July 15, 2024 |
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
JPMorgan Chase Financial Company LLC
Structured Investments
$520,000
Auto Callable Yield Notes Linked to the Least Performing
of the Common Stock of NVIDIA Corporation, the Common Stock of Microsoft Corporation and the American Depositary Shares of Taiwan Semiconductor
Manufacturing Company Limited due July 16, 2026
Fully and Unconditionally Guaranteed by JPMorgan Chase
& Co.
| · | The notes are designed for investors who seek a higher interest rate than the yield on a conventional debt security with the same
maturity issued by us. The notes will pay 14.15% per annum interest over the term of the notes, assuming no automatic call, payable at
a rate of 3.5375% per quarter. |
| · | The notes will be automatically called if the closing price of one share of each Reference Stock on any Review Date (other than the
final Review Date) is greater than or equal to its Strike Value. |
| · | The earliest date on which an automatic call may be initiated is October 14, 2024. |
| · | Investors should be willing to accept the risk of losing some or all of their principal and be willing to forgo dividend payments,
in exchange for 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. |
| · | Payments on the notes are not linked to a basket composed of the Reference Stocks. Payments on the notes are linked to the performance
of each of the Reference Stocks individually, as described below. |
| · | 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 of each Reference Stock has been determined by reference to the closing price of one share of that Reference Stock on July 12, 2024
and not by reference to the closing price of one share of that 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 |
$30 |
$970 |
Total |
$520,000 |
$15,600 |
$504,400 |
(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 $30.00 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 $955.90 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
Stocks: As specified under “Key Terms Relating to the Reference Stocks” in this
pricing supplement
Interest
Payments: If the notes have not been automatically called, you will receive on each Interest Payment Date for each $1,000 principal
amount note an Interest Payment equal to $35.375 (equivalent to an Interest Rate of 14.15% per annum, payable at a rate of 3.5375% per
quarter)
Interest
Rate: 14.15% per annum, payable at a rate of 3.5375% per quarter
Trigger Value: With respect
to each Reference Stock, 60.00% of its Strike Value, as specified under “Key Terms Relating to the Reference Stocks” in this
pricing supplement
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 and July 13, 2026 (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 and the Maturity Date
Maturity
Date*: July 16, 2026
Call Settlement Date*:
If the notes are automatically called on any Review Date (other than the final Review Date), 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 Multiple
Underlyings” 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 each Reference Stock on any
Review Date (other than the final Review Date) is greater than or equal to its 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 Interest Payment for the Interest Payment
Date occurring on the applicable Call Settlement Date, payable on that 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
of each Reference Stock is greater than or equal to its 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 Interest Payment applicable to the Maturity Date.
If the notes have not been automatically called and the Final Value
of any Reference Stock is less than its Trigger Value, your payment at maturity per $1,000 principal amount note, in addition to the Interest
Payment applicable to the Maturity Date, will be calculated as follows:
$1,000 + ($1,000 × Least Performing Stock
Return)
If the notes have not been automatically called and the Final
Value of any Reference Stock is less than its Trigger Value, you will lose more than 40.00% of your principal amount at maturity and could
lose all of your principal amount at maturity.
Least Performing Reference Stock: The
Reference Stock with the Least Performing Stock Return
Least Performing Stock Return: The
lowest of the Stock Returns of the Reference Stocks
Stock Return:
With respect to each Reference Stock,
(Final Value – Strike Value)
Strike Value
Strike
Value: With respect to each Reference Stock, the closing
price of one share of that Reference Stock on the Strike Date, as specified under “Key Terms Relating to the Reference Stocks”
in this pricing supplement. The Strike Value of each Reference Stock is not the closing price of one share of that Reference
Stock on the Pricing Date.
