March 6, 2024 |
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
JPMorgan Chase Financial Company LLC
Structured Investments
$250,000
Capped Dual Directional Barrier Notes Linked to the
Lesser Performing of the Health Care Select Sector SPDR® Fund and the iShares® U.S. Real Estate ETF due
September 11, 2025
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
| · | The notes are designed for investors who seek a capped, unleveraged exposure to any appreciation (with
a Maximum Upside Return of 15.75%) of the lesser performing of the Health Care Select Sector SPDR® Fund and the iShares®
U.S. Real Estate ETF, which we refer to as the Funds, at maturity. |
| · | The notes are also designed for investors who seek a capped return equal to 150% of the absolute value of any depreciation of the
lesser performing Fund at maturity (with a maximum downside return of 37.50%) if the Final Value of each Fund is greater than or equal
to 75.00% of its Initial Value, which we refer to as a Barrier Amount. |
| · | Investors should be willing to forgo interest and dividend payments and 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. |
| · | Payments on the notes are not linked to a basket composed of the Funds. Payments on the notes are linked to the performance of each
of the Funds individually, as described below. |
| · | Minimum denominations of $1,000 and integral multiples thereof |
| · | The notes priced on March 6, 2024 and are expected to settle on or about March 11, 2024. |
Investing in the notes involves a number of risks. See “Risk
Factors” beginning on page S-2 of the accompanying prospectus supplement, “Risk Factors” beginning on page PS-11 of
the accompanying product supplement and “Selected Risk Considerations” beginning on page PS-3 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing
supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation to
the contrary is a criminal offense.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
Per note |
$1,000 |
$7.50 |
$992.50 |
Total |
$250,000 |
$1,875 |
$248,125 |
(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 $7.50 per $1,000 principal amount note it receives
from us to other affiliated or unaffiliated dealers. See “Plan of Distribution (Conflicts of Interest)” in the accompanying
product supplement. |
The estimated value of the notes, when the terms of the notes were
set, was $968.80 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.
Pricing supplement to product supplement no. 4-I dated
April 13, 2023, underlying supplement no. 1-I dated April 13, 2023
and the prospectus and prospectus supplement, each dated April 13, 2023
Key Terms
Issuer:
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor:
JPMorgan Chase & Co.
Funds:
The Health Care Select Sector SPDR® Fund (Bloomberg ticker: XLV) and the iShares®
U.S. Real Estate ETF (Bloomberg ticker: IYR)
Maximum
Upside Return: 15.75% (corresponding to a maximum payment at maturity of 1,157.50 per $1,000
principal amount note if the Lesser Performing Fund Return is positive)
Downside Participation:
150.00%
Barrier Amount: With respect
to each Fund, 75.00% of its Initial Value, which is $109.515 for the Health Care Select Sector SPDR® Fund and $67.2375
for the iShares® U.S. Real Estate ETF
Pricing
Date: March 6, 2024
Original
Issue Date (Settlement Date): On or about March 11, 2024
Observation
Date*: September 8, 2025
Maturity
Date*: September 11, 2025
* 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 Multiple
Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement |
Payment at Maturity:
If the Final Value of each Fund is greater than its Initial Value, your
payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing Fund Return),
subject to the Maximum Upside Return
If the Final Value of either Fund is equal to or less than its Initial
Value but the Final Value of each Fund is greater than or equal to its Barrier Amount, your payment at maturity per $1,000 principal amount
note will be calculated as follows:
$1,000 + ($1,000 × Absolute Fund Return of
the Lesser Performing Fund × Downside Participation)
This payout formula results in an effective cap of 37.50% on your
return at maturity if the Lesser Performing Fund Return is negative. Under these limited circumstances, your maximum payment at maturity
is $1,375.00 per $1,000 principal amount note.
If the Final Value of either Fund is less than its Barrier Amount, your
payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing Fund Return)
If the Final Value of either Fund is less than its Barrier Amount,
you will lose more than 25.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
Absolute
Fund Return: With respect to each Fund, the absolute value of its Fund Return. For example, if the Fund Return of a Fund is
-5%, its Absolute Fund Return will equal 5%.
