JPMorgan Chase Financial Company LLC |
July 2024 |
Pricing Supplement
Registration Statement Nos. 333-270004 and
333-270004-01
Dated July 17, 2024
Filed pursuant to Rule 424(b)(2)
Structured
Investments
Opportunities in International
Equities
PLUS Based on the Value of the EURO STOXX
50® Index due November 5, 2025
Performance Leveraged Upside
SecuritiesSM
Principal at Risk Securities
Fully and Unconditionally Guaranteed
by JPMorgan Chase & Co.
The PLUS will pay no interest and do not guarantee any return of your principal
at maturity. At maturity, if the underlying index has appreciated in value, investors will receive the stated principal amount of their
investment plus leveraged upside performance of the underlying index, subject to a maximum payment at maturity. However, if the underlying
index has declined in value, at maturity investors will lose 1% for every 1% decline. The PLUS are for investors who seek an equity-based
return and who are willing to risk their principal and forgo current income and upside above the maximum payment at maturity in exchange
for the leverage feature that applies to a limited range of positive performance of the underlying index. The PLUS 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., issued as part of JPMorgan Financial’s Medium-Term Notes, Series A, program. Any
payment on the PLUS is subject to the credit risk of JPMorgan Financial, as issuer of the PLUS, and the credit risk of JPMorgan Chase & Co.,
as guarantor of the PLUS. The investor may lose some or all of the stated principal amount of the PLUS.
FINAL TERMS |
Issuer: |
JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co. |
Guarantor: |
JPMorgan Chase & Co. |
Underlying index: |
EURO STOXX 50® Index (Bloomberg ticker: SX5E Index) |
Aggregate principal amount: |
$1,878,000 |
Payment at maturity: |
If the final index value is greater than the initial index value,
for each $1,000 stated principal amount PLUS,
$1,000 + leveraged upside payment
In no event will the payment at maturity exceed the maximum payment
at maturity.
If the final index value is less than or equal to the initial
index value, for each $1,000 stated principal amount PLUS,
$1,000 × index performance factor
This amount will be less than or equal to the stated principal amount
of $1,000 per PLUS. |
Leveraged upside payment: |
$1,000 × leverage factor × index percent increase |
Index percent increase: |
(final index value – initial index value) / initial index value |
Initial index value: |
The closing level of the underlying index on the pricing date, which was 4,891.46 |
Final index value: |
The closing level of the underlying index on the valuation date |
Leverage factor: |
300% |
Index performance factor: |
final index value / initial index value |
Maximum payment at maturity: |
$1,221.50 (122.15% of the stated principal amount) per PLUS |
Stated principal amount: |
$1,000 per PLUS |
Issue price: |
$1,000 per PLUS (see “Commissions and issue price” below) |
Pricing date: |
July 17, 2024 |
Original issue date (settlement date): |
July 22, 2024 |
Valuation date*: |
October 31, 2025 |
Maturity date*: |
November 5, 2025 |
CUSIP / ISIN: |
48135N6D3 / US48135N6D35 |
Listing: |
The PLUS will not be listed on any securities exchange. |
Agent: |
J.P. Morgan Securities LLC (“JPMS”) |
Commissions and issue price: |
Price to public(1) |
Fees and commissions |
Proceeds to issuer |
Per PLUS |
$1,000.00 |
$17.50(2) |
$977.50 |
|
|
$5.00(3) |
|
Total |
$1,878,000 |
$42,255 |
$1,835,745 |
| (1) | See “Additional Information about the PLUS — Supplemental use of proceeds and hedging” in this document for information
about the components of the price to public of the PLUS. |
| (2) | JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions of $17.50 per $1,000 stated principal amount
PLUS it receives from us to Morgan Stanley Smith Barney LLC (“Morgan Stanley Wealth Management”). See “Plan of Distribution
(Conflicts of Interest)” in the accompanying product supplement. |
| (3) | Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $5.00 for each $1,000
stated principal amount PLUS |
* 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 or early acceleration in the event of a change-in-law event as described
under “General Terms of Notes — Consequences of a Change-in-Law Event” in the accompanying product supplement and “Selected
Risk Considerations — Risks Relating to the Notes Generally — We May Accelerate Your Notes If a Change-in-Law Event Occurs”
in this document
The estimated value of the PLUS on the pricing date was $974.00 per $1,000
stated principal amount PLUS. See “Additional Information about the PLUS — The estimated value of the PLUS” in this
document for additional information.