Final
Value: With respect to each Reference Stock, the closing price of one share of that Reference
Stock on the final Review Date
Stock
Adjustment Factor: With respect to each Reference Stock, the Stock Adjustment Factor is referenced in determining the closing
price of one share of that Reference Stock and is set equal to 1.0 on the Strike Date. The Stock Adjustment Factor of each Reference Stock
is subject to adjustment upon the occurrence of certain corporate events affecting that 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 Yield Notes Linked to the Least Performing of
the Common Stock of NVIDIA Corporation, the Common Stock of Microsoft Corporation and the American depositary shares of Taiwan Semiconductor
Manufacturing Company Limited |
|
Key Terms Relating
to the Reference Stocks
Reference Stock |
Bloomberg
Ticker Symbol |
Strike
Value |
Trigger
Value |
Common stock of NVIDIA Corporation, par value $0.001 per share |
NVDA |
$129.24 |
$77.544 |
Common stock of Microsoft Corporation, par value $0.00000625 per share |
MSFT |
$453.55 |
$272.13 |
American depositary shares (“ADSs”), each representing five common shares, par value NT$10.00 per share, of Taiwan Semiconductor Manufacturing Company Limited |
TSM |
$187.35 |
$112.41 |
Supplemental
Terms of the Notes
Any values of the Reference Stocks, 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
Payments in Connection with Review Dates Preceding
the Final Review Date
PS-2
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the Common Stock of NVIDIA Corporation, the Common Stock of Microsoft Corporation and the American depositary shares of Taiwan Semiconductor
Manufacturing Company Limited |
|
Payment at Maturity If the Notes
Have Not Been Automatically Called
Total Interest Payments
The table below illustrates the total Interest Payments per
$1,000 principal amount note over the term of the notes based on the Interest Rate of 14.15% per annum, depending on how many Interest
Payments are made prior to automatic call or maturity. If the notes have not been automatically called, the total Interest Payments per
$1,000 principal amount note over the term of the notes will be equal to the maximum amount shown in the table below.
Number of Interest
Payments |
Total Interest Payments |
8 |
$283.000 |
7 |
$247.625 |
6 |
$212.250 |
5 |
$176.875 |
4 |
$141.500 |
3 |
$106.125 |
2 |
$70.750 |
1 |
$35.375 |
Hypothetical
Payout Examples
The following examples illustrate payments on the notes
linked to three hypothetical Reference Stocks, assuming a range of performances for the hypothetical Least Performing Reference Stock
on the Review Dates. Each hypothetical payment set forth below assumes that the closing price of one share of each Reference Stock
that is not the Least Performing Reference Stock on each Review Date is greater than or equal to its Strike Value.
In addition, the hypothetical payments set forth below
assume the following:
| · | a Strike Value for the Least Performing Reference Stock of $100.00; |
| · | a Trigger Value for the Least Performing Reference Stock of $60.00 (equal to 60.00% of its hypothetical Strike Value); and |
| · | an Interest Rate of 14.15% per annum. |
The hypothetical Strike Value of the Least Performing
Reference Stock of $100.00 has been chosen for illustrative purposes only and does not represent the actual Strike Value of any Reference
Stock. The actual Strike Value of each Reference Stock is the closing price of one share of that Reference Stock on the Strike Date and
is specified under “Key Terms Relating to the Reference Stocks” in
PS-3
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the Common Stock of NVIDIA Corporation, the Common Stock of Microsoft Corporation and the American depositary shares of Taiwan Semiconductor
Manufacturing Company Limited |
|
this pricing supplement. For historical data regarding
the actual closing prices of one share of each Reference Stock, please see the historical information set forth under “The Reference
Stocks” 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 first Review Date.
Date |
Closing Price of One Share of
Least Performing Reference
Stock |
|
First Review Date |
$105.00 |
Notes are automatically called |
|
Total Payment |
$1,035.375 (3.5375% return) |
Because the closing price of one share of each Reference
Stock on the first Review Date is greater than or equal to its Strike Value, the notes will be automatically called for a cash payment,
for each $1,000 principal amount note, of $1,035.375 (or $1,000 plus the Interest Payment applicable to the corresponding Interest
Payment Date), payable on the applicable Call Settlement Date. No further payments will be made on the notes.
Example 2 — Notes have NOT been automatically
called and the Final Value of the Least Performing Reference Stock is greater than or equal to its Trigger Value.
Date |
Closing Price of One Share of
Least Performing Reference
Stock |
|
First Review Date |
$95.00 |
Notes NOT automatically called |
Second Review Date |
$85.00 |
Notes NOT automatically called |
Third through Seventh Review Dates |
Less than Strike Value |
Notes NOT automatically called |
Final Review Date |
$90.00 |
Final Value of the Least Performing Reference Stock is greater than or equal to its Trigger Value |
|
Total Payment |
$1,283.00 (28.30% return) |
Because the notes have not been automatically called
and the Final Value of the Least Performing Reference Stock is greater than or equal to its Trigger Value, the payment at maturity, for
each $1,000 principal amount note, will be $1,035.375 (or $1,000 plus the Interest Payment applicable to the Maturity Date). When
added to the Interest Payments received with respect to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal
amount note, is $1,283.00.
