July 15, 2024 |
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024062083/image_001.jpg)
JPMorgan Chase Financial Company LLC
Structured Investments
$500,000
Auto Callable Contingent Interest Notes Linked to the
Class A Common Stock of Affirm Holdings, Inc. due July 15, 2027
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
| · | The notes are designed for investors who seek a Contingent Interest Payment with respect to each Review Date for which the closing
price of one share of the Reference Stock is greater than or equal to 60.00% of the Strike Value, which we refer to as the Interest Barrier. |
| · | The notes will be automatically called if the closing price of one share of the Reference Stock on any Review Date (other than the
first and final Review Dates) is greater than or equal to the Strike Value. |
| · | The earliest date on which an automatic call may be initiated is January 13, 2025. |
| · | Investors should be willing to accept the risk of losing some or all of their principal and the risk that no Contingent Interest Payment
may be made with respect to some or all Review Dates. |
| · | Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive Contingent
Interest Payments. |
| · | The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial,
the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes is subject
to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor
of the notes. |
| · | Minimum denominations of $1,000 and integral multiples thereof |
| · | The notes priced on July 15, 2024 (the “Pricing Date”) and are expected to settle on or about July 18, 2024. The
Strike Value has been determined by reference to the closing price of one share of the Reference Stock on July 12, 2024 and not
by reference to the closing price of one share of the Reference Stock 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-11 of the accompanying product supplement and “Selected Risk Considerations” beginning
on page PS-5 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing
supplement or the accompanying product supplement, 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 |
$500,000 |
$1,750 |
$498,250 |
(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 $936.40 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. 4-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.
Reference
Stock: The Class A common stock of Affirm Holdings, Inc., par value $0.00001 per share (Bloomberg
ticker: AFRM). We refer to Affirm Holdings, Inc. as “Affirm Holdings.”
Contingent
Interest Payments: If the notes have not been automatically called and the closing price of one share of the Reference Stock
on any Review Date is greater than or equal to the Interest Barrier, you will receive on the applicable Interest Payment Date for each
$1,000 principal amount note a Contingent Interest Payment equal to $72.875 (equivalent to a Contingent Interest Rate of 29.15% per annum,
payable at a rate of 7.2875% per quarter).
If the closing price of one share of the Reference Stock on any
Review Date is less than the Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date.
Contingent
Interest Rate: 29.15% per annum, payable at a rate of 7.2875% per quarter
Interest Barrier: 60.00%
of the Strike Value, which is $17.724
Trigger Value: 50.00%
of the Strike Value, which is $14.77
Strike Date: July 12,
2024
Pricing Date: July 15,
2024
Original Issue Date (Settlement Date):
On or about July 18, 2024
Review Dates*: October
14, 2024, January 13, 2025, April 14, 2025, July 14, 2025, October 13, 2025, January 12, 2026, April 13, 2026, July 13, 2026, October
12, 2026, January 12, 2027, April 12, 2027 and July 12, 2027 (final Review Date)
Interest Payment Dates*:
October 17, 2024, January 16, 2025, April 17, 2025, July 17, 2025, October 16, 2025, January 15, 2026, April 16, 2026, July 16, 2026,
October 15, 2026, January 15, 2027, April 15, 2027 and the Maturity Date
Maturity Date*: July 15,
2027
Call
Settlement Date*: If the notes are automatically called on any Review Date (other than the first and final Review Dates), the
first Interest Payment Date immediately following that Review Date
* Subject to postponement in the event of a market disruption
event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to 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 |
Automatic Call:
If the closing price of one share of the Reference Stock on any Review
Date (other than the first and final Review Dates) is greater than or equal to the Strike Value, the notes will be automatically called
for a cash payment, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable
to that Review Date, payable on the applicable Call Settlement Date. No further payments will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final Value is
greater than or equal to the Trigger Value, you will receive a cash payment at maturity, for each $1,000 principal amount note, equal
to (a) $1,000 plus (b) the Contingent Interest Payment, if any, applicable to the final Review Date.
If the notes have not been automatically called and the Final Value is
less than the Trigger Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Stock Return)
If the notes have not been automatically called and the Final Value
is less than the Trigger Value, you will lose more than 50.00% of your principal amount at maturity and could lose all of your principal
amount at maturity.
Stock Return:
(Final Value – Strike Value)
Strike Value
Strike
Value: The closing price of one share of the Reference Stock on the Strike Date, which was
$29.54. The Strike Value is not the closing price of one share of the Reference Stock on the Pricing Date.
