July 8, 2024 |
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024060475/image_001.jpg)
JPMorgan Chase Financial Company LLC
Structured Investments
$100,000
Capped Notes Linked to the Dow Jones Industrial Average®
due July 1, 2027
Fully and Unconditionally Guaranteed by JPMorgan Chase
& Co.
| · | The notes are designed for investors who seek exposure to any appreciation of the Dow Jones Industrial Average® over
the term of the notes, up to a maximum return of 35.60% at maturity. |
| · | Investors should be willing to forgo interest and dividend payments, while seeking repayment of at least 95.00% of 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. |
| · | Minimum denominations of $1,000 and integral multiples thereof |
| · | The notes priced on July 8, 2024 (the “Pricing Date”) and are expected to settle on or about July 11, 2024. The Strike
Value has been determined by reference to the closing level of the Index on June 28, 2024 and not by reference to the closing level
of the Index on the Pricing Date. |
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 |
$3.50 |
$996.50 |
Total |
$100,000 |
$350 |
$99,650 |
(1) See “Supplemental Use of Proceeds”
in this pricing supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer to as
JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions of $3.50 per $1,000 principal amount note it receives
from us to other affiliated or unaffiliated dealers. See “Plan of Distribution (Conflicts of Interest)” in the accompanying
product supplement. |
The estimated value of the notes, when the terms of the notes were
set, was $979.40 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.
Index:
The Dow Jones Industrial Average® (Bloomberg ticker: INDU)
Participation Rate:
100.00%
Maximum Amount:
$356.00 per $1,000 principal amount note
Strike Date: June 28, 2024
Pricing
Date: July 8, 2024
Original
Issue Date (Settlement Date): On or about July 11, 2024
Observation
Date*: June 28, 2027
Maturity
Date*: July 1, 2027
* Subject to postponement
in the event of a market disruption event and as described under “General Terms of Notes — Postponement of a Determination
Date — Notes Linked to a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” and
“General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement |
Payment at Maturity:
If the Final Value is greater than the Strike Value, at maturity,
you will receive a cash payment, for each $1,000 principal amount note, of $1,000 plus the Additional Amount, which will not be
greater than the Maximum Amount.
If the Final Value is equal to or less than the Strike Value, your
payment at maturity will be calculated as follows:
$1,000 + ($1,000 × Index 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 is less than the Strike 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 × Index Return × Participation
Rate,
provided that the Additional Amount will not be greater than
the Maximum Amount.
Index Return:
(Final Value – Strike Value)
Strike Value
Strike Value: The closing
level of the Index on the Strike Date, which was 39,118.86. The Strike Value is not the closing level of the Index on the Pricing
Date.
Final
Value: The closing level of the Index on the Observation Date
|
PS-1
| Structured Investments
Capped Notes Linked to the Dow Jones Industrial Average® |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024060475/image_001.jpg) |
Hypothetical Payout
Profile
The following table and graph illustrate the hypothetical
payment at maturity on the notes linked to a hypothetical Index. The hypothetical payments set forth below assume the following:
| · | a Strike Value of 100.00; and |
| · | a Participation Rate of 100.00%; and |
| · | a Maximum Amount of $356.00 per $1,000 principal amount note. |
The hypothetical Strike Value of 100.00 has been chosen
for illustrative purposes only and does not represent the actual Strike Value. The actual Strike Value is the closing level of the Index
on the Strike Date and is specified under “Key Terms — Strike Value” in this pricing supplement. For historical data
regarding the actual closing levels of the Index, please see the historical information set forth under “The Index” in this
pricing supplement.
Each hypothetical total return or hypothetical payment
at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable
to a purchaser of the notes. The numbers appearing in the following table and graph have been rounded for ease of analysis.