Example
3 — Notes have NOT been automatically called and the Final Value of the Least Performing Reference Stock is less than its Trigger
Value.
Date |
Closing Price of One Share of
Least Performing Reference
Stock |
|
First Review Date |
$40.00 |
Notes NOT automatically called |
Second Review Date |
$45.00 |
Notes NOT automatically called |
Third through Seventh Review Dates |
Less than Strike Value |
Notes NOT automatically called |
Final Review Date |
$40.00 |
Final Value of the Least Performing Reference Stock is less than its Trigger Value |
|
Total Payment |
$683.00 (-31.70% return) |
Because the notes have not been automatically called,
the Final Value of the Least Performing Reference Stock is less than its Trigger Value and the Least Performing Stock Return is -60.00%,
the payment at maturity will be $435.375 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-60.00%)] + $35.375 = $435.375
When added to the Interest Payments received with respect
to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $683.00.
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
PS-4
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the Common Stock of NVIDIA Corporation, the Common Stock of Microsoft Corporation and the American depositary shares of Taiwan Semiconductor
Manufacturing Company Limited |
|
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 of any Reference Stock is less than its Trigger Value, you will lose
1% of the principal amount of your notes for every 1% that the Final Value of the Least Performing Reference Stock is less than its Strike
Value. Accordingly, under these circumstances, you will lose more than 40.00% of your principal amount at maturity and could lose all
of your principal amount at maturity.
| · | 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 APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF THE INTEREST PAYMENTS PAID OVER THE TERM OF THE NOTES, |
regardless of any appreciation of any Reference
Stock, which may be significant. You will not participate in any appreciation of any Reference Stock.
| · | YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE PRICE OF ONE SHARE OF EACH REFERENCE STOCK — |
Payments on the notes are not linked to a basket
composed of the Reference Stocks and are contingent upon the performance of each individual Reference Stock. Poor performance by any of
the Reference Stocks over the term of the notes may result in the notes not being automatically called on a Review Date, may negatively
affect your payment at maturity and will not be offset or mitigated by positive performance by any other Reference Stock.
| · | YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING REFERENCE STOCK. |
| · | THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE — |
If the Final Value of any Reference Stock is
less than its 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 Least Performing 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 three months and you will not receive any 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
PS-5
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the Common Stock of NVIDIA Corporation, the Common Stock of Microsoft Corporation and the American depositary shares of Taiwan Semiconductor
Manufacturing Company Limited |
|
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 ANY REFERENCE STOCK OR HAVE ANY RIGHTS WITH RESPECT TO ANY REFERENCE STOCK. |
| · | THE RISK OF THE CLOSING PRICE OF ONE SHARE OF A REFERENCE STOCK FALLING BELOW ITS TRIGGER VALUE IS GREATER IF THE PRICE OF ONE
SHARE OF THAT 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.
| · | 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).
PS-6
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the Common Stock of NVIDIA Corporation, the Common Stock of Microsoft Corporation and the American depositary shares of Taiwan Semiconductor
Manufacturing Company Limited |
|
| · | 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 prices of one share of the Reference Stocks. 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 Stocks
| · | NO AFFILIATION WITH ANY REFERENCE STOCK ISSUER — |
We have not independently verified any of the
information about any Reference Stock issuer contained in this pricing supplement. You should undertake your own investigation into each
Reference Stock and its issuer. We are not responsible for any Reference Stock issuer’s public disclosure of information, whether
contained in SEC filings or otherwise.
| · | RISKS ASSOCIATED WITH NON-U.S. COMPANIES WITH RESPECT TO THE ADSs OF TAIWAN SEMICONDUCTOR MANUFACTURING COMPANY LIMITED — |
The ADSs of Taiwan Semiconductor Manufacturing
Company Limited has been issued by a non-U.S. company. 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.
