PRICING SUPPLEMENT
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-270004 and 333-270004-01
Dated June 26, 2024
JPMorgan Chase Financial Company LLC Trigger Autocallable Notes
$9,000,000 Linked to the lesser performing of the Invesco QQQ TrustSM,
Series 1 and the SPDR® S&P 500® ETF Trust due June 30, 2026
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
Trigger Autocallable Notes, which we refer to as the “Notes,”
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., linked to the lesser performing of the Invesco QQQ
TrustSM, Series 1 and the SPDR® S&P 500® ETF Trust (each, an “Underlying” and
together, the “Underlyings”). If the closing price of one share of each Underlying is at or above its Initial Value on any
Observation Date (after an initial one-year non-call period), JPMorgan Financial will automatically call the Notes and pay you a Call
Price equal to the principal amount per Note plus a Call Return. The Call Return increases the longer the Notes are outstanding.
If by maturity the Notes have not been automatically called and the Final Value of each Underlying is greater than or equal to its Downside
Threshold, JPMorgan Financial will repay the principal amount at maturity. If by maturity the Notes have not been automatically called
and the Final Value of either Underlying is less than its Downside Threshold, JPMorgan Financial will repay less than the principal amount,
if anything, at maturity, resulting in a loss of your principal amount that is proportionate to the decline in the closing price of one
share of the Underlying with the lower Underlying Return (the “Lesser Performing Underlying”) from its Initial Value to its
Final Value. The closing price of one share of each Underlying is subject to adjustments in the case of certain events described in the
accompanying product supplement under “The Underlyings — Funds — Anti-Dilution Adjustments.” Investing in the
Notes involves significant risks. The Notes do not pay interest. You may lose some or all of your principal amount. You will be exposed
to the market risk of each Underlying and any decline in the price of one share of one Underlying may negatively affect your return and
will not be offset or mitigated by a lesser decline or any potential increase in the price of one share of the other Underlying. Generally,
a higher Call Return Rate is associated with a greater risk of loss. The contingent repayment of principal applies only if you hold the
Notes to maturity. Any payment on the Notes, including any repayment of principal, is subject to the creditworthiness of JPMorgan Financial,
as issuer of the Notes, and the creditworthiness of JPMorgan Chase & Co., as guarantor of the Notes. 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 Notes and you could
lose your entire investment.
| q | Call
Return: JPMorgan Financial will automatically call the Notes for a Call Price equal to the principal amount plus a Call Return
if the closing price of one share of either Underlying on any Observation Date (after an initial one-year non-call period) is equal to
or greater than the Initial Value. The Call Return increases the longer the Notes are outstanding. If the Notes are not automatically
called, investors may be exposed to any depreciation of the Underlyings at maturity. |
| q | Downside
Exposure with Contingent Repayment of Principal Amount at Maturity: If by maturity the Notes have not been automatically called and
each Underlying closes at or above its Downside Threshold on the Final Valuation Date, JPMorgan Financial will repay the principal amount
at maturity. If, by maturity the Notes have not been automatically called and either Underlying closes below its Downside Threshold on
the Final Valuation Date, JPMorgan Financial will repay less than the principal amount, if anything, at maturity, resulting in a loss
that is proportionate to the decline in the closing price of one share of the Lesser Performing Underlying from its Initial Value to
its Final Value. The contingent repayment of principal applies only if you hold the Notes to maturity. Any payment on the Notes, including
any repayment of principal, is subject to the creditworthiness of JPMorgan Financial and JPMorgan Chase & Co. |
Key
Dates |
Trade Date |
June 26, 2024 |
Original Issue Date (Settlement Date) |
June 28, 2024 |
Observation Dates1 |
Monthly, beginning July 1, 2025 (see page 4) |
Final Valuation Date1 |
June 26, 2026 |
Maturity Date1 |
June 30, 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 Multiple Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement |
THE NOTES ARE SIGNIFICANTLY RISKIER THAN CONVENTIONAL DEBT INSTRUMENTS.
JPMORGAN FINANCIAL IS NOT NECESSARILY OBLIGATED TO REPAY THE FULL PRINCIPAL AMOUNT OF THE NOTES AT MATURITY, AND THE NOTES CAN HAVE DOWNSIDE
MARKET RISK SIMILAR TO THE LESSER PERFORMING 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 NOTES
IF YOU DO NOT UNDERSTAND OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS INVOLVED IN INVESTING IN THE NOTES.
YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER “KEY
RISKS” BEGINNING ON PAGE 2 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 NOTES. EVENTS RELATING TO ANY OF THOSE RISKS, OR OTHER RISKS AND UNCERTAINTIES,
COULD ADVERSELY AFFECT THE MARKET VALUE OF, AND THE RETURN ON, YOUR NOTES. YOU MAY LOSE SOME OR ALL OF YOUR INITIAL INVESTMENT IN THE
NOTES. THE NOTES WILL NOT BE LISTED ON ANY SECURITIES EXCHANGE.
We are offering Trigger Autocallable Notes linked to the lesser performing
of the Invesco QQQ TrustSM, Series 1 and the SPDR® S&P 500® ETF Trust. The Notes are offered
at a minimum investment of $1,000 in denominations of $10 and integral multiples thereof. The Call Return Rate applicable to each Observation
Date is provided in “Call Returns/Call Prices” in this pricing supplement.
Underlying |
Call Return Rate |
Initial Value |
Downside
Threshold |
CUSIP / ISIN |
Invesco QQQ TrustSM, Series 1 (Bloomberg ticker: QQQ)
|
9.40% per annum |
$480.37 |
$336.26, which is 70.00% of the Initial Value |
48131G857 / US48131G8574 |
SPDR® S&P 500® ETF Trust (Bloomberg Ticker: SPY) |
$545.51 |
$381.86, which is 70.00% of the Initial Value |
See “Additional Information about JPMorgan Financial, JPMorgan
Chase & Co. and the Notes” in this pricing supplement. The Notes 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 Notes 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 Notes 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 Public(1) |
Fees and Commissions(2) |
Proceeds to Issuer |
Offering of Notes |
Total |
Per Note |
Total |
Per Note |
Total |
Per Note |
Notes linked to the lesser performing of the Invesco QQQ TrustSM, Series 1 and the SPDR® S&P 500® ETF Trust |
$9,000,000 |
$10 |
180,000 |
$0.20 |
8,820,000 |
$9.80 |
(1) |
See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price to public of the Notes. |
(2) |
UBS Financial Services Inc., which we refer to as UBS, will receive selling commissions from us of $0.20 per $10 principal amount Note. 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 Notes, when the terms of the Notes
were set, was $9.683 per $10 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.
