PRICING SUPPLEMENT
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-270004 and 333-270004-01
Dated June 14, 2024 |
|
JPMorgan Chase Financial Company LLC Capped Airbag GEARS
$3,017,300 Linked to the MSCI EAFE® Index due June 18, 2026
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
Airbag GEARS (Growth Enhanced Asset Return Securities), which we refer to
as the “Securities,” are unsecured and unsubordinated debt securities issued by JPMorgan Chase Financial Company LLC (“JPMorgan
Financial”), the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co., with a return
linked to the performance of the MSCI EAFE® Index (the “Underlying”). If the Underlying Return is positive,
JPMorgan Financial will repay your principal amount at maturity plus pay a return equal to the Underlying Return times
the Upside Gearing of 2.00, up to the Maximum Gain of 30.27%. If the Underlying Return is zero or negative but the Final Value is greater
than or equal to the Downside Threshold (90% of the Initial Value), JPMorgan Financial will repay your principal amount at maturity.
However, if the Underlying Return is negative and the Final Value is less than the Downside Threshold, you will have exposure to any
additional decline of the Underlying in excess of the Threshold Percentage multiplied by the Downside Gearing. In this case, JPMorgan
Financial will repay less than your principal amount at maturity, if anything, resulting in a loss of 1.11111% of your principal amount
for every 1% that the Underlying has declined by more than the Threshold Percentage. Investing in the Securities involves significant
risks. You may lose some or all of your principal amount. You will not receive dividends or other distributions paid on any stocks included
in the Underlying, and the Securities will not pay interest. The contingent repayment of principal applies only if you hold the Securities
to maturity. Any payment on the Securities, including any repayment of principal, is subject to the creditworthiness of JPMorgan Financial,
as issuer of the Securities, and the creditworthiness of JPMorgan Chase & Co., as guarantor of the Securities. If JPMorgan
Financial and JPMorgan Chase & Co. were to default on their payment obligations, you may not receive any amounts owed to
you under the Securities and you could lose your entire investment.
| q | Enhanced
Growth Potential Subject to Maximum Gain — At maturity, the Upside Gearing feature
will provide leveraged exposure to any positive performance of the Underlying, up to the
Maximum Gain of 30.27%. If the Underlying Return is negative, investors may be exposed to
the negative Underlying Return at maturity. |
|
q | Downside
Exposure with Contingent Repayment of Principal at Maturity — If the Underlying
Return is zero or negative but the Final Value is greater than or equal to the Downside Threshold,
JPMorgan Financial will repay your principal amount at maturity. However, if the Underlying
Return is negative and the Final Value is less than the Downside Threshold, JPMorgan Financial
will repay less than your principal amount at maturity, if anything, resulting in a loss
of 1.11111% of your principal amount for every 1% that the Underlying has declined by more
than the Threshold Percentage. You may lose some or all of your principal amount. The contingent
repayment of principal applies only if you hold the Securities to maturity. Any payment on
the Securities, including any repayment of principal, is subject to the creditworthiness
of JPMorgan Financial and JPMorgan Chase & Co. |
Trade Date |
June
14, 2024 |
Original Issue Date (Settlement
Date) |
June 20, 2024 |
Final Valuation Date1 |
June 15, 2026 |
Maturity Date1 |
June 18, 2026 |
1 |
Subject to postponement
in the event of a market disruption event and as described under “General Terms of Notes — Postponement of a Determination
Date — Notes Linked to a Single Underlying –– Notes Linked to a Single Underlying (Other Than a Commodity Index)”
and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement or early acceleration
in the event of a change-in-law event as described under “General Terms of Notes — Consequences of a Change-in-Law Event”
in the accompanying product supplement and “Key Risks — Risks Relating to the Securities Generally — We May Accelerate
Your Securities If a Change-in-Law Event Occurs” in this pricing supplement. |
THE SECURITIES ARE SIGNIFICANTLY RISKIER THAN CONVENTIONAL DEBT INSTRUMENTS.
JPMORGAN FINANCIAL IS NOT NECESSARILY OBLIGATED TO REPAY THE FULL PRINCIPAL AMOUNT OF THE SECURITIES AT MATURITY, AND THE SECURITIES
MAY HAVE DOWNSIDE MARKET RISK SIMILAR TO THE UNDERLYING. THIS MARKET RISK IS IN ADDITION TO THE CREDIT RISK INHERENT IN PURCHASING A
DEBT OBLIGATION OF JPMORGAN FINANCIAL FULLY AND UNCONDITIONALLY GUARANTEED BY JPMORGAN CHASE & CO. YOU SHOULD NOT PURCHASE
THE SECURITIES IF YOU DO NOT UNDERSTAND OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS INVOLVED IN INVESTING IN THE SECURITIES.
YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER “KEY
RISKS” BEGINNING ON PAGE 6 OF THIS PRICING SUPPLEMENT, UNDER “RISK FACTORS” BEGINNING ON PAGE S-2 OF THE ACCOMPANYING
PROSPECTUS SUPPLEMENT, IN ANNEX A TO THE ACCOMPANYING PROSPECTUS ADDENDUM AND UNDER “RISK FACTORS” BEGINNING ON PAGE PS-12
OF THE ACCOMPANYING PRODUCT SUPPLEMENT BEFORE PURCHASING ANY SECURITIES. EVENTS RELATING TO ANY OF THOSE RISKS, OR OTHER RISKS AND UNCERTAINTIES,
COULD ADVERSELY AFFECT THE MARKET VALUE OF, AND THE RETURN ON, YOUR SECURITIES. YOU MAY LOSE SOME OR ALL OF YOUR INITIAL INVESTMENT IN
THE SECURITIES. THE SECURITIES WILL NOT BE LISTED ON ANY SECURITIES EXCHANGE.
