July 23, 2024 |
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
JPMorgan Chase Financial Company LLC
Structured Investments
$962,000
Auto Callable Contingent Interest Notes Linked to the
Least Performing of the Nasdaq-100® Technology Sector IndexSM, the iShares® Silver Trust and
the VanEck® Gold Miners ETF due January 28, 2026
Fully and Unconditionally Guaranteed by JPMorgan Chase
& Co.
| · | The notes are designed for investors who seek a Contingent Interest Payment with respect to each Review
Date for which the closing value of each of the Nasdaq-100® Technology Sector IndexSM,
the iShares® Silver Trust and the VanEck® Gold Miners ETF,
which we refer to as the Underlyings, is greater than or equal to 70.00% of its Initial Value, which
we refer to as an Interest Barrier. |
| · | The notes will be automatically called if the closing value of each Underlying on any Review Date (other than the first, second and
final Review Dates) is greater than or equal to its Initial Value. |
| · | The earliest date on which an automatic call may be initiated is October 23, 2024. |
| · | Investors should be willing to accept the risk of losing some or all of their principal and the risk that no Contingent Interest Payment
may be made with respect to some or all Review Dates. |
| · | Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive Contingent
Interest Payments. |
| · | 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 Underlyings. Payments on the notes are linked to the performance
of each of the Underlyings individually, as described below. |
| · | Minimum denominations of $1,000 and integral multiples thereof |
| · | The notes priced on July 23, 2024 and are expected to settle on or about July 26, 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-5 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing
supplement or the accompanying product supplement, underlying supplement, prospectus supplement, prospectus and prospectus addendum. Any
representation to the contrary is a criminal offense.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
Per note |
$1,000 |
$22.25 |
$977.75 |
Total |
$962,000 |
$21,404.50 |
$940,595.50 |
(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 $22.25 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 $962.10 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.
Underlyings:
The Nasdaq-100® Technology Sector IndexSM (Bloomberg ticker: NDXT) (the “Index”),
the iShares® Silver Trust (Bloomberg ticker: SLV) and the VanEck® Gold Miners ETF (Bloomberg ticker: GDX)
(each of the iShares® Silver Trust and the VanEck® Gold Miners ETF, a “Fund” and collectively,
the “Funds”) (each of the Index and the Funds, an “Underlying” and collectively, the “Underlyings”)
Contingent
Interest Payments: If the notes have not been automatically called and the closing value of each Underlying on any Review Date
is greater than or equal to its Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal amount
note a Contingent Interest Payment equal to $7.5833 (equivalent to a Contingent Interest Rate of 9.10% per annum, payable at a rate of
0.75833% per month).
If the closing value of any Underlying on any Review Date is less
than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date.
Contingent
Interest Rate: 9.10% per annum, payable at a rate of 0.75833% per month
Interest Barrier: With respect
to each Underlying, 70.00% of its Initial Value, which is 7,434.455 for the Nasdaq-100® Technology Sector IndexSM,
$18.676 for iShares® Silver Trust, and $26.215 for the VanEck® Gold Miners ETF
Trigger Value: With respect
to each Underlying, 60.00% of its Initial Value, which is 6,372.39 for the Nasdaq-100® Technology Sector IndexSM,
$16.008 for iShares® Silver Trust, and $22.47 for the VanEck® Gold Miners ETF
Pricing
Date: July 23, 2024
Original
Issue Date (Settlement Date): On or about July 26, 2024
Review
Dates*: August 23, 2024, September 23, 2024, October 23, 2024, November 25, 2024, December 23, 2024, January 23, 2025, February
24, 2025, March 24, 2025, April 23, 2025. May 23, 2025, June 23, 2025, July 23, 2025, August 25, 2025, September 23, 2025, October 23,
2025, November 24, 2025, December 23, 2025 and January 23, 2026 (final Review Date)
Interest
Payment Dates: August 28, 2024, September 26, 2024, October 28, 2024, November 29, 2024, December
27, 2024, January 28, 2025, February 27, 2025, March 27, 2025, April 28, 2025, May 29, 2025, June 26, 2025, July 28, 2025, August 28,
2025, September 26, 2025, October 28, 2025, November 28, 2025, December 29, 2025 and the Maturity Date
Maturity
Date*: January 28, 2026
Call Settlement Date*: If
the notes are automatically called on any Review Date (other than the first, second and final Review Dates), the first Interest Payment
Date immediately following that Review Date
* 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
Automatic Call:
If the closing value of each Underlying on any Review Date (other than
the first, second and final Review Dates) is greater than or equal to its Initial Value, the notes will be automatically called for a
cash payment, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to
that Review Date, payable on the applicable Call Settlement Date. No further payments will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final Value of
each Underlying is greater than or equal to its Trigger Value, you will receive a cash payment at maturity, for each $1,000 principal
amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment, if any, applicable to the final Review Date.