UBS Financial Services Inc. |
|
Additional
Information about JPMorgan Financial, JPMorgan Chase & Co. and 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.
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, the “Issuer,” “JPMorgan Financial,”
“we,” “us” and “our” refer to JPMorgan Chase Financial Company LLC.
Supplemental
Terms of the Notes |
For purposes of the accompanying product supplement, each of the Invesco
QQQ TrustSM, Series 1 and the SPDR® S&P 500® ETF Trust is a “Fund.”
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.
Investor
Suitability
The Notes may be suitable for you if, among other considerations:
t You
fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
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 the same downside
market risk as an investment in the Lesser Performing Underlying.
t You
are willing to accept the individual market risk of each Underlying and understand that any decline in the price of one share of one Underlying
will not be offset or mitigated by a lesser decline or any potential increase in the price of one share of the other Underlying.
t You
believe that each Underlying will close at or above the Initial Value on one of the specified Observation Dates.
t You
understand and accept that you will not participate in any appreciation of either Underlying and that your potential return is limited
to the applicable Call Return.
t You
can tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside price fluctuations
of the Underlyings.
t You
are willing to invest in the Notes based on the Call Return Rate indicated on the cover hereof.
t You
do not seek current income from this investment and are willing to forgo dividends paid on the Underlyings.
t You
are able and willing to invest in Notes that may be automatically called early (after an initial one-year non-call period) and you are
otherwise able and willing to hold the Notes to maturity.
t You
accept that there may be little or no secondary market for the Notes 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 Notes.
t You
understand and accept the risks associated with the Underlyings.
t You
are willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Notes, 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 Notes may not be suitable for you if, among other considerations:
t You
do not fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
t You
cannot tolerate a loss of all or a substantial portion of your investment or are unwilling to make an investment that may have the same
downside market risk as an investment in the Lesser Performing Underlying.
t You
are unwilling to accept the individual market risk of each Underlying or do not understand that any decline in the price of one share
of one Underlying will not be offset or mitigated by a lesser decline or any potential increase in the price of one share of the other
Underlying.
t You
require an investment designed to provide a full return of principal at maturity.
t You
believe that either Underlying will decline during the term of the Notes and is likely to close below its Initial Value on any Observation
Date and its Downside Threshold on the Final Valuation Date, exposing you to the full negative Lesser Performing Underlying Return at
maturity.
t You
seek an investment that participates in the full appreciation of either or both of the Underlyings or that has unlimited return potential.
t You
cannot tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside price fluctuations
of the Underlyings.
t You
are not willing to invest in the Notes based on the Call Return Rate indicated on the cover hereof.
t You
prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable maturities and
credit ratings.
t You
seek current income from this investment or prefer to receive the dividends paid on the Underlyings.
t You
are unable or unwilling to invest in Notes that may be automatically called early (after an initial one-year non-call period), or you
are otherwise unable or unwilling to hold the Notes to maturity, or you seek an investment for which there will be an active secondary
market.
t You
do not understand or accept the risks associated with the Underlyings.
t You
are not willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Notes, including
any repayment of principal. |
The suitability considerations identified above are not exhaustive.
Whether or not the Notes 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 Notes 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 Notes. For more information on
the Underlyings, please see the sections titled “The SPDR® S&P 500® ETF Trust” and “The
Invesco QQQ TrustSM, Series 1” 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 per Note |
Underlyings |
|
Invesco QQQ TrustSM, Series 1
SPDR® S&P 500® ETF Trust |
Principal Amount |
|
$10 per Note (subject to a minimum purchase of 100 Notes or $1,000) |
Term |
|
Approximately 2 years, unless automatically called earlier |
Call Feature |
|
The Notes will be automatically called if the closing price2 of one share of each Underlying on any Observation Date (after an initial one-year non-call period) is equal to or greater than its Initial Value. If the Notes are automatically called, JPMorgan Financial will pay you on the applicable Call Settlement Date a cash payment per Note equal to the applicable Call Price for the applicable Observation Date. |
Observation Dates1 |
|
As specified under the “Observation Dates” column of the table under “Call Returns/Call Prices” below |
Call Settlement Dates1 |
|
As specified under the “Call Settlement Dates” column of the table under “Call Returns/Call Prices” below |
Call Return |
|
The Call Return increases the longer the Notes are outstanding and is based upon a rate of 9.40% per annum. See “Call Returns/Call Prices.” |
Call Price |
|
The Call Price equals the principal amount per Note plus $10 × the applicable Call Return. |
Payment at Maturity (per $10 Note) |
|
If the Notes are not automatically called and the Final Value of each
Underlying is equal to or greater than the Downside Threshold, we will pay you a cash payment at maturity equal to $10 per $10 principal
amount Note.