Investing in the PLUS 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 “Risk Factors” beginning on page 5 of this document
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the PLUS or passed upon the accuracy or the adequacy of this document
or the accompanying product supplement, underlying supplement, prospectus supplement, prospectus and prospectus addendum. Any representation
to the contrary is a criminal offense.
The PLUS 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.
You should read this document together with the related product
supplement, underlying supplement, prospectus supplement, prospectus and prospectus addendum, each of which can be accessed via the hyperlinks
below. Please also see “Additional Information about the PLUS” at the end of this document.
Product supplement no. 4-I dated April 13, 2023: http://www.sec.gov/Archives/edgar/data/19617/000121390023029539/ea152803_424b2.pdf
Underlying supplement no. 1-I dated April 13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000121390023029543/ea151873_424b2.pdf
Prospectus supplement and prospectus, each dated April
13, 2023: http://www.sec.gov/Archives/edgar/data/19617/000095010323005751/crt_dp192097-424b2.pdf
Prospectus addendum dated June 3, 2024: http://www.sec.gov/Archives/edgar/data/1665650/000095010324007599/dp211753_424b3.htm
JPMorgan Chase Financial Company LLC
PLUS Based on the Value of the EURO STOXX 50® Index due November 5, 2025
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Investment Summary
Performance Leveraged Upside Securities
Principal at Risk Securities
The PLUS Based on the Value of the EURO STOXX 50®
Index due November 5, 2025 (the “PLUS”) can be used:
| § | As an alternative to direct exposure to the underlying index that enhances returns for a certain range of positive performance of
the underlying index. |
| § | To potentially achieve similar levels of upside exposure to the underlying index as a direct investment, subject to the maximum payment
at maturity, while using fewer dollars by taking advantage of the leverage factor. |
The PLUS are exposed on a 1:1 basis to the negative
performance of the underlying index.
Maturity: |
Approximately 15.5 months |
Leverage factor: |
300% |
Maximum payment at maturity: |
$1,221.50 (122.15% of the stated principal amount) per PLUS |
Minimum payment at maturity: |
None. Investors may lose their entire initial investment in the PLUS. |
Supplemental Terms of the PLUS
For purposes of the accompanying product
supplement, the underlying index is an “Index.”
Any values of the underlying index, and any values derived therefrom,
included in this document may be corrected, in the event of manifest error or inconsistency, by amendment of this document and the corresponding
terms of the PLUS. Notwithstanding anything to the contrary in the indenture governing the PLUS, that amendment will become effective
without consent of the holders of the PLUS or any other party.
JPMorgan Chase Financial Company LLC
PLUS Based on the Value of the EURO STOXX 50® Index due November 5, 2025
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Key Investment Rationale
PLUS offer leveraged exposure to an underlying asset, which may
be equities, commodities and/or currencies, without any protection against negative performance of the underlying asset. If the underlying
asset has decreased in value, investors are fully exposed to the negative performance of the underlying asset. At maturity, if the underlying
asset has appreciated, investors will receive the stated principal amount of their investment plus leveraged upside performance of the
underlying asset, subject to the maximum payment at maturity. At maturity, if the underlying asset has depreciated, the investor will
lose 1% for every 1% decline. Investors may lose some or all of the stated principal amount of the PLUS.
Leveraged Performance |
The PLUS offer investors an opportunity to capture enhanced returns for a certain range of positive performance relative to a direct investment in the underlying index. |
Upside Scenario |
The underlying index increases in value and, at maturity, the PLUS pay the stated principal amount of $1,000 plus a return equal to 300% of the index percent increase, subject to the maximum payment at maturity of $1,221.50 (122.15% of the stated principal amount) per PLUS. |
Par Scenario |
The final index value is equal to the initial index value and, at maturity, the PLUS pay the stated principal amount of $1,000 per PLUS. |
Downside Scenario |
The underlying index declines in value and, at maturity, the PLUS pay an amount that is less than the stated principal amount by an amount that is proportionate to the percentage decline of the final index value from the initial index value. (Example: if the underlying index decreases in value by 20%, the PLUS will pay an amount that is less than the stated principal amount by 20%, or $800 per PLUS.) |
JPMorgan Chase Financial Company LLC
PLUS Based on the Value of the EURO STOXX 50® Index due November 5, 2025
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
How the PLUS Work
Payoff Diagram
The payoff diagram below illustrates the payment at maturity on the
PLUS based on the following terms:
Stated principal amount: |
$1,000 per PLUS |
Leverage factor: |
300% |
Maximum payment at maturity: |
$1,221.50 (122.15% of the stated principal amount) per PLUS |
PLUS Payoff Diagram |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024063016/image_001.jpg) |
How it works
| § | Upside
Scenario: If the final index value is greater than the initial index value, for each $1,000 principal amount PLUS, investors
will receive the $1,000 stated principal amount plus a return equal to 300% of the appreciation of the underlying index over the
term of the PLUS, subject to the maximum payment at maturity. Under the terms of the PLUS, an investor will realize the maximum payment
at maturity at a final index value of approximately 107.38334% of the initial index value. |
| § | Par
Scenario: If the final index value is equal to the initial index value, investors will receive the stated principal amount
of $1,000 per PLUS. |
| § | Downside
Scenario: If the final index value is less than the initial index value, investors will receive an amount that is less than
the stated principal amount by an amount proportionate to the percentage decrease of the final index value from the initial index value. |
| § | For example, if the underlying index depreciates 50%, investors will lose 50% of their principal and receive only $500 per PLUS at
maturity, or 50% of the stated principal amount. |
The hypothetical returns and hypothetical payments
on the PLUS shown above apply only if you hold the PLUS for their entire term. These hypotheticals do not reflect fees or expenses
that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns and
hypothetical payments shown above would likely be lower.
