| November
22, 2024 |
Registration
Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
JPMorgan Chase Financial Company LLC
Structured Investments
$1,010,000
Uncapped Accelerated
Barrier Notes Linked to the Lesser Performing of the Dow Jones Industrial Average®
and the S&P 500® Index due November 27, 2030
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
| · | The
notes are designed for investors who seek an uncapped return of 1.60 times any appreciation
of the lesser performing of the Dow Jones Industrial Average® and the S&P
500® Index, which we refer to as the Indices, at maturity. |
| · | Investors should be
willing to forgo interest and dividend payments and be willing to lose some or all of their
principal amount at maturity. |
| · | The notes are unsecured
and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to
as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan
Chase & Co. Any payment on the notes is subject to the credit risk of JPMorgan
Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co.,
as guarantor of the notes. |
| · | 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-11 of the accompanying product supplement and “Selected Risk Considerations” beginning
on page PS-3 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 |
$3.50 |
$996.50 |
| Total |
$1,010,000 |
$3,535 |
$1,006,465 |
(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 $3.50 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 $984.30 per $1,000 principal amount note. See “The Estimated Value of the Notes” in this pricing supplement
for additional information.
The notes are not bank deposits, are not insured by the Federal
Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Pricing supplement to product supplement no. 4-I dated
April 13, 2023, 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) and the S&P 500®
Index (Bloomberg ticker: SPX)
Upside
Leverage Factor: 1.60
Barrier Amount:
With respect to each Index, 80.00% of its Initial Value, which is 35,437.208 for the Dow Jones Industrial Average® and
4,775.472 for the S&P 500® Index
Pricing
Date: November 22, 2024
Original
Issue Date (Settlement Date): On or about November 27, 2024
Observation
Date*: November 22, 2030
Maturity
Date*: November 27, 2030
* 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, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing
Index Return × Upside Leverage Factor)
If the Final Value of either Index is equal to or less than
its Initial Value but the Final Value of each Index is greater than or equal to its Barrier Amount, you will receive the principal
amount of your notes at maturity.
If the Final Value of either Index is less than its Barrier
Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing
Index Return)
If the Final Value of either Index is less than its Barrier
Amount, you will lose more than 20.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
Lesser Performing Index: The
Index with the Lesser Performing Index Return
Lesser Performing Index Return: The
lower 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® and 5,969.34 for the
S&P 500® Index
Final
Value: With respect to each Index, the closing level of that Index on the Observation Date |
|
PS-1
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to the Lesser Performing
of the Dow Jones Industrial Average® and the S&P 500® 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 total return and payment at maturity on the notes linked to two hypothetical Indices. The “total return” as
used in this pricing supplement is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000
principal amount note to $1,000. The hypothetical total returns and payments set forth below assume the following:
| · | an Initial Value for the
Lesser Performing Index of 100.00; |
| · | an Upside Leverage Factor
of 1.60; and |
| · | a Barrier Amount for the
Lesser Performing Index of 80.00 (equal to 80.00% of its hypothetical Initial Value). |
The hypothetical Initial Value of the Lesser
Performing Index of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value of either 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 total return or hypothetical
payment at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable
to a purchaser of the notes. The numbers appearing in the following table and graph have been rounded for ease of analysis.