Lesser Performing Fund: The
Fund with the Lesser Performing Fund Return
Lesser Performing Fund Return: The
lower of the Fund Returns of the Funds
Fund Return:
With respect to each Fund,
(Final Value – Initial Value)
Initial Value
Initial
Value: With respect to each Fund, the closing price of one share of that Fund on the Pricing
Date, which was $146.02 for the Health Care Select Sector SPDR® Fund and $89.65 for the iShares® U.S. Real
Estate ETF
Final
Value: With respect to each Fund, the closing price of one share of that Fund on the Observation
Date
Share
Adjustment Factor: With respect to each Fund, the Share Adjustment Factor is referenced in determining the closing price of
one share of that Fund and is set equal to 1.0 on the Pricing Date. The Share Adjustment Factor of each Fund is subject to adjustment
upon the occurrence of certain events affecting that Fund. See “The Underlyings — Funds — Anti-Dilution Adjustments”
in the accompanying product supplement for further information. |
PS-1
| Structured Investments
Capped Dual Directional Barrier Notes Linked to the Lesser Performing
of the Health Care Select Sector SPDR® Fund and the iShares® U.S. Real Estate ETF |
|
Hypothetical Payout
Profile
The following table and graph illustrate the hypothetical
total return and payment at maturity on the notes linked to two hypothetical Funds. 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. The hypothetical total returns and payments set forth below assume the following:
| · | an Initial Value for the Lesser Performing Fund of $100.00; |
| · | a Maximum Upside Return of 15.75%; |
| · | a Downside Participation of 150.00%; and |
| · | a Barrier Amount for the Lesser Performing Fund of $75.00 (equal to 75.00% of its hypothetical Initial Value). |
The hypothetical Initial Value of the Lesser Performing
Fund of $100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value of either Fund. The actual
Initial Value of each Fund is the closing price of one share of that Fund on the Pricing Date and is specified under “Key Terms
— Initial Value” in this pricing supplement. For historical data regarding the actual closing prices of one share of each
Fund, please see the historical information set forth under “The Funds” in this pricing supplement.
Each hypothetical total return or hypothetical 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 graph have been rounded for ease of analysis.
Final Value of the Lesser
Performing Fund |
Lesser Performing Fund
Return |
Absolute Fund Return of the
Lesser Performing Fund |
Total Return on the
Notes |
Payment at Maturity |
$180.00 |
80.00% |
N/A |
15.75% |
$1,157.50 |
$165.00 |
65.00% |
N/A |
15.75% |
$1,157.50 |
$150.00 |
50.00% |
N/A |
15.75% |
$1,157.50 |
$140.00 |
40.00% |
N/A |
15.75% |
$1,157.50 |
$130.00 |
30.00% |
N/A |
15.75% |
$1,157.50 |
$120.00 |
20.00% |
N/A |
15.75% |
$1,157.50 |
$115.75 |
15.75% |
N/A |
15.75% |
$1,157.50 |
$110.00 |
10.00% |
N/A |
10.00% |
$1,100.00 |
$105.00 |
5.00% |
N/A |
5.00% |
$1,050.00 |
$101.00 |
1.00% |
N/A |
1.00% |
$1,010.00 |
$100.00 |
0.00% |
0.00% |
0.00% |
$1,000.00 |
$95.00 |
-5.00% |
5.00% |
7.50% |
$1,075.00 |
$90.00 |
-10.00% |
10.00% |
15.00% |
$1,150.00 |
$80.00 |
-20.00% |
20.00% |
30.00% |
$1,300.00 |
$75.00 |
-25.00% |
25.00% |
37.50% |
$1,375.00 |
$74.99 |
-25.01% |
N/A |
-25.01% |
$749.90 |
$70.00 |
-30.00% |
N/A |
-30.00% |
$700.00 |
$60.00 |
-40.00% |
N/A |
-40.00% |
$600.00 |
$50.00 |
-50.00% |
N/A |
-50.00% |
$500.00 |
$40.00 |
-60.00% |
N/A |
-60.00% |
$400.00 |
$30.00 |
-70.00% |
N/A |
-70.00% |
$300.00 |
$20.00 |
-80.00% |
N/A |
-80.00% |
$200.00 |
$10.00 |
-90.00% |
N/A |
-90.00% |
$100.00 |
$0.00 |
-100.00% |
N/A |
-100.00% |
$0.00 |
PS-2
| Structured Investments
Capped Dual Directional Barrier Notes Linked to the Lesser Performing
of the Health Care Select Sector SPDR® Fund and the iShares® U.S. Real Estate ETF |
|
The following graph demonstrates the hypothetical payments
at maturity on the notes for a range of Lesser Performing Fund Returns. There can be no assurance that the performance of the Lesser Performing
Fund will result in the return of any of your principal amount.