We are offering Capped Airbag GEARS linked to the MSCI EAFE®
Index. The Securities are offered at a minimum investment of $1,000 in denominations of $10 and integral multiples thereof. The return
on the Securities is subject to, and will not exceed, the Maximum Gain.
Underlying |
Upside
Gearing |
Maximum
Gain |
Downside
Gearing |
Initial
Value |
Downside
Threshold |
Threshold
Percentage |
CUSIP |
ISIN |
|
|
|
|
|
|
|
|
|
MSCI EAFE®
Index
(Bloomberg ticker: MXEA) |
2.00 |
30.27% |
1.11111 |
2,306.41 |
2,075.77,
which is 90% of the
Initial Value |
10% |
48131G303 |
US48131G3039 |
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See “Additional Information about JPMorgan Financial, JPMorgan
Chase & Co. and the Securities” in this pricing supplement. The Securities will have the terms specified in the prospectus
and the prospectus supplement, each dated April 13, 2023, the prospectus addendum dated June 3, 2024, product supplement no. UBS-1-I
dated April 13, 2023, underlying supplement no. 1-I dated April 13, 2023 and this pricing supplement. The terms of the Securities
as set forth in this pricing supplement, to the extent they differ or conflict with those set forth in the accompanying product supplement,
will supersede the terms set forth in that product supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the Securities or passed upon the accuracy or the adequacy of this
pricing supplement or the accompanying prospectus, the accompanying prospectus supplement, the accompanying prospectus addendum, the
accompanying product supplement and the accompanying underlying supplement. Any representation to the contrary is a criminal offense.
|
Price
to Public1 |
Fees
and Commissions2 |
Proceeds
to Issuer |
Offering
of Securities |
Total |
Per
Security |
Total |
Per
Security |
Total |
Per
Security |
Securities Linked
to the MSCI EAFE® Index |
$3,017,300 |
$10.00 |
— |
— |
$3,017,300 |
$10.00 |
1 |
See “Supplemental Use of Proceeds” in this
pricing supplement for information about the components of the price to public of the Securities. |
2 |
All sales of the Securities will be made to certain fee-based
advisory accounts for which UBS Financial Services Inc., which we refer to as UBS is an investment adviser and UBS will act as placement
agent. The purchase price will be $10.00 per Security and UBS will forgo any commissions related to these sales. See
“Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement, as supplemented by “Supplemental
Plan of Distribution” in this pricing supplement. |
The estimated value of the Securities, when the terms of the Securities
were set, was $9.934 per $10 principal amount Security. See “The Estimated Value of the Securities” in this pricing supplement
for additional information.
The Securities 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.
UBS Financial
Services Inc. |
|
Additional
Information about JPMorgan Financial, JPMorgan Chase & Co. and the Securities |
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 Securities
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
Securities 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 Securities involve risks not associated with conventional debt securities.
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):
| t | Prospectus addendum dated
June 3, 2024: |
http://www.sec.gov/Archives/edgar/data/1665650/000095010324007599/dp211753_424b3.htm
Our Central Index Key, or CIK, on the SEC website is 1665650, and
JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, the “Issuer,” “JPMorgan
Financial,” “we,” “us” and “our” refer to JPMorgan Chase Financial Company LLC.
Supplemental
Terms of the Securities |
For purposes of the accompanying product supplement, the MSCI EAFE®
Index is an “Index.”
Any values of the Underlying, 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 Securities. Notwithstanding anything to the contrary in the indenture governing the Securities, that
amendment will become effective without consent of the holders of the Securities or any other party.
Investor
Suitability
The Securities may be suitable for you if, among other considerations:
t You
fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire principal amount.
t You
can tolerate a loss of all or a substantial portion of your investment and are willing to make an investment that may have similar
downside market risk as a hypothetical investment in the Underlying.
t You
believe the level of the Underlying will increase over the term of the Securities and that the appreciation is unlikely to exceed
an amount equal to the Maximum Gain indicated on the cover hereof.
t You
understand and accept that your potential return is limited by the Maximum Gain and you are willing to invest in the Securities based
on the Maximum Gain indicated on the cover hereof.
t You
can tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside fluctuations
in the level of the Underlying.
t You
do not seek current income from your investment and are willing to forgo dividends paid on the stocks included in the Underlying.
t You
are willing and able to hold the Securities to maturity.
t You
accept that there may be little or no secondary market for the Securities and that any secondary market will depend in large part
on the price, if any, at which J.P. Morgan Securities LLC, which we refer to as JPMS, is willing to trade the Securities.
t You
understand and accept the risks associated with the Underlying.
t You
are willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Securities,
and understand that if JPMorgan Financial and JPMorgan Chase & Co. default on their obligations, you may not receive
any amounts due to you including any repayment of principal. |
|
The Securities may not be suitable for you if, among other
considerations:
t You
do not fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire principal
amount.
t You
require an investment designed to provide a full return of principal at maturity.
t You
cannot tolerate a loss of all or a substantial portion of your investment, or you are not willing to make an investment that may
have similar downside market risk as a hypothetical investment in the Underlying.
t You
believe the level of the Underlying will decline over the term of the Securities and is likely to close below the Downside Threshold
on the Final Valuation Date, or you believe the Underlying will appreciate over the term of the Securities by more than the Maximum
Gain indicated on the cover hereof.
t You
seek an investment that has unlimited return potential without a cap on appreciation.
t You
are unwilling to invest in the Securities based on the Maximum Gain indicated on the cover hereof.
t You
cannot tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside fluctuations
in the level of the Underlying.
t You
seek current income from your investment or prefer not to forgo dividends paid on the stocks included in the Underlying.
t You
are unwilling or unable to hold the Securities to maturity or seek an investment for which there will be an active secondary market.
t You
do not understand or accept the risks associated with the Underlying.
t You
are not willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the
Securities, including any repayment of principal. |
The suitability considerations identified above are not exhaustive.
