zero over an
initial predetermined period. These costs can include selling commissions, the structuring
fee, projected hedging profits, if any, and, in some circumstances, estimated hedging costs
and our internal secondary market funding rates for structured debt issuances. See “Additional
Information about the PLUS — Secondary market prices of the PLUS” in this document
for additional information relating to this initial period. Accordingly, the estimated value
of your PLUS during this initial period may be lower than the value of the PLUS as published
by JPMS (and which may be shown on your customer account statements). |
| § | Secondary
market prices of the PLUS will likely be lower than the original issue price of the PLUS.
Any
secondary market prices of the PLUS will likely be lower than the original issue price of
the PLUS 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, the structuring fee, projected hedging profits,
if any, and estimated hedging costs that are included in the original issue price of the
PLUS. As a result, the price, if any, at which JPMS will be willing to buy PLUS 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 factor for information about additional factors that will
impact any secondary market prices of the PLUS. |
The PLUS are not designed to be short-term
trading instruments. Accordingly, you should be able and willing to hold your PLUS to maturity. See “— Risks Relating to
the PLUS Generally — Secondary trading may be limited” above.
| § | Secondary
market prices of the PLUS will be impacted by many economic and market factors. The
secondary market price of the PLUS 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, structuring fee, projected hedging profits, if any, estimated hedging costs
and the values of the basket components, including: |
| o | any
actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness
or credit spreads; |
| o | customary
bid-ask spreads for similarly sized trades; |
| o | our
internal secondary market funding rates for structured debt issuances; |
| o | the
actual and expected volatility of the basket components; |
| o | the
time to maturity of the PLUS; |
| o | the
dividend rates on the ETF Shares and the equity securities included in or held by the basket
components; |
| o | the
actual and expected positive or negative correlation among the basket components, or the
actual and expected absence of any such correlation; |
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of a Basket of Six Exchange-Traded Funds and One Index due December 30, 2024
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
| o | interest
and yield rates in the market generally; |
| o | the
exchange rates and the volatility of the exchange rates between the U.S. dollar and each
of the currencies in which the equity securities included in or held by the ETFs trade and
the correlation among those rates and the values of the ETFs; |
| o | the
occurrence of certain events to the ETFs that may or may not require an adjustment to the
share adjustment factor; and |
| o | a variety
of other economic, financial, political, regulatory and judicial events. |
Additionally, independent pricing vendors
and/or third party broker-dealers may publish a price for the PLUS, which may also be reflected on customer account statements. This
price may be different (higher or lower) than the price of the PLUS, if any, at which JPMS may be willing to purchase your PLUS in the
secondary market.
Risks Relating to the Basket Components
| § | JPMorgan
Chase & Co. is currently one of the companies that make up the RSP ETF, the
KBE ETF and the indices tracked by them. JPMorgan Chase & Co. is currently
one of the companies that make up the RSP ETF, the KBE ETF and the indices tracked by them,
each of which we refer to as a reference index. JPMorgan Chase & Co. will not
have any obligation to consider your interests as a holder of the securities in taking any
corporate action that might affect the value of the RSP ETF, the KBE ETF and their respective
reference indices. |
| § | Investing
in the PLUS is not equivalent to investing in the basket or the basket components. Investing
in the PLUS is not equivalent to investing in the basket, the basket components, any component
stocks or component commodities. Investors in the PLUS will not have voting rights or rights
to receive dividends or other distributions or any other rights with respect to the ETFs,
the stocks that constitute either underlying index or that are held by any ETF or the commodities
held by any ETF. |
| § | Adjustments
to the ETFs or the reference indices could adversely affect the value of the PLUS. Those
responsible for calculating and maintaining the ETFs and the reference indices can add, delete
or substitute the components of the ETFs or the applicable reference index, or make other
methodological changes that could change the value of the ETFs or the applicable reference
index. Any of these actions could adversely affect the price of the ETFs and, consequently,
the value of the PLUS. |
| § | Adjustments
to the underlying index could adversely affect the value of the PLUS. The
underlying index publisher may discontinue or suspend calculation or publication of the underlying
index at any time. In these circumstances, the calculation agent will have the sole discretion
to substitute a successor index that is comparable to the discontinued underlying index and
is not precluded from considering indices that are calculated and published by the calculation
agent or any of its affiliates. |
| § | There
are risks associated with the ETFs. Although each ETF is listed for trading on a national
securities exchange and a number of similar products have been traded on various national
securities exchanges for varying periods of time, there is no assurance that an active trading
market will continue for the ETFs or that there will be liquidity in the trading market.
The ETFs are subject to management risk, which is the risk that the investment strategy of
the investment adviser to the ETFs, the implementation of which is subject to a number of
constraints, may not produce the intended results. These constraints could adversely affect
the market price of the ETFs, and consequently, the value of the PLUS. |
| § | The
performance and market value of each ETF, particularly during periods of market volatility,
may not correlate with the performance of that ETF’s reference index or reference commodity,
as applicable, as well as the net asset value per applicable ETF Share. Each ETF that
tracks a reference index does not fully replicate its reference index and may hold securities
different from those included in its reference index. In addition, the performance of each
such ETF will reflect additional transaction costs and fees that are not included in the
calculation of its reference index. All of these factors may lead to a lack of correlation
between the performance of an ETF that tracks a reference index and that reference index.
In addition, corporate actions with respect to the equity securities underlying an ETF (such
as mergers and spin-offs) may impact the variance between the performances of that ETF and
its reference index. Finally, |
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of a Basket of Six Exchange-Traded Funds and One Index due December 30, 2024
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
because the ETF Shares are traded on a securities exchange
and are subject to market supply and investor demand, the market value of one ETF Share may differ from the net asset value per ETF Share.