How the Notes
Work
Fund Appreciation Upside Scenario:
If the Final Value of each Fund is greater than its Initial
Value, investors will receive at maturity the $1,000 principal amount plus a return equal to the Lesser Performing Fund Return,
subject to the Maximum Upside Return of 15.75%. An investor will realize the maximum upside payment at maturity at a Final Value of the
Lesser Performing Fund of 115.75% or more of its Initial Value.
| · | If the closing price of one share of the Lesser Performing Fund increases 5.00%, investors will receive at maturity a return equal
to 5.00%, or $1,050.00 per $1,000 principal amount note. |
| · | If the closing price of one share of the Lesser Performing Fund increases 50.00%, investors will receive at maturity a return equal
to the 15.75% Maximum Upside Return, or $1,157.50 per $1,000 principal amount note, which is the maximum payment at maturity if the Lesser
Performing Fund Return is positive. |
Fund Par or Fund Depreciation Upside Scenario:
If the Final Value of either Fund is equal to or less
than its Initial Value but the Final Value of each Fund is greater than or equal to its Barrier Amount of 75.00% of its Initial Value,
investors will receive at maturity the $1,000 principal amount plus a return equal to the Absolute Fund Return of the Lesser Performing
Fund times the Downside Participation of 150.00%.
| · | For example, if the closing price of one share of the Lesser Performing Fund declines 10.00%, investors will receive at maturity a
return equal to 15.00%, or $1,150.00 per $1,000 principal amount note. |
Downside Scenario:
If the Final Value of either Fund is less than its Barrier
Amount of 75.00% of its Initial Value, investors will lose 1% of the principal amount of their notes for every 1% that the Final Value
of the Lesser Performing Fund is less than its Initial Value.
| · | For example, if the closing price of one share of the Lesser Performing Fund declines 60.00%, investors will lose 60.00% of their
principal amount and receive only $400.00 per $1,000 principal amount note at maturity. |
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 the fees or
expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns
and hypothetical payments shown above would likely be lower.
PS-3
| Structured Investments
Capped Dual Directional Barrier Notes Linked to the Lesser Performing
of the Health Care Select Sector SPDR® Fund and the iShares® U.S. Real Estate ETF |
|
Selected Risk
Considerations
An investment in the notes involves significant risks.
These risks are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement and product
supplement.
Risks Relating to the Notes Generally
| · | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — |
The notes do not guarantee any return of principal.
If the Final Value of either Fund is less than its Barrier Amount, you will lose 1% of the principal amount of your notes for every 1%
that the Final Value of the Lesser Performing Fund is less than its Initial Value. Accordingly, under these circumstances, you will lose
more than 25.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
| · | YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE MAXIMUM UPSIDE RETURN IF THE LESSER PERFORMING FUND RETURN IS POSITIVE, |
regardless of the appreciation of either Fund,
which may be significant.
| · | YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE BARRIER AMOUNT AND THE DOWNSIDE PARTICIPATION IF THE LESSER PERFORMING FUND RETURN
IS NEGATIVE — |
Because the payment at maturity will not reflect
the Absolute Fund Return of the Lesser Performing Fund if its Final Value is less than its Barrier Amount, the Barrier Amount and the
Downside Participation effectively cap your return at 37.50% at maturity if the Lesser Performing Fund Return is negative. The maximum
payment at maturity if the Lesser Performing Fund Return is negative is $1,375.00 per $1,000 principal amount note.
| · | CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. — |
Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.’s
creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely affect the value of
the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed
to you under the notes and you could lose your entire investment.
| · | AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS — |
As a finance subsidiary of JPMorgan Chase & Co.,
we have no independent operations beyond the issuance and administration of our securities. Aside from the initial capital contribution
from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates to make payments under
loans made by us or other intercompany agreements. As a result, we are dependent upon payments from our affiliates to meet our obligations
under the notes. If these affiliates do not make payments to us and we fail to make payments on the notes, you may have to seek payment
under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu with all other unsecured
and unsubordinated obligations of JPMorgan Chase & Co.
| · | YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE PRICE OF ONE SHARE OF EACH FUND — |
Payments on the notes are not linked to a basket
composed of the Funds and are contingent upon the performance of each individual Fund. Poor performance by either of the Funds over the
term of the notes may negatively affect your payment at maturity and will not be offset or mitigated by positive performance by the other
Fund.
| · | YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LESSER PERFORMING FUND. |
| · | THE BENEFIT PROVIDED BY THE BARRIER AMOUNT MAY TERMINATE ON THE OBSERVATION DATE — |
If the Final Value of either Fund is less than
its Barrier Amount, the benefit provided by the Barrier Amount will terminate and you will be fully exposed to any depreciation of the
Lesser Performing Fund.
| · | THE NOTES DO NOT PAY INTEREST. |
| · | YOU WILL NOT RECEIVE DIVIDENDS ON EITHER FUND OR THE SECURITIES HELD BY EITHER FUND OR HAVE ANY RIGHTS WITH RESPECT TO EITHER FUND
OR THOSE SECURITIES. |
| · | THE RISK OF THE CLOSING PRICE OF ONE SHARE OF A FUND FALLING BELOW ITS BARRIER AMOUNT IS GREATER IF THE PRICE OF ONE SHARE OF THAT
FUND IS VOLATILE. |
PS-4
| Structured Investments
Capped Dual Directional Barrier Notes Linked to the Lesser Performing
of the Health Care Select Sector SPDR® Fund and the iShares® U.S. Real Estate ETF |
|
The notes will not be listed on any securities
exchange. Accordingly, 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. You may not be able to sell your 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.
Risks Relating to Conflicts of Interest
We and our affiliates play a variety of roles
in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests are potentially
adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours or our affiliates in
connection with the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer
to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement.
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 —
|
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. 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 the 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.
PS-5
| Structured Investments
Capped Dual Directional Barrier Notes Linked to the Lesser Performing
of the Health Care Select Sector SPDR® Fund and the iShares® U.S. Real Estate ETF |
|
| · | 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 prices of one share of the Funds. 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 Funds
| · | THERE ARE RISKS ASSOCIATED WITH THE FUNDS — |
The Funds are subject to management risk, which
is the risk that the investment strategies of the applicable Fund’s investment adviser, the implementation of which is subject to
a number of constraints, may not produce the intended results. These constraints could adversely affect the market prices of the shares
of the Funds and, consequently, the value of the notes.
| · | THE PERFORMANCE AND MARKET VALUE OF EACH FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE
OF THAT FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE — |
Each Fund does not fully replicate its Underlying
Index (as defined under “The Funds” below) and may hold securities different from those included in its Underlying Index.
In addition, the performance of each Fund will reflect additional transaction costs and fees that are not included in the calculation
of its Underlying Index. All of these factors may lead to a lack of correlation between the performance of each Fund and its Underlying
Index. In addition, corporate actions with respect to the equity securities underlying a Fund (such as mergers and spin-offs) may impact
the variance between the performances of that Fund and its Underlying Index. Finally, because the shares of each Fund are traded on a
securities exchange and are subject to market supply and investor demand, the market value of one share of each Fund may differ from the
net asset value per share of that Fund.