Final
Value: The closing price of one share of the Reference Stock on the final Review Date
Stock
Adjustment Factor: The Stock Adjustment Factor is referenced in determining the closing price of one share of the Reference
Stock and is set equal to 1.0 on the Strike Date. The Stock Adjustment Factor is subject to adjustment upon the occurrence of certain
corporate events affecting the Reference Stock. See “The Underlyings — Reference Stocks — Anti-Dilution Adjustments”
and “The Underlyings — Reference Stocks — Reorganization Events” in the accompanying product supplement for further
information.
|
PS-1
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Class
A common stock of Affirm Holdings, Inc. |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024062083/image_001.jpg) |
Supplemental
Terms of the Notes
Any values of the Reference Stock, and any values derived
therefrom, included in this pricing supplement may be corrected, in the event of manifest error or inconsistency, by amendment of this
pricing supplement and the corresponding terms of the notes. Notwithstanding anything to the contrary in the indenture governing
the notes, that amendment will become effective without consent of the holders of the notes or any other party.
How the Notes
Work
Payment in Connection with the
First Review Date
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024062083/image_002.jpg)
Payments in Connection with Review
Dates (Other than the First and Final Review Dates)
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024062083/image_003.jpg)
PS-2
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Class
A common stock of Affirm Holdings, Inc. |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024062083/image_001.jpg) |
Payment at Maturity If the Notes Have Not Been Automatically
Called
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024062083/image_004.jpg)
Total Contingent Interest Payments
The table below illustrates the hypothetical total Contingent
Interest Payments per $1,000 principal amount note over the term of the notes based on the Contingent Interest Rate of 29.15% per annum,
depending on how many Contingent Interest Payments are made prior to automatic call or maturity.
Number of Contingent
Interest Payments |
Total Contingent Interest
Payments |
12 |
$874.500 |
11 |
$801.625 |
10 |
$728.750 |
9 |
$655.875 |
8 |
$583.000 |
7 |
$510.125 |
6 |
$437.250 |
5 |
$364.375 |
4 |
$291.500 |
3 |
$218.625 |
2 |
$145.750 |
1 |
$72.875 |
0 |
$0.000 |
PS-3
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Class
A common stock of Affirm Holdings, Inc. |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024062083/image_001.jpg) |
Hypothetical
Payout Examples
The following examples illustrate payments on the notes
linked to a hypothetical Reference Stock, assuming a range of performances for the hypothetical Reference Stock on the Review Dates. The
hypothetical payments set forth below assume the following:
| · | a Strike Value of $100.00; |
| · | an Interest Barrier of $60.00 (equal to 60.00% of the hypothetical Strike Value); |
| · | a Trigger Value of $50.00 (equal to 50.00% of the hypothetical Strike Value); and |
| · | a Contingent Interest Rate of 29.15% per annum. |
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 price of one share
of the Reference Stock on the Strike Date and is specified under “Key Terms — Strike Value” in this pricing supplement.
For historical data regarding the actual closing prices of one share of the Reference Stock, please see the historical information set
forth under “The Reference Stock” in this pricing supplement.
Each hypothetical payment set forth below is for illustrative
purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing in the following examples
have been rounded for ease of analysis.
Example 1 — Notes are automatically called
on the second Review Date.
Date |
Closing Price |
Payment (per $1,000 principal amount note) |
First Review Date |
$105.00 |
$72.875 |
Second Review Date |
$115.00 |
$1,072.875 |
|
Total Payment |
$1,145.75 (14.575% return) |
Because the closing price of one share of the Reference
Stock on the second Review Date is greater than or equal to the Strike Value, the notes will be automatically called for a cash payment,
for each $1,000 principal amount note, of $1,072.875 (or $1,000 plus the Contingent Interest Payment applicable to the second Review
Date), payable on the applicable Call Settlement Date. The notes are not automatically callable before the second Review Date, even though
the closing price of one share of the Reference Stock on the first Review Date is greater than the Strike Value. When added to the Contingent
Interest Payment received with respect to the prior Review Date, the total amount paid, for each $1,000 principal amount note, is $1,145.75.
No further payments will be made on the notes.
Example 2 — Notes have NOT been automatically
called and the Final Value is greater than or equal to the Trigger Value and the Interest Barrier.