JPMorgan Chase Financial Company LLC
PLUS Based on the Value of the EURO STOXX 50® Index due November 5, 2025
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Risk Factors
The following
is a non-exhaustive list of certain key risk factors for investors in the PLUS. For further discussion of these and other
risks, you should read the sections entitled “Risk Factors” of the accompanying prospectus supplement and the accompanying
product supplement and in Annex A to the accompanying prospectus addendum. We urge you to consult your investment, legal, tax, accounting
and other advisers in connection with your investment in the PLUS.
Risks Relating to the
PLUS Generally
| § | The
PLUS do not pay interest or guarantee the return of any principal and your investment in the PLUS may result in a loss. The
terms of the PLUS differ from those of ordinary debt securities in that the PLUS do not pay interest or guarantee the payment of any
principal amount at maturity. If the final index value is less than the initial index value, the payment at maturity will be an amount
in cash that is less than the stated principal amount of each PLUS by an amount proportionate to the decrease in the value of the underlying
index and may be zero. |
| § | The appreciation potential of the PLUS is limited by the maximum payment
at maturity. The appreciation potential of the PLUS is limited by the maximum payment at maturity of $1,221.50 (122.15% of
the stated principal amount) per PLUS. Because the maximum payment at maturity will be limited to 122.15% of the stated principal amount
for the PLUS, any increase in the final index value by more than approximately 7.38334% will not further increase the return on the PLUS. |
| § | The PLUS are subject to the credit risks of JPMorgan Financial and JPMorgan
Chase & Co., and any actual or anticipated changes to our or JPMorgan Chase & Co.’s credit ratings or
credit spreads may adversely affect the market value of the PLUS. Investors are dependent on our
and JPMorgan Chase & Co.’s ability to pay all amounts due on the PLUS. Any actual or anticipated decline in our or
JPMorgan Chase & Co.’s credit ratings or increase in our or JPMorgan Chase & Co.’s credit spreads
determined by the market for taking that credit risk is likely to adversely affect the market value of the PLUS. If we and JPMorgan Chase & Co.
were to default on our payment obligations, you may not receive any amounts owed to you under the PLUS 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 PLUS. 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 PLUS
as they come due. If JPMorgan Chase & Co. does not make payments to us and we are unable to make payments on the PLUS, 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. |
| § | Secondary trading may be limited. The
PLUS will not be listed on a securities exchange. There may be little or no secondary market for the PLUS. Even if there is a secondary
market, it may not provide enough liquidity to allow you to trade or sell the PLUS easily.
JPMS may act as a market maker for the PLUS, but is not required to do so. Because we do not expect that other market makers will
participate significantly in the secondary market for the PLUS, the price at which you may be able to trade your PLUS is likely to depend
on the price, if any, at which JPMS is willing to
buy the PLUS. If at any time JPMS or another agent
does not act as a market maker, it is likely that there would be little or no secondary market for the PLUS. |
| § | We may accelerate your PLUS if a change-in-law event occurs. Upon the announcement or occurrence of legal or regulatory changes
that the calculation agent determines are likely to interfere with your or our ability to transact in or hold the PLUS or our ability
to hedge or perform our obligations under the PLUS, we may, in our sole and absolute discretion, accelerate the payment on your PLUS and
pay you an amount determined in good faith and in a commercially reasonable manner by the calculation agent. If the payment on your PLUS
is accelerated, your investment may result in a loss and you may not be able to |
JPMorgan Chase Financial Company LLC
PLUS Based on the Value of the EURO STOXX 50® Index due November 5, 2025
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
reinvest your money in a comparable investment.