If the Notes
are not automatically called and the Final Value of either Underlying is less than the Downside Threshold, we will pay you a cash
payment at maturity that is less than $10 per $10 principal amount Note, equal to:
$10 × (1 + Lesser Performing Underlying Return)
In this scenario, you will be exposed to the decline of the Lesser
Performing Underlying and you will lose some or all of your principal at maturity in an amount proportionate to the negative Underlying
Return of the Lesser Performing Underlying. |
Underlying Return |
|
Final Value – Initial Value
Initial Value |
Lesser Performing Underlying: |
|
The Underlying with the lower Underlying Return |
Lesser Performing Underlying Return: |
|
The lower of the Underlying Returns of the Underlyings |
Initial Value |
|
With respect to each Underlying, the closing price of one share of that Underlying on the Trade Date, as specified on the cover of this pricing supplement |
Final Value |
|
With respect to each Underlying, the closing price2 of one share of that Underlying on the Final Valuation Date |
Downside Threshold |
|
With respect to each underlying, a percentage of the Initial Value of that Underlying, as specified on the cover of this pricing supplement |
Share Adjustment Factor2 |
|
With respect to each Underlying, the Share Adjustment Factor is referenced in determining the closing price of one share of that Underlying. The Share Adjustment Factor of each Underlying is set initially at 1.0 on the Trade Date. |
1 |
See footnote 1 under “Key Dates” on the front cover. |
2 |
The closing price and the Share Adjustment Factor of each Underlying is subject to adjustments, in the case of certain events described in the accompanying product supplement under “The Underlyings — Funds — Anti-Dilution Adjustments.” |
Investment
Timeline |
Trade Date
|
|
The closing price of one share of each Underlying (Initial Value) is observed. The Downside Threshold of each Underlying is determined and the Call Return Rate is finalized. |
|
|
Observation
Dates (after an
initial one-year
non-call period) |
|
The Notes will be automatically called if the closing price of one
share of each Underlying on any Observation Date (after an initial one-year non-call period) is equal to or greater than its Initial Value.
If the Notes are automatically called, JPMorgan Financial will pay
the applicable Call Price for the applicable Observation Date: equal to the principal amount plus an amount based on the Call Return
Rate. |
|
|
Maturity Date |
|
If the Notes are not automatically called and the Final Value of each
Underlying is equal to or greater than its Downside Threshold, we will pay you a cash payment at maturity equal to $10 per $10 principal
amount Note.
If the Notes
are not automatically called and the Final Value of either Underlying is less than its Downside Threshold, we will pay you a cash
payment at maturity that is less than $10 per $10 principal amount Note, equal to:
$10 × (1 + Lesser Performing Underlying Return)
In this scenario, you will be exposed to the decline of the Lesser
Performing Underlying and you will lose some or all of your principal at maturity in an amount proportionate to the negative Underlying
Return of the Lesser Performing Underlying. |
|
|
|
|
|
|
INVESTING IN THE NOTES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE SOME OR ALL OF YOUR PRINCIPAL AMOUNT. YOU WILL BE EXPOSED TO THE MARKET RISK OF EACH UNDERLYING AND ANY DECLINE IN THE PRICE OF ONE SHARE OF ONE UNDERLYING MAY NEGATIVELY AFFECT YOUR RETURN AND WILL NOT BE OFFSET OR MITIGATED BY A LESSER DECLINE OR ANY POTENTIAL INCREASE IN THE PRICE OF ONE SHARE OF THE OTHER UNDERLYING. ANY PAYMENT ON THE NOTES, 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 NOTES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT. |
|
|
|
|
|
Call
Returns/Call Prices
Observation Dates† |
Call Settlement Dates† |
Call Return (numbers below reflect the rate of
9.40% per annum) |
Call Price (per $10) |
July 1, 2025 |
July 3, 2025 |
9.400% |
$10.9400 |
July 28, 2025 |
July 30, 2025 |
10.183% |
$11.0183 |
August 26, 2025 |
August 28, 2025 |
10.967% |
$11.0967 |
September 26, 2025 |
September 30, 2025 |
11.750% |
$11.1750 |
October 27, 2025 |
October 29, 2025 |
12.533% |
$11.2533 |
November 26, 2025 |
December 1, 2025 |
13.317% |
$11.3317 |
December 26, 2025 |
December 30, 2025 |
14.100% |
$11.4100 |
January 26, 2026 |
January 28, 2026 |
14.883% |
$11.4883 |
February 26, 2026 |
March 2, 2026 |
15.667% |
$11.5667 |
March 26, 2026 |
March 30, 2026 |
16.450% |
$11.6450 |
April 27, 2026 |
April 29, 2026 |
17.233% |
$11.7233 |
May 26, 2026 |
May 28, 2026 |
18.017% |
$11.8017 |
June 26, 2026
(Final Valuation Date) |
June 30, 2026
(Maturity Date) |
18.800% |
$11.8800 |
† |
See footnote 1 under “Key Dates” on the cover. |
|
|
What
Are the Tax Consequences of the Notes?
In determining our reporting responsibilities, we intend to treat the
Notes for U.S. federal income tax purposes as “open transactions” that are not debt instruments, as described in the section
entitled “Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Open Transactions
That Are Not Debt Instruments” in the accompanying product supplement no. UBS-1-I. Based on the advice of Davis Polk & Wardwell
LLP, our special tax counsel, we believe that this is a reasonable treatment, but that there are other reasonable treatments that the
IRS or a court may adopt, in which case the timing and character of any income or loss on the Notes could be materially and adversely
affected.
No statutory, judicial or administrative authority directly addresses
the characterization of the Notes (or similar instruments) for U.S. federal income tax purposes, and no ruling is being requested from
the IRS with respect to their proper characterization and treatment. Assuming that “open transaction” treatment is respected,
the gain or loss on your Notes should generally be treated as long-term capital gain or loss if you hold your Notes for more than a year,
whether or not you are an initial purchaser of the Notes at the issue price. However, the IRS or a court may not respect the treatment
of the Notes as “open transactions,” in which case the timing and character of any income or loss on the Notes could be materially
and adversely affected. For instance, the Notes could be treated as contingent payment debt instruments, in which case the gain on your
Notes would be treated as ordinary income and you would be required to accrue original issue discount on your Notes in each taxable year
at the “comparable yield,” as determined by us, although we will not make any payment with respect to the Notes until maturity.
In addition, in 2007 Treasury and the IRS released a notice requesting
comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses
in particular on whether to require investors in these instruments to accrue income over the term of their investment. It also asks for
comments on a number of related topics, including the character of income or loss with respect to these instruments; the relevance of
factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including
any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should
be subject to the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term capital
gain as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate transition rules and
effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely
affect the tax consequences of an investment in the Notes, possibly with retroactive effect. You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement and consult your tax adviser regarding
the U.S. federal income tax consequences of an investment in the Notes, including possible alternative treatments and the issues presented
by this notice.
