| August 2, 2024 |
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
JPMorgan Chase Financial Company LLC
Structured Investments
$1,870,000
Auto Callable Dual Directional Barrier Notes Linked
to the Common Stock of Eli Lilly and Company due August 5, 2027
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
| · | The notes are designed for investors who seek early exit prior to maturity at a premium if, on the Review Date, the closing price
of one share of the Reference Stock is at or above the Call Value. |
| · | The date on which an automatic call may be initiated is August 11, 2025. |
| · | The notes are also designed for investors who seek uncapped, unleveraged exposure to any appreciation
of the Reference Stock at maturity or a capped, unleveraged
return equal to the absolute value of any depreciation of the Reference Stock at maturity (up to 40.00%) if the Final Value is
greater than or equal to 60.00% of the Initial Value, which we refer to as the Barrier Amount, and, in each case, if the notes have not
been automatically called. |
| · | Investors should be willing to forgo interest and dividend payments and be willing to lose some or all of their principal amount at
maturity. |
| · | The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial,
the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes is subject
to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor
of the notes. |
| · | Minimum denominations of $1,000 and integral multiples thereof |
| · | The notes priced on August 2, 2024 and are expected to settle on or about August 7, 2024. |
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-4 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing
supplement or the accompanying product supplement, prospectus supplement, prospectus and prospectus addendum. Any representation to the
contrary is a criminal offense.
| |
Price to Public (1) |
Fees and Commissions (2)(3) |
Proceeds to Issuer |
| Per note |
$1,000 |
— |
$1,000 |
| Total |
$1,870,000 |
— |
$1,870,000 |
|
(1) See “Supplemental Use of Proceeds” in this
pricing supplement for information about the components of the price to public of the notes.
(2) All sales of the notes will be made to certain
fee-based advisory accounts for which an affiliated or unaffiliated broker-dealer is an investment adviser. These broker-dealers will
forgo any commissions related to these sales. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product
supplement.
(3) J.P. Morgan Securities LLC, which we refer to as
JPMS, will pay a structuring fee of $8.00 per $1,000 principal amount note with respect to all of the notes to other affiliated or unaffiliated
dealers. |
The estimated value of the notes, when the terms of the notes
were set, was $972.30 per $1,000 principal amount note. See “The Estimated Value of the Notes” in this pricing supplement
for additional information.
The notes are not bank deposits, are not insured by the Federal
Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Pricing supplement to product supplement no. 4-I dated
April 13, 2023, the prospectus and prospectus supplement, each dated April 13, 2023, and the prospectus addendum dated June 3, 2024
Key Terms
|
Issuer:
JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor:
JPMorgan Chase & Co.
Reference
Stock: The common stock of Eli Lilly and Company, no par value (Bloomberg ticker: LLY). We refer to Eli Lilly and Company as
“Eli Lilly.”
Call Premium Amount: $162.50
per $1,000 principal amount note
Call Value: 100.00% of the
Initial Value
Barrier Amount: 60.00%
of the Initial Value, which is $482.676
Pricing
Date: August 2, 2024
Original
Issue Date (Settlement Date): On or about August 7, 2024
Review
Date*: August 11, 2025
Call
Settlement Date*: August 14, 2025
Observation
Date*: August 2, 2027
Maturity
Date*: August 5, 2027
* Subject to postponement in the event of a market disruption
event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single
Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General Terms of Notes —
Postponement of a Payment Date” in the accompanying product supplement |
Automatic Call:
If the closing price of one share of the
Reference Stock on the Review Date is greater than or equal to the Call 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 Call Premium Amount, payable on the Call Settlement Date.
No further payments will be made on the notes.
If the notes are automatically called,
you will not benefit from the feature that provides you with a return at maturity equal to the Stock Return if the Final Value is greater
than the Initial Value or the absolute return feature that applies to the payment at maturity if the Final Value is equal to or less than
the Initial Value but greater than or equal to the Barrier Amount. Because these features do not apply to the payment upon an automatic
call, the payment upon an automatic call may be significantly less than the payment at maturity for the same level of change in the Reference
Stock.