| · | EMERGING MARKETS RISK WITH RESPECT TO THE ADSs OF TAIWAN SEMICONDUCTOR MANUFACTURING COMPANY LIMITED
— |
The ADSs of Taiwan Semiconductor Manufacturing
Company Limited has been issued by a non-U.S. company conducting its business in an emerging markets country (Taiwan). Countries
with emerging markets may have relatively unstable governments, may present the risks of nationalization of businesses, restrictions on
foreign ownership and prohibitions on the repatriation of assets, and may have less protection of property rights than more developed
countries. The economies of countries with emerging markets may be based on only a few industries, may be highly vulnerable to changes
in local or global trade conditions, and may suffer from extreme and volatile debt burdens or inflation rates. Local securities
markets may trade a small number of securities and may be unable to respond effectively to increases in trading volume, potentially making
prompt liquidation of holdings difficult or impossible at times.
| · | CURRENCY EXCHANGE RATE RISK WITH RESPECT TO THE ADSs OF TAIWAN SEMICONDUCTOR MANUFACTURING COMPANY LIMITED — |
Because the ADSs of Taiwan Semiconductor Manufacturing
Company Limited are quoted and traded in U.S. dollars on the New York Stock Exchange and the common shares of Taiwan Semiconductor Manufacturing
Company Limited are quoted and traded in New Taiwan dollars on the Taiwan Stock Exchange, fluctuations in the exchange rate between the
New Taiwan dollar and the U.S. dollar will likely affect the relative value of the ADSs of Taiwan Semiconductor Manufacturing Company
Limited and the common shares of Taiwan Semiconductor Manufacturing Company Limited in the two currencies and, as a result, will likely
affect the market price of the ADSs of Taiwan Semiconductor Manufacturing Company Limited trading on the New York Stock Exchange. These
trading differences and currency exchange rates may affect the market value of the notes and whether the Final Value of the ADSs of Taiwan
Semiconductor Manufacturing Company Limited will fall below its Interest Barrier and Trigger Value. The New Taiwan dollar has been subject
to fluctuations against the U.S. dollar in the past and may be subject to significant fluctuations in the future. Previous fluctuations
or periods of relative stability in the exchange rate between the New Taiwan dollar and the U.S. dollar are not necessarily indicative
of fluctuations or periods of relative stability in that rate that may occur over the term of the securities. The
PS-7
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the Common Stock of NVIDIA Corporation, the Common Stock of Microsoft Corporation and the American depositary shares of Taiwan Semiconductor
Manufacturing Company Limited |
|
exchange rate between the New Taiwan dollar
and the U.S. dollar is the result of the supply of, and the demand for, those currencies. Changes in the exchange rate results over time
from the interaction of many factors directly or indirectly affecting economic and political conditions in Taiwan and the United States,
including economic and political developments in other countries. Of particular importance are rates of inflation, interest rate levels,
the balance of payments, any political, civil or military unrest and the extent of governmental surpluses or deficits in Taiwan and the
United States, all of which are in turn sensitive to the monetary, fiscal and trade policies pursued by Taiwan and the United States and
other jurisdictions important to international trade and finance.
| · | THERE ARE IMPORTANT DIFFERENCES BETWEEN THE RIGHTS OF HOLDERS OF THE ADSs OF TAIWAN SEMICONDUCTOR MANUFACTURING COMPANY LIMITED
AND THE RIGHTS OF HOLDERS OF THE COMMON SHARES OF TAIWAN SEMICONDUCTOR MANUFACTURING COMPANY LIMITED — |
There exist important differences between the
rights of holders of the ADSs of Taiwan Semiconductor Manufacturing Company Limited and the rights of holders of the common shares of
Taiwan Semiconductor Manufacturing Company Limited, which we refer to as the underlying stock. For example, the issuer of the underlying
stock may make distributions in respect of the underlying stock that are not passed on to the holders of the ADSs of Taiwan Semiconductor
Manufacturing Company Limited. Any such differences between the rights of holders of the ADSs of Taiwan Semiconductor Manufacturing Company
Limited and holders of the underlying stock may be significant and may materially and adversely affect the value of the ADSs of Taiwan
Semiconductor Manufacturing Company Limited and, as a result, the notes.