Section 871(m) of the Code and Treasury regulations promulgated thereunder
(“Section 871(m)”) generally impose a 30% withholding tax
(unless an income tax treaty applies) on dividend equivalents paid or deemed
paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include U.S. equities.
Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked to certain broad-based indices
that meet requirements set forth in the applicable Treasury
regulations. Additionally, a recent IRS notice excludes from the scope of
Section 871(m) instruments issued prior to January 1, 2027 that do not have a delta of one with respect to underlying securities that
could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on certain determinations
made by us, our special tax counsel is of the 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.
Key
Risks
An investment in the Notes involves significant risks. Investing in
the Notes is not equivalent to investing directly in either or both of the Underlyings. 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 Notes.
Risks Relating to the Notes Generally
| t | Your Investment in the Notes May Result in a Loss — The Notes
differ from ordinary debt securities in that JPMorgan Financial will not necessarily repay the full principal amount of the Notes. If
the Notes are not automatically called and the closing price of one share of either Underlying has declined below its Downside Threshold
on the Final Valuation Date, you will be fully exposed to any depreciation of the Lesser Performing Underlying from its Initial Value
to its Final Value. In this case, JPMorgan Financial will repay less than the full principal amount at maturity, resulting in a loss of
principal that is proportionate to the negative Underlying Return of the Lesser Performing Underlying. Under these circumstances, you
will lose 1% of your principal for every 1% that the Final Value of the Lesser Performing Underlying is less than its Initial Value. Accordingly,
you could lose up to your entire principal amount. As a result, your investment in the Notes may not perform as well as an investment
in a security that does not have the potential for full downside exposure to either Underlying at maturity. |
| t | Credit Risks of JPMorgan Financial and JPMorgan Chase & Co. —
The Notes 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 Notes 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 Notes and related guarantees are not, either directly or indirectly,
an obligation of any third party. Any payment to be made on the Notes, 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 Notes 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 Notes 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 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. |
| t | Limited Return on the Notes — If the Notes are automatically
called, your potential gain on the Notes will be limited to the applicable Call Return, regardless of any appreciation of either Underlying,
which may be significant. Because the Call Return increases the longer the Notes have been outstanding and your Notes can be automatically
called as early as the first Observation Date (after an initial one-year non-call period), the term of the Notes could be cut short and
the return on the Notes would be less than if the Notes were automatically called at a later date. In addition, because the closing price
of one share of either Underlying at various times during the term of the Notes could be higher than on the Observation Dates and on the
Final Valuation Date, you may receive a lower payment if the Notes are automatically called or at maturity, as the case may be, than you
would have if you had hypothetically invested directly in either Underlying. Even though you will not participate in any potential appreciation
of either Underlying, you may be exposed to either Underlying’s downside market risk if the Notes are not automatically called. |
| t | Because the Notes Are Linked to the Lesser Performing Underlying, You Are
Exposed to Greater Risks of the Notes Not Being Automatically Called and Sustaining a Significant Loss on Your Investment at Maturity
Than If the Notes Were Linked to a Single Underlying — The risk that the Notes will not be automatically called and you will
lose some or all of your initial investment in the Notes at maturity is greater if you invest in the Notes as opposed to substantially
similar securities that are linked to the performance of a single Underlying. With two Underlyings, it is more likely that the closing
price of one share of either Underlying will be less than its Initial Value on the Observation Dates prior to the Final Valuation Date
or less than its Downside Threshold on the Final Valuation Date. Therefore, it is more likely that the Notes will not be automatically
called and that you will suffer a significant loss on your investment at maturity. In addition, the performance of the Underlyings may
not be correlated or may be negatively correlated. |
The lower the correlation between two Underlyings,
the greater the potential for one of those Underlyings to close below its Initial Value or Downside Threshold on an Observation Date prior
to the Final Valuation Date or on the Final Valuation Date, respectively. Although the correlation of the Underlyings’ performance
may change over the term of the Notes, the Call Return Rate is determined, in part, based on the correlation of the Underlyings’
performance, as calculated using internal models of our affiliates at the time when the terms of the Notes are finalized. A higher Call
Return Rate is generally associated with lower correlation of the Underlyings, which reflects a greater potential for the Notes not being
automatically called and for a loss of principal at maturity. The correlation referenced in setting the terms of the Notes is calculated
using internal models of our affiliates and is not derived from the returns of the Underlyings over the period set forth under “Correlation
of the Underlyings” below. In addition, other factors and inputs other than correlation may impact how the terms of the Notes are
set and the performance of
the Notes. Furthermore, because the closing
price of one share of each Underlying must be greater than or equal to its Initial Value on any Observation Date in order for the notes
to be automatically called, the Notes are less likely to be automatically called on any Observation Date than if the Notes were linked
to a single Underlying.
| t | You Are Exposed to the Risk of Decline in the Price of One Share of Each
Underlying — Your return on the Notes and your payment at maturity, if any, is not linked to a basket consisting of the Underlyings.
If the Notes have not been automatically called, your payment at maturity is contingent upon the performance of each individual Underlying
such that you will be equally exposed to the risks related to either of the Underlyings. In addition, the performance of the Underlyings
may not be correlated. Poor performance by either of the Underlyings over the term of the Notes may negatively affect whether the Notes
will be automatically called and your payment at maturity and will not be offset or mitigated by positive performance by the other Underlying.