Payment at Maturity:
If the notes have not been automatically called and the Final Value is greater
than the Initial Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Stock Return)
If the notes have not been automatically called and the Final Value is equal
to the Initial Value or is less than the Initial Value but greater than or equal to the Barrier Amount, your payment at maturity per $1,000
principal amount note will be calculated as follows:
$1,000 + ($1,000 × Absolute Stock Return)
This payout formula results in an effective cap of 40.00% on your return
at maturity if the Stock Return is negative. Under these limited circumstances, your maximum payment at maturity is $1,400.00 per $1,000
principal amount note.
If the notes have not been automatically called and the Final Value is less
than the Barrier Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Stock Return)
If the notes have not been automatically called and the Final Value is
less than the Barrier Amount, you will lose more than 40.00% of your principal amount at maturity and could lose all of your principal
amount at maturity.
Absolute
Stock Return: The
absolute value of the Stock Return. For example, if the Stock Return is -5%, the Absolute Stock Return will equal 5%.
Stock Return:
(Final Value – Initial Value)
Initial Value
Initial
Value: The closing price of one share of the Reference Stock on the Pricing Date, which was
$804.46
Final
Value: The closing price of one share of the Reference Stock on the Observation Date
Stock
Adjustment Factor: The Stock Adjustment Factor is referenced in determining the closing price of one share of the Reference
Stock and is set equal to 1.0 on the Pricing Date. The Stock Adjustment Factor is subject to adjustment upon the occurrence of certain
corporate events affecting the Reference Stock. See “The Underlyings — Reference Stocks — Anti-Dilution Adjustments”
and “The Underlyings — Reference Stocks — Reorganization Events” in the accompanying product supplement for further
information.
|
|
PS-1
| Structured Investments
Auto Callable Dual Directional Barrier Notes Linked to the Common
Stock of Eli Lilly and Company |
|
Supplemental
Terms of the Notes
Any values of the Reference Stock, and any values derived
therefrom, included in this pricing supplement may be corrected, in the event of manifest error or inconsistency, by amendment of this
pricing supplement and the corresponding terms of the notes. Notwithstanding anything to the contrary in the indenture governing the notes,
that amendment will become effective without consent of the holders of the notes or any other party.
Hypothetical
Payout Profile
Payment upon an Automatic Call
Payment at Maturity If the Notes Have Not Been Automatically
Called
Call Premium Amount
The Call Premium Amount per $1,000 principal amount
note if the notes are automatically called is $162.50.
|
PS-2
| Structured Investments
Auto Callable Dual Directional Barrier Notes Linked to the Common
Stock of Eli Lilly and Company |
|
Payment at Maturity If the Notes Have Not Been Automatically
Called
The following table illustrates the hypothetical total
return and payment at maturity on the notes linked to a hypothetical Reference Stock if the notes have not been automatically called.
The “total return” as used in this pricing supplement is the number, expressed as a percentage, that results from comparing
the payment at maturity per $1,000 principal amount note to $1,000. The hypothetical total returns and payments set forth below assume
the following:
| · | the notes have not been automatically called; |
| · | an Initial Value of $100.00; and |
| · | a Barrier Amount of $60.00 (equal to 60.00% of the hypothetical Initial Value). |
The hypothetical Initial Value of $100.00 has been
chosen for illustrative purposes only and does not represent the actual Initial Value. The actual Initial Value is the closing price of
one share of the Reference Stock on the Pricing Date and is specified under “Key Terms — Initial Value” in this pricing
supplement. For historical data regarding the actual closing prices of one share of the Reference Stock, please see the historical information
set forth under “The Reference Stock” in this pricing supplement.
