November 22, 2024 |
Registration Statement Nos.
333-270004 and 333-270004-01; Rule 424(b)(2)
|
JPMorgan Chase Financial Company LLC
Structured Investments
$3,000
Review Notes Linked to the MerQube US Tech+ Vol Advantage
Index due November 26, 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 any Review Date, the closing level
of the MerQube US Tech+ Vol Advantage Index, which we refer to as the Index, is at or above the Call Value. |
| ● | The earliest date on which an automatic call may be initiated is November 26, 2025. |
| ● | Investors should be willing to forgo interest and dividend payments and be willing to accept the risk of losing some or all of their
principal amount at maturity. |
| ● | The Index is subject to a 6.0% per annum daily deduction, and the performance of the Invesco QQQ TrustSM, Series 1 (the
“QQQ Fund”) is subject to a notional financing cost. These deductions will offset any appreciation of the components of the
Index, will heighten any depreciation of those components and will generally be a drag on the performance of the Index. The Index will
trail the performance of an identical index without such deductions. See “Selected Risk Considerations — Risks Relating to
the Notes Generally — The Level of the Index Will Include a 6.0% per Annum Daily Deduction” and “Selected Risk Considerations
— Risks Relating to the Notes Generally — The Level of the Index Will Include the Deduction of a Notional Financing Cost”
in this pricing supplement. |
| ● | 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 November 22, 2024 and are expected to settle on or about
November 27, 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, “Risk Factors” beginning on page US-4 of the
accompanying underlying supplement and “Selected Risk Considerations” beginning on page PS-5 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing
supplement or the accompanying product supplement, underlying supplement, prospectus supplement, prospectus and prospectus addendum. Any
representation to the contrary is a criminal offense.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
Per note |
$1,000 |
$10 |
$990 |
Total |
$3,000 |
$30 |
$2,970 |
(1) See “Supplemental Use of Proceeds”
in this pricing supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS,
acting as agent for JPMorgan Financial, will pay all of the selling commissions of $10.00 per $1,000 principal amount note it receives
from us to other affiliated or unaffiliated dealers. See “Plan of Distribution (Conflicts of Interest)” in the accompanying
product supplement. |
The estimated value of the notes, when
the terms of the notes were set, was $944.10 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, underlying supplement no. 5-II dated March 5, 2024, the prospectus and prospectus supplement, each dated April 13, 2023,
and the prospectus addendum dated June 3, 2024
Key Terms
Issuer: JPMorgan
Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan
Chase & Co.
Index:
The MerQube US Tech+ Vol Advantage Index (Bloomberg ticker: MQUSTVA).
The level of the Index reflects a deduction of 6.0% per annum that accrues daily, and the performance of the QQQ Fund is subject to a
notional financing cost that accrues daily.
Call Premium Amount: The
Call Premium Amount with respect to each Review Date is set forth below:
● | first Review Date: |
31.00% × $1,000 |
● | second Review Date: |
62.00% × $1,000 |
● | final Review Date: |
93.00% × $1,000 |
Call Value: 100.00%
of the Initial Value
Barrier Amount: 60.00%
of the Initial Value, which is 6,691.908
Pricing Date: November
22, 2024
Original Issue Date (Settlement Date): On
or about November 27, 2024
Review Dates*: November
26, 2025, November 23, 2026 and November 22, 2027 (final Review Date)
Call Settlement Dates*: December
1, 2025, November 27, 2026 and the Maturity Date
Maturity Date*: November
26, 2027
*
Subject to postponement in the event of a market disruption event and as described under “Supplemental Terms of the Notes —
Postponement of a Determination Date — Notes Linked Solely to an Index” in the accompanying underlying supplement and “General
Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
Automatic Call:
If the closing level of the Index on any 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 applicable to that Review Date, payable on the applicable Call Settlement Date. No
further payments will be made on the notes.
Payment at Maturity:
If
the notes have not been automatically called and the Final Value is greater than or equal to the Barrier Amount, you will receive the
principal amount of your notes at maturity.
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 × Index 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.
Index Return:
(Final Value – Initial Value)
Initial Value
Initial
Value: The closing level of the Index on the Pricing
Date, which was 11,153.18
Final
Value: The closing level of the Index on the final Review
Date
PS-1
| Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol Advantage
Index |
|
The MerQube
US Tech+ Vol Advantage Index
The MerQube US Tech+ Vol Advantage Index (the “Index”)
was developed by MerQube (the “Index Sponsor” and “Index Calculation Agent”), in coordination with JPMS, and is
maintained by the Index Sponsor and is calculated and published by the Index Calculation Agent. The Index was established on June 22,
2021. An affiliate of ours currently has a 10% equity interest in the Index Sponsor, with a right to appoint an employee of JPMS, another
of our affiliates, as a member of the board of directors of the Index Sponsor.