Date |
Closing Price |
Payment (per $1,000 principal amount note) |
First Review Date |
$90.00 |
$72.875 |
Second Review Date |
$85.00 |
$72.875 |
Third through Eleventh Review Dates |
Less than Interest Barrier |
$0 |
Final Review Date |
$90.00 |
$1,072.875 |
|
Total Payment |
$1,218.625 (21.8625% return) |
Because the notes have not been automatically
called and the Final Value is greater than or equal to the Trigger Value and the Interest Barrier, the payment at maturity, for each $1,000
principal amount note, will be $1,072.875 (or $1,000 plus the Contingent Interest Payment applicable to the final Review Date).
When added to the Contingent Interest Payments received with respect to the prior Review Dates, the total amount paid, for each $1,000
principal amount note, is $1,218.625.
Example 3 — Notes have NOT been automatically
called and the Final Value is less than the Interest Barrier but is greater than or equal to the Trigger Value.
Date |
Closing Price |
Payment (per $1,000 principal amount note) |
First Review Date |
$95.00 |
$72.875 |
Second Review Date |
$80.00 |
$72.875 |
Third through Eleventh Review Dates |
Less than Interest Barrier |
$0 |
Final Review Date |
$55.00 |
$1,000.00 |
|
Total Payment |
$1,145.75 (14.575% return) |
PS-4
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Class
A common stock of Affirm Holdings, Inc. |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024062083/image_001.jpg) |
Because the notes have not been automatically called
and the Final Value is less than the Interest Barrier but is greater than or equal to the Trigger Value, the payment at maturity, for
each $1,000 principal amount note, will be $1,000.00. When added to the Contingent Interest Payments received with respect to the prior
Review Dates, the total amount paid, for each $1,000 principal amount note, is $1,145.75.
Example 4 — Notes have NOT been automatically
called and the Final Value is less than the Trigger Value.
Date |
Closing Price |
Payment (per $1,000 principal amount note) |
First Review Date |
$40.00 |
$0 |
Second Review Date |
$45.00 |
$0 |
Third through Eleventh Review Dates |
Less than Interest Barrier |
$0 |
Final Review Date |
$40.00 |
$400.00 |
|
Total Payment |
$400.00 (-60.00% return) |
Because the notes have not been automatically called,
the Final Value is less than the Trigger Value and the Stock Return is -60.00%, the payment at maturity will be $400.00 per $1,000 principal
amount note, calculated as follows:
$1,000 + [$1,000 × (-60.00%)] = $400.00
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term or until automatically called. These hypotheticals
do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included,
the hypothetical returns and hypothetical payments shown above would likely be lower.
Selected
Risk Considerations
An investment in the notes involves significant risks.
These risks are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement and product
supplement and in Annex A to the accompanying prospectus addendum.
Risks Relating to the Notes Generally
| · | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — |
The notes do not guarantee any return of principal.
If the notes have not been automatically called and the Final Value is less than the Trigger 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. Accordingly, under these circumstances, you will
lose more than 50.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
| · | THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL — |
If the notes have not been automatically called,
we will make a Contingent Interest Payment with respect to a Review Date only if the closing price of one share of the Reference Stock
on that Review Date is greater than or equal to the Interest Barrier. If the closing price of one share of the Reference Stock on that
Review Date is less than the Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date. Accordingly,
if the closing price of one share of the Reference Stock on each Review Date is less than the Interest Barrier, you will not receive any
interest payments over the term of the notes.
| · | 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
PS-5
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Class
A common stock of Affirm Holdings, Inc. |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024062083/image_001.jpg) |
respect of the notes as they come due. If JPMorgan
Chase & Co. does not make payments to us and we are unable to make payments on the notes, you may have to seek payment under
the related guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu with all other unsecured and
unsubordinated obligations of JPMorgan Chase & Co. For more information, see the accompanying prospectus addendum.
| · | THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS THAT MAY BE PAID OVER THE TERM
OF THE NOTES, |
regardless of any appreciation of the Reference
Stock, which may be significant. You will not participate in any appreciation of the Reference Stock.
| · | THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE — |
If the Final Value is less than the Trigger Value
and the notes have not been automatically called, the benefit provided by the Trigger Value will terminate and you will be fully exposed
to any depreciation of the Reference Stock.
| · | THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT — |
If your notes are automatically called, the term
of the notes may be reduced to as short as approximately six months and you will not receive any Contingent Interest Payments after the
applicable Call Settlement Date. There is no guarantee that you would be able to reinvest the proceeds from an investment in the notes
at a comparable return and/or with a comparable interest rate for a similar level of risk. Even in cases where the notes are called before
maturity, you are not entitled to any fees and commissions described on the front cover of this pricing supplement.