During periods of market volatility, securities
underlying each Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately the net asset
value per share of that Fund and the liquidity of that Fund may be adversely affected. This kind of market volatility may also disrupt
the ability of market participants to create and redeem shares of a Fund. Further, market volatility may adversely affect, sometimes materially,
the prices at which market participants are willing to buy and sell shares of a Fund. As a result, under these circumstances, the market
value of shares of a Fund may vary substantially from the net asset value per share of that Fund. For all of the foregoing reasons, the
performance of each Fund may not correlate with the performance of its Underlying Index as well as the net asset value per share of that
Fund, which could materially and adversely affect the value of the notes in the secondary market and/or reduce any payment on the notes.
| · | RISKS ASSOCIATED WITH THE HEALTH CARE SECTOR WITH RESPECT TO THE HEALTH CARE SELECT SECTOR
SPDR® FUND — |
All or substantially all of the equity securities
held by the Health Care Select Sector SPDR® Fund are issued by companies whose primary line of business is directly associated
with the health care sector. As a result, the value of the notes 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. Companies in the health care sector are subject to extensive government regulation and their profitability
can be significantly affected by restrictions on government reimbursement for medical expenses, rising costs of medical products and services,
pricing pressure (including price discounting), limited product lines and an increased emphasis on the delivery of healthcare through
outpatient services. Companies in the health care sector are heavily dependent on obtaining and defending patents, which may be time consuming
and costly, and the expiration of patents may also adversely affect the profitability of these companies. Health care companies are also
subject to extensive litigation based on product liability and similar claims. In addition, their products can become obsolete due to
industry innovation, changes in technologies or other market developments. Many new products in the health care sector require significant
research and development and may be subject to regulatory approvals, all of which may be time consuming and costly with no guarantee that
any product will come to market. These factors could affect the health care sector and could affect the value of the equity securities
held by the Health Care Select Sector SPDR® Fund and the price of the Health Care Select Sector SPDR® Fund
during the term of the notes, which may adversely affect the value of your notes.
PS-6
| Structured Investments
Capped Dual Directional Barrier Notes Linked to the Lesser Performing
of the Health Care Select Sector SPDR® Fund and the iShares® U.S. Real Estate ETF |
|
| · | RISKS ASSOCIATED WITH THE REAL ESTATE SECTOR WITH RESPECT TO THE iSHARES® U.S. REAL ESTATE ETF — |
All or substantially all of the equity securities
held by the iShares® U.S. Real Estate ETF are issued by companies whose primary line of business is directly associated
with the real estate sector and include real estate investment trusts (“REITs”). As a result, the value of the notes
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. The iShares®
U.S. Real Estate ETF may invest in companies that invest in real estate, which we refer to as real estate companies, such as real estate
investment trusts or real estate holding and operating companies, which expose investors to the risks of owning real estate directly,
as well as to risks that relate specifically to the way in which real estate companies are organized and operated. Real estate is highly
sensitive to general and local economic conditions and developments, and characterized by intense competition and periodic overbuilding.
Many real estate companies, including REITs, utilize leverage (and some may be highly leveraged), which increases investment risk and
the risk normally associated with debt financing, and could potentially magnify the iShares® U.S. Real Estate ETF’s
losses. Rising interest rates could result in higher costs of capital for real estate companies, which could negatively affect a real
estate company’s ability to meet its payment obligations or its financing activity and could decrease the market prices for REITs
and for properties held by such REITs. The residential and residential-related REIT sub-industry consists of REITs with exposure
to residential real estate and certain types of commercial real estate that complements residential real estate, including properties
operated by healthcare providers and self-storage companies. Investments in these REITs may be affected by the conditions of the rental
market, property and rental values and interest rates, among other things. Equity REITs that invest in commercial real estate may be adversely
affected by conditions in the real estate market, failure of tenants to renew leases and decline in rental values. These factors
could affect the real estate sector and could affect the value of the equity securities held by the iShares® U.S. Real
Estate ETF and the price of the iShares® U.S. Real Estate ETF during the term of the notes, which may adversely affect
the value of your notes.
