| Pricing supplement |
|
|
To prospectus dated April 13, 2023,
prospectus supplement dated April 13, 2023,
product supplement no. 4-I dated April 13, 2023,
underlying supplement no. 1-I dated April 13, 2023 and
prospectus addendum dated June 3, 2024 |
Registration Statement Nos. 333-270004 and 333-270004-01
Dated July 30, 2024
Rule 424(b)(2) |
| |
|
JPMorgan
Chase Financial Company LLC
Structured
Investments |
$2,500,000
Digital Buffered Notes Linked to the Russell 2000®
Index due August 14, 2025
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co. |
General
| ● | The notes are designed for investors who seek a fixed return of 10.00% if the Ending Index Level of the Russell 2000®
Index is greater than or equal to the Index Strike Level or is less than the Index Strike Level by up to 12.10%. |
| ● | Investors should be willing to forgo interest and dividend payments and, if the Ending Index Level is less than the Index Strike Level
by more than 12.10%, be willing to lose some or all of their principal amount at maturity. |
| ● | The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial,
the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes is subject
to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor
of the notes. |
| ● | Minimum denominations of $10,000 and integral multiples of $1,000 in excess thereof |
Key Terms
| Issuer: |
JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co. |
| Guarantor: |
JPMorgan Chase & Co. |
| Index: |
The Russell 2000® Index (Bloomberg ticker: RTY) |
| Payment at Maturity: |
If the Ending Index Level is greater than or equal to the Index Strike Level or is less than the Index Strike Level by up to the Buffer Amount, at maturity you will receive a cash payment that provides you with a return per $1,000 principal amount note equal to the Contingent Digital Return. Accordingly, under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows: |
| |
$1,000 + ($1,000 × Contingent Digital Return) |
| |
If the Ending Index Level is less than the Index Strike Level by more than the Buffer Amount, at maturity you will lose 1.13766% of the principal amount of your notes for every 1% that the Ending Index Level is less than the Index Strike Level by more than the Buffer Amount. Under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows: |
| |
$1,000 + [$1,000 × (Index Return + Buffer Amount) × Downside Leverage Factor] |
| |
You will lose some or all of your principal amount at maturity if the Ending Index Level is less than the Index Strike Level by more than the Buffer Amount of 12.10%. |
| Contingent Digital Return: |
10.00%, which reflects the maximum return on the notes. Accordingly, the maximum payment at maturity per $1,000 principal amount note is $1,100.00. |
| Buffer Amount: |
12.10% |
| Downside Leverage Factor: |
1.13766 |
| Index Return: |
(Ending Index Level – Index Strike Level)
Index
Strike Level |
| Index Strike Level: |
2,235.333, the closing level of the Index on the Strike Date. The Index Strike Level is not determined by reference to the closing level of the Index on the Pricing Date. |
| Ending Index Level: |
The closing level of the Index on the Valuation Date |
| Strike Date: |
July 29, 2024 |
| Pricing Date: |
July 30, 2024 |
| Original Issue Date (Settlement Date): |
On or about August 2, 2024 |
| Valuation Date*: |
August 11, 2025 |
| Maturity Date*: |
August 14, 2025 |
| CUSIP: |
48135P3R0 |
| * | Subject to postponement in the event of a market disruption
event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single
Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General Terms of Notes —
Postponement of a Payment Date” in the accompanying product supplement |
Investing in the notes involves a number of risks. See “Risk Factors”
beginning on page S-2 of the accompanying prospectus supplement, Annex A to the accompanying prospectus addendum, “Risk Factors”
beginning on page PS-11 of the accompanying product supplement and “Selected Risk Considerations” beginning on page PS-5 of
this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing
supplement or the accompanying product supplement, underlying supplement, prospectus supplement, prospectus and prospectus addendum. Any
representation to the contrary is a criminal offense.
| |
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
| Per note |
$1,000.00 |
$10.00 |
$990.00 |
| Total |
$2,500,000.00 |
$25,000.00 |
$2,475,000.00 |
| (1) | See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price to public
of the notes. |
| (2) | J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions
of $10.00 per $1,000 principal amount note it receives from us to other affiliated or unaffiliated dealers. See “Plan of Distribution
(Conflicts of Interest)” in the accompanying product supplement. |
The estimated value of the notes, when the terms of the notes were set,
was $985.80 per $1,000 principal amount note. See “The Estimated Value of the Notes” in this pricing supplement for additional
information.