During periods of market volatility, securities
underlying each ETF that tracks a reference index may be unavailable in the secondary market, market participants may be unable to calculate
accurately the net asset value per ETF Share and the liquidity of that ETF may be adversely affected. This kind of market volatility
may also disrupt the ability of market participants to create and redeem ETF Shares. Further, market volatility may adversely affect,
sometimes materially, the prices at which market participants are willing to buy and sell ETF Shares. As a result, under these circumstances,
the market value of ETF Shares may vary substantially from the net asset value per ETF Share. For all of the foregoing reasons, the performance
of each ETF may not correlate with the performance of its reference index or reference commodity, as applicable, as well as its net asset
value per ETF Share, which could materially and adversely affect the value of the PLUS in the secondary market and/or reduce any payment
on the PLUS.
| § | There
are risks associated with securities issued by non-U.S. companies with
respect to the SX5E Index, the EEM ETF, the GDX ETF and the IBB ETF. The
equity securities included in the SX5E Index and the EEM ETF and some of the equity securities
held by the GDX ETF and the IBB ETF have been issued by non-U.S. companies. Investments in
securities linked to the value of any equity securities issued by a non-U.S. company involve
risks associated with the home country of that company. The prices of securities issued by
non-U.S. companies may be affected by political, economic, financial and social factors in
those countries, or global regions, including changes in government, economic and fiscal
policies and currency exchange laws. Moreover, the economy of that country may differ
favorably or unfavorably from the economy of the United States in such respects as growth
of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency.
That country may be subjected to different and, in some cases, more adverse economic environments. |
| § | The
PLUS are not directly exposed to fluctuations in foreign exchange rates with respect to the
SX5E Index. The value of your PLUS will not be adjusted for exchange rate fluctuations
between the U.S. dollar and the currencies upon which the equity securities included in the
SX5E Index are based, although any currency fluctuations could affect the performance of
the SX5E Index. Therefore, if the applicable currencies appreciate or depreciate relative
to the U.S. dollar over the term of the PLUS, you will not receive any additional payment
or incur any reduction in any payment on the PLUS. |
| § | The
PLUS are subject to currency exchange risk with respect to the EEM ETF and the GDX ETF. Because
the prices of the non-U.S. equity securities underlying the EEM ETF and the GDX ETF are converted
into U.S. dollars for the purposes of calculating the net asset value of those ETF Shares,
holders of the PLUS will be exposed to currency exchange rate risk with respect to the currencies
in which the non-U.S. securities underlying those ETF Shares are traded. Your net exposure
will depend on the extent to which the currencies in which the non-U.S. securities underlying
those ETF Shares are traded strengthen or weaken against the U.S. dollar. If the U.S. dollar
strengthens against the currencies in which the non-U.S. securities underlying those ETF
Shares are traded, the net asset value of those ETF Shares will be adversely affected and
the amount we pay you at maturity, if any, may be reduced. Of particular importance to potential
currency exchange risk are: |
| o | existing and expected rates of inflation; |
| o | existing and expected interest rate levels; |
| o | the balance of payments in the countries issuing those currencies
and the United States and between each country and its major trading partners; |
| o | political, civil or military unrest in the countries issuing those
currencies and the United States; and |
| o | the extent of government surpluses or deficits in the countries issuing
those currencies and the United States. |
All of these factors are in turn sensitive to the monetary,
fiscal and trade policies pursued by the governments of the countries issuing those currencies and the United States and other countries
important to international trade and finance.
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of a Basket of Six Exchange-Traded Funds and One Index due December 30, 2024
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
| § | The
PLUS entail emerging markets risk with respect to the EEM ETF. The equity securities
underlying the EEM ETF have been issued by non-U.S. companies located in emerging markets
countries. Countries with emerging markets may have relatively unstable governments,
may present the risks of nationalization of businesses, restrictions on foreign ownership
and prohibitions on the repatriation of assets, and may have less protection of property
rights than more developed countries. The economies of countries with emerging markets
may be based on only a few industries, may be highly vulnerable to changes in local or global
trade conditions, and may suffer from extreme and volatile debt burdens or inflation rates.
Local securities markets may trade a small number of securities and may be unable to respond
effectively to increases in trading volume, potentially making prompt liquidation of holdings
difficult or impossible at times. |
| § | Recent
executive orders may adversely affect the performance of the EEM ETF. Pursuant to recent
executive orders, U.S. persons are prohibited from engaging in transactions in, or possession
of, publicly traded securities of certain companies that are determined to be linked to the
People’s Republic of China military, intelligence and security apparatus, or securities
that are derivative of, or are designed to provide investment exposure to, those securities.
The sponsor of the underlying index for the EEM ETF has recently removed the equity securities
of a small number of companies from that underlying index in response to these executive
orders and, as a result, these stocks have also been removed from the EEM ETF. If the issuer
of any of the equity securities held by the EEM ETF is in the future designated as such a
prohibited company, the value of that company may be adversely affected, perhaps significantly,
which would adversely affect the performance of the EEM ETF. In addition, under these circumstances,
each of the sponsor of the underlying index for the EEM ETF and the EEM ETF is expected to
remove the equity securities of that company from that underlying index and the EEM ETF,
respectively. Any changes to the composition of the EEM ETF in response to these executive
orders could adversely affect the performance of the EEM ETF. |
| § | Risks
associated with the gold and silver mining industries with respect to the GDX ETF. All
or substantially all of the equity securities held by the GDX ETF are issued by companies
whose primary line of business is directly associated with the gold and/or silver mining
industries. As a result, the value of the PLUS may be subject to greater volatility and be
more adversely affected by a single economic, political or regulatory occurrence affecting
these industries than a different investment linked to securities of a more broadly diversified
group of issuers. Investments related to gold and silver are considered speculative and are
affected by a variety of factors. Competitive pressures may have a significant effect on
the financial condition of gold and silver mining companies. Also, gold and silver mining
companies are highly dependent on the price of gold and silver bullion, respectively, and
may be adversely affected by a variety of worldwide economic, financial and political factors.
The price of gold and silver may fluctuate substantially over short periods of time, so the
GDX ETF’s share price may be more volatile than other types of investments. Fluctuation
in the prices of gold and silver may be due to a number of factors, including changes in
inflation, changes in currency exchange rates and changes in industrial and commercial demand
for metals (including fabricator demand). Additionally, increased environmental or labor
costs may depress the value of metal investments. These factors could affect the gold and
silver mining industries and could affect the value of the equity securities held by the
GDX ETF and the price of the GDX ETF during the term of the PLUS, which may adversely affect
the value of the PLUS. |
| § | Risks
associated with the biotechnology and pharmaceutical industries with respect to the IBB ETF.
