Pricing supplement
To prospectus dated April 13, 2023,
prospectus supplement dated April 13, 2023,
product supplement no. 4-I dated April 13, 2023 and
prospectus addendum dated June 3, 2024 |
Registration Statement Nos. 333-270004 and 333-270004-01
Dated November 22, 2024
Rule 424(b)(2)
|
| JPMorgan Chase Financial Company LLC |
|
Structured
Investments
|
$1,300,000
Auto Callable Dual Directional Buffered Return Enhanced
Notes Linked to the Common Stock of NVIDIA Corporation due November 27, 2026
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
|
General
| · | If
the notes are not automatically called, investors will receive uncapped, leveraged exposure of 1.50 times any appreciation or an unleveraged
return equal to the absolute value of any depreciation (up to 10.00%) of the price of one share of the common stock of NVIDIA Corporation. |
| · | Investors
should be willing to forgo interest and dividend payments and, if the notes are not automatically called and the Final Stock Price is
less than the Stock Strike Price by more than 10.00%, be willing to lose some or all of their principal amount at maturity. |
| · | The
notes will be automatically called if the closing price of one share of the Reference Stock is greater than or equal to the Stock Strike
Price on the Review Date. |
| · | 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 $10,000 and integral multiples of $1,000 in excess thereof |
Key Terms
| Issuer: |
JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co. |
| Guarantor: |
JPMorgan Chase & Co. |
| Reference Stock: |
The common stock of NVIDIA Corporation, par value $0.001 per share (Bloomberg ticker: NVDA UW). We refer to NVIDIA Corporation as “NVIDIA.” |
| Automatic Call: |
On the Review Date, if the closing price of one share of the Reference Stock is greater than or equal to the Stock Strike Price, the notes will be automatically called for a cash payment plus a call premium amount per note that will be payable on the Call Settlement Date. |
| Payment if Called: |
If the notes are automatically called, you will receive one payment of $1,000 plus a call premium amount equal to 40.50% |
| Payment at Maturity: |
If the notes have not been automatically called and the Final Stock Price is greater than the Stock Strike Price, at maturity you will receive a cash payment that provides you with a return per $1,000 principal amount note equal to the Stock Return multiplied by the Upside Leverage Factor. Accordingly, under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows: |
| |
$1,000 + ($1,000 × Stock Return × Upside Leverage Factor) |
| |
If the notes have not been automatically called and the Final Stock Price
is equal to the Stock Strike Price, you will receive the principal amount of your notes at maturity.
If the notes have not been automatically called and the Final Stock Price
is less than the Stock Strike Price by up to the Contingent Buffer Amount, you will receive at maturity a cash payment that provides you
with a return per $1,000 principal amount note equal to the Absolute Stock Return, and your payment at maturity per $1,000 principal amount
note will be calculated as follows:
$1,000 + ($1,000 × Absolute Stock Return)
Because the payment at maturity will not reflect the Absolute Stock Return
if the Final Stock Price is less than the Stock Strike Price by more than the Contingent Buffer Amount of 10.00%, your maximum payment
at maturity if the Stock Return is negative is $1,100.00 per $1,000 principal amount note. |
| |
If the notes have not been automatically called and the Final Stock Price is less than the Stock Strike Price by more than 10.00%, you will lose 1% of the principal amount of your notes for every 1% that the Final Stock Price is less than the Stock Strike Price. Under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows: |
| |
$1,000 + ($1,000 × Stock Return) |
| |
If the notes have not been automatically called, you will lose some or all of your principal amount at maturity if the Final Stock Price is less than the Stock Strike Price by more than 10.00%. |
| Upside Leverage Factor: |
1.50 |
| Contingent Buffer Amount: |
10.00% |
| Strike Date: |
November 21, 2024 |
| Pricing Date: |
November 22, 2024 |
| Original Issue Date: |
On or about November 27, 2024 (Settlement Date) |
| Review Date*: |
December 4, 2025 |
| Call Settlement Date*: |
December 9, 2025 |
| Valuation Date*: |
November 23, 2026 |
| Maturity Date*: |
November 27, 2026 |
| Other Key Terms: |
See “Additional Key Terms” in this pricing supplement |
| * | Subject to postponement in the event of a market disruption event and as described under “General Terms of Notes — Postponement
of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity
Index)” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement |
Investing in the notes involves a number of risks. See “Risk Factors”
beginning on page S-2 of the accompanying prospectus supplement, Annex A to the accompanying prospectus addendum, “Risk Factors”
beginning on page PS-11 of the accompanying product supplement and “Selected Risk Considerations” beginning on page PS-5 of
this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”) nor
any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing supplement
or the accompanying product supplement, prospectus supplement, prospectus and prospectus addendum. Any representation to the contrary
is a criminal offense.
| |
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
| Per note |
$1,000.00 |
$15.00 |
$985.00 |
| Total |
$1,300,000.00 |
$19,500.00 |
$1,280,500.00 |
| (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 $15.00 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 $973.40 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.