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE REFERENCE STOCK OR HAVE ANY RIGHTS WITH RESPECT TO THE REFERENCE STOCK. |
| · | THE RISK OF THE CLOSING PRICE OF ONE SHARE OF THE REFERENCE STOCK FALLING BELOW THE INTEREST BARRIER OR THE TRIGGER VALUE IS GREATER
IF THE PRICE OF ONE SHARE OF THE REFERENCE STOCK IS VOLATILE. |
The notes will not be listed on any securities
exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS
is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your notes to maturity.
Risks Relating to Conflicts of Interest
We and our affiliates play a variety of roles
in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests are potentially
adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours or our affiliates in
connection with the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer
to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement.
Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes
| · | THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES — |
The estimated value of the notes is only an estimate
determined by reference to several factors. The original issue price of the notes exceeds the estimated value of the notes because costs
associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include
the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our
obligations under the notes and the estimated cost of hedging our obligations under the notes. See “The Estimated Value of the Notes”
in this pricing supplement.
| · | THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES —
|
See “The Estimated Value of the Notes”
in this pricing supplement.
PS-6
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Class
A common stock of Affirm Holdings, Inc. |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024062083/image_001.jpg) |
| · | 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 price of one share of the Reference Stock. 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 Reference Stock
| · | NO AFFILIATION WITH THE REFERENCE STOCK ISSUER — |
We have not independently verified any of the
information about the Reference Stock issuer contained in this pricing supplement. You should undertake your own investigation into the
Reference Stock and its issuer. We are not responsible for the Reference Stock issuer’s public disclosure of information, whether
contained in SEC filings or otherwise.
| · | LIMITED TRADING HISTORY — |
The Reference Stock commenced trading on The Nasdaq
Stock Market on January 13, 2021 and therefore has limited historical performance. Accordingly, historical information for the Reference
Stock is available only since that date. Past performance should not be considered indicative of future performance.
| · | THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY — |
The calculation agent will not make an adjustment
in response to all events that could affect the Reference Stock. The calculation agent may make adjustments in response to events that
are not described in the accompanying product supplement to account for any diluting or concentrative effect, but the calculation agent
is under no obligation to do so or to consider your interests as a holder of the notes in making these determinations.
PS-7
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Class
A common stock of Affirm Holdings, Inc. |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024062083/image_001.jpg) |
The Reference
Stock
All information contained herein on the Reference Stock
and on Affirm Holdings is derived from publicly available sources, without independent verification. According to its publicly available
filings with the SEC, Affirm Holdings operates a platform for digital and mobile-first commerce and offers a point-of-sale payment solution
for consumers, merchant commerce solutions and a consumer-focused app. The Class A common stock of Affirm Holdings, par value $0.00001
per share (Bloomberg ticker: AFRM), is registered under the Securities Exchange Act of 1934, as amended, which we refer to as the Exchange
Act, and is listed on The Nasdaq Stock Market, which we refer to as the relevant exchange for purposes of Affirm Holdings in the accompanying
product supplement. Information provided to or filed with the SEC by Affirm Holdings pursuant to the Exchange Act can be located by reference
to the SEC file number 001-39888, and can be accessed through www.sec.gov. We do not make any representation that these publicly available
documents are accurate or complete.
Historical Information
The following graph sets forth the historical performance
of the Reference Stock based on the weekly historical closing prices of one share of the Reference Stock from January 15, 2021 through
July 12, 2024. The Reference Stock commenced trading on The Nasdaq Stock Market on January 13, 2021 and therefore has limited historical
performance. The closing price of one share of the Reference Stock on July 12, 2024 was $29.54. We obtained the closing prices above and
below from the Bloomberg Professional® service (“Bloomberg”), without independent verification. The closing
prices above and below may have been adjusted by Bloomberg for corporate actions, such as stock splits, public offerings, mergers and
acquisitions, spin-offs, delistings and bankruptcy.
The historical closing prices of one share of the Reference
Stock should not be taken as an indication of future performance, and no assurance can be given as to the closing price of one share of
the Reference Stock on any Review Date. There can be no assurance that the performance of the Reference Stock will result in the return
of any of your principal amount or the payment of any interest.