Since February 9, 2024 (the “Amendment Effective
Date”), the underlying asset to which the Index is linked (the “Underlying Asset”) has been an unfunded position in
the QQQ Fund, calculated as the excess of the total return of the QQQ Fund over a notional financing cost. Prior to the Amendment Effective
Date, the Underlying Asset was an unfunded rolling position in E-Mini Nasdaq-100 futures (the “Futures Contracts”).
The investment objective of the QQQ Fund is to seek to
track the investment results, before fees and expenses, of the Nasdaq-100 Index®. For more information about the QQQ Fund
and the Nasdaq-100 Index®, see “Background on the Invesco QQQ TrustSM, Series 1” and “Background
on the Nasdaq-100 Index®,” respectively, in the accompanying underlying supplement.
The Index attempts to provide a dynamic rules-based exposure
to the Underlying Asset, while targeting a level of implied volatility, with a maximum exposure to the Underlying Asset of 500% and a
minimum exposure to the Underlying Asset of 0%. The Index is subject to a 6.0% per annum daily deduction, and the performance of the Underlying
Asset is subject to a notional financing cost deducted daily.
On each weekly Index rebalance day, the exposure to the
Underlying Asset is set equal to (a) the 35% implied volatility target (the “target volatility”) divided by (b) the one-week
implied volatility of the QQQ Fund, subject to a maximum exposure of 500%. For example, if the implied volatility of the QQQ Fund is equal
to 17.5%, the exposure to the Underlying Asset will equal 200% (or 35% / 17.5%) and if the implied volatility of the QQQ Fund is equal
to 40%, the exposure to the Underlying Asset will equal 87.5% (or 35% / 40%). The Index’s exposure to the Underlying Asset will
be greater than 100% when the implied volatility of the QQQ Fund is below 35%, and the Index’s exposure to the Underlying Asset
will be less than 100% when the implied volatility of the QQQ Fund is above 35%. In general, the Index’s target volatility feature
is expected to result in the volatility of the Index being more stable over time than if no target volatility feature were employed. No
assurance can be provided that the volatility of the Index will be stable at any time. The Index uses the implied volatility of the QQQ
Fund as a proxy for the realized volatility of the Underlying Asset.
The Index tracks the performance of the QQQ Fund, with
distributions, if any, notionally reinvested, less the daily deduction of a notional financing cost. The notional financing cost is intended
to approximate the cost of maintaining a position in the QQQ Fund using borrowed funds at a rate of interest equal to SOFR plus a spread
of 0.50% per annum. SOFR, the Secured Overnight Financing Rate, is intended to be a broad measure of the cost of borrowing cash overnight
collateralized by Treasury securities. The Index is an “excess return” index and not a “total return” index because,
as part of the calculation of the level of the Index, the performance of the QQQ Fund is reduced by the notional financing cost. The notional
financing cost has been deducted from the performance of the QQQ Fund since the Amendment Effective Date.
The 6.0% per annum daily deduction and the notional financing
cost will offset any appreciation of the Underlying Asset, will heighten any depreciation of the Underlying Asset and will generally be
a drag on the performance of the Index. The Index will trail the performance of an identical index without such deductions.
Holding the estimated value of the notes and market conditions
constant, the Call Premium Amounts, the Barrier Amount and the other economic terms available on the notes are more favorable to investors
than the terms that would be available on a hypothetical note issued by us linked to an identical index without a daily deduction. However,
there can be no assurance that any improvement in the terms of the notes derived from the daily deduction will offset the negative effect
of the daily deduction on the performance of the Index. The return on the notes may be lower than the return on a hypothetical note issued
by us linked to an identical index without a daily deduction.
The daily deduction and the volatility of the Index (as
influenced by the Index’s target volatility feature) are two of the primary variables that affect the economic terms of the notes.
Additionally, the daily deduction and volatility of the Index are two of the inputs our affiliates’ internal pricing models use
to value the derivative or derivatives underlying the economic terms of the notes for purposes of determining the estimated value of the
notes set forth on the cover of this pricing supplement. The daily deduction will effectively reduce the value of the derivative or derivatives
underlying the economic terms of the notes. See “The Estimated Value of the Notes” and “Selected Risk Considerations
— Risks Relating to the Estimated Value and Secondary Market Prices of the Notes” in this pricing supplement.