If the notes have not been automatically called and the Final Value of
any Underlying is less than its Trigger Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Least Performing Underlying Return)
If the notes have not been automatically called and the Final Value
of any Underlying is less than its Trigger Value, you will lose more than 40.00% of your principal amount at maturity and could lose all
of your principal amount at maturity.
Least Performing Underlying: The
Underlying with the Least Performing Underlying Return
Least Performing Underlying Return: The
lowest of the Underlying Returns of the Underlyings
Underlying Return:
With respect to each Underlying,
(Final Value – Initial Value)
Initial Value
Initial
Value: With respect to each Underlying, the closing value of that Underlying on the Pricing
Date, which was 10,620.65 for the Nasdaq-100® Technology Sector IndexSM, $26.68 for iShares®
Silver Trust, and $37.45 for the VanEck® Gold Miners ETF
Final
Value: With respect to each Underlying, the closing value of that Underlying on the final Review
Date
Share
Adjustment Factor: With respect to each Fund, the Share Adjustment Factor is referenced in determining the closing value 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
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Nasdaq-100® Technology Sector IndexSM, the iShares® Silver Trust and the VanEck®
Gold Miners ETF |
|
Supplemental
Terms of the Notes
The notes are not commodity futures contracts or swaps and are not
regulated under the Commodity Exchange Act of 1936, as amended (the “Commodity Exchange Act”). The notes are offered
pursuant to an exemption from regulation under the Commodity Exchange Act, commonly known as the hybrid instrument exemption, that is
available to securities that have one or more payments indexed to the value, level or rate of one or more commodities, as set out in section
2(f) of that statute. Accordingly, you are not afforded any protection provided by the Commodity Exchange Act or any regulation
promulgated by the Commodity Futures Trading Commission.
Any values of the
Underlyings, 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.
How the Notes Work
Payments in Connection with the
First and Second Review Dates
Payments in Connection with Review Dates
(Other than the First, Second and Final Review Dates)
PS-2
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Nasdaq-100® Technology Sector IndexSM, the iShares® Silver Trust and the VanEck®
Gold Miners ETF |
|
Payment at Maturity If the Notes
Have Not Been Automatically Called
Total Contingent Interest Payments
The table below illustrates the hypothetical total
Contingent Interest Payments per $1,000 principal amount note over the term of the notes based on the Contingent Interest Rate of 9.10%
per annum, depending on how many Contingent Interest Payments are made prior to automatic call or maturity.
Number of Contingent
Interest Payments |
Total Contingent
Interest Payments |
18 |
$136.5000 |
17 |
$128.9167 |
16 |
$121.3333 |
15 |
$113.7500 |
14 |
$106.1667 |
13 |
$98.5833 |
12 |
$91.0000 |
11 |
$83.4167 |
10 |
$75.8333 |
9 |
$68.2500 |
8 |
$60.6667 |
7 |
$53.0833 |
6 |
$45.5000 |
5 |
$37.9167 |
4 |
$30.3333 |
3 |
$22.7500 |
2 |
$15.1667 |
1 |
$7.5833 |
0 |
$0.0000 |
PS-3
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Nasdaq-100® Technology Sector IndexSM, the iShares® Silver Trust and the VanEck®
Gold Miners ETF |
|
Hypothetical Payout Examples
The following examples illustrate payments on the notes
linked to three hypothetical Underlyings, assuming a range of performances for the hypothetical Least Performing Underlying on the Review
Dates. Each hypothetical payment set forth below assumes that the closing value of each Underlying that is not the Least Performing
Underlying on each Review Date is greater than or equal to its Initial Value (and therefore its Interest Barrier and Trigger Value).
In addition, the hypothetical payments set forth below
assume the following:
| · | an Initial Value for the Least Performing Underlying of 100.00; |
| · | an Interest Barrier for the Least Performing Underlying of 70.00 (equal to 70.00% of its hypothetical Initial Value); |
| · | a Trigger Value for the Least Performing Underlying of 60.00 (equal to 60.00% of its hypothetical Initial Value); and |
| · | a Contingent Interest Rate of 9.10% per annum. |
The hypothetical Initial Value of the Least Performing
Underlying of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value of any Underlying.
The actual Initial Value of each Underlying is the closing value of that Underlying on the Pricing Date and is specified under “Key
Terms — Initial Value” in this pricing supplement. For historical data regarding
the actual closing values of each Underlying, please see the historical information set forth under “The Underlyings” in this
pricing supplement.
Each hypothetical payment set forth below is for illustrative
purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing in the following examples
have been rounded for ease of analysis.
Example 1 — Notes are automatically called
on the third Review Date.
Date |
Closing Value of Least
Performing Underlying |
Payment (per $1,000 principal amount note) |
First Review Date |
105.00 |
$7.5833 |
Second Review Date |
110.00 |
$7.5833 |
Third Review Date |
115.00 |
$1,007.5833 |
|
Total Payment |
$1,022.75 (2.275% return) |
Because the closing value of each Underlying
on the third Review Date is greater than or equal to its Initial Value, the notes will be automatically called for a cash payment, for
each $1,000 principal amount note, of $1,007.5833 (or $1,000 plus the Contingent Interest Payment applicable to the third Review
Date), payable on the applicable Call Settlement Date. The notes are not automatically callable before the third Review Date, even though
the closing value of each Underlying on each of the first and second Review Dates is greater than its Initial Value. When added to the
Contingent Interest Payments received with respect to the prior Review Dates, the total amount paid, for each $1,000 principal amount
note, is $1,022.75. No further payments will be made on the notes.
