| November 22, 2024 |
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
JPMorgan Chase Financial Company LLC
Structured Investments
$261,000
Notes Linked to the Lesser Performing of the EURO STOXX 50®
Index and the iShares® MSCI EAFE ETF due August 27, 2026
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
| · | The notes are designed for investors who seek exposure to any appreciation of the lesser performing of the EURO STOXX 50®
Index and the iShares® MSCI EAFE ETF, which we refer to as the Underlyings, over the term of the notes. |
| · | Investors should be willing to forgo interest and dividend payments, while seeking repayment of at least 95.00% of their principal
at maturity. |
| · | The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial,
the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes is subject
to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor
of the notes. |
| · | Payments on the notes are not linked to a basket composed of the 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 November 22, 2024 and are expected to settle on or about November 27, 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-12 of the accompanying product supplement and “Selected Risk Considerations” beginning on page PS-4 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 |
$5.3879 |
$994.6121 |
| Total |
$261,000 |
$1,406.25 |
$259,593.75 |
|
(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 it receives from us to other affiliated or unaffiliated dealers.
These selling commissions will vary and will be up to $6.25 per $1,000 principal amount note 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 $969.80
per $1,000 principal amount note. See “The Estimated Value of the Notes” in this pricing supplement for additional information.
The notes are not bank deposits, are not insured by the Federal Deposit Insurance
Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Pricing supplement to product supplement no. 3-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 EURO STOXX 50® Index (Bloomberg ticker: SX5E) (the “Index”) and the iShares®
MSCI EAFE ETF (Bloomberg ticker: EFA) (the “Fund”) (each of the Index and the Fund, an “Underlying” and collectively,
the “Underlyings”)
Participation
Rate: 122.00%
Pricing Date: November
22, 2024
Original
Issue Date (Settlement Date): On or about November 27, 2024
Observation Date*:
August 24, 2026
Maturity Date*:
August 27, 2026
* Subject to postponement in the event of a market disruption event
and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple Underlyings”
and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement |
Payment at Maturity†:
If the Final Value of each Underlying is greater than its Initial Value, at maturity,
you will receive a cash payment, for each $1,000 principal amount note, of $1,000 plus the Additional Amount.
If the Final Value of either Underlying is equal to or less than its Initial Value,
your payment at maturity will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing Underlying Return)
In no event, however, will the payment at maturity be less than $950.00 per $1,000
principal amount note.
If the Final Value of either Underlying is less than its Initial Value, you will
lose up to 5.00% of your principal amount at maturity.
You are entitled to repayment of at least $950.00 per $1,000 principal amount
note at maturity, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
Additional Amount:
The Additional Amount payable at maturity per $1,000
principal amount note will equal:
$1,000 × Lesser Performing Underlying Return × Participation
Rate
Lesser Performing Underlying: The
Underlying with the Lesser Performing Underlying Return
Lesser Performing Underlying Return: The
lower 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 4,789.08 for the Index
and $77.56 for the Fund
Final
Value: With respect to each Underlying, the closing value of that Underlying on the Observation
Date
Share Adjustment Factor:
The Share Adjustment Factor is referenced in determining the closing value of the Fund and is set equal to 1.0 on the Pricing Date. The
Share Adjustment Factor is subject to adjustment upon the occurrence of certain events affecting the Fund. See “The Underlyings
— Funds — Anti-Dilution Adjustments” in the accompanying product supplement for further information.
† Subject to the impact 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. In the
event of a change-in-law event, we have the right, but not the obligation, to cause the calculation agent to determine on the change-in-law
date, as defined in the accompanying product supplement, the payment at maturity. Under these circumstances, the payment at maturity
will be determined prior to, and without regard to the closing values of the Underlyings on, the Observation Date.
|
|
PS-1
| Structured Investments
Notes Linked to the Lesser Performing of the EURO STOXX 50®
Index and the iShares® MSCI EAFE ETF |
|
Supplemental Terms of
the Notes
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.