Additional Terms Specific to the
Notes
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes, of
which these notes are a part, the accompanying prospectus addendum, and the more detailed information contained in the accompanying product
supplement. This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all other
prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence,
trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You
should carefully consider, among other things, the matters set forth in the “Risk Factors” sections of the accompanying prospectus
supplement and the accompanying product supplement and in Annex A to the accompanying prospectus addendum, as the notes involve risks
not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before
you invest in the notes.
You may access these documents on the SEC website at
www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is 1665650,
and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us” and
“our” refer to JPMorgan Financial.
Additional Key Terms
| Stock Return: |
(Final Stock Price – Stock Strike
Price)
Stock Strike Price |
| Absolute Stock Return: |
The absolute value of the Stock Return. For example, if the Stock Return is -5%, the Absolute Stock Return will equal 5%. |
| Stock Strike Price: |
$146.67, which was the closing price of one share of the Reference Stock on the Strike Date. The Stock Strike Price is not determined by reference to the closing price of one share of the Reference Stock on the Pricing Date. |
| Final Stock Price: |
The closing price of one share of the Reference Stock on the Valuation Date |
| Stock Adjustment Factor: |
The Stock Adjustment Factor is referenced in determining the closing price of one share of the Reference Stock and is set initially at 1.0 on the Strike Date. The Stock Adjustment Factor is subject to adjustment upon the occurrence of certain corporate events affecting the Reference Stock. See “The Underlyings — Reference Stocks — Anti-Dilution Adjustments” and “The Underlyings — Reference Stocks — Reorganization Events” in the accompanying product supplement for further information. |
| CUSIP: |
48135VQ84 |
| | |
| JPMorgan Structured Investments — | PS- 1 |
| Auto Callable Dual Directional Buffered Return Enhanced Notes Linked to the Common Stock of NVIDIA Corporation | |
What Is the Total Return on the
Notes at Maturity, Assuming a Range of Performances for the Reference Stock?
The following table and examples illustrate the hypothetical
total return and the hypothetical payment at maturity on the notes. The “total return” as used in this pricing supplement
is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount note to $1,000.
Each hypothetical total return or payment at maturity set forth below assumes a hypothetical Stock Strike Price of $100.00 and reflects
the call premium of 40.50%, the Upside Leverage Factor of 1.50 and the Contingent Buffer Amount of 10.00%. The hypothetical Stock Strike
Price of $100.00 has been chosen for illustrative purposes only and does not represent the actual Stock Strike Price. Each hypothetical
total return or payment at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment
at maturity applicable to a purchaser of the notes. The numbers appearing in the following table and in the examples below have been rounded
for ease of analysis.
| Review Date |
The notes are not automatically called. |
Closing price of
one share of the
Reference Stock
on the Review
Date |
Appreciation/
Depreciation of
Reference
Stock on
Review Date |
Total Return
on Call
Settlement
Date |
Final Stock Price |
Stock
Return |
Total Return |
| $160.00 |
60.00% |
40.50% |
$160.00 |
60.00% |
90.00% |
| $150.00 |
50.00% |
40.50% |
$150.00 |
50.00% |
75.00% |
| $140.00 |
40.00% |
40.50% |
$140.00 |
40.00% |
60.00% |
| $130.00 |
30.00% |
40.50% |
$130.00 |
30.00% |
45.00% |
| $120.00 |
20.00% |
40.50% |
$120.00 |
20.00% |
30.00% |
| $110.00 |
10.00% |
40.50% |
$110.00 |
10.00% |
15.00% |
| $105.00 |
5.00% |
40.50% |
$105.00 |
5.00% |
7.50% |
| $102.50 |
2.50% |
40.50% |
$102.50 |
2.50% |