Final Value |
Index Return |
Additional Amount |
Payment at Maturity |
180.00 |
80.00% |
$356.00 |
$1,356.00 |
165.00 |
65.00% |
$356.00 |
$1,356.00 |
150.00 |
50.00% |
$356.00 |
$1,356.00 |
140.00 |
40.00% |
$356.00 |
$1,356.00 |
135.60 |
35.60% |
$356.00 |
$1,356.00 |
130.00 |
30.00% |
$300.00 |
$1,300.00 |
120.00 |
20.00% |
$200.00 |
$1,200.00 |
110.00 |
10.00% |
$100.00 |
$1,100.00 |
105.00 |
5.00% |
$50.00 |
$1,050.00 |
101.00 |
1.00% |
$10.00 |
$1,010.00 |
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
Capped Notes Linked to the Dow Jones Industrial Average® |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024060475/image_001.jpg) |
The following graph demonstrates the hypothetical payments
at maturity on the notes for a range of Index Returns. There can be no assurance that the performance of the Index 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.
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024060475/image_002.jpg)
How the Notes
Work
Upside Scenario:
If the Final Value is greater than the Strike Value,
investors will receive at maturity the $1,000 principal amount plus the Additional Amount, which is equal to $1,000 times the
Index Return times the Participation Rate of 100.00% and which will not be greater than the Maximum Amount of $356.00 per $1,000
principal amount note. An investor will realize the maximum payment at maturity at a Final Value of 135.60% or more of the Strike Value.
| · | If the closing level of the Index increases 5.00%, investors will receive at maturity a return equal to 5.00%, or $1,050.00 per $1,000
principal amount note. |
| · | If the closing level of the Index increases 50.00%, investors will receive at maturity a return equal to 35.60%, or $1,356.00 per
$1,000 principal amount note, which is the maximum payment at maturity. |
Par Scenario:
If the Final Value is equal to the Strike Value, investors
will receive at maturity the principal amount of their notes.
Downside Scenario:
If the Final Value is less than the Strike Value, investors
will lose 1% of the principal amount of their notes for every 1% that the Final Value is less than the Strike 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 level of the Index 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 level of the Index 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
Capped Notes Linked to the Dow Jones Industrial Average® |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024060475/image_001.jpg) |
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 is less than the Strike Value,
you will lose 1% of the principal amount of your notes for every 1% that the Final Value is less than the Strike 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.
| · | YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE MAXIMUM AMOUNT, |
regardless of any appreciation of the Index,
which may be significant.
| · | CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. — |
Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.’s
creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely affect the value of
the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed to you
under the notes and you could lose your entire investment.
| · | AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS — |
As a finance subsidiary of JPMorgan Chase &
Co., we have no independent operations beyond the issuance and administration of our securities and the collection of intercompany obligations.
Aside from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of JPMorgan
Chase & Co. to make payments under loans made by us to JPMorgan Chase & Co. or under other intercompany agreements. As a result,
we are dependent upon payments from JPMorgan Chase & Co. to meet our obligations under the notes. We are not a key operating subsidiary
of JPMorgan Chase & Co. and in a bankruptcy or resolution of JPMorgan Chase & Co. we are not expected to have sufficient resources
to meet our obligations in respect of the notes as they come due. If JPMorgan Chase & Co. does not make payments to us and we are
unable to make payments on the notes, you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee
will rank pari passu with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more information,
see the accompanying prospectus addendum.
| · | THE NOTES DO NOT PAY INTEREST. |
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN THE INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES. |
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.
PS-4
| Structured Investments
Capped Notes Linked to the Dow Jones Industrial Average® |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024060475/image_001.jpg) |
Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes
| · | THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES — |
The estimated value of the notes is only an
estimate determined by reference to several factors. The original issue price of the notes exceeds the estimated value of the notes because
costs associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include
the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our
obligations under the notes and the estimated cost of hedging our obligations under the notes. See “The Estimated Value of the Notes”
in this pricing supplement.
| · | THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES —
|
See “The Estimated Value of the Notes”
in this pricing supplement.
| · | THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE — |
The internal funding rate used in the determination
of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar
maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based
on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement
funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the
terms of the notes and any secondary market prices of the notes. See “The Estimated Value of the Notes” in this pricing supplement.
| · | THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE
THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD — |
We generally expect that some of the costs included
in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in
an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices of the Notes” in this
pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes during this
initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account statements).
| · | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES — |
Any secondary market prices of the notes will
likely be lower than the original issue price of the notes because, among other things, secondary market prices take into account our
internal secondary market funding rates for structured debt issuances and, also, because secondary market prices may exclude selling commissions,
projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the notes. As a result,
the price, if any, at which JPMS will be willing to buy the notes from you in secondary market transactions, if at all, is likely to be
lower than the original issue price. Any sale by you prior to the Maturity Date could result in a substantial loss to you.
| · | SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS — |
The secondary market price of the notes during
their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the
selling commissions, projected hedging profits, if any, estimated hedging costs and the level of the Index. 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 Index
| · | JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE INDEX, |
but JPMorgan Chase & Co. will not have any
obligation to consider your interests in taking any corporate action that might affect the level of the Index.
