July 10, 2024 |
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
JPMorgan Chase Financial Company LLC
Structured Investments
$638,000
Digital Barrier Notes Linked to the Lesser Performing
of the ARK Innovation ETF and the VanEck® Gold Miners ETF due August 14, 2025
Fully and Unconditionally Guaranteed by JPMorgan Chase
& Co.
| · | The notes are designed for investors who seek a fixed return of 8.85% at maturity if the Final Value of the lesser performing of the
ARK Innovation ETF and the VanEck® Gold Miners ETF, which we refer to as the Funds, is greater than or equal to 50.00%
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 ARK Innovation ETF is actively managed and is subject to additional risks. Unlike a passively managed fund, an actively managed
fund does not attempt to track an index or other benchmark, and the investment decisions for an actively managed fund are instead made
by its investment adviser. See “Selected Risk Considerations — Risks Relating to the Funds — An Investment in the
Notes Is Subject to Risks Associated with Actively Managed Funds with Respect to the ARK Innovation ETF” in this pricing supplement
for more information. |
| · | 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 July 10, 2024 and are expected to settle on or about July 15, 2024. |
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-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, 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 |
$4 |
$996 |
Total |
$638,000 |
$2,552 |
$635,448 |
(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 $4.00 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 $979.90 per $1,000 principal amount note. See “The Estimated Value of the Notes” in this pricing supplement for additional
information.
The notes are not bank deposits, are not insured by the Federal
Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Pricing supplement to product supplement no. 4-I dated
April 13, 2023, underlying supplement no. 1-I dated April 13, 2023,
the prospectus and prospectus supplement, each dated April 13, 2023, and the prospectus addendum dated June 3, 2024
Key Terms
Issuer:
JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase &
Co.
Guarantor:
JPMorgan Chase & Co.
Funds:
The ARK Innovation ETF (Bloomberg ticker: ARKK) and the VanEck® Gold Miners ETF (Bloomberg
ticker: GDX)
Contingent
Digital Return: 8.85%
Barrier Amount: With respect
to each Fund, 50.00% of its Initial Value, which is $22.975 for the ARK Innovation ETF and $18.525 for the VanEck® Gold
Miners ETF
Pricing
Date: July 10, 2024
Original
Issue Date (Settlement Date): On or about July 15, 2024
Observation
Date*: August 11, 2025
Maturity
Date*: August 14, 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 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 × Contingent Digital Return)
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 50.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
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 $45.95 for the ARK Innovation ETF and $37.05 for the VanEck® Gold
Miners 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
Digital Barrier Notes Linked to the Lesser Performing of the
ARK Innovation ETF and the VanEck® Gold Miners ETF |
|
Supplemental
Terms of the Notes
Any values of the Funds, 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.
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 Contingent Digital Return of 8.85%; and |
| · | a Barrier Amount for the Lesser Performing Fund of $50.00 (equal to 50.00% 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 |
Total Return on the Notes |
Payment at Maturity |
$180.00 |
80.00% |
8.85% |
$1,088.50 |
$165.00 |
65.00% |
8.85% |
$1,088.50 |
$150.00 |
50.00% |
8.85% |
$1,088.50 |
$140.00 |
40.00% |
8.85% |
$1,088.50 |
$130.00 |
30.00% |
8.85% |
$1,088.50 |
$120.00 |
20.00% |
8.85% |
$1,088.50 |
$110.00 |
10.00% |
8.85% |
$1,088.50 |
$108.85 |
8.85% |
8.85% |
$1,088.50 |
$105.00 |
5.00% |
8.85% |
$1,088.50 |
$101.00 |
1.00% |
8.85% |
$1,088.50 |
$100.00 |
0.00% |
8.85% |
$1,088.50 |
$95.00 |
-5.00% |
8.85% |
$1,088.50 |
$90.00 |
-10.00% |
8.85% |
$1,088.50 |
$80.00 |
-20.00% |
8.85% |
$1,088.50 |
$70.00 |
-30.00% |
8.85% |
$1,088.50 |
$60.00 |
-40.00% |
8.85% |
$1,088.50 |
$50.00 |
-50.00% |
8.85% |
$1,088.50 |
$49.99 |
-50.01% |
-50.01% |
$499.90 |
$40.00 |
-60.00% |
-60.00% |
$400.00 |
$30.00 |
-70.00% |
-70.00% |
$300.00 |
$20.00 |
-80.00% |
-80.00% |
$200.00 |
$10.00 |
-90.00% |
-90.00% |
$100.00 |
$0.00 |
-100.00% |
-100.00% |
$0.00 |
PS-2
| Structured Investments
Digital Barrier Notes Linked to the Lesser Performing of the
ARK Innovation ETF and the VanEck® Gold Miners 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
Upside Scenario:
If the Final Value of each Fund is greater than or equal
to its Barrier Amount of 50.00% of its Initial Value, investors will receive at maturity the $1,000 principal amount plus a fixed
return equal to the Contingent Digital Return of 8.85%, which reflects the maximum return at maturity.