The Index is subject to risks associated with the
use of significant leverage. The notional financing cost deducted daily will be magnified by any leverage provided by the Index. In addition,
the Index may be significantly uninvested on any given day, and, in that case, will realize only a portion of any gains due to appreciation
of the Underlying Asset on that day. The index deduction is deducted daily at a rate of 6.0% per annum, even when the Index is not fully
invested.
No assurance can be given that the investment strategy
used to construct the Index will achieve its intended results or that the Index will be successful or will outperform any alternative
index or strategy that might reference the Underlying Asset.
For additional information about the Index, see “The
MerQube Vol Advantage Index Series” in the accompanying underlying supplement.
PS-2
| Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol Advantage
Index |
|
Supplemental
Terms of the Notes
Any value of any underlier, and any values derived therefrom,
included in this pricing supplement may be corrected, in the event of manifest error or inconsistency, by amendment of this pricing supplement
and the corresponding terms of the notes. Notwithstanding anything to the contrary in the indenture governing the notes, that amendment
will become effective without consent of the holders of the notes or any other party.
How the
Notes Work
Payment upon an Automatic Call
Payment at Maturity If the Notes Have Not Been Automatically Called
Call
Premium Amount
The table below illustrates the Call Premium Amount per
$1,000 principal amount note for each Review Date based on the Call Premium Amounts set forth under “Key Terms — Call Premium
Amount” above.
Review Date |
Call Premium Amount |
First |
$310.00 |
Second |
$620.00 |
Final |
$930.00 |
PS-3
| Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol Advantage
Index |
|
Hypothetical
Payout Examples
The following examples illustrate payments on the notes
linked to a hypothetical Index, assuming a range of performances for the hypothetical Index on the Review Dates.
In addition, the hypothetical payments set forth below
assume the following:
| ● | an Initial Value of 100.00; |
| ● | a Call Value of 100.00 (equal to 100.00% of the hypothetical Initial Value); |
| ● | a Barrier Amount of 60.00 (equal to 60.00% of the hypothetical Initial Value); and |
| ● | the Call Premium Amounts set forth under “Key Terms — Call Premium Amount” above. |
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 level of the Index
on the Pricing Date and is specified under “Key Terms — Initial Value” in this pricing supplement. For historical data
regarding the actual closing levels of the Index, please see the historical information set forth under “Hypothetical Back-Tested
Data and Historical Information” in this pricing supplement.
Each hypothetical payment set forth below is for illustrative
purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing in the following examples
have been rounded for ease of analysis.
Example 1 — Notes are automatically called
on the first Review Date.
Date |
Closing Level |
|
First Review Date |
110.00 |
Notes are automatically called |
|
Total Payment |
$1,310.00 (31.00% return) |
Because the closing level of the Index on the first 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, of $1,310.00 (or $1,000 plus the Call Premium Amount applicable to the first Review Date), payable on the applicable
Call Settlement Date. No further payments will be made on the notes.
Example 2 — Notes are automatically called
on the final Review Date.
Date |
Closing Level |
|
First Review Date |
90.00 |
Notes NOT automatically called |
Second Review Date |
85.00 |
Notes NOT automatically called |
Final Review Date |
150.00 |
Notes are automatically called |
|
Total Payment |
$1,930.00 (93.00% return) |
Because the closing level of the Index on the final 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, of $1,930.00 (or $1,000 plus the Call Premium Amount applicable to the final Review Date), payable on the applicable
Call Settlement Date, which is the Maturity Date.
Example 3 — Notes have NOT been automatically
called and the Final Value is greater than or equal to the Barrier Amount.
Date |
Closing Level |
|
First Review Date |
90.00 |
Notes NOT automatically called |
Second Review Date |
85.00 |
Notes NOT automatically called |
Final Review Date |
70.00 |
Notes NOT automatically called; Final Value is greater than or equal to Barrier Amount |
|
Total Payment |
$1,000.00 (0.00% return) |
Because the notes have not been automatically called
and the Final Value is greater than or equal to the Barrier Amount, the payment at maturity, for each $1,000 principal amount note, will
be $1,000.00.
Example 4 — Notes have NOT been automatically
called and the Final Value is less than the Barrier Amount.