Hypothetical Payout Profile
The following table and graph illustrate the hypothetical payment
at maturity on the notes linked to two hypothetical Underlyings. The hypothetical payments set forth below assume the following:
| · | an Initial Value for the Lesser Performing Underlying of 100.00; and |
| · | a Participation Rate of 122.00%. |
The hypothetical Initial Value of the Lesser Performing Underlying
of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value of either 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 at maturity set forth below is for illustrative
purposes only and may not be the actual payment at maturity applicable to a purchaser of the notes. The numbers appearing in the following
table and graph have been rounded for ease of analysis.
Final Value of the Lesser
Performing Underlying |
Lesser Performing
Underlying Return |
Additional Amount |
Payment at Maturity |
| 165.00 |
65.00% |
79.30% |
$1,793.00 |
| 150.00 |
50.00% |
61.00% |
$1,610.00 |
| 140.00 |
40.00% |
48.80% |
$1,488.00 |
| 130.00 |
30.00% |
36.60% |
$1,366.00 |
| 120.00 |
20.00% |
24.40% |
$1,244.00 |
| 110.00 |
10.00% |
12.20% |
$1,122.00 |
| 105.00 |
5.00% |
6.10% |
$1,061.00 |
| 101.00 |
1.00% |
1.22% |
$1,012.20 |
| 100.00 |
0.00% |
N/A |
$1,000.00 |
| 99.00 |
-1.00% |
N/A |
$990.00 |
| 97.50 |
-2.50% |
N/A |
$975.00 |
| 95.00 |
-5.00% |
N/A |
$950.00 |
| 90.00 |
-10.00% |
N/A |
$950.00 |
| 80.00 |
-20.00% |
N/A |
$950.00 |
| 70.00 |
-30.00% |
N/A |
$950.00 |
| 60.00 |
-40.00% |
N/A |
$950.00 |
| 50.00 |
-50.00% |
N/A |
$950.00 |
| 40.00 |
-60.00% |
N/A |
$950.00 |
| 30.00 |
-70.00% |
N/A |
$950.00 |
| 20.00 |
-80.00% |
N/A |
$950.00 |
| 10.00 |
-90.00% |
N/A |
$950.00 |
| 0.00 |
-100.00% |
N/A |
$950.00 |
|
PS-2
| Structured Investments
Notes Linked to the Lesser Performing of the EURO STOXX 50®
Index and the iShares® MSCI EAFE ETF |
|
The following graph demonstrates the hypothetical payments at maturity
on the notes for a range of Lesser Performing Underlying Returns. There can be no assurance that the performance of either Underlying
will result in a payment at maturity in excess of $950.00 per $1,000 principal amount note, subject to the credit risks of JPMorgan Financial
and JPMorgan Chase & Co.
How the Notes Work
Upside Scenario:
If the Final Value of each Underlying is greater than its Initial
Value, investors will receive at maturity the $1,000 principal amount plus the Additional Amount, which is equal to $1,000 times
the Lesser Performing Underlying Return times the Participation Rate of 122.00%.
| · | If the closing value of the Lesser Performing Underlying increases 10.00%, investors will receive at maturity a return equal to 12.20%,
or $1,122.00 per $1,000 principal amount note. |
Par Scenario:
If (i) the Final Value of one Underlying is greater than its Initial
Value and the Final Value of the other Underlying is equal to its Initial Value or (ii) the Final Value of each Underlying is equal to
its Initial Value, investors will receive at maturity the principal amount of their notes.