Whether or not the Securities are a suitable investment for you will depend on your individual circumstances, and you should reach an
investment decision only after you and your investment, legal, tax, accounting and other advisers have carefully considered the suitability
of an investment in the Securities in light of your particular circumstances. You should also review carefully the “Key Risks”
section of this pricing supplement, the “Risk Factors” sections of the accompanying prospectus supplement and the accompanying
product supplement and Annex A to the accompanying prospectus addendum for risks related to an investment in the Securities. For more
information on the Underlying, please see the section titled “The Underlying” below.
Final
Terms |
Issuer: |
|
JPMorgan Chase Financial
Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co. |
Guarantor: |
|
JPMorgan Chase & Co. |
Issue Price: |
|
$10.00 per
Security (subject to a minimum purchase of 100 Securities or $1,000) |
Principal
Amount: |
|
$10.00 per
Security. The payment at maturity will be based on the principal amount. |
Underlying: |
|
MSCI EAFE®
Index |
Term: |
|
Approximately
2 years |
Payment at
Maturity (per $10 principal amount Security): |
|
If the Underlying Return is positive, JPMorgan Financial
will pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00 + ($10.00 × Underlying Return
× Upside Gearing)
provided, however, that in no event will JPMorgan Financial
pay you at maturity an amount greater than:
$10.00 + ($10.00 × Maximum Gain)
If the Underlying Return is zero or negative but the Final
Value is greater than or equal to the Downside Threshold, JPMorgan Financial will pay you a cash payment at maturity of $10.00
per $10 principal amount Security.
If the Underlying Return is negative, and the Final Value is
less than the Downside Threshold, JPMorgan Financial will pay you a cash payment at maturity per $10 principal amount Security
equal to:
$10.00 + [$10.00 × (Underlying Return
+ Threshold Percentage) × Downside Gearing]
In this scenario, you will lose 1.11111% of your principal
amount for every 1% that the Underlying has declined by more than the Threshold Percentage. You will lose some or all of your principal
amount. |
Underlying
Return: |
|
(Final Value – Initial Value)
Initial Value |
Upside Gearing: |
|
2.00 |
Maximum Gain: |
|
30.27%. In
no event will the return on the Principal Amount be greater than the Maximum Gain. |
Initial Value: |
|
The closing
level of the Underlying on the Trade Date, as specified on the cover of this pricing supplement |
Final Value:
|
|
The closing
level of the Underlying on the Final Valuation Date |
Downside
Threshold: |
|
90.00%
of the Initial Value, as specified on the cover of this pricing supplement |
Threshold
Percentage: |
|
10%, if held
to maturity |
Downside Gearing: |
|
1.11111,
equal to 1 / (100% - Threshold Percentage) |
Investment
Timeline |
|
|
|
Trade
Date |
|
The Initial
Value is observed. The Downside Threshold is determined and the Maximum Gain is finalized. |
|
|
|
Maturity Date |
|
The Final Value and the Underlying Return are determined.
If the Underlying Return is positive, JPMorgan Financial
will pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00 + ($10.00 × Underlying Return
×
Upside Gearing),
provided, however, that in no event will JPMorgan Financial
pay you at maturity an amount greater than:
$10.00 + ($10.00 × Maximum Gain)
If the Underlying Return is zero or negative but the Final
Value is greater than or equal to the Downside Threshold, JPMorgan Financial will pay you a cash payment at maturity of $10.00
per $10 principal amount Security.
If the Underlying Return is negative, and the Final Value is
less than the Downside Threshold, JPMorgan Financial will pay you a cash payment at maturity per $10 principal amount Security
equal to:
$10.00 + [$10.00 × (Underlying Return
+ Threshold Percentage) × Downside Gearing]
Under these circumstances, you will lose some or all of
your principal amount. |
|
|
|
|
INVESTING IN THE SECURITIES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE
SOME OR ALL OF YOUR PRINCIPAL AMOUNT. ANY PAYMENT ON THE SECURITIES, INCLUDING ANY REPAYMENT OF PRINCIPAL, IS SUBJECT TO THE CREDITWORTHINESS
OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. IF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. WERE TO DEFAULT
ON THEIR PAYMENT OBLIGATIONS, YOU MAY NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE SECURITIES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.
What
Are the Tax Consequences of the Securities? |
You should review carefully the section entitled “Material U.S.
Federal Income Tax Consequences” in the accompanying product supplement no. UBS-1-I. The following discussion, when read in combination
with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S.
federal income tax consequences of owning and disposing of Securities.
Based on current market conditions, in the opinion of our special
tax counsel it is reasonable to treat the Securities as “open transactions” that are not debt instruments for U.S. federal
income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S.
Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement. Assuming
this treatment is respected, the gain or loss on your Securities should be treated as long-term capital gain or loss if you hold your
Securities for more than a year, whether or not you are an initial purchaser of Securities at the issue price. However, the IRS or a
court may not respect this treatment, in which case the timing and character of any income or loss on the Securities could be materially
and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax
treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to require
investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics,
including the character of income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying
property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S.
investors should be subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership”
regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest
charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance
promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the Securities,
possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment
in the Securities, including possible alternative treatments and the issues presented by this notice.
Section 871(m) of the Code and Treasury regulations promulgated thereunder
(“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on dividend equivalents paid
or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include U.S.
equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked to certain broad-based
indices that meet requirements set forth in the applicable Treasury regulations. Additionally, a recent IRS notice excludes from
the scope of Section 871(m) instruments issued prior to January 1, 2027 that do not have a delta of one with respect to underlying securities
that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on
certain determinations made by us, our special tax counsel is of the opinion that Section 871(m) should not apply to the Securities 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 Securities.
An investment in the Securities involves significant risks. Investing
in the Securities is not equivalent to investing directly in the Underlying. These risks are explained in more detail in the “Risk
Factors” sections of the accompanying prospectus supplement and the accompanying product supplement and in Annex A to the accompanying
prospectus addendum. We also urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the
Securities.
Risks Relating to the Securities Generally
| t | Your Investment in the Securities
May Result in a Loss — The Securities differ from ordinary debt securities in that
we will not necessarily repay the full principal amount of the Securities. If the Underlying
Return is negative, we will pay you the principal amount of your Securities in cash only
if the Final Value has not declined below the Downside Threshold. If the Underlying Return
is negative and the Final Value is less than the Downside Threshold, you will lose 1.11111%
of your principal amount for every 1% that the Underlying has declined by more than the Threshold
Percentage. Accordingly, you could lose up to your entire principal amount. |
| t | Credit Risks of JPMorgan
Financial and JPMorgan Chase & Co. — The Securities are unsecured
and unsubordinated debt obligations of the Issuer, JPMorgan Chase Financial Company LLC,
the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co.
The Securities will rank pari passu with all of our other unsecured and unsubordinated
obligations, and the related guarantee by JPMorgan Chase & Co. will rank pari
passu with all of JPMorgan Chase & Co.’s other unsecured and unsubordinated
obligations. The Securities and related guarantees are not, either directly or indirectly,
an obligation of any third party. Any payment to be made on the Securities, including any
repayment of principal, depends on the ability of JPMorgan Financial and JPMorgan Chase & Co.
to satisfy their obligations as they come due. As a result, the actual and perceived creditworthiness
of JPMorgan Financial and JPMorgan Chase & Co. may affect the market value
of the Securities and, in the event JPMorgan Financial and JPMorgan Chase & Co.
were to default on their obligations, you may not receive any amounts owed to you under the
terms of the Securities and you could lose your entire investment. |
| t | As a Finance Subsidiary,
JPMorgan Financial Has No Independent Operations and 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 Securities. 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
Securities as they come due. If JPMorgan Chase & Co. does not make payments
to us and we are unable to make payments on the Securities, 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. |
| t | We May Accelerate Your Securities
If a Change-In-Law Event Occurs — Upon the announcement or occurrence of legal
or regulatory changes that the calculation agent determines are likely to interfere with
your or our ability to transact in or hold the Securities or our ability to hedge or perform
our obligations under the Securities, we may, in our sole and absolute discretion, accelerate
the payment on your Securities and pay you an amount determined in good faith and in a commercially
reasonable manner by the calculation agent. If the payment on your Securities is accelerated,
your investment may result in a loss and you may not be able to reinvest your money in a
comparable investment. Please see “General Terms of Notes — Consequences of a
Change-in-Law Event” in the accompanying product supplement for more information. |
| t | The
Appreciation Potential of the Securities Is Limited by the Maximum Gain —
The appreciation potential of the Securities is limited by the Maximum Gain of 30.27%. Accordingly,
the appreciation potential of the Securities will be limited by the Maximum Gain even if
the Underlying Return times the Upside Gearing is greater than the Maximum Gain. |
| t | The Upside Gearing Applies
Only If You Hold the Securities to Maturity — You should be willing to hold your
Securities to maturity. If you are able to sell your Securities prior to maturity in the
secondary market, if any, the price you receive likely will not reflect the full economic
value of the Upside Gearing or the Securities themselves, and the return you realize may
be less than the product of the performance of the Underlying and the Upside Gearing and
may be less than the Underlying’s return, even if that return is positive and does
not exceed the Maximum Gain. You can receive the full benefit of the Upside Gearing, subject
to the Maximum Gain, only if you hold your Securities to maturity. |
| t | The Contingent Repayment
of Principal Applies Only If You Hold the Securities to Maturity — You should be
willing to hold your Securities to maturity. If you are able to sell your Securities in the
secondary market, if any, prior to maturity, you may have to sell them at a loss relative
to your initial investment even if the closing level of the Underlying is above the Downside
Threshold. If you hold the Securities to maturity, JPMorgan Financial will repay your principal
amount as long as the Final Value is not below the Downside Threshold. However, if the Underlying
Return is negative and the Final Value is less than the Downside Threshold, JPMorgan Financial
will repay less than your principal amount at maturity, resulting in a loss of 1.11111% of
your principal amount for every 1% that the Underlying has declined by more than the Threshold
Percentage. |
| t | No Interest Payments —
JPMorgan Financial will not make any interest payments to you with respect to the Securities. |
| t | The Probability That the
Final Value Will Fall Below the Downside Threshold on the Final Valuation Date Will Depend
on the Volatility of the Underlying — “Volatility” refers to the frequency
and magnitude of changes in the level of the Underlying. Greater expected volatility with
respect to the Underlying reflects a higher expectation as of the Trade Date that the Underlying
could close below the Downside Threshold on the Final Valuation Date of the Securities, resulting
in the loss of some or all of your |
investment. However, the Underlying’s
volatility can change significantly over the term of the Securities. The level of the Underlying could fall sharply, which could result
in a significant loss of principal.