Date |
Closing Level |
|
First Review Date |
80.00 |
Notes NOT automatically called |
Second Review Date |
75.00 |
Notes NOT automatically called |
PS-4
| Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol Advantage
Index |
|
Final Review Date |
50.00 |
Notes NOT automatically called; Final Value is less than Barrier Amount |
|
Total Payment |
$500.00 (-50.00% return) |
Because the notes have not been automatically called,
the Final Value is less than the Barrier Amount and the Index Return is -50.00%, the payment at maturity will be $500.00 per $1,000 principal
amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)] = $500.00
The hypothetical returns and hypothetical payments on
the notes shown above apply only if you hold the notes for their entire term or until automatically called. These hypotheticals
do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included,
the hypothetical returns and hypothetical payments shown above would likely be lower.
Selected
Risk Considerations
An investment in the notes involves significant risks. These risks are
explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement, product supplement and
underlying 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. |
| ● | THE LEVEL OF THE INDEX WILL INCLUDE A 6.0% PER ANNUM DAILY DEDUCTION —
The Index is subject to a 6.0% per annum daily deduction. As a result, the level of the Index will trail the value of an identically constituted
synthetic portfolio that is not subject to any such deduction.
This deduction will place a significant drag on the performance of the Index, potentially offsetting positive returns on the Index’s
investment strategy, exacerbating negative returns of its investment strategy and causing the level of the Index to decline steadily if
the return of its investment strategy is relatively flat. The Index will not appreciate unless the return of its investment strategy is
sufficient to offset the negative effects of this deduction, and then only to the extent that the return of its investment strategy is
greater than this deduction. As a result of this deduction, the level of the Index may decline even if the return of its investment strategy
is otherwise positive.
The daily deduction is one of the inputs our affiliates’ internal pricing models use to value the derivative or derivatives underlying
the economic terms of the notes for purposes of determining the estimated value of the notes set forth on the cover of this pricing supplement.
The daily deduction will effectively reduce the value of the derivative or derivatives underlying the economic terms of the notes. See
“The Estimated Value of the Notes” and “— Risks Relating to the Estimated Value and Secondary Market Prices of
the Notes” in this pricing supplement. |
| ● | THE LEVEL OF THE INDEX WILL INCLUDE THE DEDUCTION OF A NOTIONAL FINANCING COST —
Since the Amendment Effective Date, the performance of the Underlying Asset has been subject to a notional financing cost deducted daily.
The notional financing cost is intended to approximate the cost of maintaining a position in the QQQ Fund using borrowed funds at a rate
of interest equal to the daily SOFR rate plus a fixed spread. The actual cost of maintaining a position in the QQQ Fund at any time may
be less than the notional financing cost. As a result of this deduction, the level of the Index will trail the value of an identically
constituted synthetic portfolio that is not subject to any such deduction. |
| ● | CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
Investors are dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts due on the notes. Any actual
or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads, as determined by the market
for taking that credit risk, is likely to adversely affect the value of the notes. If we and JPMorgan Chase & Co. were to
default on our payment obligations, you may not receive any amounts owed to you under the notes and you could lose your entire investment. |
| ● | AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS —
As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration
of our securities and the collection of intercompany obligations. Aside from the initial capital contribution from JPMorgan Chase & Co.,
substantially all of our assets relate to obligations of JPMorgan Chase & Co. to make payments under loans made by us to
JPMorgan Chase & Co. or under other intercompany agreements. As a result, we are dependent upon payments from JPMorgan Chase & Co.