| · | If the closing price of one share of the Lesser Performing Fund increases 5.00%, investors will receive at maturity a return equal
to 8.85%, or $1,088.50 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 8.85%, or $1,088.50 per $1,000 principal amount note. |
| · | If the closing price of one share of the Lesser Performing Fund decreases 10.00%, investors will receive at maturity a return equal
to 8.85%, or $1,088.50 per $1,000 principal amount note. |
Downside Scenario:
If the Final Value of either Fund is less than its Barrier
Amount of 50.00% 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.
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 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.
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 50.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
PS-3
| Structured Investments
Digital Barrier Notes Linked to the Lesser Performing of the
ARK Innovation ETF and the VanEck® Gold Miners ETF |
|
| · | YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE CONTINGENT DIGITAL RETURN, |
regardless
of any appreciation of either Fund, which may be significant.
| · | YOUR ABILITY TO RECEIVE THE CONTINGENT DIGITAL RETURN MAY TERMINATE ON THE OBSERVATION DATE— |
If the Final Value of either Fund is less than
its Barrier Amount, you will not be entitled to receive the Contingent Digital Return at maturity. Under these circumstances, you will
lose more than 50.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
| · | 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 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.
| · | 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. |
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
PS-4
| Structured Investments
Digital Barrier Notes Linked to the Lesser Performing of the
ARK Innovation ETF and the VanEck® Gold Miners ETF |
|
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.
| · | 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.
PS-5
| Structured Investments
Digital Barrier Notes Linked to the Lesser Performing of the
ARK Innovation ETF and the VanEck® Gold Miners ETF |
|
Risks Relating to the Funds
| · | AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH ACTIVELY MANAGED FUNDS WITH RESPECT TO THE ARK INNOVATION ETF —
|
The ARK Innovation ETF is actively managed.
Unlike a passively managed fund, an actively managed fund does not attempt to track an index or other benchmark, and the investment decisions
for an actively managed fund are instead made by its investment adviser. The investment adviser of an actively managed fund may adopt
a strategy or strategies that are significantly higher risk than the indexing strategy that would have been employed by a passively managed
fund. As an actively managed fund, the ARK Innovation ETF is subject to management risk. In managing an actively managed fund, the investment
adviser of a fund applies investment strategies, techniques and analyses in making investment decisions for that fund, but there can be
no guarantee that these actions will produce the intended results. The ability of the ARK Innovation ETF’s investment adviser to
successfully implement the ARK Innovation ETF’s investment strategy will significantly influence the market price of the shares
of the ARK Innovation ETF 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 NET
ASSET VALUE PER SHARE AS WELL AS, WITH RESPECT TO THE VANECK® GOLD MINERS ETF, THE PERFORMANCE OF THAT FUND’S UNDERLYING
INDEX — |
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. In addition, the VanEck® Gold Miners ETF 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.
Moreover, the performance of the VanEck® Gold Miners ETF 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
the VanEck® Gold Miners ETF and its Underlying Index. Furthermore, corporate actions with respect to the equity securities
underlying the VanEck® Gold Miners ETF (such as mergers and spin-offs) may impact the variance between the performances
of that Fund and its Underlying Index.