| t | Investing
in the Securities Is Not Equivalent to Investing in the Stocks Composing the Underlying —
Investing in the Securities is not equivalent to investing in the stocks included in the
Underlying. As an investor in the Securities, you will not have any ownership interest or
rights in the stocks included in the Underlying, such as voting rights, dividend payments
or other distributions. |
| t | We
Cannot Control Actions by the Sponsor of the Underlying and That Sponsor Has No Obligation
to Consider Your Interests — We and our affiliates are not affiliated with
the sponsor of the Underlying and have no ability to control or predict its actions, including
any errors in or discontinuation of public disclosure regarding methods or policies relating
to the calculation of the Underlying. The sponsor of the Underlying is not involved in this
Security offering in any way and has no obligation to consider your interest as an owner
of the Securities in taking any actions that might affect the market value of your Securities. |
| t | Your
Return on the Securities Will Not Reflect Dividends on the Stocks Composing the Underlying
— Your return on the Securities will not reflect the return you would realize
if you actually owned the stock included in the Underlying and received the dividends on
the stock included in the Underlying. This is because the calculation agent will calculate
the amount payable to you at maturity of the Securities by reference to the Final Value,
which reflects the closing level of the Underlying on the Final Valuation Date without taking
into consideration the value of dividends on the stock included in the Underlying. |
| t | Lack of Liquidity —
The Securities will not be listed on any securities exchange. JPMS intends to offer to purchase
the Securities in the secondary market, but is not required to do so. Even if there is a
secondary market, it may not provide enough liquidity to allow you to trade or sell the Securities
easily. Because other dealers are not likely to make a secondary market for the Securities,
the price at which you may be able to trade your Securities is likely to depend on the price,
if any, at which JPMS is willing to buy the Securities. |
| t | Tax Treatment —
Significant aspects of the tax treatment of the Securities are uncertain. You should consult
your tax adviser about your tax situation. |
Risks Relating to Conflicts of Interest
| t | Potential
Conflicts — We and our affiliates play a variety of roles in connection
with the issuance of the Securities, including acting as calculation agent and hedging our
obligations under the Securities and making the assumptions used to determine the pricing
of the Securities and the estimated value of the Securities when the terms of the Securities
are set, which we refer to as the estimated value of the Securities. In performing these
duties, our and JPMorgan Chase & Co.’s economic interests and the economic
interests of the calculation agent and other affiliates of ours are potentially adverse to
your interests as an investor in the Securities. In addition, our and JPMorgan Chase & Co.’s
business activities, including hedging and trading activities, could cause our and JPMorgan
Chase & Co.’s economic interests to be adverse to yours and could adversely
affect any payment on the Securities and the value of the Securities. It is possible that
hedging or trading activities of ours or our affiliates in connection with the Securities
could result in substantial returns for us or our affiliates while the value of the Securities
declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest”
in the accompanying product supplement for additional information about these risks. |
| t | Potentially Inconsistent
Research, Opinions or Recommendations by JPMS, UBS or Their Affiliates — JPMS,
UBS or their affiliates may publish research, express opinions or provide recommendations
that are inconsistent with investing in or holding the Securities, and that may be revised
at any time. Any such research, opinions or recommendations may or may not recommend that
investors buy or hold investments linked to the Underlying and could affect the value of
the Underlying, and therefore the market value of the Securities. |
| t | Potential JPMorgan Financial
Impact on the Market Price of the Underlying — Trading or transactions by JPMorgan
Financial or its affiliates in the Underlying or in futures, options or other derivative
products on the Underlying may adversely affect the market value of the Underlying and, therefore,
the market value of the Securities. |
Risks Relating to the Estimated Value and Secondary
Market Prices of the Securities
| t | The Estimated Value of the
Securities Is Lower Than the Original Issue Price (Price to Public) of the Securities —
The estimated value of the Securities is only an estimate determined by reference to several
factors. The original issue price of the Securities exceeds the estimated value of the Securities
because costs associated with structuring and hedging the Securities are included in the
original issue price of the Securities. These costs include the projected profits, if any,
that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the Securities and the estimated cost of hedging our obligations under the Securities.