The notes are not bank deposits, are not insured by the Federal Deposit
Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Additional Terms Specific to the Notes
You should read this pricing supplement together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes, of which these notes
are a part, the accompanying prospectus addendum and the more detailed information contained in the accompanying product supplement and
the accompanying underlying supplement. This pricing supplement, together with the documents listed below, contains the terms of the
notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or
indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other
educational materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk Factors”
sections of the accompanying prospectus supplement and the accompanying product supplement and in Annex A to the accompanying prospectus
addendum, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal,
tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC website at www.sec.gov as follows
(or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan
Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us” and “our”
refer to JPMorgan Financial.
Supplemental Terms of the Notes
Any value of any underlier, and any values derived therefrom, included
in this pricing supplement may be corrected, in the event of manifest error or inconsistency, by amendment of this pricing supplement
and the corresponding terms of the notes. Notwithstanding anything to the contrary in the indenture governing the notes, that amendment
will become effective without consent of the holders of the notes or any other party.
| JPMorgan Structured Investments - | PS - 1 |
| Digital Buffered Notes Linked to the Russell 2000® Index | |
What Is the Total Return on the Notes at Maturity,
Assuming a Range of Performances for the Index?
The following table and examples illustrate the hypothetical total return
and the hypothetical payment at maturity on the notes. The “total return” as used in this pricing supplement is the number,
expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount note to $1,000. Each hypothetical
total return or payment at maturity set forth below assumes an Index Strike Level of 100 and reflects the Contingent Digital Return of
10.00%, the Downside Leverage Factor of 1.13766 and the Buffer Amount of 12.10%. Each hypothetical total return or payment at maturity
set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable to a purchaser
of the notes. The numbers appearing in the following table and in the examples below have been rounded for ease of analysis.
The hypothetical Index Strike Level of 100.00 has been chosen for illustrative
purposes only and does not represent the actual Index Strike Level. The actual Index Strike Level is the closing level of the Index on
the Pricing Date and is specified under “Key Terms — Index Strike Level” in this pricing supplement. For historical
data regarding the actual closing levels of the Index, please see the historical information set forth under “Historical Information”
in this pricing supplement.
|
Ending Index
Level |
Index Return |
Total Return |
| 180.00 |
80.00% |
10.0000% |
| 170.00 |
70.00% |
10.0000% |
| 160.00 |
60.00% |
10.0000% |
| 150.00 |
50.00% |
10.0000% |
| 140.00 |
40.00% |
10.0000% |
| 130.00 |
30.00% |
10.0000% |
| 120.00 |
20.00% |
10.0000% |
| 115.00 |
15.00% |
10.0000% |
| 110.00 |
10.00% |
10.0000% |
| 105.00 |
5.00% |
10.0000% |
| 102.50 |
2.50% |
10.0000% |
| 100.00 |
0.00% |
10.0000% |
| 97.50 |
-2.50% |
10.0000% |
| 95.00 |
-5.00% |
10.0000% |
| 90.00 |
-10.00% |
10.0000% |
| 87.90 |
-12.10% |
10.0000% |
| 87.89 |
-12.11% |
-0.0114% |
| 80.00 |
-20.00% |
-8.9876% |
| 70.00 |
-30.00% |
-20.3642% |
| 60.00 |
-40.00% |
-31.7408% |
| 50.00 |
-50.00% |
-43.1174% |
| 40.00 |
-60.00% |
-54.4940% |
| 30.00 |
-70.00% |
-65.8706% |
| 20.00 |
-80.00% |
-77.2472% |
| 10.00 |
-90.00% |
-88.6238% |
| 0.00 |
-100.00% |
-100.0000% |
| |
|
|
| JPMorgan Structured Investments - | PS - 2 |
| Digital Buffered Notes Linked to the Russell 2000® Index | |
Hypothetical Examples of Amount Payable at
Maturity
The following examples illustrate how the payment at maturity in different
hypothetical scenarios is calculated.
Example 1: The level of the Index increases from the Index Strike Level
of 100.00 to an Ending Index Level of 105.00.