Please see “General Terms of Notes — Consequences of a Change-in-Law Event” in the accompanying product supplement for
more information.
| § | The tax consequences of an investment in the PLUS are uncertain. There is no direct legal authority as to the proper U.S. federal
income tax characterization of the PLUS, and we do not intend to request a ruling from the IRS. The IRS might not accept, and a court
might not uphold, the treatment of the PLUS described in “Additional Information about the PLUS ― Additional Provisions ―
Tax considerations” in this document and in “Material U.S. Federal Income Tax Consequences” in the accompanying product
supplement. If the IRS were successful in asserting an alternative treatment for the PLUS, the timing and character of any income or loss
on the PLUS could differ materially and adversely from our description herein. In addition, in 2007 Treasury and the IRS released a notice
requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice
focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment. It also
asks for comments on a number of related topics, including the character of income or loss with respect to these instruments; the relevance
of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including
any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should
be subject to the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term capital
gain as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate transition rules and
effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely
affect the tax consequences of an investment in the PLUS, possibly with retroactive effect. You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement and consult your tax adviser regarding
the U.S. federal income tax consequences of an investment in the PLUS, including possible alternative treatments and the issues presented
by this notice. |
Risks Relating to Conflicts of Interest
| § | Economic interests of the issuer, the guarantor, the calculation agent, the agent of the offering of the PLUS and other affiliates
of the issuer may be different from those of investors. We
and our affiliates play a variety of roles in connection with the issuance of the PLUS, including acting as calculation agent and as an
agent of the offering of the PLUS, hedging our obligations under the PLUS and making the assumptions used to determine the pricing of
the PLUS and the estimated value of the PLUS, which we refer to as the estimated value of the PLUS. In performing these duties, our and
JPMorgan Chase & Co.’s economic interests and the economic interests of the calculation agent and other affiliates
of ours are potentially adverse to your interests as an investor in the PLUS. The calculation agent has determined the initial index value,
will determine the final index value and will calculate the amount of payment you will receive at maturity, if any. Determinations made
by the calculation agent, including with respect to the occurrence or non-occurrence of market disruption events, the selection of a successor
to the underlying index or calculation of the final index value in the event of a discontinuation or material change in method of calculation
of the underlying index, may affect the payment to you at maturity. |
In addition,
our and JPMorgan Chase & Co.’s business activities, including hedging and trading activities, could cause our and
JPMorgan Chase & Co.’s economic interests to be adverse to yours and could adversely affect any payment on the PLUS
and the value of the PLUS. It is possible that hedging or trading activities of ours or our affiliates in connection with the PLUS could
result in substantial returns for us or our affiliates while the value of the PLUS declines. Please refer to “Risk Factors —
Risks Relating to Conflicts of Interest” in the accompanying product supplement for additional information about these risks.
| § | Hedging and trading activities by the issuer and its affiliates
could potentially affect the value of the PLUS. The hedging or trading
activities of the issuer’s affiliates and of any other hedging counterparty with respect to the PLUS
on or prior to the pricing date and prior to maturity could have adversely affected, and may continue to adversely, affect the value
of the underlying index and, as a result, could decrease the amount an investor may receive on the PLUS at maturity, if any. Any of these
hedging or trading activities on or prior to the pricing date could have affected the initial index value and, therefore, could
potentially increase the level that the final index value must reach before you receive a payment at maturity that exceeds the issue
price of the PLUS or so that you do not suffer a loss on your initial investment in the |
JPMorgan Chase Financial Company LLC
PLUS Based on the Value of the EURO STOXX 50® Index due November 5, 2025
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
PLUS. Additionally, these hedging or trading
activities during the term of the PLUS, including
on the valuation date, could adversely affect the final index value and, accordingly, the amount of cash an investor will receive at maturity,
if any. It is possible that these hedging or trading activities could result in substantial returns for us or our affiliates while the
value of the PLUS declines.
JPMorgan Chase Financial Company LLC
PLUS Based on the Value of the EURO STOXX 50® Index due November 5, 2025
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Risks Relating to the Estimated Value and Secondary
Market Prices of the PLUS
| § | The estimated value of the PLUS is lower than the original issue price (price to public) of the PLUS.