Each hypothetical total return or hypothetical
payment at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable
to a purchaser of the notes. The numbers appearing in the following table have been rounded for ease of analysis.
| Final Value |
Stock Return |
Absolute Stock Return |
Total Return on the
Notes |
Payment at Maturity |
| $165.00 |
65.00% |
N/A |
65.00% |
$1,650.00 |
| $150.00 |
50.00% |
N/A |
50.00% |
$1,500.00 |
| $140.00 |
40.00% |
N/A |
40.00% |
$1,400.00 |
| $130.00 |
30.00% |
N/A |
30.00% |
$1,300.00 |
| $120.00 |
20.00% |
N/A |
20.00% |
$1,200.00 |
| $110.00 |
10.00% |
N/A |
10.00% |
$1,100.00 |
| $105.00 |
5.00% |
N/A |
5.00% |
$1,050.00 |
| $101.00 |
1.00% |
N/A |
1.00% |
$1,010.00 |
| $100.00 |
0.00% |
0.00% |
0.00% |
$1,000.00 |
| $95.00 |
-5.00% |
5.00% |
5.00% |
$1,050.00 |
| $90.00 |
-10.00% |
10.00% |
10.00% |
$1,100.00 |
| $80.00 |
-20.00% |
20.00% |
20.00% |
$1,200.00 |
| $70.00 |
-30.00% |
30.00% |
30.00% |
$1,300.00 |
| $60.00 |
-40.00% |
40.00% |
40.00% |
$1,400.00 |
| $59.99 |
-40.01% |
N/A |
-40.01% |
$599.90 |
| $50.00 |
-50.00% |
N/A |
-50.00% |
$500.00 |
| $40.00 |
-60.00% |
N/A |
-60.00% |
$400.00 |
| $30.00 |
-70.00% |
N/A |
-70.00% |
$300.00 |
| $20.00 |
-80.00% |
N/A |
-80.00% |
$200.00 |
| $10.00 |
-90.00% |
N/A |
-90.00% |
$100.00 |
| $0.00 |
-100.00% |
N/A |
-100.00% |
$0.00 |
|
PS-3
| Structured Investments
Auto Callable Dual Directional Barrier Notes Linked to the Common
Stock of Eli Lilly and Company |
|
How the Notes
Work
Upside Scenario If Automatic Call:
If the closing price of one share of the Reference
Stock on the Review Date is greater than or equal to the Call Value, the notes will be automatically called and investors will receive
on the Call Settlement Date the $1,000 principal amount plus the Call Premium Amount of $162.50. No further payments will
be made on the notes.
| · | If the closing price of one share of the Reference Stock increases 30.00% as of the Review Date, the notes will be automatically called
and investors will receive a return equal to 16.25%, or $1,162.50 per $1,000 principal amount note. |
Reference Stock Appreciation Upside Scenario If
No Automatic Call:
If the notes have not been automatically called and the
Final Value is greater than the Initial Value, investors will receive at maturity the $1,000 principal amount plus a return equal
to the Stock Return.
| · | If the notes have not been automatically called and the closing price of one share of the Reference Stock increases 10.00%, investors
will receive at maturity a return equal to 10.00%, or $1,100.00 per $1,000 principal amount note. |
Reference Stock Par or Reference Stock Depreciation
Upside Scenario:
If the notes have not been automatically called and the
Final Value is equal to the Initial Value or is less than the Initial Value but greater than or equal to the Barrier Amount of 60.00%
of the Initial Value, investors will receive at maturity the $1,000 principal amount plus a return equal to the Absolute Stock
Return.
| · | For example, if the closing price of one share of the Reference Stock declines 10.00%, investors will receive at maturity a return
equal to 10.00%, or $1,100.00 per $1,000 principal amount note. |
Downside Scenario:
If the notes have not been automatically called and the
Final Value is less than the Barrier Amount of 60.00% of the Initial Value, investors will lose 1% of the principal amount of their notes
for every 1% that the Final Value is less than the Initial Value.
| · | For example, if the notes have not been automatically called and the closing price of one share of the Reference Stock declines 60.00%,
investors will lose 60.00% of their principal amount and receive only $400.00 per $1,000 principal amount note at maturity. |
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term or until automatically called. These hypotheticals
do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included,
the hypothetical returns and hypothetical payments shown above would likely be lower.
Selected
Risk Considerations
An investment in the notes involves significant risks.
These risks are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement and product
supplement and in Annex A to the accompanying prospectus addendum.
Risks Relating to the Notes Generally
| · | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — |
The notes do not guarantee any return of principal.