PS-5
| Structured Investments
Capped Notes Linked to the Dow Jones Industrial Average® |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024060475/image_001.jpg) |
The Index
The Index consists of 30 common stocks chosen as representative
of the broad market of U.S. industry. For additional information about the Index, see “Equity Index Descriptions — The Dow
Jones Industrial Average®” in the accompanying underlying supplement.
Historical Information
The following graph sets forth the historical performance
of the Index based on the weekly historical closing levels of the Index from January 4, 2019 through June 28, 2024. The closing level
of the Index on July 3, 2024 was 39,308.00. We obtained the closing levels above and below from the Bloomberg Professional®
service (“Bloomberg”), without independent verification.
The historical closing levels of the Index should
not be taken as an indication of future performance, and no assurance can be given as to the closing level of the Index on the Observation
Date. There can be no assurance that the performance of the Index 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.
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024060475/image_003.jpg)
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. Special rules may apply if the amount payable at maturity is treated as becoming fixed prior
to maturity. 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
PS-6
| Structured Investments
Capped Notes Linked to the Dow Jones Industrial Average® |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024060475/image_001.jpg) |
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 5.51%, 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, equal to
$1,175.36. 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 |
July 11, 2024 through December 31, 2024 |
$25.87 |
$25.87 |
January 1, 2025 through December 31, 2025 |
$57.30 |
$83.17 |
January 1, 2026 through December 31, 2026 |
$60.50 |
$143.67 |
January 1, 2027 through July 1, 2027 |
$31.69 |
$175.36 |
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
PS-7
| Structured Investments
Capped Notes Linked to the Dow Jones Industrial Average® |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024060475/image_001.jpg) |
determined when the terms of the notes are set based on market conditions
and other relevant factors and assumptions existing at that time.
The estimated value of the notes does not represent
future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide valuations
for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant factors
in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly
based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements
and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market
transactions.
The estimated value of the notes is lower than the
original issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original
issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected
profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the
estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market
forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. A portion
of the profits, if any, realized in hedging our obligations under the notes may be allowed to other affiliated or unaffiliated dealers,
and we or one or more of our affiliates will retain any remaining hedging profits. See “Selected Risk Considerations — Risks
Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Lower Than the Original
Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact any
secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying
product supplement. In addition, we generally expect that some of the costs included in the original issue price of the notes will be
partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial
predetermined period. These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated
hedging costs and our internal secondary market funding rates for structured debt issuances. This initial predetermined time period is
intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects
the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs
of hedging the notes and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations —
Risks Relating to the Estimated Value and Secondary Market Prices 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 Index”
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
PS-8
| Structured Investments
Capped Notes Linked to the Dow Jones Industrial Average® |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024060475/image_001.jpg) |
trustee’s authorization, execution and delivery of the indenture
and its authentication of the master note and the validity, binding nature and enforceability of the indenture with respect to the trustee,
all as stated in the letter of such counsel dated February 24, 2023, which was filed as an exhibit to the Registration Statement on Form
S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24, 2023.
Additional
Terms Specific to the Notes
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which
these notes are a part, the accompanying prospectus addendum and the more detailed information contained in the accompanying product supplement
and the accompanying underlying supplement. This pricing supplement, together with the documents listed below, contains the terms of the
notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or
indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other
educational materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk Factors”
sections of the accompanying prospectus supplement and the accompanying product supplement and in Annex A to the accompanying prospectus
addendum, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal,
tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC website at
www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is
1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us” and
“our” refer to JPMorgan Financial.
PS-9
| Structured Investments
Capped Notes Linked to the Dow Jones Industrial Average® |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024060475/image_001.jpg) |
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 $100,000.
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