The estimated value of the PLUS is only an estimate determined by reference to several factors. The original issue price of
the PLUS exceeds the estimated value of the PLUS because costs associated with selling, structuring and hedging the PLUS are included
in the original issue price of the PLUS. These costs include the selling commissions, the structuring fee, the projected profits, if any,
that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the PLUS and the estimated cost of
hedging our obligations under the PLUS. See “Additional Information about the PLUS — The estimated value of the PLUS”
in this document. |
| § | The estimated value of the PLUS does not represent future values of the PLUS and may differ from others’ estimates.
The estimated value of the PLUS is determined by reference to internal pricing models of our affiliates. This estimated value
of the PLUS is based on market conditions and other relevant factors existing at the time of pricing and assumptions about market parameters,
which can include volatility, dividend rates, interest rates and other factors. Different pricing models and assumptions could provide
valuations for the PLUS that are greater than or less than the estimated value of the PLUS. 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 PLUS 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 PLUS from you in
secondary market transactions. See “Additional Information about the PLUS — The estimated value of the PLUS” in this
document. |
| § | The estimated value of the PLUS is derived by reference to an internal funding rate.
The internal funding rate used in the determination of the estimated value of the PLUS 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 PLUS as well as the higher issuance,
operational and ongoing liability management costs of the PLUS 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 PLUS. The use of an internal funding
rate and any potential changes to that rate may have an adverse effect on the terms of the PLUS and any secondary market prices of the
PLUS. See “Additional Information about the PLUS — The estimated value of the PLUS” in this document. |
| § | The value of the PLUS as published by JPMS (and which may be reflected on customer account statements) may be higher than the then-current
estimated value of the PLUS for a limited time period.
We generally expect that some of the costs included in the original issue price of the PLUS will be partially paid back to you
in connection with any repurchases of your PLUS by JPMS in an amount that will decline to zero over an initial predetermined period. These
costs can include selling commissions, the structuring fee, projected hedging profits, if any, and, in some circumstances, estimated hedging
costs and our internal secondary market funding rates for structured debt issuances. See “Additional Information about the PLUS
— Secondary market prices of the PLUS” in this document for additional information relating to this initial period. Accordingly,
the estimated value of your PLUS during this initial period may be lower than the value of the PLUS as published by JPMS (and which may
be shown on your customer account statements). |
| § | Secondary market prices of the PLUS will likely be lower than the original issue price of the PLUS.
Any secondary market prices of the PLUS will likely be lower than the original issue price of the PLUS 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, the structuring fee, projected hedging profits, if any, and estimated
hedging costs that are included in the original issue price of the PLUS. As a result, the price, if any, at which JPMS will be willing
to buy PLUS from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you
prior to the maturity date could result in a substantial loss to you. See the immediately following risk factor for information about
additional factors that will impact any secondary market prices of the PLUS. |
The PLUS are not designed to be short-term
trading instruments. Accordingly, you should be able and willing to hold your PLUS to maturity. See “— Risks Relating to the
PLUS Generally — Secondary trading may be limited” above.
JPMorgan Chase Financial Company LLC
PLUS Based on the Value of the EURO STOXX 50® Index due November 5, 2025
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
| § | Secondary market prices of the PLUS will be impacted by many economic and
market factors. The secondary market price of the PLUS 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, structuring fee, projected hedging
profits, if any, estimated hedging costs and the closing level of the underlying index, including: |
| o | any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads; |
| o | customary bid-ask spreads for similarly sized trades; |
| o | our internal secondary market funding rates for structured debt issuances; |
| o | the actual and expected volatility of the underlying index; |
| o | the time to maturity of the PLUS; |
| o | the dividend rates on the equity securities included in the underlying index; |
| o | interest and yield rates in the market generally; |
| o | the exchange rates and the volatility of the exchange rates between the U.S. dollar and each of the currencies in which the equity
securities included in the underlying index trade and the correlation among those rates and the levels of the underlying index; and |
| o | a variety of other economic, financial, political, regulatory and judicial events. |
Additionally, independent pricing vendors
and/or third party broker-dealers may publish a price for the PLUS, which may also be reflected on customer account statements. This price
may be different (higher or lower) than the price of the PLUS, if any, at which JPMS may be willing to purchase your PLUS in the secondary
market.