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 net asset value per share of that Fund as well as, with respect to the VanEck®
Gold Miners ETF, the performance of its Underlying Index, 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 DISRUPTIVE INNOVATION COMPANIES WITH RESPECT TO THE ARK INNOVATION
ETF — |
The ARK Innovation ETF’s investment strategy
involves exposure to companies that the investment adviser believes are capitalizing on disruptive innovation and developing technologies
to displace older technologies or create new markets (“disruptive innovation companies”). However, the companies selected
by the investment adviser may not in fact do so. Companies that initially develop a novel technology may not be able to capitalize on
the technology. Companies that develop disruptive technologies may face political or legal attacks from competitors, industry groups or
local and national governments. These companies may also be exposed to risks applicable to sectors other than the disruptive innovation
theme for which they are chosen, and the securities issued by these companies may underperform the securities of other companies that
are primarily focused on a particular theme. The ARK Innovation ETF may invest in companies that do not currently derive any revenue from
disruptive innovations or technologies, and there is no assurance that any company will derive any revenue from disruptive innovations
or technologies in the future. A disruptive innovation or technology may constitute a small portion of any company’s overall business.
As a result, the success of a disruptive innovation or technology may not affect the value of the equity securities issued by that company.
| · | THE NOTES ARE SUBJECT TO RISKS RELATING TO CRYPTOCURRENCIES AND RELATED INVESTMENTS WITH
RESPECT TO THE ARK INNOVATION ETF — |
The ARK Innovation ETF may have exposure to
cryptocurrencies, such as bitcoin, indirectly through investment funds, including through an investment in the Grayscale Bitcoin Trust
(“GBTC”), a privately offered, open-end investment vehicle. Cryptocurrencies are digital assets designed to act as a
medium of exchange and do not represent legal tender. Cryptocurrency generally operates without central authority or banks and is
not backed by any government. Cryptocurrencies are susceptible to theft, loss, destruction and fraud. Cryptocurrency is an
emerging asset class, and regulation in the United States is still developing, including
PS-6
| Structured Investments
Digital Barrier Notes Linked to the Lesser Performing of the
ARK Innovation ETF and the VanEck® Gold Miners ETF |
|
with respect to market integrity, anti-fraud,
anti-manipulation, cybersecurity, surveillance and anti-money laundering. Federal, state and/or foreign governments may restrict
the use and exchange of cryptocurrencies. The market prices of bitcoin and other cryptocurrencies have been subject to extreme fluctuations.
Even when held indirectly, investment vehicles like GBTC may be affected by the high volatility associated with cryptocurrency exposure.
Holding a privately offered investment vehicle in its portfolio may cause the ARK Innovation ETF to trade at a discount to its net asset
value. If cryptocurrency markets continue to be subject to sharp fluctuations, the ARK Innovation ETF and the notes may be adversely
affected. In addition, the share prices of GBTC and other similar investment vehicles that are not listed on a national securities
exchange may be more volatile than listed securities because there is generally less liquidity in these securities and there may be less
publicly available information about them or their issuers. Cryptocurrency exchanges and other trading venues on which cryptocurrencies
trade are relatively new and, in most cases, largely unregulated and may therefore be more exposed to fraud and failure than established,
regulated exchanges for securities, derivatives and other currencies. Cryptocurrency exchanges may stop operating or permanently
shut down due to fraud, technical glitches, hackers or malware, which may also affect the prices of cryptocurrencies. Events that
negatively affect cryptocurrencies may negatively affect the performance of the ARK Innovation ETF and the notes.
| · | AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH MID-SIZE, SMALL AND MICRO-CAPITALIZATION
STOCKS WITH RESPECT TO THE ARK INNOVATION ETF — |
Some of the equity securities held by the ARK
Innovation ETF have been issued by mid-size, small or micro-capitalization companies. Mid-size, small and micro-capitalization companies
may be less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Mid-size,
small and micro-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.
| · | NON-U.S. SECURITIES RISK— |
Some of the equity securities held by the Funds
have been issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity securities involve risks
associated with the home countries and/or securities markets in the home countries of the issuers of those non-U.S. equity securities.