All or substantially all of the equity securities held by the IBB ETF are issued by companies
whose primary line of business is directly associated with the biotechnology or pharmaceuticals
industry. As a result, the value of the PLUS may be subject to greater volatility and be
more adversely affected by a single economic, political or regulatory occurrence affecting
this industry than a different investment linked to securities of a more broadly diversified
group of issuers. |
Biotechnology companies invest heavily
in research and development, which may not necessarily lead to commercially successful products. These companies are also subject to
increased governmental regulation, which may delay or inhibit the release of new products. Many biotechnology companies are dependent upon their ability to use and enforce intellectual
property rights and patents. Any impairment of these rights may have adverse financial consequences. Biotechnology stocks, especially
those of smaller, less-seasoned companies, tend to be more volatile than the overall market. Biotechnology companies can
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of a Basket of Six Exchange-Traded Funds and One Index due December 30, 2024
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
be significantly
affected by technological change and obsolescence, product liability lawsuits and consequential high insurance costs.
Pharmaceutical companies are subject to
competitive forces that may make it difficult to raise prices of their products and, in fact, may result in price discounting. The profitability
of some companies in the pharmaceuticals industry may be dependent on a relatively limited number of products. In addition, their products
can become obsolete due to industry innovation, changes in technologies or other market developments. Many new products in the pharmaceuticals
industry are subject to government approvals, regulation and reimbursement rates. The process of obtaining government approvals may be
long and costly. Many companies in the pharmaceuticals industry are heavily dependent on patents and intellectual property rights. The
loss or impairment of these rights may adversely affect the profitability of these companies. Companies in the pharmaceuticals industry
may be subject to extensive litigation based on product liability and similar claims.
These factors could affect these industries
and could affect the value of the equity securities held by the IBB ETF and the price of the IBB ETF during the term of the PLUS, which
may adversely affect the value of your PLUS.
| § | Risks
associated with the banking industry with respect to the KBE ETF. All or substantially
all of the equity securities held by the KBE ETF are issued by companies whose primary line
of business is directly associated with the banking industry. As a result, the value of the
PLUS may be subject to greater volatility and be more adversely affected by a single economic,
political or regulatory occurrence affecting this industry than a different investment linked
to securities of a more broadly diversified group of issuers. The performance of bank stocks
may be affected by extensive governmental regulation, which may limit both the amounts and
types of loans and other financial commitments they can make, the interest rates and fees
they can charge and the amount of capital they must maintain. Profitability is largely dependent
on the availability and cost of capital funds and can fluctuate significantly when interest
rates change. Credit losses resulting from financial difficulties of borrowers can negatively
impact banking companies. Banks may also be subject to severe price competition. Competition
is high among banking companies and failure to maintain or increase market share may result
in lost market share. These factors could affect the banking industry and could affect the
value of the equity securities held by the KBE ETF and the price of the KBE ETF during the
term of the PLUS, which may adversely affect the value of your PLUS. |
| § | Risks
associated with the energy sector with respect to the XLE ETF. All or substantially
all of the equity securities underlying the XLE ETF are issued by companies whose primary
line of business is directly associated with the energy sector. As a result, the value of
the PLUS may be subject to greater volatility and be more adversely affected by a single
economic, political or regulatory occurrence affecting this sector than a different investment
linked to securities of a more broadly diversified group of issuers. Issuers in energy-related
industries can be significantly affected by fluctuations in energy prices and supply and
demand of energy fuels. Markets for various energy-related commodities can have significant
volatility, and are subject to control or manipulation by large producers or purchasers.
Companies in the energy sector may need to make substantial expenditures, and to incur significant
amounts of debt, in order to maintain or expand their reserves. Oil and gas exploration and
production can be significantly affected by natural disasters as well as changes in exchange
rates, interest rates, government regulation, world events and economic conditions. These
companies may be at risk for environmental damage claims. These factors could affect the
energy sector and could affect the value of the equity securities underlying the XLE ETF
and the price of one share of the XLE ETF during the term of the PLUS, which may adversely
affect the value of the PLUS. |
| § | Governmental
legislative and regulatory actions, including sanctions, could adversely affect your investment
in the PLUS. Governmental legislative and regulatory actions, including, without
limitation, sanctions-related actions by the U.S. or a foreign government, could prohibit
or otherwise restrict persons from holding the PLUS, any ETF Share or the securities included
in or held by any basket component, or engaging in transactions in them, and any such action
could adversely affect the value of the PLUS or any basket component. These legislative
and regulatory actions could result in restrictions on the PLUS. You may lose a significant portion or all of your initial investment
in the PLUS if you are forced to divest the PLUS due to the government mandates, especially if such divestment must be made at a time
when the value of the PLUS has declined. |
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of a Basket of Six Exchange-Traded Funds and One Index due December 30, 2024
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
The anti-dilution protection for the
ETFs is limited. The calculation agent will make adjustments to the applicable share adjustment factor for certain events affecting
the ETFs. However, the calculation agent will not make an adjustment in response to all events that could affect the ETFs. If an event
occurs that does not require the calculation agent to make an adjustment, the value of the PLUS may be materially and adversely affected.
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of a Basket of Six Exchange-Traded Funds and One Index due December 30, 2024
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Basket Overview
The basket is an unequally weighted basket composed
of six exchange-traded funds and one index.
Basket Components
The Invesco S&P 500® Equal Weight ETF.
The Invesco S&P 500® Equal Weight ETF is an exchange-traded fund of the Invesco Exchange-Traded Fund Trust, a
registered investment company, that seeks to track the investment results, before fees and expenses, of the S&P 500®
Equal Weight Index, which we refer to as the reference index with respect to the Invesco S&P 500® Equal Weight ETF.
The S&P 500® Equal Weight Index is an equal-weighted version of the S&P 500® Index. The S&P
500® Index consists of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets.
For additional information about the Invesco S&P 500® Equal Weight ETF, see “Fund Descriptions — The Invesco
S&P 500® Equal Weight ETF” in the accompanying underlying supplement.
The EURO STOXX 50® Index. The EURO STOXX 50®
Index consists of 50 component stocks of market sector leaders from within the Eurozone. For additional information about the EURO
STOXX 50® Index, see “Equity Index Descriptions ― The STOXX Benchmark Indices” in the accompanying underlying
supplement.
The iShares® MSCI Emerging Markets ETF.