Risks Relating to the Underlying
Index
| § | Investing in the PLUS is not equivalent to investing in the underlying
index. Investing in the PLUS is not equivalent to investing in the underlying index or its component
stocks. Investors in the PLUS will not have voting rights or rights to receive dividends or other distributions or any other rights with
respect to the stocks that constitute the underlying index. |
| § | Adjustments to the underlying index could adversely affect the value of
the PLUS. The underlying index publisher may discontinue or suspend calculation or publication of
the underlying index at any time. In these circumstances, the calculation agent will have the sole discretion to substitute a successor
index that is comparable to the discontinued underlying index and is not precluded from considering indices that are calculated and published
by the calculation agent or any of its affiliates. |
| § | The PLUS are subject to risks
associated with securities issued by non-U.S. companies. The equity securities included in the underlying index have been issued by
non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity securities involve risks associated with the
securities markets in the home countries of the issuers of those non-U.S. equity securities, including risks of volatility in those markets,
governmental intervention in those markets and cross shareholdings in companies in certain countries. Also, there is generally less publicly
available information about companies in some of these jurisdictions than there is about U.S. companies that are subject to the reporting
requirements of the SEC, and generally non-U.S. companies are subject to accounting, auditing and financial reporting standards and requirements
and securities trading rules different from those applicable to U.S. reporting companies. |
| § | The PLUS are not directly exposed
to fluctuations in foreign exchange rates. The value of your PLUS will not be adjusted for exchange rate fluctuations between the
U.S. dollar and the currencies upon which the equity securities included in the underlying index are based, although any currency fluctuations
could affect the performance of the underlying index. Therefore, if the applicable currencies appreciate or depreciate relative to the
U.S. dollar over the term of the PLUS, you will not receive any additional payment or incur any reduction in any payment on the PLUS. |
JPMorgan Chase Financial Company LLC
PLUS Based on the Value of the EURO STOXX 50® Index due November 5, 2025
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
| § | Governmental
legislative and regulatory actions, including sanctions, could adversely affect your investment
in the PLUS. Governmental legislative and regulatory
actions, including, without limitation, sanctions-related actions by the U.S. or a foreign
government, could prohibit or otherwise restrict persons from holding the PLUS or the securities
included in the underlying index, or engaging in transactions in them, and any such action
could adversely affect the value of the PLUS or the underlying index. These legislative and
regulatory actions could result in restrictions on the PLUS. You may lose a significant portion
or all of your initial investment in the PLUS if you are forced to divest the PLUS due to
the government mandates, especially if such divestment must be made at a time when the value
of the PLUS has declined. |
JPMorgan Chase Financial Company LLC
PLUS Based on the Value of the EURO STOXX 50® Index due November 5, 2025
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
EURO STOXX 50® Index Overview
The EURO STOXX 50® Index consists of 50 component stocks
of market sector leaders from within the Eurozone. For additional information about the EURO STOXX 50® Index, see the information
set forth under “Equity Index Descriptions ― The STOXX Benchmark Indices” in the accompanying underlying supplement.
Information as of market close on July 17, 2024:
Bloomberg Ticker Symbol: |
SX5E |
52 Week High (on 5/15/2024): |
5,100.90 |
Current Closing Level: |
4,891.46 |
52 Week Low (on 10/27/2023): |
4,014.36 |
52 Weeks Ago (on 7/17/2023): |
4,356.79 |
|
|
The following table sets forth the
published high and low closing levels, as well as end-of-quarter closing levels, of the underlying index for each quarter in the period
from January 1, 2019 through July 17, 2024. The graph following the table sets forth the daily closing levels of the underlying index
during the same period. The closing level of the underlying index on July 17, 2024 was 4,891.46.
We obtained the closing level information above and in the table and graph below from the Bloomberg Professional® service
(“Bloomberg”), without independent verification. The historical closing levels of the underlying index should not be taken
as an indication of future performance, and no assurance can be given as to the closing level of the underlying index on the valuation
date. The payment of dividends on the stocks that constitute the underlying index are not reflected in its closing level and, therefore,
have no effect on the calculation of the payment at maturity.