Final Value
of the
Lesser Performing
Index |
Lesser Performing
Index
Return |
Total Return
on the Notes |
Payment
at Maturity |
| 165.00 |
65.00% |
104.00% |
$2,004.00 |
| 150.00 |
50.00% |
80.00% |
$1,800.00 |
| 140.00 |
40.00% |
64.00% |
$1,640.00 |
| 130.00 |
30.00% |
48.00% |
$1,480.00 |
| 120.00 |
20.00% |
32.00% |
$1,320.00 |
| 110.00 |
10.00% |
16.00% |
$1,160.00 |
| 105.00 |
5.00% |
8.00% |
$1,080.00 |
| 101.00 |
1.00% |
1.60% |
$1,016.00 |
| 100.00 |
0.00% |
0.00% |
$1,000.00 |
| 95.00 |
-5.00% |
0.00% |
$1,000.00 |
| 90.00 |
-10.00% |
0.00% |
$1,000.00 |
| 80.00 |
-20.00% |
0.00% |
$1,000.00 |
| 79.99 |
-20.01% |
-20.01% |
$799.90 |
| 70.00 |
-30.00% |
-30.00% |
$700.00 |
| 60.00 |
-40.00% |
-40.00% |
$600.00 |
| 50.00 |
-50.00% |
-50.00% |
$500.00 |
| 40.00 |
-60.00% |
-60.00% |
$400.00 |
| 30.00 |
-70.00% |
-70.00% |
$300.00 |
| 20.00 |
-80.00% |
-80.00% |
$200.00 |
| 10.00 |
-90.00% |
-90.00% |
$100.00 |
| 0.00 |
-100.00% |
-100.00% |
$0.00 |
|
PS-2
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to the Lesser Performing
of the Dow Jones Industrial Average® and the S&P 500® Index |
|
The following graph demonstrates the hypothetical payments
at maturity on the notes for a range of Lesser Performing Index Returns. There can be no assurance that the performance of the Lesser
Performing Index will result in the return of any of your principal amount.
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 a return equal to the Lesser
Performing Index Return times the Upside Leverage Factor of 1.60.
| · | If the closing
level of the Lesser Performing Index increases 10.00%, investors will receive at maturity
a return equal to 16.00%, or $1,160.00 per $1,000 principal
amount note. |
Par Scenario:
If the Final Value of either Index is equal to
or less than its Initial Value but the Final Value of each Index is greater than or equal to its Barrier Amount of 80.00% of its Initial
Value, investors will receive at maturity the principal amount of their notes.
Downside Scenario:
If the Final Value of either Index is less than
its Barrier Amount of 80.00% of its Initial Value, investors will lose 1% of the principal amount of their notes for every 1% that the
Final Value of the Lesser Performing Index is less than its Initial Value.
| · | For example, if the closing
level of the Lesser Performing Index declines 60.00%, investors will lose 60.00% of their
principal amount and receive only $400.00 per $1,000 principal amount note at maturity. |
The hypothetical returns and hypothetical payments
on the notes shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect the fees or
expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns
and hypothetical payments shown above would likely be lower.
Selected
Risk Considerations
An investment in the notes involves significant
risks. These risks are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement
and product supplement and in Annex A to the accompanying prospectus addendum.
Risks Relating to the Notes Generally
| · | YOUR INVESTMENT IN THE
NOTES MAY RESULT IN A LOSS — |
The notes do not guarantee any return
of principal. If the Final Value of either Index is less than its Barrier Amount, you will lose 1% of the principal amount of your notes
for every 1% that the Final Value of the Lesser Performing Index is less than its Initial Value. Accordingly, under these circumstances,
you will lose more than 20.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
|
PS-3
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to the Lesser Performing
of the Dow Jones Industrial Average® and the S&P 500® Index |
|
| · | 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 either 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 the other Index.
| · | YOUR PAYMENT AT MATURITY
WILL BE DETERMINED BY THE LESSER PERFORMING INDEX. |
| · | THE BENEFIT PROVIDED BY
THE BARRIER AMOUNT MAY TERMINATE ON THE OBSERVATION DATE — |
If the Final Value of either Index is
less than its Barrier Amount, the benefit provided by the Barrier Amount will terminate and you will be fully exposed to any depreciation
of the Lesser Performing Index.
| · | THE NOTES DO NOT PAY INTEREST. |
| · | YOU WILL NOT RECEIVE DIVIDENDS
ON THE SECURITIES INCLUDED IN EITHER INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES. |
| · | THE RISK OF THE CLOSING
LEVEL OF AN INDEX FALLING BELOW ITS BARRIER AMOUNT IS GREATER IF THE LEVEL OF THAT INDEX
IS VOLATILE. |
The notes will not be listed on any securities
exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS
is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your notes to maturity.
Risks Relating to Conflicts of Interest
We and our affiliates play a variety of
roles in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests
are potentially adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours or our
affiliates in connection with the notes could result in substantial returns for us or our affiliates while the value of the notes declines.
Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement.
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
|
PS-4
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to the Lesser Performing
of the Dow Jones Industrial Average® and the S&P 500® Index |
|
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.
Risks Relating to the Indices
| · | JPMORGAN CHASE & CO.
IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE INDICES, |
but JPMorgan Chase & Co.
will not have any obligation to consider your interests in taking any corporate action that might affect the level of either Index.
|
PS-5
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to the Lesser Performing
of the Dow Jones Industrial Average® and the S&P 500® 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 S&P
500® Index consists of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets.
For additional information about the S&P 500® Index, see “Equity Index Descriptions — The S&P U.S.
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 S&P 500®
Index on November 22, 2024 was 5,969.34. 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 either Index on
the Observation Date. There can be no assurance that the performance of the Indices will result in the return of any of your principal
amount.
|
PS-6
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to the Lesser Performing
of the Dow Jones Industrial Average® and the S&P 500® Index |
|
Tax Treatment
You should
review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement
no. 4-I. The following discussion, when read in combination with that section, constitutes the full opinion of our special tax counsel,
Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes.
Based
on current market conditions, in the opinion of our special tax counsel it is reasonable to treat the notes as “open transactions”
that are not debt instruments for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax
Consequences — Tax Consequences to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments”
in the accompanying product supplement. Assuming this treatment is respected, the gain or loss on your notes should be treated as long-term
capital gain or loss if you hold your notes for more than a year, whether or not you are an initial purchaser of notes at the issue price.
However, the IRS or a court may not respect this treatment, in which case the timing and character of any income or loss on the notes
could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S.
federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on
whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a
number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors such
as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated
accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject
to the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term capital gain
as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate transition rules and effective
dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect
the tax consequences of an investment in the notes, possibly with retroactive effect. You should consult your tax adviser regarding the
U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments and the issues presented
by this notice.
Section
871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding
tax (unless an income tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial
instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding
regime, including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations.
Additionally, a recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2027 that do not have
a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each
an “Underlying Security”). Based on certain determinations made by us, our special tax counsel is of the opinion that Section
871(m) should not apply to the notes with regard to Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree
with this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including whether
you enter into other transactions with respect to an Underlying Security. You should consult your tax adviser regarding the potential
application of Section 871(m) to the notes.
The
Estimated Value of the Notes
The estimated value of the notes set forth
on the cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income
debt component with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or
derivatives underlying the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which
JPMS would be willing to buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination
of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar
maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and
our affiliates’ view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management
costs of the notes in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This
internal funding rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate
the prevailing market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate
may have an adverse effect on the terms of the notes and any secondary market prices of the notes. For additional information, see “Selected
Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value
of the Notes Is Derived by Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives
underlying the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs
such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable,
and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events
and/or environments. Accordingly, the estimated value of the notes is
|
PS-7
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to the Lesser Performing
of the Dow Jones Industrial Average® and the S&P 500® Index |
|
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-8
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to the Lesser Performing
of the Dow Jones Industrial Average® and the S&P 500® 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):
| · | Product
supplement no. 4-I dated April 13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000121390023029539/ea152803_424b2.pdf |
| · | Underlying
supplement no. 1-I dated April 13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000121390023029543/ea151873_424b2.pdf |
| · | Prospectus
supplement and prospectus, each dated April 13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000095010323005751/crt_dp192097-424b2.pdf |
| · | Prospectus
addendum dated June 3, 2024:
http://www.sec.gov/Archives/edgar/data/1665650/000095010324007599/dp211753_424b3.htm
|
Our Central Index Key, or CIK, on the SEC website
is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us”
and “our” refer to JPMorgan Financial.
PS-9
| Structured Investments
Uncapped Accelerated Barrier Notes Linked to the Lesser
Performing of the Dow Jones Industrial Average® and the S&P 500® 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 $1,010,000. The prospectus is a final prospectus for the related offering.
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Grafico Azioni JP Morgan Chase (NYSE:JPM-M)
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