| · | THE ANTI-DILUTION PROTECTION FOR EACH REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY — |
The calculation agent will not make an adjustment
in response to all events that could affect a 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-8
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the Common Stock of NVIDIA Corporation, the Common Stock of Microsoft Corporation and the American depositary shares of Taiwan Semiconductor
Manufacturing Company Limited |
|
The Reference
Stocks
All information contained herein on the Reference Stocks
and on the Reference Stock issuers is derived from publicly available sources, without independent verification. Each Reference Stock
is registered under the Securities Exchange Act of 1934, as amended, which we refer to as the Exchange Act, and is listed on the exchange
provided in the table below, which we refer to as the relevant exchange for purposes of that Reference Stock in the accompanying product
supplement. Information provided to or filed with the SEC by a Reference Stock issuer pursuant to the Exchange Act can be located by reference
to the SEC file number provided in the table below, and can be accessed through www.sec.gov. We do not make any representation that these
publicly available documents are accurate or complete. We obtained the closing prices below from the Bloomberg Professional®
service (“Bloomberg”) without independent verification.
Reference Stock |
Bloomberg
Ticker Symbol |
Relevant
Exchange |
SEC File
Number |
Closing Price on July
12, 2024 |
Common stock of NVIDIA Corporation, par value $0.001 per share |
NVDA |
The Nasdaq Stock Market |
000-23985 |
$129.24 |
Common stock of Microsoft Corporation, par value $0.00000625 per share |
MSFT |
The Nasdaq Stock Market |
001-37845 |
$453.55 |
ADSs, each representing five common shares, par value NT$10.00 per share, of Taiwan Semiconductor Manufacturing Company Limited |
TSM |
New York Stock Exchange |
001-14700 |
$187.35 |
Each of the Reference Stocks is issued by a company whose
primary line of business is associated with the technology sector
According to publicly available filings of the relevant
Reference Stock issuer with the SEC:
| · | NVIDIA Corporation is a full-stack computing infrastructure company with data-center-scale offerings whose full-stack includes the
CUDA programming model that runs on all of its graphics processing units (GPUs), as well as domain-specific software libraries, software
development kits and Application Programming Interfaces and whose data-center-scale offerings include compute and networking solutions
that can scale to tens of thousands of GPU-accelerated servers interconnected to function as a single giant computer. |
| · | Microsoft Corporation is a technology company that develops and supports software, services, devices and solutions. |
| · | Taiwan Semiconductor Manufacturing Company Limited, a Taiwanese company, is a foundry that manufactures semiconductors using its manufacturing
processes for its customers based on proprietary integrated circuit designs provided by them |
Historical Information
The following graphs set forth the historical performance
of each Reference Stock based on the weekly historical closing prices of one share of that Reference Stock from January 4, 2019 through
July 12, 2024. 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 each
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 any Reference Stock on any Review Date. There can be no assurance that the performance of the Reference Stocks will result in
the return of any of your principal amount.
PS-9
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the Common Stock of NVIDIA Corporation, the Common Stock of Microsoft Corporation and the American depositary shares of Taiwan Semiconductor
Manufacturing Company Limited |
|
PS-10
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the Common Stock of NVIDIA Corporation, the Common Stock of Microsoft Corporation and the American depositary shares of Taiwan Semiconductor
Manufacturing Company Limited |
|
Tax Treatment
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. Based on the advice of Davis Polk & Wardwell
LLP, our special tax counsel, and on current market conditions, in determining our reporting responsibilities we intend to treat the notes
for U.S. federal income tax purposes as units each comprising: (x) a cash-settled Put Option written by you that is terminated if an automatic
call occurs and that, if not terminated, in circumstances where the payment due at maturity is less than $1,000 (excluding accrued but
unpaid interest), requires you to pay us an amount equal to that difference and (y) a Deposit of $1,000 per $1,000 principal amount note
to secure your potential obligation under the Put Option, as more fully described in “Material U.S. Federal Income Tax Consequences
— Tax Consequences to U.S. Holders — Notes Treated as Units Each Comprising a Put Option and a Deposit” in the accompanying
product supplement, and in particular in the subsection thereof entitled “— Notes with a Term of More than One Year.”