EURO STOXX 50® Index |
High |
Low |
Period End |
2019 |
|
|
|
First Quarter |
3,409.00 |
2,954.66 |
3,351.71 |
Second Quarter |
3,514.62 |
3,280.43 |
3,473.69 |
Third Quarter |
3,571.39 |
3,282.78 |
3,569.45 |
Fourth Quarter |
3,782.27 |
3,413.31 |
3,745.15 |
2020 |
|
|
|
First Quarter |
3,865.18 |
2,385.82 |
2,786.90 |
Second Quarter |
3,384.29 |
2,662.99 |
3,234.07 |
Third Quarter |
3,405.35 |
3,137.06 |
3,193.61 |
Fourth Quarter |
3,581.37 |
2,958.21 |
3,552.64 |
2021 |
|
|
|
First Quarter |
3,926.20 |
3,481.44 |
3,919.21 |
Second Quarter |
4,158.14 |
3,924.80 |
4,064.30 |
Third Quarter |
4,246.13 |
3,928.53 |
4,048.08 |
Fourth Quarter |
4,401.49 |
3,996.41 |
4,298.41 |
2022 |
|
|
|
First Quarter |
4,392.15 |
3,505.29 |
3,902.52 |
Second Quarter |
3,951.12 |
3,427.91 |
3,454.86 |
Third Quarter |
3,805.22 |
3,279.04 |
3,318.20 |
Fourth Quarter |
3,986.83 |
3,331.53 |
3,793.62 |
2023 |
|
|
|
First Quarter |
4,315.05 |
3,856.09 |
4,315.05 |
Second Quarter |
4,408.59 |
4,218.04 |
4,399.09 |
Third Quarter |
4,471.31 |
4,129.18 |
4,174.66 |
Fourth Quarter |
4,549.44 |
4,014.36 |
4,521.44 |
2024 |
|
|
|
First Quarter |
5,083.42 |
4,403.08 |
5,083.42 |
Second Quarter (through July 17, 2024) |
5,100.90 |
4,839.14 |
4,891.46 |
JPMorgan Chase Financial Company LLC
PLUS Based on the Value of the EURO STOXX 50® Index due November 5, 2025
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
EURO STOXX 50®
Index Historical Performance – Daily Closing Levels
January
2, 2019 to July 17, 2024 |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024063016/image_002.jpg) |
License Agreement. The EURO STOXX 50® Index
and STOXX® are the intellectual property (including registered trademarks) of STOXX Limited, Zurich, Switzerland and/or
its licensors (the “Licensors”), which are used under license. The securities based on the EURO STOXX 50® Index
are in no way sponsored, endorsed, sold or promoted by STOXX Limited and its Licensors and neither Stoxx Limited nor any of its Licensors
shall have any liability with respect thereto. See “Equity Index Descriptions — The STOXX Benchmark Indices — License
Agreement” in the accompanying underlying supplement.
JPMorgan Chase Financial Company LLC
PLUS Based on the Value of the EURO STOXX 50® Index due November 5, 2025
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Additional Information about the PLUS
Please read this information in conjunction with the terms on the
front cover of this document.
Additional Provisions: |
Postponement of maturity date: |
If the scheduled maturity date is not a business day, then the maturity date will be the following business day. If the scheduled valuation date is not a trading day or if a market disruption event occurs on that day so that the valuation date is postponed and falls less than three business days prior to the scheduled maturity date, the maturity date of the PLUS will be postponed to the third business day following the valuation date as postponed. |
Minimum ticketing size: |
$1,000 / 1 PLUS |
Trustee: |
Deutsche Bank Trust Company Americas (formerly Bankers Trust Company) |
Calculation agent: |
JPMS |
The estimated value of the PLUS: |
The estimated value of the PLUS set forth on the cover
of this document 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 PLUS, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying the
economic terms of the PLUS. The estimated value of the PLUS does not represent a minimum price at which JPMS would be willing to buy your
PLUS in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated value of
the PLUS 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 PLUS as well as the higher issuance, operational and ongoing liability management costs of the PLUS 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 PLUS. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the
terms of the PLUS and any secondary market prices of the PLUS. For additional information, see “Risk Factors — Risks Relating
to the Estimated Value and Secondary Market Prices of the PLUS — The estimated value of the PLUS is derived by reference to an internal
funding rate” in this document. The value of the derivative or derivatives underlying the economic terms of the PLUS 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
PLUS on the pricing date is based on market conditions and other relevant factors and assumptions existing at that time. See “Risk
Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the PLUS — The estimated value of the PLUS
does not represent future values of the PLUS and may differ from others’ estimates” in this document.