Accordingly, your investment is subject to the risk of decline in the price of one share of each Underlying. |
| t | Your Payment at Maturity Will Be Determined by the Lesser Performing Underlying
— Because, if the Notes have not been automatically called, the payment at maturity will be determined based on the performance
of the Lesser Performing Underlying, you will not benefit from the performance of the other Underlying. Accordingly, if the Notes have
not been automatically called and the Final Value of either Underlying is less than its Downside Threshold, you will lose some or all
of your principal amount at maturity, even if the Final Value of the other Underlying is greater than or equal to its Initial Value. |
| t | The Contingent Repayment of Principal Applies Only If You Hold the
Notes to Maturity — If you are able to sell your Notes 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 prices
of one share of both of the Underlyings are above their respective Downside Thresholds. If by maturity the Notes have not been automatically
called, either JPMorgan Financial will repay you the full principal amount per Note, or, if either Underlying closes below its Downside
Threshold on the Final Valuation Date, JPMorgan Financial will repay less than the principal amount, if anything, resulting in a loss
that is proportionate to the decline in the closing price of one share of the Lesser Performing Underlying from its Initial Value to its
Final Value. The contingent repayment of principal is based on whether the Final Value of the Lesser Performing Underlying is below the
Downside Threshold and applies only if you hold your Notes to maturity. |
| t | A Higher Call Return Rate and/or a Lower Downside Threshold May Reflect Greater Expected Volatility of the Underlyings, Which Is
Generally Associated with a Greater Risk of Loss — Volatility is a measure
of the degree of variation in the prices of one share of the Underlyings over a period of time. The greater the expected volatilities
of the Underlyings at the time the terms of the Notes are set, the greater the expectation is at that time that the Notes will not be
automatically called for the applicable Call Price and that you may lose a significant portion or all of your principal at maturity. In
addition, the economic terms of the Notes, including the Call Return Rate and the Downside Threshold, are based, in part, on the expected
volatilities of the Underlyings at the time the terms of the Notes are set, where higher expected volatilities will generally be reflected
in a higher Call Return Rate than the fixed rate we would pay on conventional debt securities of the same maturity and/or on otherwise
comparable securities and/or a lower Downside Threshold as compared to otherwise comparable securities. Accordingly, a higher Call Return
Rate will generally be indicative of a greater risk of loss while a lower Downside Threshold does not necessarily indicate that the Notes
have a greater likelihood of returning your principal at maturity. You should be willing to accept the downside market risk of each
Underlying and the potential loss of some or all of your principal at maturity. |
| t | Reinvestment Risk — If your Notes are automatically called early,
the holding period over which you would have the opportunity to receive the Call Return Rate could be as short as approximately one year.
There is no guarantee that you would be able to reinvest the proceeds from an investment in the Notes at a comparable rate of return for
a similar level of risk in the event the Notes are automatically called prior to the Maturity Date. |
| t | No Periodic Interest Payments — You will not receive any periodic
interest payments on the Notes. |
| t | Investing in the Notes Is Not Equivalent to Investing in the Underlyings or the Equity Securities Held by the Underlyings —
Investing in the Notes is not equivalent to investing in the Underlyings or the
equity securities held by the Underlyings. As an investor in the Notes, you will not have any ownership interest or rights in the Underlyings
or the equity securities held by the Underlyings, such as voting rights, dividend payments or other distributions. |
| t | Your Return on the Notes Will Not Reflect Dividends on the Underlyings
or the Equity Securities Held by the Underlyings — Your return on the Notes will not reflect the return you would realize if
you actually owned the Underlyings or the equity securities held by the Underlyings and received the dividends on the Underlyings or those
equity securities. This is because the calculation agent will determine whether the Notes will be called and, if the Notes are not called,
will calculate the amount payable to you at maturity of the Notes by reference to the closing price of one share of each Underlying on
the relevant Observation Date, without taking into consideration the value of dividends on the Underlyings or the equity securities held
by the Underlyings. |
| t | No Assurances That the Investment View Implicit in the Notes Will Be Successful
— While the Notes are structured to provide potentially enhanced returns in a flat or bullish environment, we cannot assure you
of the economic environment during the term or at maturity of your Notes and you may lose some or all of your investment at maturity if
the Notes have not been automatically called. |
| t | Lack of Liquidity — The Notes will not be listed on any securities
exchange. JPMS intends to offer to purchase the Notes 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 Notes easily. Because other dealers are not likely to make
a secondary market for the Notes, 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. |
| t | Tax Treatment — Significant aspects of the tax treatment of the
Notes 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 Notes, including acting as calculation agent and hedging our obligations under the Notes
and making the assumptions used to determine the pricing of the Notes and the estimated value of the Notes when the terms of the Notes
are set, which we refer to as the estimated value of the Notes. 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 Notes. 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 Notes and the value of 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 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 Notes, 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 either Underlying and could affect the level of an Underlying,
and therefore the market value of the Notes. |
| t | Potential JPMorgan Financial Impact on the Level of an Underlying —
Trading or transactions by JPMorgan Financial or its affiliates in an Underlying and/or over-the-counter options, futures or other instruments
with returns linked to the performance of an Underlying may adversely affect the level of that Underlying and, therefore, the market value
of the Notes. |
Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes
| t | 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. |
| t | The Estimated Value of the Notes Does Not Represent Future Values of the
Notes and May Differ from Others’ Estimates — The estimated value of the Notes is determined by reference to internal
pricing models of our affiliates when the terms of the Notes are set. This estimated value of the Notes 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 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. See “The
Estimated Value of the Notes” in this pricing supplement. |
| t | 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. |
| t | 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. 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. 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). |
| t | 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 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. See the immediately following risk factor for information about
additional factors that will impact any secondary market prices of the 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. See “— Risks Relating to
the Notes Generally — Lack of Liquidity” above.
| t | Many Economic and Market Factors Will Impact the Value of the Notes —
As described under “The Estimated Value of the Notes” in this pricing supplement, the Notes 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 Notes
at issuance and their value in the secondary market. Accordingly,
the secondary market price of the Notes during their term will be impacted by a number of economic and market factors, which may either
offset or magnify each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and the prices
of one share of the Underlyings, 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 prices of one share of the Underlyings; |
| t | the
time to maturity of the Notes; |
| t | whether
the Final Value of either Underlying is expected to be less than its Downside Threshold |
| t | the
likelihood of an automatic call being triggered; |
| t | the
dividend rates on the Underlyings and the equity securities held by the Underlyings; |
| t | the
occurrence of certain events affecting an Underlying that may or may not require an adjustment to the closing price and the Share Adjustment
Factor of that Underlying; |
| t | the
actual and expected positive or negative correlation between the Underlyings, or the actual or expected absence of any such correlation |
| t | interest
and yield rates in the market generally; 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 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.