Example 2 — Notes have NOT been automatically
called and the Final Value of the Least Performing Underlying is greater than or equal to its Trigger Value and its Interest Barrier.
Date |
Closing Value of Least
Performing Underlying |
Payment (per $1,000 principal amount note) |
First Review Date |
95.00 |
$7.5833 |
Second Review Date |
85.00 |
$7.5833 |
Third through Seventeenth Review Dates |
Less than Interest Barrier |
$0 |
Final Review Date |
90.00 |
$1,007.5833 |
|
Total Payment |
$1,022.75 (2.275% return) |
Because the notes have not been automatically
called and the Final Value of the Least Performing Underlying is greater than or equal to its Trigger Value and its Interest Barrier,
the payment at maturity, for each $1,000 principal amount note, will be $1,007.5833 (or $1,000 plus the Contingent Interest Payment
applicable to the final Review Date). When added to the Contingent Interest Payments received with respect to the prior Review Dates,
the total amount paid, for each $1,000 principal amount note, is $1,022.75.
PS-4
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Nasdaq-100® Technology Sector IndexSM, the iShares® Silver Trust and the VanEck®
Gold Miners ETF |
|
Example 3 — Notes have NOT been automatically
called and the Final Value of the Least Performing Underlying is less than its Interest Barrier but is greater than or equal to its Trigger
Value.
Date |
Closing Value of Least
Performing Underlying |
Payment (per $1,000 principal amount note) |
First Review Date |
95.00 |
$7.5833 |
Second Review Date |
80.00 |
$7.5833 |
Third through Seventeenth Review Dates |
Less than Interest Barrier |
$0 |
Final Review Date |
65.00 |
$1,000.00 |
|
Total Payment |
$1,015.1667 (1.51667% return) |
Because the notes have not been automatically
called and the Final Value of the Least Performing Underlying is less than its Interest Barrier but is greater than or equal to its Trigger
Value, the payment at maturity, for each $1,000 principal amount note, will be $1,000.00. When added to the Contingent Interest Payments
received with respect to the prior Review Dates, the total amount paid, for each $1,000 principal amount note, is $1,015.1667.
Example 4 — Notes have NOT been automatically
called and the Final Value of the Least Performing Underlying is less than its Trigger Value.
Date |
Closing Value of Least
Performing Underlying |
Payment (per $1,000 principal amount note) |
First Review Date |
40.00 |
$0 |
Second Review Date |
45.00 |
$0 |
Third through Seventeenth Review Dates |
Less than Interest Barrier |
$0 |
Final Review Date |
40.00 |
$400.00 |
|
Total Payment |
$400.00 (-60.00% return) |
Because the notes have not been automatically called,
the Final Value of the Least Performing Underlying is less than its Trigger Value and the Least Performing Underlying Return is -60.00%,
the payment at maturity will be $400.00 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-60.00%)] = $400.00
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term or until automatically called. 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 notes have not been automatically called and the Final Value of any Underlying is less than its Trigger Value, you will lose 1%
of the principal amount of your notes for every 1% that the Final Value of the Least Performing Underlying is less than its Initial Value.
Accordingly, under these circumstances, you will lose more than 40.00% of your principal amount at maturity and could lose all of your
principal amount at maturity.
| · | THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL — |
If the notes have not been automatically called,
we will make a Contingent Interest Payment with respect to a Review Date only if the closing value of each Underlying on that Review Date
is greater than or equal to its Interest Barrier. If the closing value of any Underlying on that Review Date is less than its Interest
Barrier, no Contingent Interest Payment will be made with respect to that Review Date. Accordingly, if the closing value of any Underlying
on each Review Date is less than its Interest Barrier, you will not receive any interest payments over the term of the notes.
PS-5
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Nasdaq-100® Technology Sector IndexSM, the iShares® Silver Trust and the VanEck®
Gold Miners ETF |
|
| · | 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.
| · | THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS THAT MAY BE PAID OVER THE TERM
OF THE NOTES, |
regardless of any appreciation of any Underlying,
which may be significant. You will not participate in any appreciation of any Underlying.
| · | YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE VALUE OF EACH UNDERLYING — |
Payments on the notes are not linked to a basket
composed of the Underlyings and are contingent upon the performance of each individual Underlying. Poor performance by any of the Underlyings
over the term of the notes may result in the notes not being automatically called on a Review Date, may negatively affect whether you
will receive a Contingent Interest Payment on any Interest Payment Date and your payment at maturity and will not be offset or mitigated
by positive performance by any other Underlying.
| · | YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING UNDERLYING. |
| · | THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE — |
If the Final Value of any Underlying is less
than its Trigger Value and the notes have not been automatically called, the benefit provided by the Trigger Value will terminate and
you will be fully exposed to any depreciation of the Least Performing Underlying.
| · | THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT — |
If your notes are automatically called, the
term of the notes may be reduced to as short as approximately three months and you will not receive any Contingent Interest Payments after
the applicable Call Settlement Date. There is no guarantee that you would be able to reinvest the proceeds from an investment in the notes
at a comparable return and/or with a comparable interest rate for a similar level of risk. Even in cases where the notes are called before
maturity, you are not entitled to any fees and commissions described on the front cover of this pricing supplement.