The iShares® MSCI Emerging Markets ETF is an exchange-traded fund of iShares®, Inc. (“iShares®”),
a registered investment company, that seeks to track the investment results, before fees and expenses, of an index composed of large-
and mid-capitalization emerging market equities, which we refer to as the reference index with respect to the iShares®
MSCI Emerging Markets ETF. The reference index with respect to the iShares® MSCI Emerging Markets ETF is currently the
MSCI Emerging Markets Index. The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to
measure equity market performance of global emerging markets. For additional information about the iShares® MSCI Emerging
Markets ETF, see the information set forth under “Fund Descriptions — The iShares® ETFs” in the accompanying
underlying supplement.
The VanEck® Gold Miners ETF. The VanEck®
Gold Miners ETF is an exchange-traded fund of the VanEck® ETF Trust, a registered investment company, that seeks
to replicate as closely as possible, before fees and expenses, the price and yield performance of the NYSE Arca Gold Miners Index, which
we refer to as the reference index with respect to the VanEck® Gold Miners ETF. The NYSE Arca Gold Miners Index is a modified
market capitalization weighted index composed of publicly traded companies involved primarily in the mining of gold or silver. For additional
information about the VanEck® Gold Miners ETF, see “Fund Descriptions — The VanEck® ETFs”
in the accompanying underlying supplement.
The iShares® Biotechnology ETF. The iShares®
Biotechnology ETF is an exchange-traded fund of iShares® Trust, a registered investment company, that seeks to track
the investment results, before fees and expenses, of an index composed of U.S. equities in the biotechnology sector, which we refer to
as the reference index with respect to the iShares® Biotechnology ETF. The Underlying Index with respect to the iShares®
Biotechnology ETF is currently the ICE Biotechnology Index. The ICE Biotechnology Index is a modified float-adjusted market capitalization-weighted
index that tracks the performance of qualifying U.S. listed biotechnology companies that are classified within the biotechnology sub-industry
group of the ICE Uniform Sector Classification schema. This includes companies that are engaged in the research and development of therapeutic
treatments but are not focused on the commercialization and mass production of pharmaceutical drugs. This also includes companies that
are engaged in the production of tools or systems that enable biotechnology processes. For additional information about the iShares®
Biotechnology ETF, see “Fund Descriptions — The iShares® ETFs” in the accompanying underlying
supplement.
The SPDR® S&P® Bank ETF. The
Fund is an exchange-traded fund of the SPDR® Series Trust, a registered investment company, that seeks to provide investment
results that, before fees and expenses, correspond generally to the total return performance of an index that tracks the performance
of publicly traded national money centers and leading regional banks, which we refer to as the reference index with respect to the Fund.
The Underlying Index with respect to the Fund is currently the S&P® Banks Select IndustryTM Index.
The S&P® Banks Select IndustryTM Index is a modified equal-weighted index that is designed to measure the
performance of the following GICS® sub-industries of the S&P Total Market Index: asset management & custody banks
(must also meet the North American Industry Classification of depository credit intermediation);
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of a Basket of Six Exchange-Traded Funds and One Index due December 30, 2024
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
diversified banks; regional banks; diversified financial services;
and commercial & residential mortgage finance. For additional information about the Fund, see “Fund Descriptions —
The SPDR® S&P® Industry ETFs” in the accompanying underlying supplement.
The Energy Select Sector SPDR® Fund. The Energy
Select Sector SPDR® Fund is an exchange-traded fund of the Select Sector SPDR® Trust, a registered investment
company, that seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly
traded equity securities of companies in the Energy Select Sector Index, which we refer to as the reference index with respect to the
Energy Select Sector SPDR® Fund. The Energy Select Sector Index is a capped modified market capitalization-based
index that measures the performance of the GICS® energy sector of the S&P 500® Index, which currently
includes companies in the following industries: oil, gas & consumable fuels; and energy equipment & services. For additional
information about the Energy Select Sector SPDR® Fund, see the information set forth under “Fund Descriptions —
The Select Sector SPDR® Funds” in the accompanying underlying supplement.
Basket
component information as of June 28, 2024 |
|
Bloomberg
Ticker
Symbol |
Current
Value |
52
Weeks Ago |
52
Week
High |
52
Week
Low |
Basket
component
weighting |
The
Invesco S&P 500® Equal Weight ETF |
RSP |
$164.28 |
$147.18
(on 6/28/2023) |
$169.37
(on 3/28/2024) |
$133.66
(on 10/27/2023) |
25.00% |
The
EURO STOXX 50® Index |
SX5E |
4,894.02 |
4,344.75
(on 6/28/2023) |
5,100.90
(on 5/15/2024) |
4,014.36
(on 10/27/2023) |
15.00% |
The
iShares® MSCI Emerging Markets ETF |
EEM |
$42.59 |
$39.46
(on 6/28/2023) |
$43.79
(on 5/17/2024) |
$36.53
(on 10/27/2023) |
15.00% |
The
VanEck® Gold Miners ETF |
GDX |
$33.93 |
$29.22
(on 6/28/2023) |
$37.24
(on 5/20/2024) |
$25.78
(on 2/28/2024) |
15.00% |
The
iShares® Biotechnology ETF |
IBB |
$137.26 |
$126.25
(on 6/28/2023) |
$140.89
(on 2/27/2024) |
$112.41
(on 10/27/2023) |
10.00% |
The
SPDR® S&P® Bank ETF |
KBE |
$46.39 |
$35.57
(on 6/28/2023) |
$47.93
(on 5/17/2024) |
$34.50
(on 10/25/2023) |
10.00% |
The
Energy Select Sector SPDR® Fund |
XLE |
$91.15 |
$79.73
(on 6/20/2023) |
$98.08
(on 4/5/2024) |
$79.09
(on 7/6/2023) |
10.00% |
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of a Basket of Six Exchange-Traded Funds and One Index due December 30, 2024
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
The following graph is calculated
to show the performance of the basket during the period from January 2, 2019 through June 28, 2024, assuming the basket components are
weighted as set out above such that the initial basket value was 100 on January 2, 2019 and
illustrates the effect of the offset and/or correlation among the basket components during that period. The graph does not take into
account the leverage factor on the PLUS or the maximum payment at maturity, nor does it attempt to show your expected return on an investment
in the PLUS. You cannot predict the future performance of any basket component or of the basket as a whole, or whether increases in the
value of any basket component will be offset by decreases in the values of the other basket components. The historical value performance
of the basket and the degree of correlation between the value trends of the basket components (or lack thereof) should not be taken as
an indication of its future performance.