3.75% |
| $100.00 |
0.00% |
40.50% |
$100.00 |
0.00% |
0.00% |
| $97.50 |
-2.50% |
N/A |
$97.50 |
-2.50% |
2.50% |
| $95.00 |
-5.00% |
N/A |
$95.00 |
-5.00% |
5.00% |
| $90.00 |
-10.00% |
N/A |
$90.00 |
-10.00% |
10.00% |
| $89.99 |
-10.01% |
N/A |
$89.99 |
-10.01% |
-10.01% |
| $80.00 |
-20.00% |
N/A |
$80.00 |
-20.00% |
-20.00% |
| $70.00 |
-30.00% |
N/A |
$70.00 |
-30.00% |
-30.00% |
| $60.00 |
-40.00% |
N/A |
$60.00 |
-40.00% |
-40.00% |
| $50.00 |
-50.00% |
N/A |
$50.00 |
-50.00% |
-50.00% |
| $40.00 |
-60.00% |
N/A |
$40.00 |
-60.00% |
-60.00% |
| $30.00 |
-70.00% |
N/A |
$30.00 |
-70.00% |
-70.00% |
| $20.00 |
-80.00% |
N/A |
$20.00 |
-80.00% |
-80.00% |
| $10.00 |
-90.00% |
N/A |
$10.00 |
-90.00% |
-90.00% |
| $0.00 |
-100.00% |
N/A |
$0.00 |
-100.00% |
-100.00% |
| | |
| JPMorgan Structured Investments — | PS- 2 |
| Auto Callable Dual Directional Buffered Return Enhanced Notes Linked to the Common Stock of NVIDIA Corporation | |
Hypothetical Examples of Amount
Payable at Maturity
The following examples illustrate how the payment at
maturity in different hypothetical scenarios is calculated.
Example 1: On the Review Date, the price of one share
of the Reference Stock increases from the Stock Strike Price of $100.00 to a closing price of $102.50. The notes are automatically called.
Because the closing price of one share of the Reference
Stock on the Review Date is greater than the Stock Strike Price of $100.00, the notes are automatically called and the investor receives
a payment on the Call Settlement Date of $1,405.00 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × 40.50%)
= $1,405.00
Example 2. The notes are not automatically called
on the Review Date, and the price of one share of the Reference Stock decreases from the Stock Strike Price of $100.00 to a Final Stock
Price of $95.00.
Although the Stock Return is negative, because the Final
Stock Price of $95.00 is less than the Stock Strike Price of $100.00 and the Stock Return of -5.00% does not exceed the Contingent Buffer
Amount of 10.00%, the Absolute Stock Return is 5.00%. Accordingly, the investor receives a payment at maturity of $1,050.00 per $1,000
principal amount note, calculated as follows:
$1,000 + ($1,000 × 5.00%)
= $1,050.00
Example 3. The notes are not automatically called
on the Review Date, and the price of one share of the Reference Stock increases from the Stock Strike Price of $100.00 to a Final Stock
Price of $105.00.
Because the Final Stock Price of $105.00 is greater
than the Stock Strike Price of $100.00 and the Stock Return is 5.00%, the investor receives a payment at maturity of $1,075.00 per $1,000.00
principal amount note, calculated as follows:
$1,000 + ($1,000 × 5.00% ×
1.50) = $1,075.00
Example 4: The notes are not automatically called
on the Review Date, and the price of one share of the Reference Stock decreases from the Stock Strike Price of $100.00 to a Final Stock
Price of $90.00.
Although the Stock Return is negative, because the Final
Stock Price of $90.00 is less than the Stock Strike Price of $100.00 by up to the Contingent Buffer Amount of 10.00% and the Absolute
Stock Return is 10.00%, the investor receives a payment at maturity of $1,100.00 per $1,000 principal amount note, the maximum payment
at maturity if the Stock Return is negative, calculated as follows:
$1,000 + ($1,000 × 10.00%)
= $1,100.00
Example 5: The notes are not automatically called
on the Review Date, and the price of one share of the Reference Stock decreases from the Stock Strike Price of $100.00 to a Final Stock
Price of $40.00.
Because the Final Stock Price of $40.00 is less than
the Stock Strike Price of $100.00 by more than the Contingent Buffer Amount of 10.00% and the Stock Return is -60.00%, the investor receives
a payment at maturity of $400.00 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × -60.00%)
= $400.00
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 fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included,
the hypothetical returns and hypothetical payments shown above would likely be lower.