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024062083/image_005.jpg)
Tax Treatment
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. In determining our reporting
responsibilities we intend to treat (i) the notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent
coupons and (ii) any Contingent Interest Payments as ordinary income, as described in the section entitled “Material U.S. Federal
Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated Contingent
Coupons” in the accompanying product supplement. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel,
we believe that this is a reasonable treatment, but that there are other reasonable treatments that the IRS or a court may adopt, in which
case the timing and character of any income or loss on the notes could be materially affected. In addition, in 2007 Treasury and the IRS
released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar
instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their
investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments
and the relevance of factors such as the nature of the underlying property to which the instruments are linked. While the notice requests
comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration
of these issues could materially affect the
PS-8
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Class
A common stock of Affirm Holdings, Inc. |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024062083/image_001.jpg) |
tax consequences of an investment in the notes, possibly with retroactive
effect. The discussions above and in the accompanying product supplement do not address the consequences to taxpayers subject to special
tax accounting rules under Section 451(b) of the Code. You should consult your tax adviser regarding the U.S. federal income tax consequences
of an investment in the notes, including possible alternative treatments and the issues presented by the notice described above.
Non-U.S. Holders — Tax Considerations.
The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and although we believe it is reasonable to take a
position that Contingent Interest Payments are not subject to U.S. withholding tax (at least if an applicable Form W-8 is provided), it
is expected that withholding agents will (and we, if we are the withholding agent, intend to) withhold on any Contingent Interest Payment
paid to a Non-U.S. Holder generally at a rate of 30% or at a reduced rate specified by an applicable income tax treaty under an “other
income” or similar provision. We will not be required to pay any additional amounts with respect to amounts withheld. In order to
claim an exemption from, or a reduction in, the 30% withholding tax, a Non-U.S. Holder of the notes must comply with certification requirements
to establish that it is not a U.S. person and is eligible for such an exemption or reduction under an applicable tax treaty. If you are
a Non-U.S. Holder, you should consult your tax adviser regarding the tax treatment of the notes, including the possibility of obtaining
a refund of any withholding tax and the certification requirement described above.
Section 871(m) of the Code and Treasury regulations
promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on
dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or
indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked
to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations. Additionally, a recent IRS notice
excludes from the scope of Section 871(m) instruments issued prior to January 1, 2027 that do not have a delta of one with respect to
underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”).
Based on certain determinations made by us, our special tax counsel is of the opinion that Section 871(m) should not apply to the notes
with regard to Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section
871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other transactions
with respect to an Underlying Security. You should consult your tax adviser regarding the potential application of Section 871(m) to the
notes.
In the event of any
withholding on the notes, we will not be required to pay any additional amounts with respect to amounts so withheld.
The Estimated Value of the Notes
The estimated value of the notes set forth on the
cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component
with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing to
buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated
value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by
JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding
rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing
market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an
adverse effect on the terms of the notes and any secondary market prices of the notes. For additional information, see “Selected
Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value
of the Notes Is Derived by Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives underlying
the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as
the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which
can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments.
Accordingly, the estimated value of the notes is determined when the terms of the notes are set based on market conditions and other relevant
factors and assumptions existing at that time.
The estimated value of the notes does not represent
future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide valuations
for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant factors
in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly
based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest
rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in
secondary market transactions.
PS-9
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Class
A common stock of Affirm Holdings, Inc. |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024062083/image_001.jpg) |
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 “How the Notes Work” and “Hypothetical
Payout Examples” in this pricing supplement for an illustration of the risk-return profile of the notes and “The Reference
Stock” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to
the estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus)
the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the
notes, plus the estimated cost of hedging our obligations under the notes.
Validity
of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP,
as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by this pricing supplement
have been issued by JPMorgan Financial pursuant to the indenture, the trustee and/or paying agent has made, in accordance with the instructions
from JPMorgan Financial, the appropriate entries or notations in its records relating to the master global note that represents such notes
(the “master note”), and such notes have been delivered against payment as contemplated herein, such notes will be valid and
binding obligations of JPMorgan Financial and the related guarantee will constitute a valid and binding obligation of JPMorgan Chase & Co.,
enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights
generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good
faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion as to (i) the effect of fraudulent
conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above or (ii) any provision of the
indenture that purports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law by limiting
the amount of JPMorgan Chase & Co.’s obligation under the related guarantee. This opinion is given as of the date
hereof and is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited
Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution
and delivery of the indenture and its authentication of the master note and the validity, binding nature and enforceability of the indenture
with respect to the trustee, all as stated in the letter of such counsel dated February 24, 2023, which was filed as an exhibit to the
Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24, 2023.
Additional
Terms Specific to the Notes
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which
these notes are a part, the accompanying prospectus
PS-10
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Class
A common stock of Affirm Holdings, Inc. |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024062083/image_001.jpg) |
addendum and the more detailed information contained in the accompanying
product 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-11
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Class
A common stock of Affirm Holdings, Inc. |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024062083/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 $500,000.
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