Historical Basket Performance
January 2, 2019 through
June 28, 2024 |
|
|
The following graphs set forth the official
daily values for each of the basket components for the period from January 2, 2019 through June 28, 2024. The related tables set forth
the published high and low, as well as end-of-quarter, values for each respective basket component for each quarter in the same period.
We obtained the closing value information above and the information in the tables and graphs from the Bloomberg Professional®
service (“Bloomberg”), without independent verification. The historical values and historical performance of the basket
components should not be taken as an indication of future performance, and no assurance can be given as to the component values and basket
closing value on the valuation date. There can be no assurance that the basket will appreciate over the term of the PLUS so that you
do not suffer a loss on your initial investment in the PLUS.
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of a Basket of Six Exchange-Traded Funds and One Index due December 30, 2024
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Historical Performance
of the Invesco S&P 500® Equal Weight ETF
January 2, 2019 through
June 28, 2024 |
|
|
Invesco
S&P 500® Equal Weight ETF |
High |
Low |
Period
End |
2019 |
|
|
|
First Quarter |
$104.84 |
$89.68 |
$104.44 |
Second Quarter |
$108.19 |
$100.69 |
$107.80 |
Third Quarter |
$110.18 |
$102.40 |
$108.08 |
Fourth Quarter |
$115.93 |
$103.92 |
$115.72 |
2020 |
|
|
|
First Quarter |
$118.71 |
$71.66 |
$84.02 |
Second Quarter |
$113.09 |
$79.83 |
$101.76 |
Third Quarter |
$113.96 |
$100.38 |
$108.11 |
Fourth Quarter |
$127.54 |
$106.78 |
$127.54 |
2021 |
|
|
|
First Quarter |
$142.80 |
$125.70 |
$141.66 |
Second Quarter |
$152.26 |
$143.08 |
$150.73 |
Third Quarter |
$157.39 |
$146.61 |
$149.82 |
Fourth Quarter |
$163.01 |
$150.88 |
$162.75 |
2022 |
|
|
|
First Quarter |
$164.20 |
$148.26 |
$157.71 |
Second Quarter |
$158.96 |
$130.84 |
$134.23 |
Third Quarter |
$152.39 |
$127.28 |
$127.28 |
Fourth Quarter |
$149.03 |
$128.02 |
$141.25 |
2023 |
|
|
|
First Quarter |
$154.96 |
$137.35 |
$144.62 |
Second Quarter |
$149.64 |
$139.61 |
$149.64 |
Third Quarter |
$155.00 |
$141.04 |
$141.69 |
Fourth Quarter |
$158.41 |
$133.66 |
$157.80 |
2024 |
|
|
|
First Quarter |
$169.37 |
$153.84 |
$169.37 |
Second Quarter
(through June 28, 2024) |
$168.37 |
$159.21 |
$164.28 |
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of a Basket of Six Exchange-Traded Funds and One Index due December 30, 2024
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Historical Performance
of the EURO STOXX 50® Index
January 2, 2019 through
June 28, 2024 |
|
License Agreement. The EURO STOXX 50® Index and STOXX®
are the intellectual property (including registered trademarks) of STOXX Limited, Zurich, Switzerland and/or its licensors (the
“Licensors”), which are used under license. The securities based on the EURO STOXX 50® Index are in no way
sponsored, endorsed, sold or promoted by STOXX Limited and its Licensors and neither Stoxx Limited nor any of its Licensors shall have
any liability with respect thereto. See “Equity Index Descriptions — The STOXX Benchmark Indices — License Agreement”
in the accompanying underlying supplement.
EURO
STOXX 50® Index |
High |
Low |
Period
End |
2019 |
|
|
|
First Quarter |
3,409.00 |
2,954.66 |
3,351.71 |
Second Quarter |
3,514.62 |
3,280.43 |
3,473.69 |
Third Quarter |
3,571.39 |
3,282.78 |
3,569.45 |
Fourth Quarter |
3,782.27 |
3,413.31 |
3,745.15 |
2020 |
|
|
|
First Quarter |
3,865.18 |
2,385.82 |
2,786.90 |
Second Quarter |
3,384.29 |
2,662.99 |
3,234.07 |
Third Quarter |
3,405.35 |
3,137.06 |
3,193.61 |
Fourth Quarter |
3,581.37 |
2,958.21 |
3,552.64 |
2021 |
|
|
|
First Quarter |
3,926.20 |
3,481.44 |
3,919.21 |
Second Quarter |
4,158.14 |
3,924.80 |
4,064.30 |
Third Quarter |
4,246.13 |
3,928.53 |
4,048.08 |
Fourth Quarter |
4,401.49 |
3,996.41 |
4,298.41 |
2022 |
|
|
|
First Quarter |
4,392.15 |
3,505.29 |
3,902.52 |
Second Quarter |
3,951.12 |
3,427.91 |
3,454.86 |
Third Quarter |
3,805.22 |
3,279.04 |
3,318.20 |
Fourth Quarter |
3,986.83 |
3,331.53 |
3,793.62 |
2023 |
|
|
|
First Quarter |
4,315.05 |
3,856.09 |
4,315.05 |
Second Quarter |
4,408.59 |
4,218.04 |
4,399.09 |
Third Quarter |
4,471.31 |
4,129.18 |
4,174.66 |
Fourth Quarter |
4,549.44 |
4,014.36 |
4,521.44 |
2024 |
|
|
|
First Quarter |
5,083.42 |
4,403.08 |
5,083.42 |
Second Quarter (through June 28, 2024) |
5,100.90 |
4,839.14 |
4,894.02 |
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of a Basket of Six Exchange-Traded Funds and One Index due December 30, 2024
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Historical Performance
of the iShares® MSCI Emerging Markets ETF
January 2, 2019 through
June 28, 2024 |
|
iShares®
MSCI Emerging Markets ETF |
High |
Low |
Period
End |
2019 |
|
|
|
First Quarter |
$43.71 |
$38.45 |
$42.92 |
Second Quarter |
$44.59 |
$39.91 |
$42.91 |
Third Quarter |
$43.42 |
$38.74 |
$40.87 |
Fourth Quarter |
$45.07 |
$40.27 |
$44.87 |
2020 |