Because the Ending Index Level of 105.00 is greater than the Index Strike
Level of 100.00, regardless of the Index Return, the investor receives a payment at maturity of $1,100.00 per $1,000 principal amount
note, calculated as follows:
$1,000 + ($1,000 × 10.00%) = $1,100.00
Example 2: The level of the Index decreases from the Index Strike Level
of 100.00 to an Ending Index Level of 87.90.
Although the Index Return is negative, because the Ending Index Level of
87.90 is less than the Index Strike Level of 100.00 by up to the Buffer Amount of 12.10%, the investor receives a payment at maturity
of $1,100.00 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × 10.00%) = $1,100.00
Example 3: The level of the Index increases from the Index Strike Level
of 100.00 to an Ending Index Level of 140.00.
Because the Ending Index Level of 140.00 is greater than the Index Strike
Level of 100.00 and although the Index Return of 40.00% exceeds the Contingent Digital Return of 10.00%, the investor is entitled to only
the Contingent Digital Return and receives a payment at maturity of $1,100.00 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × 10.00%) = $1,100.00
Example 4: The level of the Index decreases from the Index Strike Level
of 100.00 to an Ending Index Level of 50.00.
Because the Ending Index Level of 50.00 is less than the Index Strike Level
of 100.00 by more than the Buffer Amount of 12.10% and the Index Return is -50.00%, the investor receives a payment at maturity of $568.8269
per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00% + 12.10%) ×
1.13766] = $568.8269
The hypothetical returns and hypothetical payments on the notes shown above
apply only if you hold the notes for their entire term. These hypotheticals do not reflect fees or expenses that would be associated
with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns and hypothetical payments shown
above would likely be lower.
| JPMorgan Structured Investments - | PS - 3 |
| Digital Buffered Notes Linked to the Russell 2000® Index | |
Selected Purchase Considerations
| ● | FIXED APPRECIATION POTENTIAL — If the Ending Index Level is greater than or equal to the Index Strike Level or is less
than the Index Strike Level by up to the Buffer Amount, you will receive a fixed return equal to the Contingent Digital Return of 10.00%
at maturity, which also reflects the maximum return on the notes at maturity. Because the notes are our unsecured and unsubordinated
obligations, the payment of which is fully and unconditionally guaranteed by JPMorgan Chase & Co., payment of any amount
on the notes is subject to our ability to pay our obligations as they become due and JPMorgan Chase & Co.’s ability
to pay its obligations as they become due. |
| ● | LIMITED PROTECTION AGAINST LOSS — We will pay you at least your principal back at maturity if the Ending Index Level
is greater than or equal to the Index Strike Level or is less than the Index Strike Level by up to the Buffer Amount. If the Ending Index
Level is less than the Index Strike Level by more than the Buffer Amount, for every 1% that the Ending Index Level is less than the Index
Strike Level by more than the Buffer Amount, you will lose an amount equal to 1.13766% of the principal amount of your notes at maturity.
Accordingly, you may lose some or all of your principal amount at maturity. |
| ● | RETURN DEPENDENT ON THE RUSSELL 2000® INDEX — The Russell 2000® Index consists of
the middle 2,000 companies included in the Russell 3000ETM Index and, as a result of the index calculation methodology, consists
of the smallest 2,000 companies included in the Russell 3000® Index. The Russell 2000® Index is designed
to track the performance of the small capitalization segment of the U.S. equity market. For additional information about the Russell 2000®
Index, see “Equity Index Descriptions — The Russell Indices” in the accompanying underlying supplement. |
| ● | TAX TREATMENT — 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 notes. |
Based on current market conditions, in the opinion of our special
tax counsel it is reasonable to treat the notes 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 notes should be treated as long-term capital gain or loss if you hold your notes
for more than a year, whether or not you are an initial purchaser of notes at the issue price. However, the IRS or a court may not
respect this treatment, in which case the timing and character of any income or loss on the notes 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 these instruments are or should be subject to the “constructive ownership” regime,
which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge.
While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated
after consideration of these issues could materially and adversely affect the tax consequences of an investment in the notes, possibly
with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment
in the notes, including possible alternative treatments and the issues presented by this notice.
Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on dividend equivalents
paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include
U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked to certain broad-based
indices that meet requirements set forth in the applicable Treasury regulations. Additionally, a recent IRS notice excludes from the scope
of Section 871(m) instruments issued prior to January 1, 2027 that do not have a delta of one with respect to underlying securities that
could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on certain determinations
made by us, our special tax counsel is of the opinion that Section 871(m) should not apply to the notes with regard to Non-U.S. Holders.
Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application
may depend on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security.
You should consult your tax adviser regarding the potential application of Section 871(m) to the notes.
| JPMorgan Structured Investments - | PS - 4 |
| Digital Buffered Notes Linked to the Russell 2000® Index | |
Selected Risk Considerations
An investment in the notes involves significant risks. Investing in the
notes is not equivalent to investing directly in the Index or any of the component securities of the Index. These risks are explained
in more detail in the “Risk Factors” section of the accompanying prospectus supplement and product supplement and in Annex
A to the accompanying prospectus addendum.
Risks Relating to the Notes Generally
| ● | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — The notes do not guarantee any return of principal. The return on
the notes at maturity is dependent on the performance of the Index and will depend on whether, and the extent to which, the Ending Index
Level is less than the Index Strike Level. Your investment will be exposed to a loss on a leveraged basis if the Ending Index Level is
less than the Index Strike Level by more than the Buffer Amount. In this case, for every 1% that the Ending Index Level is less than the
Index Strike Level by more than the Buffer Amount, you will lose an amount equal to 1.13766% of the principal amount of your notes. Accordingly,
you may lose some or all of your principal amount at maturity. |
| ● | YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE CONTINGENT DIGITAL RETURN — If the Ending Index Level is greater than
or equal to the Index Strike Level or is less than the Index Strike Level by up to the Buffer Amount, for each $1,000 principal amount
note, you will receive at maturity $1,000 plus an additional return equal to the Contingent Digital Return of 10.00%, regardless
of any appreciation of the Index, which may be significant. |
| ● | YOUR ABILITY TO RECEIVE THE CONTINGENT DIGITAL RETURN MAY TERMINATE ON THE VALUATION DATE — If the Ending Index Level
is less than the Index Strike Level by more than the Buffer Amount, you will not be entitled to receive the Contingent Digital Return
at maturity. Under these circumstances, you will lose some or all of your principal amount at maturity. |
| ● | CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. — The notes are subject to our and JPMorgan
Chase & Co.’s credit risks, and our and JPMorgan Chase & Co.’s credit ratings and credit spreads
may adversely affect the market value of the notes. Investors are dependent on our and JPMorgan Chase & Co.’s
ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness
or credit spreads, as determined by the market for taking that credit risk, is likely to adversely affect the value of the notes.
If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed to you under
the notes and you could lose your entire investment. |
| ● | AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS — As a finance subsidiary
of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of our securities and
the collection of intercompany obligations. Aside from the initial capital contribution from JPMorgan Chase & Co., substantially
all of our assets relate to obligations of JPMorgan Chase & Co. to make payments under loans made by us to JPMorgan Chase & Co.