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE VANECK® GOLD MINERS ETF OR THE SECURITIES INCLUDED IN THE INDEX OR HELD BY
THE VANECK® GOLD MINERS ETF OR HAVE ANY RIGHTS WITH RESPECT TO EITHER FUND OR THE SECURITIES OR COMMODITIES INCLUDED IN
OR HELD BY ANY UNDERLYING. |
| · | THE RISK OF THE CLOSING VALUE OF AN UNDERLYING FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS GREATER IF THE VALUE OF THAT
UNDERLYING 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.
PS-6
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Nasdaq-100® Technology Sector IndexSM, the iShares® Silver Trust and the VanEck®
Gold Miners ETF |
|
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.
In addition, the benchmark price of the iShares®
Silver Trust’s Underlying Commodity (as defined under “The Funds” below) is administered by the London Bullion Market
Association (“LBMA”) or an independent service provider appointed by the LBMA, and we are, or one of our affiliates is, a
price participant that contributes to the determination of that price. Furthermore, our affiliate is the custodian of the iShares®
Silver Trust. We and our affiliates will have no obligation to consider your interests as a holder of the notes in taking any actions
in connection with our roles as a price participant and a custodian that might affect the iShares® Silver Trust or the
notes.
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-7
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Nasdaq-100® Technology Sector IndexSM, the iShares® Silver Trust and the VanEck®
Gold Miners 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 values of the Underlyings. 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 Underlyings
| · | RISKS ASSOCIATED WITH THE TECHNOLOGY SECTOR WITH RESPECT TO THE INDEX — |
All or substantially all of the equity securities
included in the Index are issued by companies whose primary line of business is directly associated with the technology 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. The
value of stocks of technology companies and companies that rely heavily on technology is particularly vulnerable to rapid changes in technology
product cycles, rapid product obsolescence, government regulation and competition, both domestically and internationally, including competition
from foreign competitors with lower production costs. Stocks of technology companies and companies that rely heavily on technology,
especially those of smaller, less-seasoned companies, tend to be more volatile than the overall market. Technology companies are
heavily dependent on patent and intellectual property rights, the loss or impairment of which may adversely affect profitability. Additionally,
companies in the technology sector may face dramatic and often unpredictable changes in growth rates and competition for the services
of qualified personnel. These factors could affect the technology sector and could affect the value of the equity securities included
in the Index and the level of the Index during the term of the notes, which may adversely affect the value of your notes.
| · | NON-U.S. SECURITIES RISK WITH RESPECT TO THE INDEX AND THE VANECK®
GOLD MINERS ETF — |
Some of
the equity securities included in or held by the Index or the VanEck® Gold Miners ETF 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
the 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.
| · | 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 OR UNDERLYING COMMODITY, AS APPLICABLE, AS WELL AS THE NET ASSET VALUE PER SHARE — |
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. In addition, 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. In addition,
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 the VanEck® Gold Miners ETF and its Underlying Index. Finally,
because the shares of the VanEck® Gold Miners ETF are traded on a securities exchange and are subject to market supply
and investor demand, the market value of one share of the VanEck® Gold Miners ETF may differ from the net asset value per
share of the VanEck® Gold Miners ETF.
In addition, the iShares® Silver
Trust does not fully replicate the performance of its Underlying Commodity due to the fees and expenses charged by the iShares®
Silver Trust or by restrictions on access to the relevant Underlying Commodity due to other circumstances. The iShares®
Silver Trust does not generate any income, and as the iShares® Silver Trust regularly sells its Underlying Commodity to
pay for ongoing expenses, the amount of its Underlying Commodity represented by each share gradually declines over time. The iShares®
Silver Trust sells its Underlying Commodity to pay expenses on an ongoing basis irrespective of whether the trading price of the shares
rises or falls in response to changes in the price of its Underlying Commodity. The sale by the iShares® Silver Trust
of its Underlying Commodity to pay expenses at a time of low prices for its Underlying Commodity could adversely affect the value of the
notes. Additionally, there is a risk that part or all of the iShares® Silver Trust’s holdings in its Underlying
Commodity could be lost, damaged or stolen. Access to the iShares® Silver Trust’s Underlying Commodity could
also be restricted by natural events (such as an earthquake) or human actions (such as a terrorist attack). All of these factors
may lead to a lack of correlation between the performance of the iShares® Silver Trust and its Underlying Commodity.