Risks Relating to the Underlyings
| t | JPMorgan Chase & Co. Is Currently One of the Companies that Make Up
the SPDR® S&P 500® ETF Trust and Its Underlying Index — JPMorgan
Chase & Co. is currently one of the companies that make up the SPDR® S&P 500® ETF Trust and its
Underlying Index (as defined under “The Underlyings” below). JPMorgan Chase & Co. will not have any obligation to consider
your interests as a holder of the Notes in taking any corporate action that might affect the price of the SPDR® S&P
500® ETF Trust or the level of its Underlying Index. |
| t | No Affiliation with the Underlyings or the Issuers of the Equity Securities
Held by the Underlyings — We are not affiliated with the Underlyings or, to our knowledge, the issuers of the equity securities
held by the Underlyings. We have not independently verified the information about the Underlyings or the issuers of the equity securities
held by the Underlyings contained in this pricing supplement. You should make your own investigation into the Underlyings and the issuers
of the equity securities held by the Underlyings. We are not responsible for the public disclosure of information by the Underlyings or
the issuers of the equity securities held by the Underlyings, whether contained in SEC filings or otherwise. |
| t | There Are Risks Associated with the Underlyings —
Although shares of the Underlyings are listed for trading on a securities
exchange and a number of similar products have been trading on a securities exchange for varying periods of time, there is no assurance
that an active trading market will continue for the shares of the Underlyings or that there will be liquidity in the trading market. The
Underlyings are subject to management risk, which is the risk that the investment strategies of the applicable Underlying’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 Underlyings, and consequently, the value of the Notes. |
| t | The Performance and Market Value of Each Underlying, Particularly During
Periods of Market Volatility, May Not Correlate with the Performance of that Underlying’s Underlying Index as well as the Net Asset
Value per Share — Each Underlying does not fully replicate its Underlying Index (as defined under “The Underlyings”
below) and may hold securities different from those included in their Underlying Indices. In addition, the performance of each Underlying
will reflect additional transaction costs and fees that are not included in the calculation of that Underlying Index. All of these factors
may lead to a lack of correlation between the performance of each Underlying and its Underlying Index. In addition, corporate actions
with respect to the equity securities underlying an Underlying (such as mergers and spin-offs) may impact the variance between the performances
of that Underlying and its Underlying Index. Finally, because the shares of each Underlying are traded on a securities exchange and are
subject to market supply and investor demand, the market value of one share of each Underlying may differ from the net asset value per
share of that Underlying. |
During periods of market volatility, securities
underlying each Underlying may be unavailable in the secondary market, market participants may be unable to calculate accurately the net
asset value per share of that Underlying and the liquidity of that Underlying may be adversely affected. This kind of market volatility
may also disrupt the ability of market participants to create and redeem shares of an Underlying. Further, market volatility may adversely
affect, sometimes materially, the prices at which market participants are willing to buy and sell shares of an Underlying. As a result,
under these circumstances, the market value of shares of an Underlying may vary substantially from the net asset value per share of that
Underlying. For all of the foregoing reasons, the performance of each Underlying may not correlate with the performance of its Underlying
Index as well as the net
asset value per share of that Underlying,
which could materially and adversely affect the value of the Notes in the secondary market and/or reduce any payment on the Notes.
| t | Non-U.S. Securities Risk with respect to the Invesco QQQ TrustSM,
Series 1 — Some of the equity securities held by the Invesco QQQ TrustSM, Series 1 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 of the
issuers of those non-U.S. equity securities. The prices of non-U.S. equity securities may be adversely affected by political, economic,
financial and social factors in the home countries of the issuers of the non-U.S. companies, including changes in those countries’
government, economic and fiscal policies, currency exchange laws or other laws or restrictions. |
| t | Anti-Dilution Protection Is Limited — Although the calculation
agent will adjust the closing price and the Share Adjustment Factor of each Underlying for certain events affecting that Underlying, the
calculation agent is not required to make an adjustment for every event that can affect that Underlying. If an event occurs that
does not require the calculation agent to make these adjustments, the market value of your Notes and any payment on the Notes may be materially
and adversely affected. |
Hypothetical
Examples
Hypothetical terms only. Actual terms may vary.
See the cover page for actual offering terms.
The examples below illustrate the hypothetical payment upon an automatic
call or at maturity under different hypothetical scenarios for a $10 Note on an offering of the Notes linked to two hypothetical Underlyings,
with the assumptions set forth in the table below. The hypothetical Initial Value of $100.00 for each Underlying has been chosen for illustrative
purposes only and does not represent the actual Initial Value for either Underlying. The actual Initial Value and the resulting Downside
Threshold of each Underlying is based on the closing price of one share of that Underlying on the Trade Date and are specified on the
cover of this pricing supplement. For historical data regarding the actual closing prices of one share of each Underlying, please see
the historical information set forth under “The Invesco QQQ TrustSM, Series 1” and “The SPDR®
S&P 500® ETF Trust” in this pricing supplement. The actual Downside Threshold percentage is specified on the
cover of this pricing supplement. The hypothetical payments on the Notes set forth in the examples below are for illustrative purposes
only and may not be the actual returns applicable to a purchaser of the Notes. The actual payment on the Notes may be more or less than
the amounts displayed below and will be determined based on the actual terms of the Notes, including the Initial Value, the Downside Threshold
of each Underlying, the Call Return Rate and the Final Value of each Underlying on the Final Valuation Date. You should consider carefully
whether the Notes are suitable to your investment goals. The numbers appearing in the examples below have been rounded for ease of analysis.
In these examples, we refer to the Invesco QQQ TrustSM, Series 1 Fund and the SPDR® S&P 500®
ETF Trust as the “QQQ Fund” and the “SPY Fund,” respectively.