See “The Estimated Value of the Securities” in this pricing supplement. |
| t | The Estimated Value of the
Securities Does Not Represent Future Values of the Securities and May Differ from Others’
Estimates — The estimated value of the Securities is determined by reference to
internal pricing models of our affiliates when the terms of the Securities are set. This
estimated value of the Securities is based on market conditions and other relevant factors
existing at that time and assumptions about market parameters, which can include volatility,
dividend rates, interest rates and other factors. Different pricing models and assumptions
could provide valuations for the Securities that are greater than or less than the estimated
value of the Securities. 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 Securities 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 Securities from you in secondary market transactions. See “The
Estimated Value of the Securities” in this pricing supplement. |
| t | The
Estimated Value of the Securities Is Derived by Reference to an Internal Funding Rate —
The internal funding rate used in the determination of the estimated value of the Securities
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 Securities as well as the higher issuance, operational and ongoing liability management costs of the
Securities 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 Securities. The use of an internal funding rate and any potential changes to that rate may have
an adverse effect on the terms of the Securities and any secondary market prices of the Securities. See “The Estimated Value of
the Securities” in this pricing supplement.
| t | The Value of the Securities
as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher
Than the Then-Current Estimated Value of the Securities for a Limited Time Period —
We generally expect that some of the costs included in the original issue price of the Securities
will be partially paid back to you in connection with any repurchases of your Securities
by JPMS in an amount that will decline to zero over an initial predetermined period. These
costs can include projected hedging profits, if any, and, in some circumstances, estimated
hedging costs and our internal secondary market funding rates for structured debt issuances.
See “Secondary Market Prices of the Securities” in this pricing supplement for
additional information relating to this initial period. Accordingly, the estimated value
of your Securities during this initial period may be lower than the value of the Securities
as published by JPMS (and which may be shown on your customer account statements). |
| t | Secondary Market Prices
of the Securities Will Likely Be Lower Than the Original Issue Price of the Securities
— Any secondary market prices of the Securities will likely be lower than the original
issue price of the Securities 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 projected hedging profits, if any, and estimated
hedging costs that are included in the original issue price of the Securities. As a result,
the price, if any, at which JPMS will be willing to buy Securities from you in secondary
market transactions, if at all, is likely to be lower than the original issue price. Any
sale by you prior to the Maturity Date could result in a substantial loss to you. See the
immediately following risk factor for information about additional factors that will impact
any secondary market prices of the Securities. |
The Securities are not designed to be short-term
trading instruments. Accordingly, you should be able and willing to hold your Securities to maturity. See “— Risks Relating
to the Securities Generally — Lack of Liquidity” above.
| t | Many Economic and Market
Factors Will Impact the Value of the Securities — As described under “The
Estimated Value of the Securities” in this pricing supplement, the Securities can be
thought of as securities that combine a fixed-income debt component with one or more derivatives.
As a result, the factors that influence the values of fixed-income debt and derivative instruments
will also influence the terms of the Securities at issuance and their value in the secondary
market. Accordingly, the secondary market price of the Securities 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 projected hedging profits, if any, estimated hedging costs and
the level of the Underlying, including: |
| t | any actual or potential
change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads; |
| t | customary bid-ask spreads
for similarly sized trades; |
| t | our internal secondary
market funding rates for structured debt issuances; |
| t | the actual and expected
volatility in the level of the Underlying; |
| t | the time to maturity of
the Securities; |
| t | the dividend rates on
the equity securities included in the Underlying; |
| t | interest and yield rates
in the market generally; |
| t | the exchange rates and
the volatility of the exchange rates between the U.S. dollar and each of the currencies in
which the equity securities included in the Underlying trade and the correlation among those
rates and the level of the Underlying; and |
| t | a variety of other economic,
financial, political, regulatory and judicial events. |
Additionally, independent pricing vendors
and/or third party broker-dealers may publish a price for the Securities, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the Securities, if any, at which JPMS may be willing to purchase your
Securities in the secondary market.
Risks Relating to the Underlying
| t | Non-U.S.
Securities Risk — The equity securities included in the Underlying 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 securities markets in the home countries of
the issuers of those non-U.S. equity securities, including risks of volatility in those markets,
governmental intervention in those markets and cross shareholdings in companies in certain
countries. Also, there is generally less publicly available information about companies in
some of these jurisdictions than about U.S. companies that are subject to the reporting requirements
of the SEC. |
| t | The
Securities Are Subject to Currency Exchange Risk — Because the prices of the equity
securities included in the Underlying are converted into U.S. dollars for purposes of calculating
the level of the Underlying, holders of the Securities will be exposed to currency exchange
rate risk with respect to each of the currencies in which the equity securities included
in the Underlying 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
included in the Underlying denominated in each of those currencies. If, taking into account
the relevant weighting, the U.S. dollar strengthens against those currencies, the level of
the Underlying will be adversely affected and any payment on the Securities may be reduced.
Of particular importance to potential currency exchange risk are: |
| ¨ | existing
and expected rates of inflation; |
| ¨ | existing
and expected interest rate levels; |
| ¨ | the
balance of payments in the countries issuing those currencies and the United States and between
each country and its major trading partners; |
| ¨ | political,
civil or military unrest in the countries issuing those currencies and the United States;
and |
| ¨ | the
extent of government surpluses or deficits in the countries issuing those currencies and
the United States. |
All of these factors are in turn sensitive to the
monetary, fiscal and trade policies pursued by the governments of the countries issuing those currencies and the United States and other
countries important to international trade and finance.
Hypothetical
Examples and Return Table |
Hypothetical terms only. Actual terms may vary.
See the cover page for actual offering terms.