In addition, because the shares of the iShares® Silver Trust are traded on a securities exchange and are subject to market
supply and investor demand,
PS-8
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Nasdaq-100® Technology Sector IndexSM, the iShares® Silver Trust and the VanEck®
Gold Miners ETF |
|
the market value of one share of the iShares® Silver
Trust may differ from the net asset value per share of the iShares® Silver Trust.
During periods of market volatility, securities
underlying the VanEck® Gold Miners ETF or the Underlying Commodity of the iShares® Silver Trust may be unavailable
in the secondary market, market participants may be unable to calculate accurately the net asset value per share of a Fund and the liquidity
of a 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 or Underlying Commodity, as applicable, 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.
| · | THE iShares® Silver Trust IS NOT AN INVESTMENT COMPANY OR COMMODITY
POOL AND WILL NOT BE SUBJECT TO REGULATION UNDER THE INVESTMENT COMPANY ACT OF 1940, AS AMENDED, OR THE COMMODITY EXCHANGE ACT — |
Accordingly, you will not benefit from any regulatory
protections afforded to persons who invest in regulated investment companies or commodity pools.
| · | THE NOTES ARE SUBJECT TO RISKS ASSOCIATED WITH SILVER WITH RESPECT TO THE iSHARES® SILVER TRUST — |
The iShares® Silver Trust seeks
to reflect generally the performance of the price of silver, less the iShares® Silver Trust’s expenses and liabilities.
The price of silver is primarily affected by global demand for and supply of silver. Silver prices can fluctuate widely and may be affected
by numerous factors. These include general economic trends, increases in silver hedging activity by silver producers, significant changes
in attitude by speculators and investors in silver, technical developments, substitution issues and regulation, as well as specific factors
including industrial and jewelry demand, expectations with respect to the rate of inflation, the relative strength of the U.S. dollar
(the currency in which the price of silver is generally quoted) and other currencies, interest rates, central bank sales, forward sales
by producers, global or regional political or economic events and production costs and disruptions in major silver-producing countries,
such as Mexico, China and Peru. The demand for and supply of silver affect silver prices, but not necessarily in the same manner as supply
and demand affect the prices of other commodities. The supply of silver consists of a combination of new mine production and existing
stocks of bullion and fabricated silver held by governments, public and private financial institutions, industrial organizations and private
individuals. In addition, the price of silver has on occasion been subject to very rapid short-term changes due to speculative activities.
From time to time, above-ground inventories of silver may also influence the market. The major end uses for silver include industrial
applications, jewelry and silverware. It is not possible to predict the aggregate effect of all or any combination of these factors.
| · | THERE ARE RISKS RELATING TO COMMODITIES TRADING ON THE LBMA WITH RESPECT TO THE iSHARES® SILVER TRUST — |
The iShares® Silver Trust seeks
to reflect generally the performance of the price of silver, less the iShares® Silver Trust’s expenses and liabilities.
The price of silver is determined by the LBMA or an independent service provider appointed by the LBMA. The LBMA is a self-regulatory
association of bullion market participants. Although all market-making members of the LBMA are supervised by the Bank of England and are
required to satisfy a capital adequacy test, the LBMA itself is not a regulated entity. If the LBMA should cease operations, or if bullion
trading should become subject to a value added tax or other tax or any other form of regulation currently not in place, the role of the
LBMA silver price as a global benchmark for the value of silver may be adversely affected. The LBMA is a principals’ market, which
operates in a manner more closely analogous to an over-the-counter physical commodity market than regulated futures markets, and certain
features of U.S. futures contracts are not present in the context of LBMA trading. For example, there are no daily price limits on the
LBMA which would otherwise restrict fluctuations in the prices of LBMA contracts. In a declining market, it is possible that prices would
continue to decline without limitation within a trading day or over a period of trading days. The LBMA may alter, discontinue or suspend
calculation or dissemination of the LBMA silver price, which could adversely affect the value of the notes. The LBMA, or an independent
service provider appointed by the LBMA, will have no obligation to consider your interests in calculating or revising the LBMA silver
price.
| · | SINGLE COMMODITY PRICES TEND TO BE MORE VOLATILE THAN, AND MAY NOT CORRELATE WITH, THE PRICES OF COMMODITIES GENERALLY —
|
The iShares® Silver Trust is
linked to a single commodity and not to a diverse basket of commodities or a broad-based commodity index. The iShares®
Silver Trust’s Underlying Commodity may not correlate to the price of commodities generally and may diverge significantly from the
prices of commodities generally. As a result, the notes carry greater risk and may be more volatile than notes linked to the prices of
more commodities or a broad-based commodity index.
| · | THERE ARE RISKS ASSOCIATED WITH THE VanEck® Gold Miners ETF —
|
PS-9
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Nasdaq-100® Technology Sector IndexSM, the iShares® Silver Trust and 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 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, but may also 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 NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK WITH RESPECT TO THE VanEck ®
Gold Miners ETF — |
Because the prices of the non-U.S. equity securities
held by the VanEck® Gold Miners ETF are converted into U.S. dollars for purposes of calculating the net asset value of
the VanEck® Gold Miners ETF, 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 the VanEck® Gold Miners ETF trade. 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 the VanEck® Gold Miners ETF 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 VanEck® Gold Miners ETF will be adversely
affected and any payment on the notes may be reduced.
| · | 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-10
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Nasdaq-100® Technology Sector IndexSM, the iShares® Silver Trust and the VanEck®
Gold Miners ETF |
|
The Underlyings
The Index is an equal-weighted, price-return index
designed to measure the performance of the technology companies in the Nasdaq-100 Index®. For additional information about
the Index, see Annex A in this pricing supplement.