Principal Amount: |
$10 |
Term: |
Approximately 2 years (unless earlier automatically called) |
Hypothetical Initial Value: |
$100.00 for the QQQ Fund and $100.00 for the SPY Fund |
Hypothetical Call Return Rate: |
6.00% per annum (or 0.50% monthly) |
Observation Dates: |
Monthly (after an initial one-year non-call period) |
Hypothetical Downside Threshold: |
$90.00 for the QQQ Fund and $90.00 for the SPY Fund (which, with respect to each Underlying, is 90% of the hypothetical Initial Value of that Underlying) |
The examples below are purely hypothetical and are intended to illustrate
how the value of any payment on the Notes will depend on the closing price of one share of each Underlying on the Observation Dates.
Example 1 — Notes Are Automatically Called on the First Observation
Date
Date |
|
Closing Price |
|
Payment (per Note) |
First Observation Date |
|
QQQ Fund:
$105.00
SPY Fund:
$110.00 |
|
Closing price of one share of each Underlying at or above its Initial Value; Notes are automatically called. |
Call Price (per Note) |
= |
$10.60 |
Because the Notes are automatically called on the first Observation
Date, we will pay you on the applicable Call Settlement Date a total Call Price of $10.60 per $10 principal amount (6.00% return on the
Notes). No further amounts will be owed on the Notes.
Example 2 — Notes Are Automatically Called on the Final Valuation
Date
Date |
|
Closing Price |
|
Payment (per Note) |
First Observation Date |
|
QQQ Fund:
$80.00
SPY Fund:
$95.00 |
|
Closing price of one share of each Underlying below its Initial Value; Notes NOT automatically called. |
Second Observation Date |
|
QQQ Fund:
$90.00
SPY Fund:
$100.00 |
|
Closing price of one share of QQQ Fund below its Initial Value; Notes NOT automatically called. |
Third through Twelfth Observation Dates |
|
Various (below Initial Value) |
|
Closing price of one share of each Underlying below its Initial Value; Notes NOT automatically called. |
Final Observation Date |
|
QQQ Fund:
$115.00
SPY Fund:
$110.00 |
|
Closing price of one share of each Underlying at or above its Initial Value, Notes are automatically called. |
Call Price (per Note) |
= |
$11.20 |
Because the Notes are automatically called on the Final Valuation Date,
we will pay you on the applicable Call Settlement Date (which coincides with the Maturity Date in this example) a total Call Price of
$11.20 per $10 principal amount (12.00% return on the Notes).
Example 3 — Notes Are NOT Automatically Called and the Final
Value Is Above the Downside Threshold
Date |
|
Closing Price |
|
Payment (per Note) |
First Observation Date |
|
QQQ Fund:
$80.00
SPY Fund:
$95.00 |
|
Closing price of one share of each Underlying below its Initial Value; Notes NOT automatically called. |
Second Observation Date |
|
QQQ Fund:
$100.00
SPY Fund:
$90.00 |
|
Closing price of one share of SPY Fund below its Initial Value; Notes NOT automatically called. |
Third through Twelfth Observation Dates |
|
Various (below Initial Value) |
|
Closing price of one share of each Underlying below its Initial Value; Notes NOT automatically called. |
Final Observation Date |
|
QQQ Fund:
$95.00
SPY Fund:
$110.00 |
|
Closing price of one share of QQQ Fund below its Initial Value, but closing price of one share of each Underlying at or above its Downside Threshold; Notes NOT automatically called. |
Payout at Maturity (per Note) |
= |
$10.00 |
Because the Notes are not automatically called and the Final Value
of each Underlying is at or above its Downside Threshold, at maturity we will pay you a total of $10.00 per $10 principal amount (a 0%
return on the Notes).
Example 4 — Notes Are NOT Automatically Called and the Final
Value Is Below the Downside Threshold
Date |
|
Closing Price |
|
Payment (per Note) |
First Observation Date |
|
QQQ Fund:
$90.00
SPY Fund:
$85.00 |
|
Closing price of one share of each Underlying below its Initial Value; Notes NOT automatically called. |
Second Observation Date |
|
QQQ Fund:
$95.00
SPY Fund:
$110.00 |
|
Closing price of one share of QQQ Fund below its Initial Value; Notes NOT automatically called. |
Third through Twelfth Observation Dates |
|
Various (below Initial Value) |
|
Closing price of one share of each Underlying below its Initial Value; Notes NOT automatically called. |
Final Observation Date |
|
QQQ Fund:
$50.00
SPY Fund:
$110.00 |
|
Closing price of one share of QQQ Fund below its Initial Value and its Downside Threshold, Notes NOT automatically called |
Payout at Maturity (per Note) |
= |
$10.00 × (1 + Lesser Performing Underlying Return)
$10.00 × (1 + -50%)
$5.00 |
Because the Notes are not automatically called, the Final Value of
the Lesser Performing Underlying is below the Downside Threshold and the Lesser Performing Underlying Return is -50%, at maturity we will
pay you a total of $5.00 per $10 principal amount (a 50% loss on the Notes).
The hypothetical returns and hypothetical payments on the Notes shown
above apply only if you hold the Notes for their entire term or until automatically called. These hypotheticals do not reflect
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
Underlyings
Included on the following pages is a brief description of the Underlyings.
This information has been obtained from publicly available sources, without independent verification. We obtained the closing price information
set forth below from the Bloomberg Professional® service (“Bloomberg”), without independent verification. You
should not take the historical values of either Underlying as an indication of future performance.
The
Invesco QQQ TrustSM, Series 1
The Invesco QQQ TrustSM, Series 1 is an exchange-traded
fund that seeks to track the investment results, before fees and expenses, of the Nasdaq-100 Index®, which we refer to
as the Underlying Index with respect to the Invesco QQQ TrustSM, Series 1. The Nasdaq-100 Index® is a modified
market capitalization-weighted index of 100 of the largest non-financial securities listed on The Nasdaq Stock Market based on market
capitalization. For additional information about the Invesco QQQ TrustSM, Series 1, see “Fund Descriptions — The
Invesco QQQ TrustSM, Series 1” in the accompanying underlying supplement.
Historical Information Regarding the Invesco QQQ TrustSM,
Series 1
The graph below illustrates the daily performance of the Invesco
QQQ TrustSM, Series 1 from January 2, 2014 through June 26, 2024, based on information from Bloomberg, without independent
verification. The closing price of one share of the Invesco QQQ TrustSM, Series 1 on June 26, 2024 was $480.37. We obtained
the closing prices of one share of the Invesco QQQ TrustSM, Series 1 above and below from Bloomberg, without independent verification.