Downside Scenario:
If the Final Value of either Underlying is less than its Initial
Value, investors will lose 1% of the principal amount of their notes for every 1% that the Final Value of the Lesser Performing Underlying
is less than its Initial Value, provided that the payment at maturity will not be less than $950.00 per $1,000 principal amount
note.
| · | For example, if the closing value of the Lesser Performing Underlying declines 2.50%, investors will lose 2.50% of their principal
amount and receive only $975.00 per $1,000 principal amount note at maturity. |
| · | For example, if the closing value of the Lesser Performing Underlying declines 50.00%, investors will lose 5.00% of their principal
amount and receive only $950.00 per $1,000 principal amount note at maturity. |
The hypothetical returns and hypothetical payments on the notes
shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect the fees or expenses that
would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns and hypothetical
payments shown above would likely be lower.
|
PS-3
| Structured Investments
Notes Linked to the Lesser Performing of the EURO STOXX 50®
Index and the iShares® MSCI EAFE ETF |
|
Selected Risk Considerations
An investment in the notes involves significant risks. These risks
are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement and product supplement
and in Annex A to the accompanying prospectus addendum.
Risks Relating to the Notes Generally
| · | THE NOTES MAY NOT PAY MORE THAN 95.00% OF THE PRINCIPAL AMOUNT AT MATURITY — |
If the Final Value of either
Underlying is less than its Initial Value, you will lose 1% of the principal amount of your notes
for every 1% that the Final Value of the Lesser Performing Underlying is less than its Initial Value, provided that the payment
at maturity will not be less than $950.00 per $1,000 principal amount note, subject to the credit risks of JPMorgan Financial and JPMorgan
Chase & Co. Accordingly, under these circumstances, you will lose up to 5.00% of your principal amount at maturity and you
will not be compensated for any loss in value due to inflation and other factors relating to the value of money over time.
| · | CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. — |
Investors are dependent on our and JPMorgan Chase & Co.’s
ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness
or credit spreads, as determined by the market for taking that credit risk, is likely to adversely affect the value of the notes. If we
and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed to you under the
notes and you could lose your entire investment.
| · | AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS — |
As a finance subsidiary of JPMorgan Chase & Co.,
we have no independent operations beyond the issuance and administration of our securities and the collection of intercompany obligations.
Aside from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations
of JPMorgan Chase & Co. to make payments under loans made by us to JPMorgan Chase & Co. or under other intercompany
agreements. As a result, we are dependent upon payments from JPMorgan Chase & Co. to meet our obligations under the notes.
We are not a key operating subsidiary of JPMorgan Chase & Co. and in a bankruptcy or resolution of JPMorgan Chase & Co.
we are not expected to have sufficient resources to meet our obligations in respect of the notes as they come due. If JPMorgan Chase & Co.
does not make payments to us and we are unable to make payments on the notes, you may have to seek payment under the related guarantee
by JPMorgan Chase & Co., and that guarantee will rank pari passu with all other unsecured and unsubordinated obligations
of JPMorgan Chase & Co. For more information, see the accompanying prospectus addendum.
| · | YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE 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 either of the Underlyings
over the term of the notes may negatively affect your payment at maturity and will not be offset or mitigated by positive performance
by the other Underlying.
| · | YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LESSER PERFORMING UNDERLYING. |
| · | THE NOTES DO NOT PAY INTEREST. |
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE FUND OR THE SECURITIES INCLUDED IN OR HELD BY EITHER UNDERLYING OR HAVE ANY RIGHTS WITH RESPECT
TO THE FUND OR THOSE SECURITIES. |
| · | WE MAY DETERMINE THE PAYMENT AT MATURITY FOR YOUR NOTES EARLY IF A CHANGE-IN-LAW EVENT OCCURS — |
If we or our affiliates are unable to effect transactions
necessary to hedge our obligations under the notes due to a change-in-law event, we may, in our sole and absolute discretion, cause the
calculation agent to determine the payment at maturity for your notes early based on the calculation agent’s good faith determination
of the option value for your notes (i.e., the price of the embedded option representing the amount payable on the notes at maturity) and
the value of the embedded fixed-income debt component at maturity, each as determined on the date on which the calculation agent determines
that a change-in-law event has occurred, which may be significantly earlier than the Observation Date. Under these circumstances,
the amount due and payable on your notes will be due and payable only at maturity, and that amount will not reflect any appreciation of
the Underlyings after such early determination. See “General Terms of Notes — Consequences of a Change-in-Law Event”
in the accompanying product supplement for more information.
|
PS-4
| Structured Investments
Notes Linked to the Lesser Performing of the EURO STOXX 50®
Index and the iShares® MSCI EAFE ETF |
|
The notes will not be listed on any securities exchange.
Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS is willing
to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments. Accordingly,
you should be able and willing to hold your notes to maturity.
Risks Relating to Conflicts of Interest
We and our affiliates play a variety of roles in connection
with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests are potentially adverse
to your interests as an investor in the notes. It is possible that hedging or trading activities of ours or our affiliates in connection
with the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer to “Risk
Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement.
Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes
| · | THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES — |
The estimated value of the notes is only an estimate determined
by reference to several factors. The original issue price of the notes exceeds the estimated value of the notes because costs associated
with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include the selling
commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes and the estimated cost of hedging our obligations under the notes. See “The Estimated Value of the Notes”
in this pricing supplement.
| · | THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES —
|
See “The Estimated Value of the Notes” in this
pricing supplement.
| · | THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE — |
The internal funding rate used in the determination of the
estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity
issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding
rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing
market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an
adverse effect on the terms of the notes and any secondary market prices of the notes. See “The Estimated Value of the Notes”
in this pricing supplement.
| · | THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE
THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD — |
We generally expect that some of the costs included in the
original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount
that will decline to zero over an initial predetermined period. See “Secondary Market Prices of the Notes” in this pricing
supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes during this initial
period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account statements).
| · | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES — |
Any secondary market prices of the notes will likely be
lower than the original issue price of the notes because, among other things, secondary market prices take into account our internal secondary
market funding rates for structured debt issuances and, also, because secondary market prices may exclude selling commissions, projected
hedging profits, if any, and estimated hedging costs that are included in the original issue price of the notes. As a result, the price,
if any, at which JPMS will be willing to buy the notes from you in secondary market transactions, if at all, is likely to be lower than
the original issue price. Any sale by you prior to the Maturity Date could result in a substantial loss to you.
|
PS-5
| Structured Investments
Notes Linked to the Lesser Performing of the EURO STOXX 50®
Index and the iShares® MSCI EAFE 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
| · | NON-U.S. SECURITIES RISK — |
The equity securities included in or held by the Underlyings
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.
| · | NO DIRECT EXPOSURE TO FLUCTUATIONS IN FOREIGN EXCHANGE RATES WITH RESPECT TO THE INDEX — |
The value of your notes will not be adjusted for exchange
rate fluctuations between the U.S. dollar and the currencies upon which the equity securities included in the Index are based, although
any currency fluctuations could affect the performance of the Index.
| · | THERE ARE RISKS ASSOCIATED WITH THE FUND — |
The Fund is subject to management risk, which is the risk
that the investment strategies of the Fund’s investment adviser, the implementation of which is subject to a number of constraints,
may not produce the intended results. These constraints could adversely affect the market price of the shares of the Fund and, consequently,
the value of the notes.
| · | THE PERFORMANCE AND MARKET VALUE OF THE FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE
OF THE FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE — |
The Fund does not fully replicate its Underlying Index (as
defined under “The Underlyings” below) and may hold securities different from those included in its Underlying Index. In addition,
the performance of the Fund will reflect additional transaction costs and fees that are not included in the calculation of its Underlying
Index. All of these factors may lead to a lack of correlation between the performance of the Fund and its Underlying Index. In addition,
corporate actions with respect to the equity securities underlying the Fund (such as mergers and spin-offs) may impact the variance between
the performances of the Fund and its Underlying Index. Finally, because the shares of the Fund are traded on a securities exchange and
are subject to market supply and investor demand, the market value of one share of the Fund may differ from the net asset value per share
of the Fund.