Also, there is generally less publicly available information about companies in some of these jurisdictions than there is about U.S. companies
that are subject to the reporting requirements of the SEC.
| · | EMERGING MARKETS RISK WITH RESPECT TO THE ARK INNOVATION ETF — |
Some of the equity securities held by the ARK
Innovation ETF have been issued by non-U.S. companies located in emerging markets countries. Countries with emerging markets may
have relatively unstable governments, may present the risks of nationalization of businesses, restrictions on foreign ownership and prohibitions
on the repatriation of assets, and may have less protection of property rights than more developed countries. The economies of countries
with emerging markets may be based on only a few industries, may be highly vulnerable to changes in local or global trade conditions,
and may suffer from extreme and volatile debt burdens or inflation rates. Local securities markets may trade a small number of securities
and may be unable to respond effectively to increases in trading volume, potentially making prompt liquidation of holdings difficult or
impossible at times.
| · | THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK — |
Because the prices of the non-U.S. equity securities
held by each Fund are converted into U.S. dollars for purposes of calculating the net asset value of that Fund, holders of the notes will
be exposed to currency exchange rate risk with respect to each of the currencies in which the non-U.S. equity securities held by that
Fund trade. With respect to each Fund, your net exposure will depend on the extent to which those currencies strengthen or weaken against
the U.S. dollar and the relative weight of equity securities held by that Fund denominated in each of those currencies. If, taking into
account the relevant weighting, the U.S. dollar strengthens against those currencies, the price of the relevant Fund will be adversely
affected and any payment on the notes may be reduced.
| · | RECENT EXECUTIVE ORDERS MAY ADVERSELY AFFECT THE PERFORMANCE OF THE ARK INNOVATION ETF —
|
Pursuant to recent executive orders, U.S. persons
are prohibited from engaging in transactions in, or possession of, publicly traded securities of certain companies that are determined
to be linked to the People’s Republic of China military, intelligence and security apparatus, or securities that are derivative
of, or are designed to provide investment exposure to, those securities. If the issuer of any of the equity securities held by the
ARK Innovation ETF is in the future designated as such a prohibited company, the value of that company may be adversely affected, perhaps
significantly, which would adversely affect the performance of the ARK Innovation ETF. In addition, under these circumstances, the
ARK Innovation ETF is expected to remove the equity securities of that company from the ARK Innovation ETF. Any changes to the composition
of the ARK Innovation ETF in response to these executive orders could adversely affect the performance of the ARK Innovation ETF.
PS-7
| Structured Investments
Digital Barrier Notes Linked to the Lesser Performing of the
ARK Innovation ETF and the VanEck® Gold Miners ETF |
|
| · | THERE ARE RISKS ASSOCIATED WITH THE VANECK® GOLD MINERS ETF — |
The VanEck® Gold Miners ETF is
subject to management risk, which is the risk that the investment strategies of the VanEck® Gold Miners ETF’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 price of the shares of the VanEck® Gold Miners ETF and, consequently, the value of the notes.
| · | RISKS ASSOCIATED WITH THE GOLD AND SILVER MINING INDUSTRIES WITH RESPECT TO THE VANECK®
GOLD MINERS ETF — |
All or substantially all of the equity securities
held by the VanEck® Gold Miners ETF are issued by companies whose primary line of business is directly associated with
the gold and/or silver mining industries. As a result, the value of the notes may be subject to greater volatility and be more adversely
affected by a single economic, political or regulatory occurrence affecting these industries than a different investment linked to securities
of a more broadly diversified group of issuers. Investments related to gold and silver are considered speculative and are affected by
a variety of factors. Competitive pressures may have a significant effect on the financial condition of gold and silver mining companies.