If the notes have not been automatically called and the Final Value is less than the Barrier Amount, you will lose 1% of the principal
amount of your notes for every 1% that the Final Value is less than the Initial 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.
| · | YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE BARRIER AMOUNT IF THE NOTES HAVE NOT BEEN AUTOMATICALLY CALLED AND THE STOCK RETURN
IS NEGATIVE — |
Because the payment at maturity will not reflect
the Absolute Stock Return if the notes have not been automatically called and the Final Value is less than the Barrier Amount, the Barrier
Amount effectively caps your return at maturity if the notes have not been automatically called and the Stock Return is negative. The
maximum payment at maturity if the Stock Return is negative is $1,400.00 per $1,000 principal amount note.
| · | 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.
|
PS-4
| Structured Investments
Auto Callable Dual Directional Barrier Notes Linked to the Common
Stock of Eli Lilly and Company |
|
| · | 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.
| · | IF THE NOTES ARE AUTOMATICALLY CALLED, THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE CALL PREMIUM AMOUNT PAID ON THE
NOTES, |
regardless of any appreciation of the Reference
Stock, which may be significant. In addition, if the notes are automatically called, you will not benefit from the feature that
provides you with a return at maturity equal to the Stock Return if the Final Value is greater than the Initial Value or the absolute
return feature that applies to the payment at maturity if the Final Value is equal to or less than the Initial Value but greater than
or equal to the Barrier Amount. Because these features do not apply to the payment upon an automatic call, the payment upon an automatic
call may be significantly less than the payment at maturity for the same level of change in the Reference Stock.
| · | THE BENEFIT PROVIDED BY THE BARRIER AMOUNT MAY TERMINATE ON THE OBSERVATION DATE — |
If the Final Value is less than the Barrier
Amount, the benefit provided by the Barrier Amount will terminate, and you will be fully exposed to any depreciation of the Reference
Stock.
| · | THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT — |
If your notes are automatically called, the
term of the notes may be reduced to as short as approximately one year. There is no guarantee that you would be able to reinvest the proceeds
from an investment in the notes at a comparable return for a similar level of risk. Even in cases where the notes are called before maturity,
you are not entitled to any fees and commissions described on the front cover of this pricing supplement.
| · | THE NOTES DO NOT PAY INTEREST. |
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE REFERENCE STOCK OR HAVE ANY RIGHTS WITH RESPECT TO THE REFERENCE STOCK. |
| · | THE RISK OF THE CLOSING PRICE OF ONE SHARE OF THE REFERENCE STOCK FALLING BELOW THE BARRIER AMOUNT IS GREATER IF THE PRICE OF ONE
SHARE OF THE REFERENCE STOCK IS VOLATILE. |
The notes will not be listed on any securities
exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS
is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your notes to maturity.
Risks Relating to Conflicts of Interest
We and our affiliates play a variety of roles
in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests are potentially
adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours or our affiliates in
connection with the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer
to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement.
|
PS-5
| Structured Investments
Auto Callable Dual Directional Barrier Notes Linked to the Common
Stock of Eli Lilly and Company |
|
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 structuring and hedging the notes are included in the original issue price of the notes. These costs include the
structuring fee the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes and the estimated cost of hedging our obligations under the notes. See “The Estimated Value of the Notes”
in this pricing supplement.
| · | THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES —
|
See “The Estimated Value of the Notes”
in this pricing supplement.
| · | THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE — |
The internal funding rate used in the determination
of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar
maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our
affiliates’ view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management
costs of the notes in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This
internal funding rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate
the prevailing market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate
may have an adverse effect on the terms of the notes and any secondary market prices of the notes. See “The Estimated Value of the
Notes” in this pricing supplement.
| · | THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE
THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD — |
We generally expect that some of the costs included
in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in
an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices of the Notes” in this
pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes during this
initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account statements).
| · | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES — |
Any secondary market prices of the notes will
likely be lower than the original issue price of the notes because, among other things, secondary market prices take into account our
internal secondary market funding rates for structured debt issuances and, also, because secondary market prices (a) exclude the structuring
fee and (b) may exclude 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
structuring fee projected hedging profits, if any, estimated hedging costs and the price of one share of the Reference Stock. Additionally,
independent pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer
account statements. This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to
purchase your notes in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying
product supplement.