During periods of market volatility, securities underlying
the Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately the net asset value per
share of the Fund and the liquidity of the Fund may be adversely affected. This kind of market volatility may also disrupt the ability
of market participants to create and redeem shares of the Fund. Further, market volatility may adversely affect, sometimes materially,
the prices at which market participants are willing to buy and sell shares of the Fund. As a result, under these circumstances, the market
value of shares of the Fund may vary substantially from the net asset value per share of the Fund. For all of the foregoing reasons, the
performance of the Fund may not correlate with the performance of its Underlying Index as well as the net asset value per share of the
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 NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK WITH RESPECT TO THE FUND — |
Because the prices of the non-U.S.
equity securities held by the Fund are converted into U.S. dollars for purposes of calculating the net asset value of the Fund,
holders of the notes will be exposed to currency exchange rate risk with respect to each of the currencies in which the non-U.S. equity
securities held by the Fund 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 Fund denominated in each of those currencies. If, taking into
account the relevant weighting, the U.S. dollar strengthens against those currencies, the price of the Fund will be adversely affected
and any payment on the notes may be reduced.
| · | THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED — |
The calculation agent will make adjustments to the Share
Adjustment Factor for certain events affecting the shares of the Fund. However, the calculation agent will not make an adjustment in response
to all events that could affect the shares of the Fund. 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-6
| Structured Investments
Notes Linked to the Lesser Performing of the EURO STOXX 50®
Index and the iShares® MSCI EAFE ETF |
|
The Underlyings
The Index consists of 50 component stocks of market sector leaders
from within the Eurozone. The Index and STOXX are the intellectual property (including registered trademarks) of STOXX Limited, Zurich,
Switzerland and/or its licensors (the “Licensors”), which are used under license. The notes based on the Index are in no way
sponsored, endorsed, sold or promoted by STOXX Limited and its Licensors and neither STOXX Limited nor any of its Licensors shall have
any liability with respect thereto. For additional information about the Index, see “Equity Index Descriptions — The STOXX
Benchmark Indices” in the accompanying underlying supplement.
The Fund is an exchange-traded fund of iShares®
Trust, a registered investment company, that seeks to track the investment results, before fees and expenses, of an index composed of
large- and mid-capitalization developed market equities, excluding the United States and Canada, which we refer to as the Underlying Index
with respect to the Fund. The Underlying Index with respect to the Fund is currently the MSCI EAFE® Index. 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 Fund, see “Fund Descriptions — The iShares®
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 November 22, 2024. The closing value of the Index
on November 22, 2024 was 4,789.08. The closing value of the Fund on November 22, 2024 was $77.56. We obtained the closing values above
and below from the Bloomberg Professional® service (“Bloomberg”), without independent verification. The closing
values of the Fund above and below may have been adjusted by Bloomberg for actions taken by the Fund, 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 either Underlying on the Observation
Date. There can be no assurance that the performance of the Underlyings will result in a payment at maturity in excess of $950.00 per
$1,000 principal amount note, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
|
PS-7
| Structured Investments
Notes Linked to the Lesser Performing of the EURO STOXX 50®
Index and the iShares® MSCI EAFE ETF |
|
Tax Treatment
You should review carefully
the section entitled “Material U.S. Federal Income Tax Consequences,” and in particular the subsection thereof entitled “—
Tax Consequences to U.S. Holders — Notes with a Term of More than One Year — Notes Treated as Contingent Payment Debt Instruments”
in the accompanying product supplement no. 3-I. Notwithstanding that the notes do not provide for the full repayment of their principal
amount at or prior to maturity, our special tax counsel, Davis Polk & Wardwell LLP, is of the opinion that the notes should be treated
for U.S. federal income tax purposes as “contingent payment debt instruments.” Assuming this treatment is respected, as discussed
in that subsection, you generally will be required to accrue original issue discount (“OID”) on your notes in each taxable
year at the “comparable yield,” as determined by us, although we will not make any payment with respect to the notes until
maturity. Upon sale or exchange (including at maturity), you will recognize taxable income or loss equal to the difference between the
amount received from the sale or exchange, and your adjusted basis in the note, which generally will equal the cost thereof, increased
by the amount of OID you have accrued in respect of the note. You generally must treat any income as interest income and any loss as ordinary
loss to the extent of previous interest inclusions, and the balance as capital loss. The deductibility of capital losses is subject to
limitations. The discussions herein 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. Purchasers who are not initial purchasers of notes at their issue price
should consult their tax advisers with respect to the tax consequences of an investment in notes, including the treatment of the difference,
if any, between the basis in their notes and the notes’ adjusted issue price.