to meet our obligations under the notes. We are not a key operating subsidiary of JPMorgan Chase & Co. and in a bankruptcy
or resolution of JPMorgan Chase & Co. we are not expected to have sufficient resources to meet our obligations in respect
of the notes as they come due. If JPMorgan Chase & Co. does not make payments to us and we are unable to make payments on
the notes, you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank
pari passu with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more information,
see the accompanying prospectus addendum. |
| ● | THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO ANY CALL PREMIUM AMOUNT PAID ON THE NOTES,
regardless of any appreciation of the Index, which may be significant. You will not participate in any appreciation of the Index. |
| ● | THE BENEFIT PROVIDED BY THE BARRIER AMOUNT MAY TERMINATE ON THE FINAL REVIEW DATE —
If the Final Value is less than the Barrier Amount and the notes have not been automatically called, the benefit provided by the Barrier
Amount will terminate and you will be fully exposed to any depreciation of the Index. |
PS-5
| Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol Advantage
Index |
|
| ● | 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 QQQ FUND OR THE SECURITIES HELD BY THE QQQ FUND OR HAVE ANY RIGHTS WITH RESPECT TO THE QQQ
FUND OR THOSE SECURITIES. |
| ● | THE RISK OF THE CLOSING LEVEL OF THE INDEX FALLING BELOW THE BARRIER AMOUNT IS GREATER IF THE LEVEL OF THE INDEX IS VOLATILE. |
| ● | JPMS AND ITS AFFILIATES MAY HAVE PUBLISHED RESEARCH, EXPRESSED OPINIONS OR PROVIDED RECOMMENDATIONS THAT ARE INCONSISTENT WITH
INVESTING IN OR HOLDING THE NOTES, AND MAY DO SO IN THE FUTURE —
Any research, opinions or recommendations could affect the market value of the notes. Investors should undertake their own independent
investigation of the merits of investing in the notes, the Index and the components of the Index. |
| ● | LACK OF LIQUIDITY —
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
| ● | POTENTIAL CONFLICTS —
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. |
| | An affiliate of ours currently has a 10% equity interest in the Index Sponsor, with a right to appoint an employee of JPMS,
another of our affiliates, as a member of the board of directors of the Index Sponsor. The Index Sponsor can implement policies,
make judgments or enact changes to the Index methodology that could negatively affect the performance of the Index. The Index
Sponsor can also alter, discontinue or suspend calculation or dissemination of the Index. Any of these actions could adversely
affect the value of the notes. The Index Sponsor has no obligation to consider your interests in calculating, maintaining or
revising the Index, and we, JPMS, our other affiliates and our respective employees are under no obligation to consider your
interests as an investor in the notes in connection with the role of our affiliate as an owner of an equity interest in the Index
Sponsor or the role of an employee of JPMS as a member of the board of directors of the Index Sponsor. |
| | In addition, JPMS worked with the Index Sponsor in developing the
guidelines and policies governing the composition and calculation of the Index. Although judgments, policies and determinations
concerning the Index were made by JPMS, JPMorgan Chase & Co., as the parent company of JPMS, ultimately controls JPMS.
The policies and judgments for which JPMS was responsible could have an impact, positive or negative, on the level of the Index and
the value of your notes. JPMS is under no obligation to consider your interests as an investor in the notes in its role in
developing the guidelines and policies governing the Index or making judgments that may affect the level of the Index. |
Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes
| ● | THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES —
The estimated value of the notes is only an estimate determined by reference to several factors. The original issue price of the notes
exceeds the estimated value of the notes because costs associated with selling, structuring and hedging the notes are included in the
original issue price of the notes. These costs include the selling commissions, the projected profits, if any, that our affiliates expect
to realize for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under
the notes. See “The Estimated Value of the Notes” in this pricing supplement. |
| ● | THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES —
See “The Estimated Value of the Notes” in this pricing supplement. |
| ● | THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
The internal funding rate used in the determination of the estimated value of the notes may differ from the market-implied funding rate
for vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference
may be based on, among other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance,
operational and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed income instruments
of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove to
be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The use of an internal funding
rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any secondary market prices of the
notes. See “The Estimated Value of the Notes” in this pricing supplement. |
PS-6
| Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol Advantage
Index |
|
| ● | THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE
THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
We generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you in connection
with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period. See “Secondary
Market Prices of the Notes” in this pricing supplement for additional
information relating to this initial period. Accordingly, the estimated value of your notes during this initial period may be lower than
the value of the notes as published by JPMS (and which may be shown on your customer account statements). |
| ● | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
Any secondary market prices of the notes will likely be lower than the original issue price of the notes because, among other things,
secondary market prices take into account our internal secondary market funding rates for structured debt issuances and, also, because
secondary market prices may exclude selling commissions, projected hedging profits, if any, and estimated hedging costs that are included
in the original issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy the notes from you in secondary
market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the Maturity Date could
result in a substantial loss to you. |
| ● | SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
The secondary market price of the notes during their term will be impacted by a number of economic and market factors, which may either
offset or magnify each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and the level
of the Index. Additionally, independent pricing vendors and/or third party broker-dealers may publish a price for the notes, which may
also be reflected on customer account statements. This price may be different (higher or lower) than the price of the notes, if any, at
which JPMS may be willing to purchase your notes in the secondary market. See “Risk Factors — Risks Relating to the Estimated
Value and Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market
factors” in the accompanying product supplement. |
Risks Relating to the Index
| ● | THE INDEX SPONSOR MAY ADJUST THE INDEX IN A WAY THAT AFFECTS ITS LEVEL, AND THE INDEX SPONSOR HAS NO OBLIGATION TO CONSIDER YOUR
INTERESTS —
The Index Sponsor is responsible for maintaining the Index. The Index Sponsor can add, delete or substitute the components of the Index
or make other methodological changes that could affect the level of the Index. The Index Sponsor has no obligation to consider your interests
in calculating or revising the Index. |
| ● | THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED IN RESPECT OF THE UNDERLYING ASSET
—
No assurance can be given that the investment strategy on which the Index is based will be successful or that the Index will outperform
any alternative strategy that might be employed with respect to the Underlying Asset. |
| ● | THE INDEX MAY NOT APPROXIMATE ITS TARGET VOLATILITY —
No assurance can be given that the Index will maintain an annualized realized volatility that approximates its target volatility of 35%.