|
PS-6
| Structured Investments
Auto Callable Dual Directional Barrier Notes Linked to the Common
Stock of Eli Lilly and Company |
|
Risks Relating to the Reference Stock
| · | NO AFFILIATION WITH THE REFERENCE STOCK ISSUER — |
We have not independently verified any of the
information about the Reference Stock issuer contained in this pricing supplement. You should undertake your own investigation into the
Reference Stock and its issuer. We are not responsible for the Reference Stock issuer’s public disclosure of information, whether
contained in SEC filings or otherwise.
| · | THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY — |
The calculation agent will not make an adjustment
in response to all events that could affect the Reference Stock. The calculation agent may make adjustments in response to events that
are not described in the accompanying product supplement to account for any diluting or concentrative effect, but the calculation agent
is under no obligation to do so or to consider your interests as a holder of the notes in making these determinations.
|
PS-7
| Structured Investments
Auto Callable Dual Directional Barrier Notes Linked to the Common
Stock of Eli Lilly and Company |
|
All information contained herein on the Reference Stock
and on Eli Lilly is derived from publicly available sources, without independent verification. According to its publicly available filings
with the SEC, Eli Lilly discovers, develops, manufactures and markets products in a single business segment — human pharmaceutical
products. The common stock of Eli Lilly, no par value (Bloomberg ticker: LLY), is registered under the Securities Exchange Act of 1934,
as amended, which we refer to as the Exchange Act, and is listed on the New York Stock Exchange, which we refer to as the relevant exchange
for purposes of Eli Lilly in the accompanying product supplement. Information provided to or filed with the SEC by Eli Lilly pursuant
to the Exchange Act can be located by reference to the SEC file number 001-06351, and can be accessed through www.sec.gov. We do not make
any representation that these publicly available documents are accurate or complete.
Historical Information
The following graph sets forth the historical performance
of the Reference Stock based on the weekly historical closing prices of one share of the Reference Stock from January 4, 2019 through
August 2, 2024. The closing price of one share of the Reference Stock on August 2, 2024 was $804.46. We obtained the closing prices above
and below from the Bloomberg Professional® service (“Bloomberg”), without independent verification. The closing
prices above and below may have been adjusted by Bloomberg for corporate actions, such as stock splits, public offerings, mergers and
acquisitions, spin-offs, delistings and bankruptcy.
The historical closing prices of one share of the Reference
Stock should not be taken as an indication of future performance, and no assurance can be given as to the closing price of one share of
the Reference Stock on the Review Date or the Observation Date. There can be no assurance that the performance of the Reference Stock
will result in the return of any of your principal amount.
Tax Treatment
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 notes.
Based on current market conditions, in the opinion
of our special tax counsel it is reasonable to treat the notes 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 notes should be treated as long-term capital gain or loss if you hold your
notes for more than a year, whether or not you are an initial purchaser of notes at the issue price. However, the IRS or a court may not
respect this treatment, 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 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
|
PS-8
| Structured Investments
Auto Callable Dual Directional Barrier Notes Linked to the Common
Stock of Eli Lilly and Company |
|
to the “constructive ownership” regime, which very generally
can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. While the notice
requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration
of these issues could materially and adversely affect the tax consequences of an investment in the notes, possibly with retroactive effect.
You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, including possible
alternative treatments and the issues presented by this notice.
Section 871(m) of
the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless
an income tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments
linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime,
including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations.
Additionally, a recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2027 that do not have
a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an
“Underlying Security”). Based on certain determinations made by us, our special tax counsel is of the opinion that Section
871(m) should not apply to the notes with regard to Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree
with this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including whether
you enter into other transactions with respect to an Underlying Security. You should consult your tax adviser regarding the potential
application of Section 871(m) to the notes.
The Estimated Value of the Notes
The estimated value of the notes set forth on the
cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component
with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing to
buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated
value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by
JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding
rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing
market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an
adverse effect on the terms of the notes and any secondary market prices of the notes. For additional information, see “Selected
Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value
of the Notes Is Derived by Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives underlying
the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as
the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which
can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments.