The following table and hypothetical examples below illustrate the
payment at maturity per $10.00 principal amount Security for a hypothetical range of Underlying Returns from -100.00% to +100.00% on
an offering of the Securities linked to a hypothetical Underlying, and assume a hypothetical Initial Value of 100, a hypothetical Downside
Threshold of 90, a hypothetical Upside Gearing of 1.10, a hypothetical Maximum Gain of 10.00%, a hypothetical Downside Gearing of 1.11111
and a hypothetical Threshold Percentage of 10%. The hypothetical Initial Value of 100 has been chosen for illustrative purposes only
and does not represent the actual Initial Value. The actual Initial Value is based on the closing level of the Underlying on the Trade
Date and is specified on the cover of this pricing supplement. For historical data regarding the actual closing levels of the Underlying,
please see the historical information set forth under “The Underlying” in this pricing supplement. The actual Maximum Gain,
Downside Threshold, Upside Gearing, Downside Gearing and Threshold Percentage are specified on the cover of this pricing supplement.
The hypothetical payment at maturity examples set forth below are for illustrative purposes only and may not be the actual returns applicable
to a purchaser of the Securities. The actual payment at maturity may be more or less than the amounts displayed below and will be determined
based on the actual terms of the Securities, including the Initial Value, the Downside Threshold, the Upside Gearing, the Downside Gearing,
the Threshold Percentage and the Maximum Gain and the Final Value on the Final Valuation Date. You should consider carefully whether
the Securities are suitable to your investment goals. The numbers appearing in the table below have been rounded for ease of analysis.
Final
Value |
Underlying
Return (%) |
Payment
at Maturity ($) |
Return
at Maturity per
$10.00 issue price (%) |
200.00
|
100.00% |
$11.0000 |
10.00% |
190.00
|
90.00% |
$11.0000 |
10.00% |
180.00
|
80.00% |
$11.0000 |
10.00% |
170.00
|
70.00% |
$11.0000 |
10.00% |
160.00
|
60.00% |
$11.0000 |
10.00% |
150.00
|
50.00% |
$11.0000 |
10.00% |
140.00
|
40.00% |
$11.0000 |
10.00% |
130.00
|
30.00% |
$11.0000 |
10.00% |
120.00
|
20.00% |
$11.0000 |
10.00% |
110.00 |
10.00% |
$11.0000 |
10.00% |
109.09 |
9.09% |
$11.0000 |
10.00% |
108.00
|
8.00% |
$10.8800 |
8.80% |
106.00
|
6.00% |
$10.6600 |
6.60% |
104.00
|
4.00% |
$10.4400 |
4.40% |
102.00
|
2.00% |
$10.2200 |
2.20% |
100.00
|
0.00% |
$10.0000 |
0.00% |
95.00
|
-5.00% |
$10.0000 |
0.00% |
90.00
|
-10.00% |
$10.0000 |
0.00% |
80.00
|
-20.00% |
$8.8889
|
-11.11% |
70.00
|
-30.00% |
$7.7778
|
-22.22% |
60.00
|
-40.00% |
$6.6667
|
-33.33% |
50.00
|
-50.00% |
$5.5556
|
-44.44% |
40.00
|
-60.00% |
$4.4444
|
-55.56% |
30.00
|
-70.00% |
$3.3333
|
-66.67% |
20.00
|
-80.00% |
$2.2222
|
-77.78% |
10.00
|
-90.00% |
$1.1111
|
-88.89% |
0.00
|
-100.00% |
$0.0000
|
-100.00% |
Example 1 — The level of the Underlying increases by 2% from
the Initial Value of 100 to the Final Value of 102.
Because the Upside Gearing of 1.10 times the Underlying Return
of 2% is less than the Maximum Gain of 10.00%, JPMorgan Financial will pay you your principal amount plus a return equal to the
Underlying Return times the Upside Gearing, resulting in a payment at maturity of $10.22 per $10 principal amount Security, calculated
as follows:
$10.00 + ($10.00 × Underlying Return ×
Upside Gearing)
$10.00 + ($10.00 × 2% × 1.10) = $10.22
Example 2 — The level of the Underlying increases by 20%
from the Initial Value of 100 to the Final Value of 120.
Because the Upside Gearing of 1.10 times the Underlying Return
of 20% is greater than the Maximum Gain of 10.00%, JPMorgan Financial will pay you your principal amount plus a return equal to
the Maximum Gain of 10.00%, resulting in a payment at maturity of $11.00 per $10 principal amount Security, calculated as follows:
$10.00 + ($10.00 × Maximum Gain)
$10.00 + ($10.00 × 10.00%) = $11.00
Example 3 — The level of the Underlying decreases by 5% from
the Initial Value of 100 to the Final Value of 95.
Because the Underlying Return is negative and the Final Value is greater
than the Downside Threshold, at maturity, JPMorgan Financial will pay you your principal amount of $10.00 per $10 principal amount Security.
Example 4 — The level of the Underlying decreases by 40%
from the Initial Value of 100 to the Final Value of 60.
Because the Underlying Return is -40% and the Final Value is less
than the Downside Threshold of 90%, at maturity, JPMorgan Financial will pay you a payment at maturity of $6.6667 per $10 principal amount
Security, calculated as follows:
$10.00 + [$10.00 × (Underlying Return +
Threshold Percentage) × Downside Gearing]
$10.00 + [$10.00 × (-40.00% + 10.00%) × 1.11111] = $6.6667
If the Underlying Return is negative and the Final Value is
less than the Downside Threshold, investors will lose more than 1% of their principal amount for every 1% that the Underlying has declined
in excess of the Threshold Percentage. Investors could lose some or all of their principal amount.
The hypothetical returns and hypothetical payments on the Securities
shown above apply only if you hold the Securities for their entire term. These hypotheticals do not reflect fees or expenses that
would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns and hypothetical
payments shown above would likely be lower.