|
|
|
First Quarter |
$46.30 |
$30.61 |
$34.13 |
Second Quarter |
$41.19 |
$32.67 |
$39.99 |
Third Quarter |
$45.55 |
$40.44 |
$44.09 |
Fourth Quarter |
$51.70 |
$43.99 |
$51.67 |
2021 |
|
|
|
First Quarter |
$57.96 |
$51.68 |
$53.34 |
Second Quarter |
$56.09 |
$52.01 |
$55.15 |
Third Quarter |
$54.84 |
$49.50 |
$50.38 |
Fourth Quarter |
$52.50 |
$47.44 |
$48.85 |
2022 |
|
|
|
First Quarter |
$50.85 |
$41.54 |
$45.15 |
Second Quarter |
$46.71 |
$39.40 |
$40.10 |
Third Quarter |
$41.05 |
$34.88 |
$34.88 |
Fourth Quarter |
$39.54 |
$33.93 |
$37.90 |
2023 |
|
|
|
First Quarter |
$42.50 |
$37.27 |
$39.46 |
Second Quarter |
$41.02 |
$38.19 |
$39.56 |
Third Quarter |
$41.95 |
$37.76 |
$37.95 |
Fourth Quarter |
$40.30 |
$36.53 |
$40.21 |
2024 |
|
|
|
First Quarter |
$41.36 |
$37.68 |
$41.08 |
Second Quarter
(through June 28, 2024) |
$43.79 |
$39.71 |
$42.59 |
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of a Basket of Six Exchange-Traded Funds and One Index due December 30, 2024
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Historical Performance
of the VanEck® Gold Miners ETF
January 2, 2019 through
June 28, 2024 |
|
VanEck®
Gold Miners ETF |
High |
Low |
Period
End |
2019 |
|
|
|
First Quarter |
$23.36 |
$20.31 |
$22.42 |
Second Quarter |
$26.17 |
$20.17 |
$25.56 |
Third Quarter |
$30.95 |
$24.58 |
$26.71 |
Fourth Quarter |
$29.49 |
$26.19 |
$29.28 |
2020 |
|
|
|
First Quarter |
$31.05 |
$19.00 |
$23.04 |
Second Quarter |
$37.21 |
$24.03 |
$36.68 |
Third Quarter |
$44.53 |
$36.17 |
$39.16 |
Fourth Quarter |
$41.42 |
$33.42 |
$36.02 |
2021 |
|
|
|
First Quarter |
$38.51 |
$30.90 |
$32.50 |
Second Quarter |
$39.68 |
$33.60 |
$33.98 |
Third Quarter |
$35.09 |
$28.91 |
$29.47 |
Fourth Quarter |
$34.90 |
$29.33 |
$32.03 |
2022 |
|
|
|
First Quarter |
$38.91 |
$29.30 |
$38.35 |
Second Quarter |
$40.87 |
$27.38 |
$27.38 |
Third Quarter |
$28.16 |
$21.86 |
$24.12 |
Fourth Quarter |
$30.04 |
$22.68 |
$28.66 |
2023 |
|
|
|
First Quarter |
$33.27 |
$26.68 |
$32.35 |
Second Quarter |
$35.87 |
$29.22 |
$30.11 |
Third Quarter |
$32.63 |
$26.91 |
$26.91 |
Fourth Quarter |
$31.98 |
$25.91 |
$31.01 |
2024 |
|
|
|
First Quarter |
$31.62 |
$25.78 |
$31.62 |
Second Quarter
(through June 28, 2024) |
$37.24 |
$32.03 |
$33.93 |
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of a Basket of Six Exchange-Traded Funds and One Index due December 30, 2024
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Historical Performance
of the iShares® Biotechnology ETF
January 2, 2019 through
June 28, 2024 |
|
iShares®
Biotechnology ETF |
High |
Low |
Period
End |
2019 |
|
|
|
First Quarter |
$115.11 |
$97.50 |
$111.80 |
Second Quarter |
$114.93 |
$99.98 |
$109.10 |
Third Quarter |
$110.93 |
$99.30 |
$99.50 |
Fourth Quarter |
$123.50 |
$97.24 |
$120.51 |
2020 |
|
|
|
First Quarter |
$123.48 |
$94.39 |
$107.74 |
Second Quarter |
$138.65 |
$103.79 |
$136.69 |
Third Quarter |
$145.80 |
$126.88 |
$135.41 |
Fourth Quarter |
$157.31 |
$130.38 |
$151.49 |
2021 |
|
|
|
First Quarter |
$172.60 |
$146.68 |
$150.56 |
Second Quarter |
$163.65 |
$146.13 |
$163.65 |
Third Quarter |
$176.21 |
$158.89 |
$161.68 |
Fourth Quarter |
$164.78 |
$145.27 |
$152.62 |
2022 |
|
|
|
First Quarter |
$152.37 |
$119.60 |
$130.30 |
Second Quarter |
$134.76 |
$105.82 |
$117.63 |
Third Quarter |
$134.82 |
$113.42 |
$116.96 |
Fourth Quarter |
$138.43 |
$117.58 |
$131.29 |
2023 |
|
|
|
First Quarter |
$137.23 |
$121.97 |
$129.16 |
Second Quarter |
$133.58 |
$125.53 |
$126.96 |
Third Quarter |
$131.47 |
$122.27 |
$122.29 |
Fourth Quarter |
$137.03 |
$112.41 |
$135.85 |
2024 |
|
|
|
First Quarter |
$140.89 |
$132.30 |
$137.22 |
Second Quarter
(through June 28, 2024) |
$139.96 |
$124.64 |
$137.26 |
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of a Basket of Six Exchange-Traded Funds and One Index due December 30, 2024
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Historical Performance
of the SPDR® S&P® Bank ETF
January 2, 2019 through
June 28, 2024 |
|
SPDR®
S&P® Bank ETF |
High |
Low |
Period
End |
2019 |
|
|
|
First Quarter |
$45.72 |
$37.71 |
$41.77 |
Second Quarter |
$46.01 |
$40.94 |
$43.36 |
Third Quarter |
$44.97 |
$39.50 |
$43.16 |
Fourth Quarter |
$48.02 |
$41.05 |
$47.29 |
2020 |
|
|
|
First Quarter |
$47.39 |
$23.13 |
$26.96 |
Second Quarter |
$37.85 |
$24.45 |
$31.54 |
Third Quarter |
$33.84 |
$28.21 |
$29.45 |
Fourth Quarter |
$41.82 |
$29.74 |
$41.82 |
2021 |
|
|
|
First Quarter |
$55.06 |
$41.41 |
$51.88 |
Second Quarter |
$55.46 |
$49.93 |
$51.32 |
Third Quarter |
$53.65 |
$47.20 |
$52.91 |
Fourth Quarter |
$57.89 |
$51.57 |
$54.56 |
2022 |
|
|
|
First Quarter |
$60.41 |
$51.35 |
$52.35 |
Second Quarter |
$51.88 |
$42.82 |
$43.88 |
Third Quarter |
$52.32 |
$43.11 |
$44.29 |
Fourth Quarter |
$49.99 |
$43.77 |
$45.15 |
2023 |
|
|
|
First Quarter |
$50.43 |
$35.12 |
$37.07 |
Second Quarter |
$38.23 |
$31.90 |
$36.00 |
Third Quarter |
$42.33 |
$35.66 |
$36.85 |
Fourth Quarter |
$47.03 |
$34.50 |
$46.02 |
2024 |
|
|
|
First Quarter |
$47.10 |
$42.85 |
$47.10 |
Second Quarter
(through June 28, 2024) |
$47.93 |
$43.05 |