or under other intercompany agreements. As a result, we are dependent upon payments from JPMorgan Chase & Co. to meet our
obligations under the notes. We are not a key operating subsidiary of JPMorgan Chase & Co. and in a bankruptcy or resolution
of JPMorgan Chase & Co. we are not expected to have sufficient resources to meet our obligations in respect of the notes
as they come due. If JPMorgan Chase & Co. does not make payments to us and we are unable to make payments on the notes,
you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu
with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more information, see the accompanying
prospectus addendum. |
| ● | NO INTEREST OR DIVIDEND PAYMENTS OR VOTING RIGHTS — As a holder of the notes, you will not receive interest payments,
and you will not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of the securities
included in the Index would have. |
| ● | LACK OF LIQUIDITY — The notes will not be listed on any securities exchange. JPMS intends to offer to purchase the notes
in the secondary market but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow
you to trade or sell the notes easily. Because other dealers are not likely to make a secondary market for the notes, the price at which
you may be able to trade your notes is likely to depend on the price, if any, at which JPMS is willing to buy the notes. |
Risks Relating to Conflicts of Interest
| ● | POTENTIAL CONFLICTS — We and our affiliates play a variety of roles in connection with the issuance of the notes, including
acting as calculation agent and as an agent of the offering of the notes, hedging our obligations under the notes and making the assumptions
used to determine the pricing of the notes and the estimated value of the notes when the terms of the notes are set, which we refer to
as the estimated value of the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests
and the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor
in the notes. In addition, our and JPMorgan Chase & Co.’s business activities, including hedging and trading activities,
could cause our and JPMorgan Chase & Co.’s economic interests to be adverse to yours and could adversely affect any
payment on the notes and the value of the notes. It is possible that hedging or trading activities of ours or our affiliates in connection
with the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer to “Risk
Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement for additional information about
these risks. |
| JPMorgan Structured Investments - | PS - 5 |
| Digital Buffered Notes Linked to the Russell 2000® Index | |
Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes
| ● | THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES — The estimated
value of the notes is only an estimate determined by reference to several factors. The original issue price of the notes exceeds the estimated
value of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue price of
the notes. These costs include the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming
risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. See “The
Estimated Value of the Notes” in this pricing supplement. |
| ● | THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES
— The estimated value of the notes is determined by reference to internal pricing models of our affiliates when the terms of the
notes are set. This estimated value of the notes is based on market conditions and other relevant factors existing at that time and assumptions
about market parameters, which can include volatility, dividend rates, interest rates and other factors. Different pricing models and
assumptions could provide valuations for the notes that are greater than or less than the estimated value of the notes. In addition, market
conditions and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value
of the notes could change significantly based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s
creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing
to buy notes from you in secondary market transactions. See “The Estimated Value of the Notes” in this pricing supplement. |
| ● | THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE — The internal funding rate used
in the determination of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments
of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things,
our and our affiliates’ view of the funding value of the notes as well as the higher issuance, operational and ongoing liability
management costs of the notes in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co.
This internal funding rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate
the prevailing market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate
may have an adverse effect on the terms of the notes and any secondary market prices of the notes. See “The Estimated Value of the
Notes” in this pricing supplement. |
| ● | THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE
THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD — We generally expect that some of the costs included in
the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an
amount that will decline to zero over an initial predetermined period. These costs can include selling commissions, projected hedging
profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates for structured debt
issuances. See “Secondary Market Prices of the Notes” in this pricing supplement for additional information relating to this
initial period. Accordingly, the estimated value of your notes during this initial period may be lower than the value of the notes as
published by JPMS (and which may be shown on your customer account statements). |
| ● | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES — Any secondary
market prices of the notes will likely be lower than the original issue price of the notes because, among other things, secondary market
prices take into account our internal secondary market funding rates for structured debt issuances and, also, because secondary market
prices may exclude selling commissions, projected hedging profits, if any, and estimated hedging costs that are included in the original
issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy notes from you in secondary market transactions,
if at all, is likely to be lower than the original issue price. Any sale by you prior to the Maturity Date could result in a substantial
loss to you. See the immediately following risk consideration for information about additional factors that will impact any secondary
market prices of the notes. |
The notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your notes to maturity. See “— Lack of Liquidity” above.
| ● | SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS — The secondary market price
of the notes during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other,
aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and the level of the Index. |
Additionally, independent pricing vendors and/or third party
broker-dealers may publish a price for the notes, which may also be reflected on customer account statements. This price may be different
(higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes in the secondary market. See
“Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — Secondary market prices
of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
Risks Relating to the Index
| ● | AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS — Small capitalization companies
may be less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization
companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward
stock price pressure under adverse market conditions. |
| JPMorgan Structured Investments - | PS - 6 |
| Digital Buffered Notes Linked to the Russell 2000® Index | |
Historical Information
The following graph sets forth the historical performance of the Index
based on the weekly historical closing levels of the Index from January 4, 2019 through July 26, 2024. The closing level of the Index
on July 29, 2024 was 2,235.333.