| | |
| JPMorgan Structured Investments — | PS- 3 |
| Auto Callable Dual Directional Buffered Return Enhanced Notes Linked to the Common Stock of NVIDIA Corporation | |
Selected Purchase
Considerations
| · | APPRECIATION POTENTIAL — If the
closing price of one share of the Reference Stock is greater than or equal to the Stock Strike Price on the Review Date, your investment
will yield a payment per $1,000 principal amount note of $1,000 plus a call premium of 40.50%. |
If the notes are not automatically
called, the notes will provide the opportunity to earn an uncapped, leveraged return equal to any positive Stock Return multiplied
by the Upside Leverage Factor. The notes are not subject to a predetermined maximum gain and, accordingly, any return at maturity will
be determined based on the movement of the price of one share of the Reference Stock. Because the notes are our unsecured and unsubordinated
obligations, the payment of which is fully and unconditionally guaranteed by JPMorgan Chase & Co., payment of any amount
on the notes is subject to our ability to pay our obligations as they become due and JPMorgan Chase & Co.’s ability
to pay its obligations as they become due.
| · | POTENTIAL FOR UP TO A 10.00% RETURN ON THE
NOTES EVEN IF THE STOCK RETURN IS NEGATIVE — If the notes are not automatically called and the Final Stock Price is less
than the Stock Strike Price by up to the Contingent Buffer Amount, you will earn a positive, unleveraged return on the notes equal to
the Absolute Stock Return. Under these circumstances, you will earn a positive return on the notes even though the Final Stock Price is
less than the Stock Strike Price. For example, if the Stock Return is -5%, the Absolute Stock Return will equal 5%. Because the payment
at maturity will not reflect the Absolute Stock Return if the Final Stock Price is less than the Stock Strike Price by more than the Contingent
Buffer Amount of 10.00%, your maximum payment at maturity if the Stock Return is negative is $1,100.00 per $1,000 principal amount note. |
| · | POTENTIAL EARLY EXIT WITH APPRECIATION AS
A RESULT OF AUTOMATIC CALL FEATURE — While the original term of the notes is approximately two years, the notes will be automatically
called before maturity if the closing price of one share of the Reference Stock on the Review Date is greater than or equal to the Stock
Strike Price, and you will be entitled to a call premium of 40.50%. Even in the case 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. |
| · | RETURN DEPENDENT ON A SINGLE REFERENCE STOCK —
The return on the notes is linked to the performance of a single Reference Stock, which is the common stock of NVIDIA. For additional
information see “The Reference Stock” in this pricing supplement. |
| · | 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, Latham
& Watkins 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 (such an index, a “Qualified
Index”). 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
| | |
| JPMorgan Structured Investments — | PS- 4 |
| Auto Callable Dual Directional Buffered Return Enhanced Notes Linked to the Common Stock of NVIDIA Corporation | |
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.
Withholding under legislation commonly
referred to as “FATCA” may (if the notes are recharacterized as debt instruments) apply to amounts treated as interest paid
with respect to the notes, as well as to payments of gross proceeds of a taxable disposition, including redemption at maturity, of a note,
although under recently proposed regulations (the preamble to which specifies that taxpayers are permitted to rely on them pending finalization),
no withholding will apply to payments of gross proceeds (other than any amount treated as interest). You should consult your tax adviser
regarding the potential application of FATCA to the notes.
Selected Risk
Considerations
An investment in the notes involves significant risks.
Investing in the notes is not equivalent to investing directly in the Reference Stock. These risks are explained in more detail in the
“Risk Factors” sections of the accompanying prospectus supplement and product supplement and in Annex A to the accompanying
prospectus addendum.