The Index’s target volatility is a level of implied volatility and therefore the actual realized volatility of the Index may be
greater or less than the target volatility. On each weekly Index rebalance day, the Index’s exposure to the Underlying Asset is
set equal to (a) the 35% implied volatility target divided by (b) the one-week implied volatility of the QQQ Fund, subject to a maximum
exposure of 500%. The Index uses the implied volatility of the QQQ Fund as a proxy for the realized volatility of the Underlying Asset.
However, there is no guarantee that the methodology used by the Index to determine the implied volatility of the QQQ Fund will be representative
of the realized volatility of the QQQ Fund. The volatility of the Underlying Asset on any day may change quickly and unexpectedly and
realized volatility may differ significantly from implied volatility. In general, over time, the realized volatility of the QQQ Fund has
tended to be lower than its implied volatility; however, at any time that realized volatility may exceed its implied volatility, particularly
during periods of market volatility. Accordingly, the actual annualized realized volatility of the Index may be greater than or less than
the target volatility, which may adversely affect the level of the Index and the value of the notes. |
| ● | THE INDEX IS SUBJECT TO RISKS ASSOCIATED WITH THE USE OF SIGNIFICANT LEVERAGE —
On a weekly Index rebalance day, the Index will employ leverage to increase the exposure of the Index to the Underlying Asset if the implied
volatility of the QQQ Fund is below 35%, subject to a maximum exposure of 500%. Under normal market conditions in the past, the QQQ Fund
has tended to exhibit an implied volatility below 35%. Accordingly, the Index has generally employed leverage in the past, except during
periods of elevated volatility. When leverage is employed, any movements in the prices of the Underlying Asset will result in greater
changes in the level of the Index than if leverage were not used. In particular, the use of leverage will magnify any negative performance
of the Underlying Asset, which, in turn, would negatively affect the performance of the Index. Because the Index’s leverage is adjusted
only on a weekly basis, in situations where a significant increase in volatility is accompanied by a significant decline in the price
of the Underlying Asset, the level of the Index may decline significantly before the following Index rebalance day when the Index’s
exposure to the Underlying Asset would be reduced. In addition, the notional financing cost deducted daily will be magnified by any leverage
provided by the Index. |
| ● | THE INDEX MAY BE SIGNIFICANTLY UNINVESTED —
On a weekly Index rebalance day, the Index’s exposure to the Underlying Asset will be less than 100% when the implied volatility
of the QQQ Fund is above 35%. If the Index’s exposure to the Underlying Asset is less than 100%, the Index will not be fully invested,
and any uninvested portion will earn no return. The Index may be significantly uninvested on any given day, and will realize only a portion
of any gains due to appreciation of the Underlying Asset on any such day. The 6.0% per annum deduction is deducted daily, even when the
Index is not fully invested. |
PS-7
| Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol Advantage
Index |
|
| ● | AN INVESTMENT IN THE NOTES WILL BE SUBJECT TO RISKS ASSOCIATED WITH NON-U.S. SECURITIES —
Some of the equity securities held by the QQQ Fund are 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 home countries of the issuers of those non-U.S. equity securities. The
prices of securities issued by non-U.S. companies may be affected by political, economic, financial and social factors in the home countries
of those issuers, or global regions, including changes in government, economic and fiscal policies and currency exchange laws. |
| ● | THERE ARE RISKS ASSOCIATED WITH THE QQQ FUND —
The QQQ Fund is subject to management risk, which is the risk that the investment strategies of the QQQ Fund’s investment adviser,
the implementation of which is subject to a number of constraints, may not produce the intended results. These constraints could adversely
affect the market price of the shares of the QQQ Fund and, consequently, the value of the notes. |
| ● | THE PERFORMANCE AND MARKET VALUE OF THE QQQ FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH THE
PERFORMANCE OF THE QQQ FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE —
The QQQ Fund does not fully replicate its underlying index and may hold securities different from those included in its underlying index.