We obtained the closing levels of the Index above and below from the Bloomberg
Professional® service (“Bloomberg”), without independent verification. The historical levels of the Index should
not be taken as an indication of future performance, and no assurance can be given as to the closing level of the Index on the Valuation
Date. There can be no assurance that the performance of the Index will result in the return of any of your principal amount.
|
Historical Performance of the Russell 2000®
Index
Source: Bloomberg |
The Estimated Value of the Notes
The estimated value of the notes set forth on the cover of this pricing
supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component with the same
maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying the economic
terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing to buy your notes
in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated value of the
notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co.
or its affiliates. Any difference may be based on, among other things, our and our affiliates’ view of the funding value of the
notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison to those costs for
the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based on certain market
inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate
for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the
notes and any secondary market prices of the notes. For additional information, see “Selected Risk Considerations — Risks
Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Derived by Reference
to an Internal Funding Rate” in this pricing supplement. The value of the derivative or derivatives underlying the economic terms
of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as the traded market
prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which can include volatility,
dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments. Accordingly,
the estimated value of the notes is determined when the terms of the notes are set based on market conditions and other relevant factors
and assumptions existing at that time. See “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes — The Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ from
Others’ Estimates” in this pricing supplement.
The estimated value of the notes is lower than the original issue price
of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue price of the
notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected profits, if
any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated cost
of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market forces beyond
our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. We or one or more of
our affiliates will retain any profits realized in hedging our obligations under the notes. See “Selected Risk Considerations —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Lower Than
the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
| JPMorgan Structured Investments - | PS - 7 |
| Digital Buffered Notes Linked to the Russell 2000® Index | |
Secondary Market Prices of the Notes
For information about factors that will impact any secondary market prices
of the notes, see “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the
Notes — Secondary Market Prices of the Notes Will Be Impacted by Many Economic and Market Factors” in this pricing supplement.
In addition, we generally expect that some of the costs included in the original issue price of the notes will be partially paid back
to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period
that is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects
the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs
of hedging the notes and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Value of the Notes as Published by JPMS (and
Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited
Time Period.”
Supplemental Use of Proceeds
The notes are offered to meet investor demand for products that reflect
the risk-return profile and market exposure provided by the notes. See “What Is the Total Return on the Notes at Maturity, Assuming
a Range of Performances for the Index?” and “Hypothetical Examples of Amount Payable at Maturity” in this pricing supplement
for an illustration of the risk-return profile of the notes and “Selected Purchase Considerations — Return Dependent on the
Russell 2000® Index” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the estimated value of
the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus) the projected profits (losses)
that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes, plus the estimated cost
of hedging our obligations under the notes.
Validity of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as special products counsel
to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by this pricing supplement have been issued by JPMorgan
Financial pursuant to the indenture, the trustee and/or paying agent has made, in accordance with the instructions from JPMorgan Financial,
the appropriate entries or notations in its records relating to the master global note that represents such notes (the “master note”),
and such notes have been delivered against payment as contemplated herein, such notes will be valid and binding obligations of JPMorgan
Financial and the related guarantee will constitute a valid and binding obligation of JPMorgan Chase & Co., enforceable
in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally,
concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair
dealing and the lack of bad faith), provided that such counsel expresses no opinion as to (i) the effect of fraudulent conveyance,
fraudulent transfer or similar provision of applicable law on the conclusions expressed above or (ii) any provision of the indenture that
purports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law by limiting the amount
of JPMorgan Chase & Co.’s obligation under the related guarantee. This opinion is given as of the date hereof and
is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited Liability
Company Act. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution and delivery
of the indenture and its authentication of the master note and the validity, binding nature and enforceability of the indenture with respect
to the trustee, all as stated in the letter of such counsel dated February 24, 2023, which was filed as an exhibit to the Registration
Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24, 2023.
| JPMorgan Structured Investments - | PS - 8 |
| Digital Buffered Notes Linked to the Russell 2000® Index | |
S-3
424B2
EX-FILING FEES
333-270004
0000019617
JPMORGAN CHASE & CO
0000019617
2024-08-01
2024-08-01
iso4217:USD
xbrli:pure
xbrli:shares
|
Calculation of Filing Fee Tables
|
|
S-3
|
|
JPMORGAN CHASE & CO
|
|
The maximum aggregate offering price of the securities to which the prospectus relates is $2,500,000. The prospectus is a final prospectus for the related offering.
|
|
|
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JP Morgan Alerian MLP (AMEX:AMJ)
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