$46.39 |
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of a Basket of Six Exchange-Traded Funds and One Index due December 30, 2024
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Historical Performance
of the Energy Select Sector SPDR® Fund
January 2, 2019 through
June 28, 2024 |
|
Energy
Select Sector SPDR® Fund |
High |
Low |
Period
End |
2019 |
|
|
|
First Quarter |
$67.29 |
$57.90 |
$66.12 |
Second Quarter |
$68.61 |
$58.77 |
$63.71 |
Third Quarter |
$64.44 |
$55.85 |
$59.20 |
Fourth Quarter |
$61.99 |
$55.90 |
$60.04 |
2020 |
|
|
|
First Quarter |
$60.87 |
$23.57 |
$29.06 |
Second Quarter |
$46.86 |
$27.62 |
$37.85 |
Third Quarter |
$38.58 |
$29.95 |
$29.95 |
Fourth Quarter |
$41.60 |
$27.71 |
$37.90 |
2021 |
|
|
|
First Quarter |
$53.57 |
$37.96 |
$49.06 |
Second Quarter |
$56.19 |
$47.07 |
$53.87 |
Third Quarter |
$54.81 |
$45.79 |
$52.09 |
Fourth Quarter |
$59.14 |
$53.01 |
$55.50 |
2022 |
|
|
|
First Quarter |
$78.75 |
$57.22 |
$76.44 |
Second Quarter |
$92.28 |
$70.66 |
$71.51 |
Third Quarter |
$84.09 |
$67.49 |
$72.02 |
Fourth Quarter |
$94.08 |
$76.09 |
$87.47 |
2023 |
|
|
|
First Quarter |
$93.11 |
$76.97 |
$82.83 |
Second Quarter |
$87.23 |
$76.59 |
$81.17 |
Third Quarter |
$93.36 |
$79.09 |
$90.39 |
Fourth Quarter |
$91.96 |
$81.20 |
$83.84 |
2024 |
|
|
|
First Quarter |
$94.41 |
$79.91 |
$94.41 |
Second Quarter
(through June 28, 2024) |
$98.08 |
$88.04 |
$91.15 |
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of a Basket of Six Exchange-Traded Funds and One Index due December 30, 2024
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Additional Information about the PLUS
Please read this information in conjunction with the terms on the
front cover of this document.
Additional
Provisions: |
Postponement
of maturity date: |
If
the scheduled maturity date is not a business day, then the maturity date will be the following business day. If the scheduled
valuation date is not a trading day or if a market disruption event occurs on that day so that the valuation date is postponed and
falls less than three business days prior to the scheduled maturity date, the maturity date of the PLUS will be postponed to the
third business day following the valuation date as postponed. |
Minimum
ticketing size: |
$1,000
/ 1 PLUS |
Trustee: |
Deutsche
Bank Trust Company Americas (formerly Bankers Trust Company) |
Calculation
agent: |
JPMS |
The
estimated value of the PLUS: |
The estimated value of the PLUS set forth on the cover
of this document 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 PLUS, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the PLUS. The estimated value of the PLUS does not represent a minimum price at which JPMS would be willing
to buy your PLUS in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the
estimated value of the PLUS 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 PLUS as well as the higher issuance, operational and ongoing liability management costs of the PLUS
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 PLUS. The use of an internal funding rate and any potential changes to that rate may have
an adverse effect on the terms of the PLUS and any secondary market prices of the PLUS. For additional information, see “Risk
Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the PLUS — The estimated value of the
PLUS is derived by reference to an internal funding rate” in this document. The value of the derivative or derivatives underlying
the economic terms of the PLUS 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 PLUS on the pricing date is based on market conditions and other relevant
factors and assumptions existing at that time. See “Risk Factors — Risks Relating to the Estimated Value and Secondary
Market Prices of the PLUS — The estimated value of the PLUS does not represent future values of the PLUS and may differ from
others’ estimates” in this document.
The estimated value of the PLUS is lower than the original
issue price of the PLUS because costs associated with selling, structuring and hedging the PLUS are included in the original issue
price of the PLUS. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the structuring
fee, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the PLUS and the estimated cost of hedging our obligations under the PLUS. Because hedging our obligations entails risk and
may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected, or
it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the PLUS may be allowed to other
affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits. See “Risk
Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the PLUS — The estimated value of the
PLUS is lower than the original issue price (price to public) of the PLUS” in this document. |
Secondary
market prices of the PLUS: |
For information about factors that will impact any
secondary market prices of the PLUS, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices
of the PLUS —Secondary market prices of the PLUS will be impacted by many economic and market factors” in this document.