Risks Relating
to the Notes Generally
| · | YOUR INVESTMENT IN THE NOTES MAY RESULT
IN A LOSS — The notes do not guarantee any return of principal. The return on the notes at maturity is linked to the performance
of the Reference Stock and will depend on whether, and the extent to which, the Stock Return is positive or negative. If the Final Stock
Price is less than the Stock Strike Price by more than the Contingent Buffer Amount of 10.00%, the benefit provided by the Contingent
Buffer Amount will terminate and you will be exposed to a loss. In this case, for every 1% that the Final Stock Price is less than the
Stock Strike Price, you will lose an amount equal to 1% of the principal amount of your notes. Under these circumstances, you will lose
more than 10.00% of your principal amount at maturity and may all of your principal amount at maturity. |
| · | CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN
CHASE & CO. — The notes are subject to our and JPMorgan Chase & Co.’s credit risks, and our
and JPMorgan Chase & Co.’s credit ratings and credit spreads may adversely affect the market value of the notes. 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. |
| · | REINVESTMENT RISK — 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 in the event the notes
are automatically called prior to the Maturity Date. |
| · | THE BENEFIT PROVIDED BY THE CONTINGENT BUFFER
AMOUNT MAY TERMINATE ON THE VALUATION DATE — If the Final Stock Price is less than the Stock Strike Price by more than the Contingent
Buffer Amount, the benefit provided by the Contingent Buffer Amount will terminate and you will be fully exposed to any depreciation of
the Reference Stock from the Stock Strike Price to the Final Stock Price. |
| · | 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. |
| · | NO OWNERSHIP OR DIVIDEND RIGHTS IN THE REFERENCE
STOCK — As a holder of the notes, you will not have any ownership interest or rights in the Reference Stock, such as voting
rights or dividend payments. In addition, the issuer of the Reference Stock will not have any obligation to consider your interests as
a holder of the notes in taking any corporate action that might affect the value of the Reference Stock and the notes. |
| · | SINGLE STOCK RISK — The price
of the Reference Stock can fall sharply due to factors specific to the Reference Stock and its issuer, such as stock price volatility,
earnings, financial conditions, corporate, industry and regulatory developments, management changes and decisions and other events, as
well as general market factors, such as general stock market volatility and levels, interest rates and economic and political conditions. |
| · | NO INTEREST PAYMENTS — As
a holder of the notes, you will not receive any interest payments. |
| · | VOLATILITY RISK — Greater expected
volatility with respect to the Reference Stock indicates a greater likelihood as of the Strike Date or the Pricing Date that the Final
Stock Price could be less than the Stock Strike Price by more than the Contingent Buffer Amount. The Reference Stock’s volatility,
however, can change |
| | |
| JPMorgan Structured Investments — | PS- 5 |
| Auto Callable Dual Directional Buffered Return Enhanced Notes Linked to the Common Stock of NVIDIA Corporation | |
significantly over the term of the notes. The Closing
price of one share of the Reference Stock could fall sharply during the term of the notes, which could result in your losing some or all
of your principal amount at maturity.
| · | LACK OF LIQUIDITY — The notes
will not be listed on any securities exchange. JPMS intends to offer to purchase the notes in the secondary market but is not required
to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the notes easily. Because
other dealers are not likely to make a secondary market for the notes, 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. |
Risks Relating
to Conflicts of Interest
| · | POTENTIAL CONFLICTS — We and our
affiliates play a variety of roles in connection with the issuance of the notes, including acting as calculation agent and as an agent
of the offering of the notes, hedging our obligations under the notes and making the assumptions used to determine the pricing of the
notes and the estimated value of the notes when the terms of the notes are set, which we refer to as the estimated value of the notes.
In performing these duties, our and JPMorgan Chase & Co.’s economic interests and the economic interests of the calculation
agent and other affiliates of ours are potentially adverse to your interests as an investor in the notes. In addition, our and JPMorgan
Chase & Co.’s business activities, including hedging and trading activities, could cause our and JPMorgan Chase & Co.’s
economic interests to be adverse to yours and could adversely affect any payment on the notes and the value of 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 for additional information about these risks. |
We and/or our affiliates may also
currently or from time to time engage in business with NVIDIA, including extending loans to, or making equity investments in, NVIDIA or
providing advisory services to NVIDIA. In addition, one or more of our affiliates may publish research reports or otherwise express opinions
with respect to NVIDIA, and these reports may or may not recommend that investors buy or hold the Reference Stock. As a prospective purchaser
of the notes, you should undertake an independent investigation of the Reference Stock issuer that in your judgment is appropriate to
make an informed decision with respect to an investment in the notes.
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 — The estimated value of the notes is determined
by reference to internal pricing models of our affiliates when the terms of the notes are set. This estimated value of the notes is based
on market conditions and other relevant factors existing at that time and assumptions about market parameters, which can include volatility,
dividend rates, interest rates and other factors. Different pricing models and assumptions could provide valuations for the 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. 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. These costs can include |
| | |
| JPMorgan Structured Investments — | PS- 6 |
| Auto Callable Dual Directional Buffered Return Enhanced Notes Linked to the Common Stock of NVIDIA Corporation | |
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. 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 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. See the immediately following risk consideration for information about additional factors that will impact any secondary
market prices of the 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.