The iShares® Silver Trust is an investment
trust sponsored by iShares® Delaware Trust Sponsor LLC. The iShares® Silver Trust seeks to reflect generally
the performance of the price of silver, less the iShares® Silver Trust’s expenses and liabilities. The assets of
the iShares® Silver Trust consists primarily of silver held by a custodian on behalf of the iShares® Silver
Trust. We refer to silver as the Underlying Commodity with respect to the iShares® Silver Trust. For additional information
about the iShares® Silver Trust, see “Fund Descriptions — The iShares® Silver Trust” 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 Underlying based on the weekly historical closing values from January 4, 2019 through July 12, 2024. The closing value of the
Index on July 23, 2024 was 10,620.65. The closing value of the iShares® Silver Trust on July 23, 2024 was $26.68. The closing
value of the VanEck® Gold Miners ETF on July 23, 2024 was $37.45. We obtained the closing values above and below from the
Bloomberg Professional® service (“Bloomberg”), without independent verification. The closing values of the
Funds above and below may have been adjusted by Bloomberg for actions taken by the Funds, such as stock splits.
The historical closing values of each Underlying
should not be taken as an indication of future performance, and no assurance can be given as to the closing value of any Underlying on
any Review Date. There can be no assurance that the performance of the Underlyings will result in the return of any of your principal
amount or the payment of any interest.
PS-11
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Nasdaq-100® Technology Sector IndexSM, the iShares® Silver Trust and the VanEck®
Gold Miners ETF |
|
Tax Treatment
[SUBJECT TO DPW TAX REVIEW]
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. In determining our reporting
responsibilities we intend to treat (i) the notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent
coupons and (ii) any Contingent Interest Payments as ordinary income, as described in the section entitled “Material U.S. Federal
Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated Contingent
Coupons” in the accompanying product supplement. 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 affected. In addition, in 2007 Treasury and the IRS
released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar
instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their
investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments
and the relevance of factors such as the nature of the underlying property to which the instruments are linked. 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 affect the tax consequences of an investment in the notes, possibly with retroactive effect. The discussions
above and in the accompanying product supplement do not address the consequences to taxpayers subject to special tax accounting rules
under Section 451(b) of the Code. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment
in the notes, including possible alternative treatments and the issues presented by the notice described above.
PS-12
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Nasdaq-100® Technology Sector IndexSM, the iShares® Silver Trust and the VanEck®
Gold Miners ETF |
|
Non-U.S. Holders — Tax Considerations. The
U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and although we believe it is reasonable to take a position
that Contingent Interest Payments are not subject to U.S. withholding tax (at least if an applicable Form W-8 is provided), it is expected
that withholding agents will (and we, if we are the withholding agent, intend to) withhold on any Contingent Interest Payment paid to
a Non-U.S. Holder generally at a rate of 30% or at a reduced rate specified by an applicable income tax treaty under an “other income”
or similar provision. We will not be required to pay any additional amounts with respect to amounts withheld. In order to claim an exemption
from, or a reduction in, the 30% withholding tax, a Non-U.S. Holder of the notes must comply with certification requirements to establish
that it is not a U.S. person and is eligible for such an exemption or reduction under an applicable tax treaty. If you are a Non-U.S.
Holder, you should consult your tax adviser regarding the tax treatment of the notes, including the possibility of obtaining a refund
of any withholding tax and the certification requirement described above.
Section 871(m) of
the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless
an income tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments
linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime,
including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations.
Additionally, a recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2027 that do not have
a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an
“Underlying Security”). Based on certain determinations made by us, our special tax counsel is of the opinion that Section
871(m) should not apply to the notes with regard to Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree
with this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including whether
you enter into other transactions with respect to an Underlying Security. You should consult your tax adviser regarding the potential
application of Section 871(m) to the notes.
In the event of any
withholding on the notes, we will not be required to pay any additional amounts with respect to amounts so withheld.