The estimated value of the PLUS is lower than the original
issue price of the PLUS because costs associated with selling, structuring and hedging the PLUS are included in the original issue price
of the PLUS. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the structuring fee,
the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the
PLUS and the estimated cost of hedging our obligations under the PLUS. 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 PLUS 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 “Risk Factors — Risks Relating
to the Estimated Value and Secondary Market Prices of the PLUS — The estimated value of the PLUS is lower than the original issue
price (price to public) of the PLUS” in this document. |
Secondary market prices of the PLUS: |
For information about factors that will impact any secondary market prices of the PLUS, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the PLUS — Secondary market prices of the PLUS will be impacted by many economic and market factors” in this document. In addition, we generally expect that some of the costs included in the original issue price of the PLUS will be partially paid back to you in connection with any repurchases of your PLUS by JPMS in an amount that will decline to zero over an initial predetermined period that is intended to be the shorter of two years and one-half of the stated term of the PLUS. The length of any such initial period reflects the structure of the PLUS, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the PLUS and when these costs are incurred, as determined by our |
JPMorgan Chase Financial Company LLC
PLUS Based on the Value of the EURO STOXX 50® Index due November 5, 2025
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
affiliates. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the PLUS — The value of the PLUS as published by JPMS (and which may be reflected on customer account statements) may be higher than the then-current estimated value of the PLUS for a limited time period.” |
Tax considerations: |
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. The following discussion, when read in combination
with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S.
federal income tax consequences of owning and disposing of the PLUS.
Based on current market conditions, in the opinion
of our special tax counsel, it is reasonable to treat your PLUS as “open transactions” that are not debt instruments for U.S.
federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences
to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement.
Assuming this treatment is respected, the gain or loss on your PLUS should be treated as long-term capital gain or loss if you hold your
PLUS for more than a year, whether or not you are an initial purchaser of PLUS at the issue price. However, the IRS or a court may not
respect this treatment of the PLUS, in which case the timing and character of any income or loss on the PLUS 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 in particular on whether to require investors in these
instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the
character of income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property
to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors
should be subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership”
regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest
charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance
promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the PLUS,
possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment
in the PLUS, including possible alternative treatments and the issues presented by this notice. |
Supplemental use of proceeds and hedging: |
The PLUS are offered to meet
investor demand for products that reflect the risk-return profile and market exposure provided by the PLUS. See “How the PLUS Work”
in this document for an illustration of the risk-return profile of the PLUS and “EURO STOXX 50® Index Overview”
in this document for a description of the market exposure provided by the PLUS.
The original issue price of the PLUS is equal to the estimated
value of the PLUS plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers and the structuring fee, plus
(minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under
the PLUS, plus the estimated cost of hedging our obligations under the PLUS. |
Benefit plan investor considerations: |
See “Benefit Plan Investor Considerations” in the accompanying product supplement. |
Supplemental plan of distribution: |
Subject to regulatory constraints, JPMS intends to use its
reasonable efforts to offer to purchase the PLUS in the secondary market, but is not required to do so. JPMS, acting as agent for JPMorgan
Financial, will pay all of the selling commissions it receives from us to Morgan Stanley Wealth Management. In addition, Morgan Stanley
Wealth Management will receive a structuring fee as set forth on the cover of this document for each PLUS.
We or our affiliate may enter into swap agreements or related
hedge transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the PLUS and JPMS and/or
an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions. See “—
Supplemental use of proceeds and hedging” above and “Use of Proceeds and Hedging” in the accompanying product supplement. |
Validity of the PLUS and the guarantee: |
In the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the PLUS 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 PLUS (the “master note”), and such PLUS have been delivered against payment as contemplated herein, such PLUS 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 |
JPMorgan Chase Financial Company LLC
PLUS Based on the Value of the EURO STOXX 50® Index due November 5, 2025
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
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. |
Where you can find more information: |
You should read this document together with the accompanying prospectus,
as supplemented by the accompanying prospectus supplement, relating to our Series A medium-term notes of which these PLUS are a part,
the accompanying prospectus addendum and the more detailed information contained in the accompanying product supplement and the accompanying
underlying supplement.
This document, together with the documents listed below, contains the terms
of the PLUS 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, stand-alone 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 PLUS 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 PLUS.
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):
• Product
supplement no. 4-I dated April 13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000121390023029539/ea152803_424b2.pdf
• Underlying supplement no. 1-I dated April 13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000121390023029543/ea151873_424b2.pdf
• Prospectus supplement and prospectus, each dated April 13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000095010323005751/crt_dp192097-424b2.pdf
• Prospectus addendum dated June 3, 2024:
http://www.sec.gov/Archives/edgar/data/1665650/000095010324007599/dp211753_424b3.htm
Our Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan
Chase & Co.’s CIK is 19617.
As used in this document, “we,” “us,”
and “our” refer to JPMorgan Financial.
“Performance Leveraged Upside SecuritiesSM”
and “PLUSSM” are service marks of Morgan Stanley. |
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 $1,878,000.
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