| November 22, 2024 |
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
JPMorgan Chase Financial Company LLC
Structured Investments
$2,743,000
Notes Linked to the Least Performing of the Dow Jones
Industrial Average®, the Nasdaq-100 Index® and the Russell 2000® Index due November 26, 2027
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
| · | The notes are designed for investors who seek exposure to any appreciation of the least performing of the Dow Jones Industrial Average®,
the Nasdaq-100 Index® and the Russell 2000® Index, which we refer to as the Indices, over the term of the
notes. |
| · | Investors should be willing to forgo interest and dividend payments, while seeking repayment of at least 95.00% of their principal
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. |
| · | Payments on the notes are not linked to a basket composed of the Indices. Payments on the notes are linked to the performance of each
of the Indices individually, as described below. |
| · | 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-12 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, 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 |
$8.8389 |
$991.1611 |
| Total |
$2,743,000 |
$24,245 |
$2,718,755 |
|
(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 it receives from us to other affiliated or unaffiliated
dealers. These selling commissions will vary and will be up to $10.00 per $1,000 principal amount note. 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 $974.80 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. 3-I dated
April 13, 2023, underlying supplement no. 1-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.
Indices:
The Dow Jones Industrial Average® (Bloomberg ticker: INDU), the Nasdaq-100 Index®
(Bloomberg ticker: NDX) and the Russell 2000® Index (Bloomberg ticker: RTY)
Participation
Rate: 126.00%
Pricing
Date: November 22, 2024
Original
Issue Date (Settlement Date): On or about November 27, 2024
Observation
Date*: November 22, 2027
Maturity
Date*: November 26, 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 Multiple
Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement |
Payment at Maturity:
If the Final Value of each Index is greater than its Initial Value, at
maturity, you will receive a cash payment, for each $1,000 principal amount note, of $1,000 plus the Additional Amount.
If the Final Value of any Index is equal to or less than its Initial
Value, your payment at maturity will be calculated as follows:
$1,000 + ($1,000 × Least Performing Index Return)
In no event, however, will the payment at maturity be less than $950.00
per $1,000 principal amount note.
If the Final Value of any Index is less than its Initial Value, you
will lose up to 5.00% of your principal amount at maturity.
You are entitled to repayment of at least $950.00 per $1,000 principal
amount note at maturity, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
Additional Amount:
The Additional Amount payable at maturity
per $1,000 principal amount note will equal:
$1,000 × Least Performing Index Return × Participation Rate
Least Performing Index: The
Index with the Least Performing Index Return
Least Performing Index Return: The
lowest of the Index Returns of the Indices
Index Return:
With respect to each Index,
(Final Value – Initial Value)
Initial Value
Initial
Value: With respect to each Index, the closing level
of that Index on the Pricing Date, which was 44,296.51 for the Dow Jones Industrial Average®, 20,776.23 for the Nasdaq-100
Index® and 2,406.670 for the Russell 2000® Index
Final
Value: With respect to each Index, the closing level of that Index on the Observation Date
|
|
PS-1
| Structured Investments
Notes Linked to the Least Performing of the Dow Jones Industrial
Average®, the Nasdaq-100 Index® and the Russell 2000® Index |
|
Supplemental
Terms of the Notes
Any values of the Indices, 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
The following table and graph illustrate the hypothetical
payment at maturity on the notes linked to three hypothetical Indices. The hypothetical payments set forth below assume the following:
| · | an Initial Value for the Least Performing Index of 100.00; and |
| · | a Participation Rate of 126.00%. |
The hypothetical Initial Value of the Least Performing
Index of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value of any Index. The actual
Initial Value of each Index is the closing level of that 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 each Index, please see the historical
information set forth under “The Indices” in this pricing supplement.
Each hypothetical payment at maturity set forth below
is for illustrative purposes only and may not be the actual payment at maturity applicable to a purchaser of the notes. The numbers appearing
in the following table and graph have been rounded for ease of analysis.