Accordingly, the estimated value of the notes is determined when the terms of the notes are set based on market conditions and other relevant
factors and assumptions existing at that time.
The estimated value of the notes does not represent
future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide valuations
for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant factors
in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly
based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest
rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in
secondary market transactions.
The estimated value of the notes is lower than the
original issue price of the notes because costs associated with structuring and hedging the notes are included in the original issue price
of the notes. These costs include the structuring fee paid to 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
|
PS-9
| Structured Investments
Auto Callable Dual Directional Barrier Notes Linked to the Common
Stock of Eli Lilly and Company |
|
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 projected hedging profits, if any, and, in some circumstances, estimated hedging costs and
our internal secondary market funding rates for structured debt issuances. This initial predetermined time period is intended to be the
shorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects the structure of the
notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the notes
and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations — Risks Relating to
the Estimated Value and Secondary Market Prices of the Notes — The Value of the Notes as Published by JPMS (and Which May Be Reflected
on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this
pricing supplement.
Supplemental
Use of Proceeds
The notes are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the notes. See “Hypothetical Payout Profile” and “How
the Notes Work” in this pricing supplement for an illustration of the risk-return profile of the notes and “The Reference
Stock” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the
estimated value of the notes plus the structuring fee paid to 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.
Supplemental
Plan of Distribution
All sales of
the notes will be made to certain fee-based advisory accounts for which an affiliated or unaffiliated broker-dealer is an investment adviser.
These broker-dealers will forgo any commissions related to these sales. See “Plan of Distribution (Conflicts of Interest)”
in the accompanying product supplement.
JPMS will pay
a structuring fee of $8.00 per $1,000 principal amount note with respect to all of the notes to other affiliated or unaffiliated dealers.
Validity
of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP,
as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by this pricing supplement
have been issued by JPMorgan Financial pursuant to the indenture, the trustee and/or paying agent has made, in accordance with the instructions
from JPMorgan Financial, the appropriate entries or notations in its records relating to the master global note that represents such notes
(the “master note”), and such notes have been delivered against payment as contemplated herein, such notes will be valid and
binding obligations of JPMorgan Financial and the related guarantee will constitute a valid and binding obligation of JPMorgan Chase & Co.,
enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights
generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good
faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion as to (i) the effect of fraudulent
conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above or (ii) any provision of the
indenture that purports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law by limiting
the amount of JPMorgan Chase & Co.’s obligation under the related guarantee. This opinion is given as of the date
hereof and is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited
Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution
and delivery of the indenture and its authentication of the master note and the validity, binding nature and enforceability of the indenture
with respect to the trustee, all as stated in the letter of such counsel dated February 24, 2023, which was filed as an exhibit to the
Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24, 2023.
Additional
Terms Specific to the Notes
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which
these notes are a part, the accompanying prospectus
|
PS-10
| Structured Investments
Auto Callable Dual Directional Barrier Notes Linked to the Common
Stock of Eli Lilly and Company |
|
addendum and the more detailed information contained in the accompanying
product supplement. This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes
all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing
terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials
of ours. You should carefully consider, among other things, the matters set forth in the “Risk Factors” sections of the accompanying
prospectus supplement and the accompanying product supplement and in Annex A to the accompanying prospectus addendum, as the notes involve
risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers
before you invest in the notes.
You may access these documents on the SEC website at
www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is
1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us”
and “our” refer to JPMorgan Financial.
|
PS-11
| Structured Investments
Auto Callable Dual Directional Barrier Notes Linked to the Common
Stock of Eli Lilly and Company |
|
S-3
424B2
EX-FILING FEES
333-270004
0000019617
JPMORGAN CHASE & CO
0000019617
2024-08-06
2024-08-06
iso4217:USD
xbrli:pure
xbrli:shares
|
Calculation of Filing Fee Tables
|
|
S-3
|
|
JPMORGAN CHASE & CO
|
|
The maximum aggregate offering price of the securities to which the prospectus relates is $1,870,000. The prospectus is a final prospectus for the related offering.
|
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