| · | THE ANTI-DILUTION PROTECTION FOR THE FUNDS IS LIMITED — |
The calculation agent will make adjustments
to the Share Adjustment Factor for each Fund for certain events affecting the shares of that Fund. However, the calculation agent will
not make an adjustment in response to all events that could affect the shares of the Funds. If an event occurs that does not require the
calculation agent to make an adjustment, the value of the notes may be materially and adversely affected.
PS-7
| Structured Investments
Capped Dual Directional Barrier Notes Linked to the Lesser Performing
of the Health Care Select Sector SPDR® Fund and the iShares® U.S. Real Estate ETF |
|
The Health Care 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 Health Care Select Sector Index, which we refer to as the Underlying Index with respect to the Health Care Select
Sector SPDR® Fund. The Health Care Select Sector Index is a capped modified market capitalization-based index that measures
the performance of the GICS® health care sector of the S&P 500® Index, which currently includes companies
in the following industries: pharmaceuticals; health care equipment & supplies; health care providers & services; biotechnology;
life sciences tools & services; and health care technology. For additional information about the Health Care Select Sector SPDR®
Fund, see “Fund Descriptions — The Select Sector SPDR® Funds” in the accompanying underlying supplement.
The iShares® U.S. Real Estate 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 real estate sector, which we refer to as the Underlying Index with
respect to the iShares® U.S. Real Estate ETF. The Underlying Index with respect to the iShares® U.S. Real
Estate ETF is currently the Dow Jones U.S. Real Estate Capped Index. The Dow Jones U.S. Real Estate Capped Index is a modified market
capitalization-weighted index that is designed to track the performance of REITs and other companies that invest directly or indirectly
in real estate through development, management or ownership, including property agencies, with a cap applied to ensure diversification
among constituents. For additional information about the iShares® U.S. Real Estate ETF, see “Fund Descriptions —
The iShares® ETFs” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical performance
of each Fund based on the weekly historical closing prices of one share of each Fund from January 4, 2019 through February 23, 2024. The
closing price of one share of the Health Care Select Sector SPDR® Fund on March 6, 2024 was $146.02. The closing price
of one share of the iShares® U.S. Real Estate ETF on March 6, 2024 was $89.65. We obtained the closing prices above and
below from the Bloomberg Professional® service (“Bloomberg”), without independent verification. The closing
prices above and below may have been adjusted by Bloomberg for actions taken by the Funds, such as stock splits.
The historical closing prices of one share of each
Fund should not be taken as an indication of future performance, and no assurance can be given as to the closing price of one share of
either Fund on the Observation Date. There can be no assurance that the performance of the Funds will result in the return of any of your
principal amount.
PS-8
| Structured Investments
Capped Dual Directional Barrier Notes Linked to the Lesser Performing
of the Health Care Select Sector SPDR® Fund and the iShares® U.S. Real Estate ETF |
|
Tax Treatment
In determining our
reporting responsibilities, we intend to treat the notes for U.S. federal income tax purposes as “open transactions” that
are not debt instruments, as described in the section entitled “Material U.S. Federal Income Tax Consequences —Tax Consequences
to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement
no. 4-I. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel, we believe that this is a reasonable treatment,
but that there are other reasonable treatments that the IRS or a court may adopt, in which case the timing and character of any income
or loss on the notes could be materially and adversely affected.