In addition, the performance of the QQQ Fund will reflect additional transaction costs and fees that are not included in the calculation
of its underlying index. All of these factors may lead to a lack of correlation between the performance of the QQQ Fund and its underlying
index. In addition, corporate actions with respect to the equity securities underlying the QQQ Fund (such as mergers and spin-offs) may
impact the variance between the performances of the QQQ Fund and its underlying index. Finally, because the shares of the QQQ Fund are
traded on a securities exchange and are subject to market supply and investor demand, the market value of one share of the QQQ Fund may
differ from the net asset value per share of the QQQ Fund.
During periods of market volatility, securities underlying the QQQ Fund may be unavailable in the secondary market, market participants
may be unable to calculate accurately the net asset value per share of the QQQ Fund and the liquidity of the QQQ Fund may be adversely
affected. This kind of market volatility may also disrupt the ability of market participants to create and redeem shares of the QQQ Fund.
Further, market volatility may adversely affect, sometimes materially, the prices at which market participants are willing to buy and
sell shares of the QQQ Fund. As a result, under these circumstances, the market value of shares of the QQQ Fund may vary substantially
from the net asset value per share of the QQQ Fund. For all of the foregoing reasons, the performance of the QQQ Fund may not correlate
with the performance of its underlying index as well as the net asset value per share of the QQQ Fund, which could materially and adversely
affect the value of the notes in the secondary market and/or reduce any payment on the notes. |
| ● | HYPOTHETICAL BACK-TESTED DATA RELATING TO THE INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA AND ARE SUBJECT TO INHERENT LIMITATIONS,
AND THE HISTORICAL AND HYPOTHETICAL BACK-TESTED PERFORMANCE OF THE INDEX ARE NOT INDICATIONS OF ITS FUTURE PERFORMANCE —
The hypothetical back-tested performance of the Index set forth under “Hypothetical Back-Tested Data and Historical Information”
in this pricing supplement is purely theoretical and does not represent the actual historical performance of the Index and has not been
verified by an independent third party. Hypothetical back-tested performance measures have inherent limitations. Hypothetical back-tested
performance is derived by means of the retroactive application of a back-tested model that has been designed with the benefit of hindsight.
Alternative modelling techniques might produce significantly different results and may prove to be more appropriate. Past performance,
and especially hypothetical back-tested performance, is not indicative of future results. This type of information has inherent limitations,
and you should carefully consider these limitations before placing reliance on such information.
In addition, the QQQ Fund replaced the Futures Contracts as the Underlying Asset on the Amendment Effective Date. No assurance can be
provided that the QQQ Fund is an appropriate substitute for the Futures Contracts. This replacement may adversely affect the performance
of the Index and the value of the notes, as the QQQ Fund, subject to a notional financing cost, may perform worse, perhaps significantly
worse, than the Futures Contracts. The Index lacks any operating history with the QQQ Fund as the Underlying Asset prior to the Amendment
Effective Date and may perform in unanticipated ways. Investors in the notes should bear this difference in mind when evaluating the historical
and hypothetical back-tested performance shown in this pricing supplement. |
| o | THE INDEX WAS ESTABLISHED ON JUNE 22, 2021 AND MAY PERFORM IN UNANTICIPATED WAYS. |
Please refer to the “Risk Factors”
section of the accompanying underlying supplement for more details regarding the above-listed and other risks.
PS-8
| Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol Advantage
Index |
|
Hypothetical
Back-Tested Data and Historical Information
The following graph sets forth the hypothetical back-tested
performance of the Index based on the hypothetical back-tested weekly closing levels of the Index from January 4, 2019 through June 18,
2021, and the historical performance of the Index based on the weekly historical closing levels of the Index from June 25, 2021 through
November 22, 2024. The Index was established on June 22, 2021, as represented by the vertical line in the following graph. All data to
the left of that vertical line reflect hypothetical back-tested performance of the Index. All data to the right of that vertical line
reflect actual historical performance of the Index. The closing level of the Index on November 22, 2024 was 11,153.18. We obtained the
closing levels above and below from the Bloomberg Professional®
service ("Bloomberg"), without independent verification.