The closing prices above and below may have been adjusted by Bloomberg for certain actions, such as stock splits. You should not take
the historical prices of one share of the Invesco QQQ TrustSM, Series 1 as an indication of future performance.
The dotted line represents the Downside Threshold of $336.26,
equal to 70% of the closing price of one share of the Invesco QQQ TrustSM, Series 1 on June 26, 2024.
Past performance of the Invesco QQQ TrustSM, Series
1 is not indicative of the future performance of the Invesco QQQ TrustSM, Series 1.
The
SPDR® S&P 500® ETF Trust
The SPDR® S&P 500® ETF Trust is a registered
investment company whose trust units represent an undivided ownership interest in a portfolio of all, or substantially all, of the common
stocks of the S&P 500® Index. The SPDR® S&P 500® ETF Trust seeks to provide investment
results that, before expenses, generally correspond to the price and yield performance of the S&P 500® Index, which
we refer to as the Underlying Index with respect to the SPDR® S&P 500® ETF Trust. The S&P 500®
Index consists of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For additional
information about the SPDR® S&P 500® ETF Trust, see “Fund Descriptions — The SPDR®
S&P 500 ETF® Trust” in the accompanying underlying supplement.
Historical Information Regarding the SPDR® S&P
500® ETF Trust
The graph below illustrates the daily performance of the SPDR®
S&P 500® ETF Trust from January 2, 2014 through June 26, 2024, based on information from Bloomberg, without independent
verification. The closing price of one share of the SPDR® S&P 500® ETF Trust on June 26, 2024 was $545.51.
We obtained the closing prices of one share of the SPDR® S&P 500® ETF Trust above and below from Bloomberg,
without independent verification. The closing prices above and below may have been adjusted by Bloomberg for certain actions, such as
stock splits. You should not take the historical prices of one share of the SPDR® S&P 500® ETF Trust
as an indication of future performance.
The dotted line represents the Downside Threshold of $381.86,
equal to 70% of the closing price of one share of the SPDR® S&P 500® ETF Trust on June 26, 2024.
Past performance of the SPDR® S&P 500®
ETF Trust is not indicative of the future performance of the SPDR® S&P 500® ETF Trust.
Correlation
of the Underlyings
The graph below illustrates the daily performance of the Invesco
QQQ TrustSM, Series 1 and the SPDR® S&P 500® ETF Trust from January 2, 2014 through June
26, 2024. For comparison purposes, each Underlying has been normalized to have a closing price of one share of $100.00 on January 2, 2014
by dividing the closing price of one share of that Underlying on each day by the closing price of one share of that Underlying on January
2, 2014 and multiplying by 100.00. We obtained the closing prices used to determine the normalized closing prices set forth below from
Bloomberg, without independent verification.
Past performance of the Underlyings is not indicative
of the future performance of the Underlyings.
The correlation of
a pair of Underlyings represents a statistical measurement of the degree to which the returns of those Underlyings were similar to each
other over a given period in terms of timing and direction. The correlation
between a pair of Underlyings is scaled from 1.0 to -1.0, with 1.0 indicating perfect positive correlation (i.e., the value of
both Underlyings are increasing together or decreasing together and the ratio of their returns has been constant), 0 indicating no correlation
(i.e., there is no statistical relationship between the returns of that pair of Underlyings) and -1.0 indicating perfect negative
correlation (i.e., as the value of one Underlying increases, the value of the other Underlying decreases and the ratio of their
returns has been constant).
The closer the
relationship of the returns of a pair of Underlyings over a given period, the more positively correlated those Underlyings are. The
graph above illustrates the historical performance of each Underlying relative to each other over the time period shown and provides an
indication of how close the relative performance of each Underlying has historically been to the other Underlying.
The lower (or
more negative) the correlation between the Underlyings, the less likely it is that the Underlyings will move in the same direction and,
therefore, the greater the potential for one of the Underlyings to close below its Initial Value on any Observation Date prior to the
Final Valuation Date or its Downside Threshold on the Final Valuation Date. This
is because the less positively correlated the Underlyings are, the greater the likelihood that at least one of the Underlyings will decrease
in value. However, even if the Underlyings have a higher positive
correlation, one or both of the Underlyings might close below its Initial Value on any Observation Date prior to the Final Valuation Date
or its Downside Threshold on the Final Valuation Date, as both of the Underlyings may decrease in value together.
Although the correlation
of the Underlyings’ performance may change over the term of the Notes, the Call Return Rate is determined, in part, based on the
correlation of the Underlyings’ performance calculated using internal models of our affiliates at the time when the terms of the
Notes are finalized. A higher Call Return Rate is generally associated
with lower correlation of the Underlyings, which reflects a greater potential for the Notes not being automatically called or for a loss
of principal at maturity. The correlation referenced in setting the
terms of the Notes is calculated using internal models of our affiliates and is not derived from the returns of the Underlyings over the
period set forth above. In addition, other factors and inputs other
than correlation may impact how the terms of the Notes are set and the performance of the Notes.
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
Notes 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 Notes 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 Notes, 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.
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 values
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 “Key Risks — 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. See “Key Risks — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The
Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ from Others’ Estimates” in this
pricing supplement.
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 UBS, 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. We or one or more of our affiliates will retain any profits realized in
hedging our obligations under the Notes. See “Key Risks — Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes — The Estimated Value of the Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes” in
this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact any secondary market prices
of the Notes, see “Key Risks — 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 this pricing 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 that is intended to
be up to seven months. The length of any such initial period reflects secondary market volumes for the Notes, 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 “Key Risks — 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 Examples” in this pricing supplement
for an illustration of the risk-return profile of the Notes and “The Underlyings” in this pricing supplement for a description
of the market exposure provided by the Notes.
The original issue price of the Notes is equal to the estimated value
of the Notes plus the selling commissions paid to UBS, 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.
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 $9,000,000.
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