No statutory, judicial
or administrative authority directly addresses the characterization of the notes (or similar instruments) for U.S. federal income tax
purposes, and no ruling is being requested from the IRS with respect to their proper characterization and treatment. Assuming that “open
transaction” treatment is respected, subject to the possible application of the “constructive ownership” rules described
below, the gain or loss on your notes should be treated as long-term capital gain or loss if you hold your notes for more than a year,
whether or not you are an initial purchaser of the notes at the issue price. However, the IRS or a court may not respect the treatment
of the notes as “open transactions,” in which case the timing and character of any income or loss on the notes could be materially
and adversely affected. For instance, the notes could be treated as contingent payment debt instruments, in which case the gain on your
notes would be treated as ordinary income and you would be required to accrue original issue discount on your notes in each taxable year
at the “comparable yield,” as determined by us, although we will not make any payment with respect to the notes until maturity.
In addition, assuming
that “open transaction” treatment is respected, the notes could be treated as “constructive ownership transactions”
within the meaning of Section 1260 of the Code, in which case any gain recognized in respect of the notes that would otherwise be long-term
capital gain and that was in excess of the “net underlying long-term capital gain” (as defined in Section 1260) would be treated
as ordinary income, and a notional interest charge would apply as if that income had accrued for tax purposes at a constant yield over
your holding period for the notes. Our special tax counsel has not expressed an opinion with respect to whether the constructive ownership
rules apply to the notes. Accordingly, U.S. Holders should consult their tax advisers regarding the potential application of the constructive
ownership rules.
In addition, in 2007
Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts”
and similar instruments. 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 described above. While the notice
requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration
of these issues could materially and adversely affect the tax consequences of an investment in the notes, possibly with retroactive effect.
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
PS-9
| Structured Investments
Capped Dual Directional Barrier Notes Linked to the Lesser Performing
of the Health Care Select Sector SPDR® Fund and the iShares® U.S. Real Estate ETF |
|
consequences of an investment in the notes, including
the potential application of the constructive ownership rules, 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, 2025 that do not have
a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an
“Underlying Security”). Based on certain determinations made by us, our special tax counsel is of the opinion that Section
871(m) should not apply to the notes with regard to Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree
with this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including whether
you enter into other transactions with respect to an Underlying Security. You should consult your tax adviser regarding the potential
application of Section 871(m) to the notes.
The 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.
The estimated value of the notes does not represent
future values of the notes and may differ from others’ estimates. 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.
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. A portion of the profits,
if any, realized in hedging our obligations under the notes 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 “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.
PS-10
| Structured Investments
Capped Dual Directional Barrier Notes Linked to the Lesser Performing
of the Health Care Select Sector SPDR® Fund and the iShares® U.S. Real Estate ETF |
|
Secondary
Market Prices of the Notes
For information about factors that will impact any
secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying
product supplement. In addition, we generally expect that some of the costs included in the original issue price of the notes will be
partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial
predetermined period. These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated
hedging costs and our internal secondary market funding rates for structured debt issuances. This initial predetermined time period is
intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects
the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs
of hedging the notes and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Value of the Notes as Published by JPMS (and
Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited
Time Period” in this pricing supplement.
Supplemental
Use of Proceeds
The notes are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the notes. See “Hypothetical Payout Profile” and “How
the Notes Work” in this pricing supplement for an illustration of the risk-return profile of the notes and “The Funds”
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.
Additional
Terms Specific to the Notes
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which
these notes are a part, and the more detailed information contained in the accompanying product supplement and the accompanying underlying
supplement. This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all other
prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence,
trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You should
carefully consider, among other things, the matters set forth in the “Risk Factors” sections of the accompanying prospectus
supplement and the accompanying product supplement, as the notes involve risks not associated with conventional debt securities. We urge
you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes.
PS-11
| Structured Investments
Capped Dual Directional Barrier Notes Linked to the Lesser Performing
of the Health Care Select Sector SPDR® Fund and the iShares® U.S. Real Estate ETF |
|
You may access these documents on the SEC website at
www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is
1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us”
and “our” refer to JPMorgan Financial.
PS-12
| Structured Investments
Capped Dual Directional Barrier Notes Linked to the Lesser Performing
of the Health Care Select Sector SPDR® Fund and the iShares® U.S. Real Estate ETF |
|
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 $250,000.
JP Morgan Chase (NYSE:JPM-M)
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