Final Value of the Least
Performing Index |
Least Performing Index
Return |
Additional Amount |
Payment at Maturity |
| 165.00 |
65.00% |
$819.00 |
$1,819.00 |
| 150.00 |
50.00% |
$630.00 |
$1,630.00 |
| 140.00 |
40.00% |
$504.00 |
$1,504.00 |
| 130.00 |
30.00% |
$378.00 |
$1,378.00 |
| 120.00 |
20.00% |
$252.00 |
$1,252.00 |
| 110.00 |
10.00% |
$126.00 |
$1,126.00 |
| 105.00 |
5.00% |
$63.00 |
$1,063.00 |
| 101.00 |
1.00% |
$12.60 |
$1,012.60 |
| 100.00 |
0.00% |
N/A |
$1,000.00 |
| 99.00 |
-1.00% |
N/A |
$990.00 |
| 97.50 |
-2.50% |
N/A |
$975.00 |
| 95.00 |
-5.00% |
N/A |
$950.00 |
| 90.00 |
-10.00% |
N/A |
$950.00 |
| 80.00 |
-20.00% |
N/A |
$950.00 |
| 70.00 |
-30.00% |
N/A |
$950.00 |
| 60.00 |
-40.00% |
N/A |
$950.00 |
| 50.00 |
-50.00% |
N/A |
$950.00 |
| 40.00 |
-60.00% |
N/A |
$950.00 |
| 30.00 |
-70.00% |
N/A |
$950.00 |
| 20.00 |
-80.00% |
N/A |
$950.00 |
| 10.00 |
-90.00% |
N/A |
$950.00 |
| 0.00 |
-100.00% |
N/A |
$950.00 |
|
PS-2
| Structured Investments
Notes Linked to the Least Performing of the Dow Jones Industrial
Average®, the Nasdaq-100 Index® and the Russell 2000® Index |
|
The following graph demonstrates the hypothetical payments
at maturity on the notes for a range of Least Performing Index Returns. There can be no assurance that the performance of the Least Performing
Index will result in a payment at maturity in excess of $950.00 per $1,000 principal amount note, subject to the credit risks of JPMorgan
Financial and JPMorgan Chase & Co.
How the Notes
Work
Upside Scenario:
If the Final Value of each Index is greater than its
Initial Value, investors will receive at maturity the $1,000 principal amount plus the Additional Amount, which is equal to $1,000
times the Least Performing Index Return times the Participation Rate of 126.00%.
| · | If the closing level of the Least Performing Index increases 10.00%, investors will receive at maturity a return equal to 12.60%,
or $1,126.00 per $1,000 principal amount note. |
Par Scenario:
If (i) the Final Value of one or more Indices is greater
than its Initial Value and the Final Value of the other Index or Indices is equal to its Initial Value or (ii) the Final Value of each
Index is equal to its Initial Value, investors will receive at maturity the principal amount of their notes.
Downside Scenario:
If the Final Value of any Index is less than its Initial
Value, investors will lose 1% of the principal amount of their notes for every 1% that the Final Value of the Least Performing Index is
less than its Initial Value, provided that the payment at maturity will not be less than $950.00 per $1,000 principal amount note.
| · | For example, if the closing level of the Least Performing Index declines 2.50%, investors will lose 2.50% of their principal amount
and receive only $975.00 per $1,000 principal amount note at maturity. |
| · | For example, if the closing level of the Least Performing Index declines 50.00%, investors will lose 5.00% of their principal amount
and receive only $950.00 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. 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.
|
PS-3
| Structured Investments
Notes Linked to the Least Performing of the Dow Jones Industrial
Average®, the Nasdaq-100 Index® and the Russell 2000® Index |
|
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
| · | THE NOTES MAY NOT PAY MORE THAN 95.00% OF THE PRINCIPAL AMOUNT AT MATURITY — |
If the Final Value of any Index is less than
its Initial Value, you will lose 1% of the principal amount of your notes for every 1% that the Final Value of the Least Performing Index
is less than its Initial Value, provided that the payment at maturity will not be less than $950.00 per $1,000 principal amount
note, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co. Accordingly, under these circumstances,
you will lose up to 5.00% of your principal amount at maturity and you will not be compensated for any loss in value due to inflation
and other factors relating to the value of money over time.
| · | 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.
| · | YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX — |
Payments on the notes are not linked to a
basket composed of the Indices and are contingent upon the performance of each individual Index. Poor performance by any of the Indices
over the term of the notes may negatively affect your payment at maturity and will not be offset or mitigated by positive performance
by any other Index.
| · | YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING INDEX. |
| · | THE NOTES DO NOT PAY INTEREST. |
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN ANY INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES. |
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-4
| Structured Investments
Notes Linked to the Least Performing of the Dow Jones Industrial
Average®, the Nasdaq-100 Index® and the Russell 2000® 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.
| · | 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 levels of the Indices. 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-5
| Structured Investments
Notes Linked to the Least Performing of the Dow Jones Industrial
Average®, the Nasdaq-100 Index® and the Russell 2000® Index |
|
Risks Relating to the Indices
| · | JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE DOW JONES INDUSTRIAL AVERAGE®, |
but JPMorgan Chase & Co. will
not have any obligation to consider your interests in taking any corporate action that might affect the level of the Dow Jones Industrial
Average®.