In addition, we generally expect that some of the costs included in the original issue price of the PLUS will be partially
paid back to you in connection with any repurchases of your PLUS by JPMS in an amount that will decline to zero over an initial predetermined
period that is intended to be the shorter of two years and one-half of the stated term of the PLUS. The length of any
such initial period reflects the structure of the PLUS, whether our affiliates expect to earn a profit in connection with our hedging
activities, the |
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of a Basket of Six Exchange-Traded Funds and One Index due December 30, 2024
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
estimated costs of hedging the PLUS and
when these costs are incurred, as determined by our affiliates. See “Risk Factors — Risks Relating to the
Estimated Value and Secondary Market Prices of the PLUS — The value of the PLUS as published by JPMS (and which may be reflected
on customer account statements) may be higher than the then-current estimated value of the PLUS for a limited time period.” |
Tax
considerations: |
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. The following discussion, when read in
combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding
the material U.S. federal income tax consequences of owning and disposing of the PLUS.
Based on current market conditions, in the opinion of
our special tax counsel, your PLUS should be treated as “open transactions” that are not debt instruments for U.S. federal
income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences to
U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement.
Assuming this treatment is respected, the gain or loss on your PLUS should be treated as short-term capital gain or loss, whether
or not you are an initial purchaser of the PLUS at the issue price. However, the IRS or a court may not respect this treatment of
the PLUS, in which case the timing and character of any income or loss on the PLUS could be materially and adversely affected. In
addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid
forward contracts” and similar instruments. The notice focuses in particular on whether to require investors in these instruments
to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character
of income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to which
the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors
should be subject to withholding tax; and whether investors in short-term instruments should be required to accrue income. 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 PLUS, possibly
with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment
in the PLUS, including possible alternative treatments and the issues presented by this notice.
Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on dividend
equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices
that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked
to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations. Additionally, a recent IRS
notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2027 that do not have a delta of one with
respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying
Security”). Based on certain determinations made by us, our special tax counsel is of the opinion that Section 871(m) should
not apply to the PLUS 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 PLUS. |
Supplemental
use of proceeds and hedging: |
The PLUS are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the PLUS. See “How the PLUS Work” in this document
for an illustration of the risk-return profile of the PLUS and “Basket Overview” in this document for a description of
the market exposure provided by the PLUS.
The original issue price of the PLUS is equal to the
estimated value of the PLUS plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers and the structuring
fee, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our
obligations under the PLUS, plus the estimated cost of hedging our obligations under the PLUS. |
Benefit
plan investor considerations: |
See “Benefit
Plan Investor Considerations” in the accompanying product supplement. |
Supplemental
plan of distribution: |
Subject to regulatory constraints, JPMS intends to use
its reasonable efforts to offer to purchase the PLUS in the secondary market, but is not required to do so. JPMS, acting as agent
for JPMorgan Financial, will pay all of the selling commissions it receives from us to Morgan Stanley Wealth Management. In addition,
Morgan Stanley Wealth Management will receive a structuring fee as set forth on the cover of this document for each PLUS.
We or our affiliate may enter into swap agreements or
related hedge transactions with one of |
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of a Basket of Six Exchange-Traded Funds and One Index due December 30, 2024
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
our
other affiliates or unaffiliated counterparties in connection with the sale of the PLUS and JPMS and/or an affiliate may earn additional
income as a result of payments pursuant to the swap or related hedge transactions. See “— Supplemental use
of proceeds and hedging” above and “Use of Proceeds and Hedging” in the accompanying product supplement. |
Validity
of the PLUS and the guarantee: |
In the opinion of Davis Polk & Wardwell LLP, as special
products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the PLUS offered by this pricing supplement have
been issued by JPMorgan Financial pursuant to the indenture, the trustee and/or paying agent has made, in accordance with the instructions
from JPMorgan Financial, the appropriate entries or notations in its records relating to the master global note that represents such
PLUS (the “master note”), and such PLUS have been delivered against payment as contemplated herein, such PLUS will be
valid and binding obligations of JPMorgan Financial and the related guarantee will constitute a valid and binding obligation of JPMorgan
Chase & Co., enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws
affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability (including,
without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses
no opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions
expressed above or (ii) any provision of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent transfer
or similar provision of applicable law by limiting the amount of JPMorgan Chase & Co.’s obligation under the
related guarantee. This opinion is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation
Law of the State of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions
about the trustee’s authorization, execution and delivery of the indenture and its authentication of the master note and the
validity, binding nature and enforceability of the indenture with respect to the trustee, all as stated in the letter of such counsel
dated February 24, 2023, which was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan
Chase & Co. on February 24, 2023.
|
Where
you can find more information: |
You should read this document together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which these PLUS
are a part, the accompanying prospectus addendum and the more detailed information contained in the accompanying product supplement
and the accompanying underlying supplement.
This document, together with the documents listed below,
contains the terms of the PLUS 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,
stand-alone fact sheets, brochures or other educational materials of ours. You should carefully consider, among other things, the
matters set forth in the “Risk Factors” sections of the accompanying prospectus supplement and the accompanying product
supplement and in Annex A to the accompanying prospectus addendum, as the PLUS 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 PLUS.
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):
• Product supplement no. 4-I dated April 13,
2023:
http://www.sec.gov/Archives/edgar/data/19617/000121390023029539/ea152803_424b2.pdf
• Underlying supplement no. 1-I dated April
13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000121390023029543/ea151873_424b2.pdf
• Prospectus supplement and prospectus, each
dated April 13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000095010323005751/crt_dp192097-424b2.pdf
• Prospectus addendum dated June 3, 2024:
http://www.sec.gov/Archives/edgar/data/1665650/000095010324007599/dp211753_424b3.htm
Our Central Index Key, or CIK, on the SEC website is
1665650, and JPMorgan Chase & Co.’s CIK is 19617.
As used in this document, “we,” “us,”
and “our” refer to JPMorgan Financial.
“Performance Leveraged Upside SecuritiesSM”
and “PLUSSM” are service marks of Morgan Stanley |
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 $12,572,000.00.
JP Morgan Alerian MLP (AMEX:AMJ)
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De Jun 2024 a Jul 2024
JP Morgan Alerian MLP (AMEX:AMJ)
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