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
PS-13
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Nasdaq-100® Technology Sector IndexSM, the iShares® Silver Trust and the VanEck®
Gold Miners ETF |
|
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 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 “How the Notes Work” and “Hypothetical
Payout Examples” in this pricing supplement for an illustration of the risk-return profile of the notes and “The Underlyings”
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
PS-14
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Nasdaq-100® Technology Sector IndexSM, the iShares® Silver Trust and the VanEck®
Gold Miners ETF |
|
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-15
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Nasdaq-100® Technology Sector IndexSM, the iShares® Silver Trust and the VanEck®
Gold Miners ETF |
|
Annex A
Nasdaq-100® Technology
Sector IndexSM
All information contained in this pricing supplement
regarding the Nasdaq-100® Technology Sector IndexSM, including, without limitation, its make-up, method of calculation
and changes in its components, has been derived from publicly available information, without independent verification. This information
reflects the policies of, and is subject to change by, The Nasdaq Stock Market, Inc. (“Nasdaq”). The Nasdaq-100®
Technology IndexSM was developed by Nasdaq and is calculated, maintained and published by The Nasdaq OMX Group, Inc. (“Nasdaq
OMX”). Neither Nasdaq nor Nasdaq OMX has any obligation to continue to publish, and may discontinue publication of, the Nasdaq-100®
Technology Sector IndexSM.
The Nasdaq-100® Technology Sector IndexSM
began on February 22, 2006 at a base value of 1,000.00. The Nasdaq-100® Technology Sector IndexSM is reported
by Bloomberg, L.P. under the ticker symbol “NDXT.”
The Nasdaq-100® Technology Sector IndexSM
is an equal-weighted, price-return index designed to measure the performance of the technology companies in the Nasdaq-100 Index®.
Security Eligibility Criteria
The Nasdaq-100® Technology Sector IndexSM
contains securities of the Nasdaq-100 Index® which are classified as Technology according to the Industry Classification
Benchmark (“ICB”). The eligibility for the Nasdaq-100® Technology Sector IndexSM is determined in
a 2-step process and the security has to meet both criteria in order to become eligible for the Nasdaq-100® Technology
Sector IndexSM. For additional information about the Nasdaq-100 Index®, including the methodology for inclusion
in the Nasdaq-100 Index®, see “Equity Index Descriptions — The Nasdaq-100 Index®”
in the accompanying underlying supplement.
Parent Index
The security must be included in the Nasdaq-100 Index®,
which includes 100 of the largest domestic and international non-financial companies listed on the Nasdaq.
Industry or Sector Eligibility
The company must be classified as a Technology Company
(any company classified under the Technology Industry) according to ICB.
Constituent Selection
All securities that meet the applicable Security Eligibility
Criteria described above are included in the Nasdaq-100® Technology Sector IndexSM.
Constituent Weighting
The Nasdaq-100® Technology Sector IndexSM
employs an equal weighting methodology such that each company’s Index market value is rebalanced quarterly to an equal-dollar value
corresponding to an equal percent weight of the Nasdaq-100® Technology Sector IndexSM’s aggregate market
value. Index Shares are calculated by dividing this equal-dollar market value for each Index Security by the corresponding Last Sale Price
of the security at the close of trading on the third Friday in March, June, September, and December. In the case of multiple share classes
of a company being included in the Nasdaq-100® Technology Sector IndexSM, the equal-weighted market value will
be divided equally among the securities of that company.
Index Calculation
The Nasdaq-100® Technology Sector IndexSM
is an equal weighted, price return index. The Nasdaq-100® Technology Sector IndexSM is calculated without regard
to ordinary dividends, however, it does reflect special dividends. The formula is as follows:
| (1) | “Index Market Value” shall be calculated as follows: |
“Index Security” shall mean a security
that has been selected for membership in the Nasdaq-100® Technology Sector IndexSM, having met all applicable
eligibility requirements.
n
= Number of Index Securities included in the Nasdaq-100® Technology Sector IndexSM
𝑞𝑖=
Number of shares of Index Security i applied in the Nasdaq-100® Technology Sector IndexSM.
𝑝𝑖
= Price in quote currency of Index Security i. Depending on the time of the calculation, the price can be either of the following:
PS-16
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Nasdaq-100® Technology Sector IndexSM, the iShares® Silver Trust and the VanEck®
Gold Miners ETF |
|
| a. | The Start of Day (SOD) price which is the previous index calculation day’s (t-1)
closing price for Index Security i adjusted for corporate action(s) occurring prior to market open on date t, if any, for the SOD calculation
only; |
| b. | The intraday price which reflects the current trading price received from the Nasdaq during the index calculation day; |
| c. | The End of Day (EOD) price refers to the Last Sale Price, which refers to the last regular-way trade reported on Nasdaq; or |
| d. | The Volume Weighted Average Price (VWAP) |
𝑡
= current index calculation day
𝑡-1
= current index calculation day
| (2) | “PR Index Divisor” should be calculated as follows: |
The Index Divisor serves the purpose of scaling
an Index Market Value to lower order of magnitude, which is recommended for reporting purposes. The Index Divisor is adjusted to ensure
that changes in an Index Security’s price or shares either by corporate actions or index participation which occur outside of trading
hours do not affect the index value. An Index Divisor change occurs after the close of the Nasdaq-100® Technology Sector
IndexSM.