See “— Lack of Liquidity”.
| · | 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 price of one share of the Reference Stock. |
Additionally, independent pricing
vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes
in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
— Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
Risks Relating
to the Reference Stock
| · | NO AFFILIATION WITH THE REFERENCE STOCK ISSUER
— We are not affiliated with the issuer of the Reference Stock. We assume no responsibility for the adequacy of the information
about the Reference Stock issuer contained in this pricing supplement. You should undertake your own investigation into the Reference
Stock and its issuer. We are not responsible for the Reference Stock issuer’s public disclosure of information, whether contained
in SEC filings or otherwise. |
| · | THE ANTI-DILUTION PROTECTION FOR THE REFERENCE
STOCK IS LIMITED AND MAY BE DISCRETIONARY — The calculation agent will make adjustments to the Stock Adjustment Factor for certain
corporate events affecting the Reference Stock. However, the calculation agent will not make an adjustment in response to all events that
could affect the Reference Stock. If an event occurs that does not require the calculation agent to make an adjustment, the value of the
notes may be materially and adversely affected. You should also be aware that the calculation agent may make adjustments in response to
events that are not described in the accompanying product supplement to account for any diluting or concentrative effect, but the calculation
agent is under no obligation to do so or to consider your interests as a holder of the notes in making these determinations. |
| | |
| JPMorgan Structured Investments — | PS- 7 |
| Auto Callable Dual Directional Buffered Return Enhanced Notes Linked to the Common Stock of NVIDIA Corporation | |
The Reference
Stock
Public Information
All information contained herein on the Reference Stock
and on NVIDIA is derived from publicly available sources and is a specialized platform company that targets four markets gaming, professional
visualization, datacenter and automotive where visual computing is essential and valued. The common stock of NVIDIA, par value $0.001
per share (Bloomberg ticker: NVDA UW), is registered under the Securities Exchange Act of 1934, as amended, which we refer to as the “Exchange
Act”, and is listed on The Nasdaq Global Select Market, which we refer to as the relevant exchange for purposes of NVIDIA in the
accompanying product supplement. Information provided to or filed with the SEC by NVIDIA pursuant to the Exchange Act can be located by
reference to SEC file number 0-23985, and can be accessed through www.sec.gov. We do not make any representation that these publicly available
documents are accurate or complete.
Historical Information Regarding
the Reference Stock
The following graph sets forth the historical performance
of the Reference Stock based on the weekly historical closing prices of one share of the Reference Stock from January 4, 2019 through
November 22, 2024. The closing price of one share of the Reference Stock on November 22, 2024 was $141.95. We obtained the closing prices
above and below from the Bloomberg Professional® service (“Bloomberg”), without independent verification.
The closing prices may have been adjusted by Bloomberg for corporate actions such as stock splits, public offerings, mergers and acquisitions,
spin-offs, delistings and bankruptcy.
The historical closing prices of one share of the Reference
Stock should not be taken as an indication of future performance, and no assurance can be given as to the closing price of one share of
the Reference Stock on the Review Date or the Valuation Date. There can be no assurance that the performance of the Reference Stock will
result in the return of any of your principal amount at maturity or the payment of any interest.
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. See “Selected Risk Considerations — Risks Relating to the
Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Does Not Represent Future Values of
the Notes and May Differ from Others’ Estimates” in this pricing supplement.
| | |
| JPMorgan Structured Investments — | PS- 8 |
| Auto Callable Dual Directional Buffered Return Enhanced Notes Linked to the Common Stock of NVIDIA Corporation | |
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. We or one or more of
our affiliates will retain any profits realized in hedging our obligations under the notes. 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 “What Is the Total Return on the Notes at Maturity,
Assuming a Range of Performances for the Reference Stock?” and “Hypothetical Examples of Amount Payable at Maturity”
in this pricing supplement for an illustration of the risk-return profile of the notes and “Selected Purchase Considerations —
Return Dependent on a Single Reference Stock” in this pricing supplement for a description of the market exposure provided by the
notes.
The original issue price of the notes is equal to the
estimated value of the notes plus the 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.
Supplemental Terms of the Notes
Any values of the Reference Stock, and any values derived
therefrom, included in this pricing supplement may be corrected, in the event of manifest error or inconsistency, by amendment of this
pricing supplement and the corresponding terms of the notes. Notwithstanding anything to the contrary in the indenture governing the notes,
that amendment will become effective without consent of the holders of the notes or any other party.
Validity of the Notes and the Guarantee
In the opinion of Latham & Watkins LLP, as special
product counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by this pricing supplement have been
executed and issued by JPMorgan Financial and authenticated by the trustee pursuant to the indenture, and 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 special product 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
notes 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.
| | |
| JPMorgan Structured Investments — | PS- 9 |
| Auto Callable Dual Directional Buffered Return Enhanced Notes Linked to the Common Stock of NVIDIA Corporation | |
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 $1,300,000. 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)
Storico
Da Nov 2023 a Nov 2024