The data for the hypothetical back-tested performance
of the Index set forth in the following graph are purely theoretical and do not represent the actual historical performance of the Index.
See “Selected Risk Considerations — Risks Relating to the Index — Hypothetical Back-Tested Data Relating to the Index
Do Not Represent Actual Historical Data and Are Subject to Inherent Limitations, and the Historical and Hypothetical Back-Tested Performance
of the Index Are Not Indications of Its Future Performance” above.
The hypothetical back-tested and historical closing levels
of the Index should not be taken as an indication of future performance, and no assurance can be given as to the closing level of the
Index on any Review Date. There can be no assurance that the performance of the Index will result in the return of any of your principal
amount.
Hypothetical Back-Tested and Historical
Performance of the
MerQube US Tech+ Vol Advantage Index
Source: Bloomberg |
The hypothetical back-tested closing levels of the Index
have inherent limitations and have not been verified by an independent third party. These hypothetical back-tested closing levels are
determined by means of a retroactive application of a back-tested model designed with the benefit of hindsight. Hypothetical back-tested
results are neither an indicator nor a guarantee of future returns. No representation is made that an investment in the notes will or
is likely to achieve returns similar to those shown. Alternative modeling techniques or assumptions would produce different hypothetical
back-tested closing levels of the Index that might prove to be more appropriate and that might differ significantly from the hypothetical
back-tested closing levels of the Index set forth above.
PS-9
| Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol Advantage
Index |
|
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 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.
PS-10
| Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol Advantage
Index |
|
The estimated value of the notes does not represent future
values of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide valuations for
the notes that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant factors
in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly
based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest
rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in
secondary market transactions.
The estimated value of the notes is lower than the original
issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue price
of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected profits,
if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated
cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market forces beyond
our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. A portion of the profits,
if any, realized in hedging our obligations under the notes may be allowed to other affiliated or unaffiliated dealers, and we or one
or more of our affiliates will retain any remaining hedging profits. See “Selected Risk Considerations — Risks Relating to
the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Lower Than the Original Issue
Price (Price to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact any secondary
market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
— Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
In addition, we generally expect that some of the costs included in the original issue price of the notes will be partially paid back
to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period.
These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and
our internal secondary market funding rates for structured debt issuances. This initial predetermined time period is intended to be the
shorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects the structure of the
notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the notes
and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations — Risks Relating to
the Estimated Value and Secondary Market Prices of the Notes — The Value of the Notes as Published by JPMS (and Which May Be Reflected
on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this
pricing supplement.
Supplemental
Use of Proceeds
The notes are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the notes. See “How the Notes Work” and “Hypothetical
Payout Examples” in this pricing supplement for an illustration of the risk-return profile of the notes and “The MerQube US
Tech+ Vol Advantage Index” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the
estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus) the
projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes,
plus the estimated cost of hedging our obligations under the notes.
Validity
of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as special
products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by this pricing supplement have
been issued by JPMorgan Financial pursuant to the indenture, the trustee and/or paying agent has made, in accordance with the instructions
from JPMorgan Financial, the appropriate entries or notations in its records relating to the master global note that represents such notes
(the “master note”), and such notes have been delivered against payment as contemplated herein, such notes will be valid and
binding obligations of JPMorgan Financial and the related guarantee will constitute a valid and binding obligation of JPMorgan Chase & Co.,
enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights
generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good
faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion as to (i) the effect of fraudulent
conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above or (ii) any provision of the
indenture that purports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law by limiting
the amount of JPMorgan Chase & Co.’s obligation under the related guarantee. This opinion is given as of the date
hereof and is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited
Liability Company Act. In addition, this opinion is subject to customary assumptions about the 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.
PS-11
| Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol Advantage
Index |
|
Additional
Terms Specific to the Notes
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which
these notes are a part, the accompanying prospectus addendum and the more detailed information contained in the accompanying product supplement
and the accompanying underlying supplement. This pricing supplement, together with the documents listed below, contains the terms of the
notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or
indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other
educational materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk Factors”
sections of the accompanying prospectus supplement, the accompanying product supplement and the accompanying underlying 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-12
| Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol Advantage
Index |
|
S-3
424B2
EX-FILING FEES
333-270004
0000019617
JPMORGAN CHASE & CO
0000019617
2024-11-26
2024-11-26
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 $3,000. The prospectus is a final prospectus for the related offering.
|
|
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