Also, gold and silver mining companies are highly dependent on the price of gold and silver bullion, respectively, and may be adversely
affected by a variety of worldwide economic, financial and political factors. The price of gold and silver may fluctuate substantially
over short periods of time, so the VanEck® Gold Miners ETF’s share price may be more volatile than other types of
investments. Fluctuation in the prices of gold and silver may be due to a number of factors, including changes in inflation, changes in
currency exchange rates and changes in industrial and commercial demand for metals (including fabricator demand). Additionally, increased
environmental or labor costs may depress the value of metal investments. These factors could affect the gold and silver mining industries
and could affect the value of the equity securities held by the VanEck® Gold Miners ETF and the price of the VanEck®
Gold Miners 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-8
| Structured Investments
Digital Barrier Notes Linked to the Lesser Performing of the
ARK Innovation ETF and the VanEck® Gold Miners ETF |
|
The Funds
The ARK Innovation ETF is an actively-managed exchange-traded
fund of ARK ETF Trust, a registered investment company, with an investment objective of long-term growth of capital, that primarily invests
in equity securities of U.S. and non-U.S. companies relevant to the ARK Innovation ETF’s investment theme of disruptive innovation.
For additional information about the ARK Innovation ETF, see “Fund Descriptions — The ARK Innovation ETF” in the accompanying
underlying supplement.
The VanEck® Gold Miners ETF is an
exchange-traded fund of the VanEck® ETF Trust, a registered investment company, that seeks to replicate as closely as possible,
before fees and expenses, the price and yield performance of the NYSE Arca Gold Miners Index, which we refer to as the Underlying Index
with respect to the VanEck® Gold Miners ETF. The NYSE Arca Gold Miners Index is a modified market capitalization weighted
index composed of publicly traded companies involved primarily in the mining of gold or silver. For additional information about the VanEck®
Gold Miners ETF, see “Fund Descriptions — The VanEck® ETFs” in the accompanying underlying supplement.
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 July 5, 2024. The closing
price of one share of the ARK Innovation ETF on July 10, 2024 was $45.95. The closing price of one share of the VanEck®
Gold Miners ETF on July 10, 2024 was $37.05. 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-9
| Structured Investments
Digital Barrier Notes Linked to the Lesser Performing of the
ARK Innovation ETF and the VanEck® Gold Miners 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, the gain or loss on your notes should be treated as long-term capital gain or loss if you hold your notes for more than
a year, whether or not you are an initial purchaser of the notes at the issue price. However, the IRS or a court may not respect the treatment
of the notes as “open transactions,” in which case the timing and character of any income or loss on the notes could be materially
and adversely affected. For instance, the notes could be treated as contingent payment debt instruments, in which case the gain on your
notes would be treated as ordinary income and you would be required to accrue original issue discount on your notes in each taxable year
at the “comparable yield,” as determined by us, although we will not make any payment with respect to the notes until maturity.
In addition, in 2007 Treasury and the IRS released
a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment.
It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments;
the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which
income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments
are or should be subject to the “constructive ownership” regime, which very generally can operate to recharacterize certain
long-term capital gain as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate transition
rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially
and adversely affect the tax consequences of an investment in the notes, possibly with retroactive effect. You should review carefully
the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement and consult your
tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments
and the issues presented by this notice.
Section 871(m)
of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless
an income tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments
linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime,
including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations.
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
PS-10
| Structured Investments
Digital Barrier Notes Linked to the Lesser Performing of the
ARK Innovation ETF and the VanEck® Gold Miners ETF |
|
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.
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
PS-11
| Structured Investments
Digital Barrier Notes Linked to the Lesser Performing of the
ARK Innovation ETF and the VanEck® Gold Miners ETF |
|
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, 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.
PS-12
| Structured Investments
Digital Barrier Notes Linked to the Lesser Performing of the
ARK Innovation ETF and the VanEck® Gold Miners 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 $638,000.
JP Morgan Chase (NYSE:JPM-M)
Gráfica de Acción Histórica
De Jul 2024 a Ago 2024
JP Morgan Chase (NYSE:JPM-M)
Gráfica de Acción Histórica
De Ago 2023 a Ago 2024