By purchasing the notes, you agree (in the absence of an administrative determination or judicial ruling to the contrary) to follow this
treatment and the allocation described in the following paragraph. However, 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. 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 on a number of issues, the most relevant of which for investors in the notes
are the character of income or loss (including whether the Put Premium might be currently included as ordinary income) and the degree,
if any, to which income realized by non-U.S. investors should be subject to withholding tax. While it is not clear whether the notes would
be viewed as similar to the typical prepaid forward contract described in the notice, it is possible that 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.
In determining our reporting responsibilities, we intend
to treat approximately 40.14% of each Interest Payment to interest on the Deposit and the remainder to Put Premium. Assuming that the
treatment of the notes as units each comprising a Put Option and a Deposit is respected, amounts treated as interest on the Deposit will
be taxed as ordinary income, while the Put Premium will not be taken into account prior to sale or settlement, including a settlement
following an automatic call.
Section 871(m) of the Code and Treasury regulations
promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on
dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or
indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked
to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations. Additionally, a recent IRS notice
excludes from the scope of Section 871(m) instruments issued prior to January 1, 2027 that do not have a delta of one with respect to
underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”).
Based on certain determinations made by us, our special tax counsel is of the opinion that Section 871(m) should not apply to the notes
with regard to Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section
871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other transactions
with respect to an Underlying Security. You should consult your tax adviser regarding the potential application of Section 871(m) to the
notes.
The discussions 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 all aspects of the U.S. federal income tax consequences of an investment in the notes, including
possible alternative treatments and the issues presented by the 2007 notice. Purchasers who are not initial purchasers of notes at the
issue price should also consult their tax advisers with respect to the tax consequences of an investment in the notes, including possible
alternative treatments, as well as the allocation of the purchase price of the notes between the Deposit and the Put Option.
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
PS-11
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the Common Stock of NVIDIA Corporation, the Common Stock of Microsoft Corporation and the American depositary shares of Taiwan Semiconductor
Manufacturing Company Limited |
|
funding rate and any potential changes to that rate may have an adverse
effect on the terms of the notes and any secondary market prices of the notes. For additional information, see “Selected Risk Considerations
— Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Derived
by Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives underlying
the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as
the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which
can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments.
Accordingly, the estimated value of the notes is determined when the terms of the notes are set based on market conditions and other relevant
factors and assumptions existing at that time.
The estimated value of the notes does not represent
future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide valuations
for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant factors
in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly
based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements
and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market
transactions.
The estimated value of the notes is lower than the
original issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original
issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected
profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the
estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market
forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. A portion
of the profits, if any, realized in hedging our obligations under the notes may be allowed to other affiliated or unaffiliated dealers,
and we or one or more of our affiliates will retain any remaining hedging profits. See “Selected Risk Considerations — Risks
Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Lower Than the Original
Issue Price (Price to Public) of the Notes” in this pricing supplement.
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
Stocks” 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
PS-12
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the Common Stock of NVIDIA Corporation, the Common Stock of Microsoft Corporation and the American depositary shares of Taiwan Semiconductor
Manufacturing Company Limited |
|
to the master global note that represents such notes (the “master
note”), and such notes have been delivered against payment as contemplated herein, such notes will be valid and binding obligations
of JPMorgan Financial and the related guarantee will constitute a valid and binding obligation of JPMorgan Chase & Co., enforceable
in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally,
concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair
dealing and the lack of bad faith), provided that such counsel expresses no opinion as to (i) the effect of fraudulent conveyance,
fraudulent transfer or similar provision of applicable law on the conclusions expressed above or (ii) any provision of the indenture that
purports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law by limiting the amount
of JPMorgan Chase & Co.’s obligation under the related guarantee. This opinion is given as of the date hereof and is limited
to the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited Liability Company
Act. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution and delivery of
the indenture and its authentication of the master note and the validity, binding nature and enforceability of the indenture with respect
to the trustee, all as stated in the letter of such counsel dated February 24, 2023, which was filed as an exhibit to the Registration
Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24, 2023.
Additional
Terms Specific to the Notes
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which
these notes are a part, the accompanying prospectus addendum and the more detailed information contained in the accompanying product supplement.
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-13
| Structured Investments
Auto Callable Yield Notes Linked to the Least Performing of
the Common Stock of NVIDIA Corporation, the Common Stock of Microsoft Corporation and the American depositary shares of Taiwan Semiconductor
Manufacturing Company Limited |
|
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 $520,000.
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