Index Maintenance
Deletion Policy
If a component of the Nasdaq-100® Technology
Sector IndexSM is removed from the Nasdaq-100 Index® for any reason, it is also removed from the Nasdaq-100®
Technology Sector IndexSM at the same time.
Replacement Policy
When a component of the Nasdaq-100 Index®
that is classified as Technology according to ICB is removed from the Nasdaq-100 Index, it is also removed from the Nasdaq-100 Technology
Sector Index. As such, if the replacement company being added to the Nasdaq-100 Index® is classified as Technology according
to ICB, it is added to the Nasdaq-100® Technology Sector IndexSM and will assume the weight of the removed company
on the Index effective date.
When a component of the Nasdaq-100 Index®
that is not classified as Technology according to ICB is removed and the replacement company being added to the Nasdaq-100 Index is classified
as Technology according to ICB, the replacement company is considered for addition to the Nasdaq-100 Technology Sector Index at the next
quarterly Rebalance. When a component of the Nasdaq-100 Index that is classified as Technology according to ICB is removed from the Nasdaq-100
Index and the replacement company being added to the Nasdaq-100 Index® is not classified as Technology according to ICB,
the company is removed from the Nasdaq-100® Technology Sector IndexSM and the divisor of the Nasdaq-100®
Technology Sector IndexSM is adjusted to ensure Index continuity.
Additions Policy
If a security is added to the Nasdaq-100 Index®
for any reason, it may be added to the Nasdaq-100® Technology Sector IndexSM at the same time.
Corporate Actions
In the interim periods between scheduled index reconstitution
and rebalance events, individual Index securities may be the subject to a variety of corporate actions and events that require maintenance
and adjustments to the Index.
In certain cases, corporate actions and events are handled
according to the weighting scheme or other index construction techniques employed. Wherever alternate methods are described, the Index
will follow the “Non-Market Cap Corporate Action Method.”
Index Share Adjustments
Other than as a direct result of corporate actions, the
Nasdaq-100® Technology Sector IndexSM does not normally experience share adjustments between scheduled index
rebalance and reconstitution events.
License Agreement
JPMorgan Chase & Co. or its affiliate intends to
enter into a non-exclusive license agreement with Nasdaq providing for the license to it and certain of its affiliates or subsidiaries,
including JPMorgan Financial, with a non-exclusive license and, for a fee, with the right to use the Nasdaq-100® Technology
Sector IndexSM in connection with certain securities, including the notes.
The license agreement with Nasdaq provides that the following
language must be stated in this pricing supplement:
The notes are not sponsored, endorsed, sold or promoted
by, Nasdaq Inc. or its affiliates (Nasdaq, with its affiliates, are referred to as the “Corporations”). The Corporations have
not passed on the legality or suitability of, or the accuracy or adequacy of descriptions and disclosures relating to, the notes. The
Corporations make no representation or warranty, express or implied, to the owners of the notes or any member of the public regarding
the advisability of investing in securities generally or in the notes particularly, or the ability of the Nasdaq-100® Technology
Sector IndexSM to track general stock market performance. The Corporations’ only relationship to the Issuer, the Guarantor
(if applicable) and their affiliates is in the licensing of Nasdaq®, Nasdaq-100® and Nasdaq-100 Index®
registered
PS-17
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Nasdaq-100® Technology Sector IndexSM, the iShares® Silver Trust and the VanEck®
Gold Miners ETF |
|
trademarks, service marks and certain trade names of the Corporations
and the use of the Nasdaq-100® Technology Sector IndexSM which is determined, composed and calculated by Nasdaq
without regard to the Issuer or the Guarantor (if applicable) or the notes. Nasdaq has no obligation to take the needs of the Issuer or
the Guarantor (if applicable) or the owners of the notes into consideration in determining, composing or calculating the Nasdaq-100®
Technology Sector IndexSM. The Corporations are not responsible for and have not participated in the determination of the timing
of, prices at, or quantities of the notes to be issued or in the determination or calculation of the equation by which the notes are to
be converted into cash. The Corporations have no liability in connection with the administration, marketing or trading of the notes.
THE CORPORATIONS DO NOT GUARANTEE
THE ACCURACY AND/OR UNINTERRUPTED CALCULATION OF THE NASDAQ-100® TECHNOLOGY SECTOR INDEXSM OR ANY DATA INCLUDED
THEREIN. THE CORPORATIONS MAKE NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, THE GUARANTOR (IF APPLICABLE),
OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE NASDAQ-100® TECHNOLOGY SECTOR INDEXSM
OR ANY DATA INCLUDED THEREIN. THE CORPORATIONS MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY
OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE NASDAQ-100® TECHNOLOGY SECTOR INDEXSM OR ANY
DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE CORPORATIONS HAVE ANY LIABILITY FOR ANY LOST PROFITS
OR SPECIAL, INCIDENTAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES, EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
PS-18
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Least
Performing of the Nasdaq-100® Technology Sector IndexSM, the iShares® Silver Trust 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 $962,000.
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