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.
The discussions in the
preceding paragraphs, when read in combination with the section entitled “Material U.S. Federal Income Tax Consequences” (and
in particular the subsection thereof entitled “— Tax Consequences to U.S. Holders — Notes with a Term of More than One
Year — Notes Treated as Contingent Payment Debt Instruments”) in the accompanying product supplement, constitute the full
opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal income tax consequences of owning and disposing of notes.
Comparable Yield and Projected
Payment Schedule
We have determined that the
“comparable yield” is an annual rate of 4.82%, compounded semiannually. Based on our determination of the comparable yield,
the “projected payment schedule” per $1,000 principal amount note consists of a single payment at maturity,
|
PS-8
| Structured Investments
Notes Linked to the Lesser Performing of the EURO STOXX 50®
Index and the iShares® MSCI EAFE ETF |
|
equal to $1,087.04. Assuming a semiannual accrual period, the following table sets
out the amount of OID that will accrue with respect to a note during each calendar period, based upon our determination of the comparable
yield and projected payment schedule.
| Calendar Period |
Accrued OID During
Calendar Period (Per
$1,000 Principal Amount
Note) |
Total Accrued OID from Original
Issue Date (Per $1,000 Principal
Amount Note) as of End of
Calendar Period |
| November 27, 2024 through December 31, 2024 |
$4.42 |
$4.42 |
| January
1, 2025 through December 31, 2025 |
$49.00 |
$53.42 |
| January
1, 2026 through August 27, 2026 |
$33.62 |
$87.04 |
The comparable yield
and projected payment schedule are determined solely to calculate the amount on which you will be taxed with respect to the notes in each
year and are neither a prediction nor a guarantee of what the actual yield will be. The amount you actually receive at maturity or earlier
sale or exchange of your notes will affect your income for that year, as described above under “Tax Treatment.”
The Estimated Value of the Notes
The estimated value of the notes set forth on the cover of this
pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component with
the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing to
buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated
value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by
JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding
rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing
market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an
adverse effect on the terms of the notes and any secondary market prices of the notes. For additional information, see “Selected
Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value
of the Notes Is Derived by Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives underlying the economic
terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as the traded
market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which can include
volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments. Accordingly,
the estimated value of the notes is determined when the terms of the notes are set based on market conditions and other relevant factors
and assumptions existing at that time.
The estimated value of the notes does not represent future values
of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide valuations for the notes
that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant factors in the
future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly based
on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate
movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary
market transactions.
The estimated value of the notes is lower than the original issue
price of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue price of
the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected profits,
if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated
cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market forces beyond
our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. A portion of the profits,
if any, realized in hedging our obligations under the notes may be allowed to other affiliated or unaffiliated dealers, and we or one
or more of our affiliates will retain any remaining hedging profits. See “Selected Risk Considerations — Risks Relating to
the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Lower Than the Original Issue
Price (Price to Public) of the Notes” in this pricing supplement.
|
PS-9
| Structured Investments
Notes Linked to the Lesser Performing of the EURO STOXX 50®
Index and the iShares® MSCI EAFE ETF |
|
Secondary Market Prices
of the Notes
For information about factors that will impact any secondary market
prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes —
Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
In addition, we generally expect that some of the costs included in the original issue price of the notes will be partially paid back
to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period.
These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and
our internal secondary market funding rates for structured debt issuances. This initial predetermined time period is intended to be the
shorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects the structure of the
notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the notes
and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations — Risks Relating to
the Estimated Value and Secondary Market Prices of the Notes — The Value of the Notes as Published by JPMS (and Which May Be Reflected
on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this
pricing supplement.