The MSCI EAFE® Index is a free float-adjusted market
capitalization index intended to measure the equity market performance of certain developed markets, excluding the United States and
Canada. For additional information about the MSCI EAFE® Index, see the information set forth under “Equity Index
Descriptions — The MSCI Indices” in the accompanying underlying supplement.
Historical Information
The graph below illustrates the daily performance of the
Underlying from January 1, 2014 through June 14, 2024, based on information from the Bloomberg Professional® service (“Bloomberg”),
without independent verification. The closing level of the Underlying on June 14, 2024 was 2,306.41. We obtained the closing levels of
the Underlying above and below from Bloomberg, without independent verification.
The dotted line represents the Downside Threshold of 2,075.77,
equal to 90% of the closing level of the Underlying on June 14, 2024.
Past performance of the Underlying is not indicative
of the future performance of the Underlying.
The historical performance of the Underlying should not be
taken as an indication of future performance, and no assurance can be given as to the closing level of the Underlying on the Final Valuation
Date. There can be no assurance that the performance of the Underlying will result in the return of any of your principal amount.
Supplemental
Plan of Distribution |
We and JPMorgan Chase & Co. have agreed to indemnify
UBS and JPMS against liabilities under the Securities Act of 1933, as amended, or to contribute to payments that UBS may be required
to make relating to these liabilities as described in the prospectus supplement and the prospectus. We have agreed that UBS may sell
all or a part of the Securities that it purchases from us to the public or its affiliates at the price to public indicated on the cover
hereof.
Subject to regulatory constraints, JPMS intends to offer to purchase
the Securities in the secondary market, but it is not required to do so.
We or our affiliates may enter into swap agreements or related hedge
transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the Securities, and JPMS
and/or an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions. See “Supplemental
Use of Proceeds” in this pricing supplement and “Use of Proceeds and Hedging” in the accompanying product supplement.
All sales of the Securities will be made to certain fee-based advisory
accounts for which UBS is an investment adviser and UBS will act as placement agent. The purchase price will be $10.00 per Security and
UBS will forgo any selling commissions related to these sales.
The
Estimated Value of the Securities |
The estimated value of the Securities 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 Securities, valued using the internal funding rate described below, and (2) the derivative
or derivatives underlying the economic terms of the Securities. The estimated value of the Securities does not represent a minimum
price at which JPMS would be willing to buy your Securities in any secondary market (if any exists) at any time. The internal
funding rate used in the determination of the estimated value of the Securities 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 values of the Securities as well
as the higher issuance, operational and ongoing liability management costs of the Securities 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 Securities. The use of an internal funding rate and any potential changes to that rate may have
an adverse effect on the terms of the Securities and any secondary market prices of the Securities. For additional information, see “Key
Risks — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities — The Estimated Value of the
Securities 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 Securities 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 Securities is determined when the terms of the Securities are set based
on market conditions and other relevant factors and assumptions existing at that time. See “Key Risks — Risks Relating to
the Estimated Value and Secondary Market Prices of the Securities — The Estimated Value of the Securities Does Not Represent Future
Values of the Securities and May Differ from Others’ Estimates” in this pricing supplement.
The estimated value of the Securities is lower than the original
issue price of the Securities because costs associated with structuring and hedging the Securities are included in the original issue
price of the Securities. These costs include the projected profits, if any, that our affiliates expect to realize for assuming risks
inherent in hedging our obligations under the Securities and the estimated cost of hedging our obligations under the Securities. Because
hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may result in a profit that
is more or less than expected, or it may result in a loss. We or one or more of our affiliates will retain any profits realized in hedging
our obligations under the Securities. See “Key Risks — Risks Relating to the Estimated Value and Secondary Market Prices
of the Securities — The Estimated Value of the Securities Is Lower Than the Original Issue Price (Price to Public) of the Securities”
in this pricing supplement.
Secondary
Market Prices of the Securities |
For information about factors that will impact any secondary market
prices of the Securities, see “Key Risks — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities
— Secondary Market Prices of the Securities Will Be Impacted by Many Economic and Market Factors” in this pricing supplement.
In addition, we generally expect that some of the costs included in the original issue price of the Securities will be partially paid
back to you in connection with any repurchases of your Securities by JPMS in an amount that will decline to zero over an initial predetermined
period that is intended to be up to five months. The length of any such initial period reflects secondary market volumes for the Securities,
the structure of the Securities, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated
costs of hedging the Securities and when these costs are incurred, as determined by our affiliates. See “Key Risks — Risks
Relating to the Estimated Value and Secondary Market Prices of the Securities — The Value of the Securities as Published by JPMS
(and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Securities for
a Limited Time Period” in this pricing supplement.
Supplemental
Use of Proceeds |
The Securities are offered to meet investor demand for products that
reflect the risk-return profile and market exposure provided by the Securities. See “Hypothetical Examples and Return Table”
in this pricing supplement for an illustration of the risk-return profile of the Securities and “The Underlying” in this
pricing supplement for a description of the market exposure provided by the Securities.
The original issue price of the Securities is equal to the estimated
value of the Securities plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent
in hedging our obligations under the Securities, plus the estimated cost of hedging our obligations under the Securities.
Validity
of the Securities and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as special products
counsel to JPMorgan Financial and JPMorgan Chase & Co., when the Securities 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
Securities (the “master note”), and such Securities have been delivered against payment as contemplated herein, such Securities
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.
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 $3,017,300.
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