| · | NON-U.S. SECURITIES RISK WITH RESPECT TO THE NASDAQ-100 INDEX® — |
Some of the equity securities included in the
Nasdaq-100 Index® have been issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S.
equity securities involve risks associated with the home countries of the issuers of those non-U.S. equity securities.
| · | AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH RESPECT TO THE RUSSELL 2000®
INDEX — |
Small capitalization companies may be less able
to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization companies are
less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock price
pressure under adverse market conditions.
|
PS-6
| Structured Investments
Notes Linked to the Least Performing of the Dow Jones Industrial
Average®, the Nasdaq-100 Index® and the Russell 2000® Index |
|
The Indices
The Dow Jones Industrial Average® consists
of 30 common stocks chosen as representative of the broad market of U.S. industry. For additional information about the Dow Jones Industrial
Average®, see “Equity Index Descriptions — The Dow Jones Industrial Average®” in the accompanying
underlying supplement.
The Nasdaq-100 Index® is a modified
market capitalization-weighted index of 100 of the largest non-financial securities listed on The Nasdaq Stock Market based on market
capitalization. For additional information about the Nasdaq-100 Index®, see “Equity Index Descriptions — The
Nasdaq-100 Index®” in the accompanying underlying supplement.
The Russell 2000® Index consists of
the middle 2,000 companies included in the Russell 3000E™ Index and, as a result of the index calculation methodology, consists
of the smallest 2,000 companies included in the Russell 3000® Index. The Russell 2000® Index is designed
to track the performance of the small capitalization segment of the U.S. equity market. For additional information about the Russell 2000®
Index, see “Equity Index Descriptions — The Russell Indices” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical performance
of each Index based on the weekly historical closing levels from January 4, 2019 through November 22, 2024. The closing level of the Dow
Jones Industrial Average® on November 22, 2024 was 44,296.51. The closing level of the Nasdaq-100 Index®
on November 22, 2024 was 20,776.23. The closing level of the Russell 2000® Index on November 22, 2024 was 2,406.670. We
obtained the closing levels above and below from the Bloomberg Professional® service (“Bloomberg”), without
independent verification.
The historical closing levels of each Index should
not be taken as an indication of future performance, and no assurance can be given as to the closing level of any Index on the Observation
Date. There can be no assurance that the performance of the Indices will result in a payment at maturity in excess of $950.00 per $1,000
principal amount note, subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.
|
PS-7
| Structured Investments
Notes Linked to the Least Performing of the Dow Jones Industrial
Average®, the Nasdaq-100 Index® and the Russell 2000® Index |
|
Tax Treatment
You should review
carefully the section entitled “Material U.S. Federal Income Tax Consequences,” and in particular the subsection thereof entitled
“— Tax Consequences to U.S. Holders – Notes with a Term of More than One
Year – Notes Treated as Contingent Payment Debt Instruments” in the accompanying product supplement no. 3-I. Notwithstanding
that the notes do not provide for the full repayment of their principal amount at or prior to maturity, our special tax counsel, Davis
Polk & Wardwell LLP, is of the opinion that the notes should be treated for U.S. federal income tax purposes as “contingent
payment debt instruments.” Assuming this treatment is respected, as discussed in that subsection, you generally will be required
to accrue original issue discount (“OID”) on your notes in each taxable year at the “comparable yield,” as determined
by us, although we will not make any payment with respect to the notes until maturity. Upon sale or exchange (including at maturity),
you will recognize taxable income or loss equal to the difference between the amount received from the sale or exchange, and your adjusted
basis in the note, which generally will equal the cost thereof, increased by the amount of OID you have accrued in respect of the note.
You generally must treat any income as interest income and any loss as ordinary loss to the extent of previous interest inclusions, and
the balance as capital loss. The deductibility of capital losses is subject to limitations. The discussions herein and in the accompanying
product supplement do not address the consequences to taxpayers subject to special tax accounting rules under Section 451(b) of the Code.
Purchasers who are not initial purchasers of notes at their issue price should consult their tax advisers with respect to the tax consequences
of an investment in notes, including the treatment of the difference, if any, between the basis in their notes and the notes’ adjusted
issue price.
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
|
PS-8
| Structured Investments
Notes Linked to the Least Performing of the Dow Jones Industrial
Average®, the Nasdaq-100 Index® and the Russell 2000® Index |
|
financial instruments linked to U.S. equities or indices that include
U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked to certain broad-based
indices that meet requirements set forth in the applicable Treasury regulations. Additionally, a recent IRS notice excludes from the scope
of Section 871(m) instruments issued prior to January 1, 2027 that do not have a delta of one with respect to underlying securities that
could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on certain determinations
made by us, our special tax counsel is of the opinion that Section 871(m) should not apply to the notes with regard to Non-U.S. Holders.
Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application
may depend on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security.
You should consult your tax adviser regarding the potential application of Section 871(m) to the notes.
The discussions
in the preceding paragraphs, when read in combination with the section entitled “Material U.S. Federal Income Tax Consequences”
(and in particular the subsection thereof entitled “— Tax Consequences to U.S. Holders — Notes with a Term of More than
One Year — Notes Treated as Contingent Payment Debt Instruments”) in the accompanying product supplement, constitute the full
opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal income tax consequences of owning and disposing of notes.
Comparable
Yield and Projected Payment Schedule
We have determined
that the “comparable yield” is an annual rate of 4.80%, compounded semiannually. Based on our determination of the comparable
yield, the “projected payment schedule” per $1,000 principal amount note consists of a single payment at maturity, equal to
$1,152.86. Assuming a semiannual accrual period, the following table sets out the amount of OID that will accrue with respect to a note
during each calendar period, based upon our determination of the comparable yield and projected payment schedule.
| Calendar Period |
Accrued OID During
Calendar Period (Per
$1,000 Principal
Amount Note) |
Total Accrued OID from
Original Issue Date (Per
$1,000 Principal Amount
Note) as of End of Calendar
Period |
| November
27, 2024 through December 31, 2024 |
$4.40 |
$4.40 |
| January
1, 2025 through December 31, 2025 |
$48.79 |
$53.19 |
| January
1, 2026 through December 31, 2026 |
$51.16 |
$104.35 |
| January
1, 2027 through November 26, 2027 |
$48.51 |
$152.86 |
The comparable
yield and projected payment schedule are determined solely to calculate the amount on which you will be taxed with respect to the notes
in each year and are neither a prediction nor a guarantee of what the actual yield will be. The amount you actually receive at maturity
or earlier sale or exchange of your notes will affect your income for that year, as described above under “Tax Treatment.”
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
|
PS-9
| Structured Investments
Notes Linked to the Least Performing of the Dow Jones Industrial
Average®, the Nasdaq-100 Index® and the Russell 2000® Index |
|
factors, as well as assumptions about future market events and/or
environments. Accordingly, the estimated value of the notes is determined when the terms of the notes are set based on market conditions
and other relevant factors and assumptions existing at that time.
The estimated value of the notes does not represent
future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide valuations
for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant factors
in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly
based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest
rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in
secondary market transactions.
The estimated value of the notes is lower than the
original issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original
issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected
profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the
estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market
forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. A portion
of the profits, if any, realized in hedging our obligations under the notes may be allowed to other affiliated or unaffiliated dealers,
and we or one or more of our affiliates will retain any remaining hedging profits. See “Selected Risk Considerations — Risks
Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Lower Than the Original
Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact any
secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices
of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying
product supplement. In addition, we generally expect that some of the costs included in the original issue price of the notes will be
partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial
predetermined period. These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated
hedging costs and our internal secondary market funding rates for structured debt issuances. This initial predetermined time period is
intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects
the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs
of hedging the notes and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Value of the Notes as Published by JPMS (and
Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited
Time Period” in this pricing supplement.
Supplemental
Use of Proceeds
The notes are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the notes. See “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 Indices”
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
|
PS-10
| Structured Investments
Notes Linked to the Least Performing of the Dow Jones Industrial
Average®, the Nasdaq-100 Index® and the Russell 2000® Index |
|
trustee’s authorization, execution and delivery of the indenture
and its authentication of the master note and the validity, binding nature and enforceability of the indenture with respect to the trustee,
all as stated in the letter of such counsel dated February 24, 2023, which was filed as an exhibit to the Registration Statement on Form
S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24, 2023.
Additional
Terms Specific to the Notes
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which
these notes are a part, the accompanying prospectus addendum and the more detailed information contained in the accompanying product supplement
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 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
Notes Linked to the Least Performing of the Dow Jones Industrial
Average®, the Nasdaq-100 Index® and the Russell 2000® 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
|
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The maximum aggregate offering price of the securities to which the prospectus relates is $2,743,000. The prospectus is a final prospectus for the related offering.
|
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Grafico Azioni JP Morgan Chase (NYSE:JPM-M)
Storico
Da Ott 2024 a Nov 2024
Grafico Azioni JP Morgan Chase (NYSE:JPM-M)
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Da Nov 2023 a Nov 2024