Supplemental Use of Proceeds
The notes are offered to meet investor demand for products that
reflect the risk-return profile and market exposure provided by the notes. See “Hypothetical Payout Profile” and “How
the Notes Work” in this pricing supplement for an illustration of the risk-return profile of the notes and “The 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 notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting
and other advisers before you invest in the notes.
|
PS-10
| Structured Investments
Notes Linked to the Lesser Performing of the EURO STOXX 50®
Index and the iShares® MSCI EAFE ETF |
|
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is 1665650, and
JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us” and “our”
refer to JPMorgan Financial.
|
PS-11
| Structured Investments
Notes Linked to the Lesser Performing of the EURO STOXX 50®
Index and the iShares® MSCI EAFE ETF |
|
S-3
424B2
EX-FILING FEES
333-270004
0000019617
JPMORGAN CHASE & CO
0000019617
2024-11-26
2024-11-26
iso4217:USD
xbrli:pure
xbrli:shares
|
Calculation of Filing Fee Tables
|
|
S-3
|
|
JPMORGAN CHASE & CO
|
|
The maximum aggregate offering price of the securities to which the prospectus relates is $261,000. The prospectus is a final prospectus for the related offering.
|
|
|
v3.24.3
| X |
- DefinitionA unique 10-digit SEC-issued value to identify entities that have filed disclosures with the SEC. It is commonly abbreviated as CIK. Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher SEC
-Name Exchange Act
-Number 240
-Section 12
-Subsection b-2
| Name: |
dei_EntityCentralIndexKey |
| Namespace Prefix: |
dei_ |
| Data Type: |
dei:centralIndexKeyItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- DefinitionThe exact name of the entity filing the report as specified in its charter, which is required by forms filed with the SEC. Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher SEC
-Name Exchange Act
-Number 240
-Section 12
-Subsection b-2
| Name: |
dei_EntityRegistrantName |
| Namespace Prefix: |
dei_ |
| Data Type: |
xbrli:normalizedStringItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- References
+ Details
| Name: |
ffd_FeeExhibitTp |
| Namespace Prefix: |
ffd_ |
| Data Type: |
ffd:feeExhibitTypeItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- References
+ Details
| Name: |
ffd_RegnFileNb |
| Namespace Prefix: |
ffd_ |
| Data Type: |
ffd:fileNumberItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- References
+ Details
| Name: |
ffd_SubmissionLineItems |
| Namespace Prefix: |
ffd_ |
| Data Type: |
xbrli:stringItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- References
+ Details
| Name: |
ffd_SubmissnTp |
| Namespace Prefix: |
ffd_ |
| Data Type: |
ffd:submissionTypeItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
v3.24.3
| X |
- ReferencesReference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher SEC
-Name Securities Act
-Number 230
| Name: |
ffd_FeesSummaryLineItems |
| Namespace Prefix: |
ffd_ |
| Data Type: |
xbrli:stringItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- ReferencesReference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher SEC
-Name Securities Act
-Number 230
| Name: |
ffd_FnlPrspctsFlg |
| Namespace Prefix: |
ffd_ |
| Data Type: |
xbrli:booleanItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- ReferencesReference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher SEC
-Name Securities Act
-Number 230
| Name: |
ffd_NrrtvDsclsr |
| Namespace Prefix: |
ffd_ |
| Data Type: |
dtr-types:textBlockItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- ReferencesReference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher SEC
-Name Securities Act
-Number 230
| Name: |
ffd_NrrtvMaxAggtOfferingPric |
| Namespace Prefix: |
ffd_ |
| Data Type: |
ffd:nonNegative100TMonetary2ItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
JP Morgan Chase (NYSE:JPM-M)
Historical Stock Chart
From Mar 2025 to Apr 2025
JP Morgan Chase (NYSE:JPM-M)
Historical Stock Chart
From Apr 2024 to Apr 2025
