PRICING SUPPLEMENT
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-270004 and 333-270004-01
Dated June 26, 2024 |
|
JPMorgan Chase Financial Company LLC Trigger Autocallable GEARS
$17,478,880 Linked to the EURO STOXX 50® Index due June 29,
2029
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
Trigger Autocallable GEARS (Growth Enhanced Asset Return Securities), which
we refer to as the “Securities,” are unsecured and unsubordinated debt securities issued by JPMorgan Chase Financial Company
LLC (“JPMorgan Financial”), the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co.,
with a return linked to the performance of the EURO STOXX 50® Index (the “Underlying”). If the Underlying closes
at or above the Autocall Barrier (100.00% of the Initial Value) on the Observation Date, JPMorgan Financial will automatically call the
Securities and pay you a Call Price equal to the principal amount per Security plus a Call Return of 14.00%. No further payments
will be made on the Securities once they have been automatically called, and you will not participate in any appreciation of the Underlying
if the Securities are automatically called. If by maturity the Securities have not been automatically called and the Underlying Return
is positive, JPMorgan Financial will repay your principal amount at maturity plus pay a return equal to the Underlying Return times
the Upside Gearing of 2.33. If by maturity the Securities have not been automatically called and the Underlying Return is zero or negative
but the Final Value is greater than or equal to the Downside Threshold (75% of the Initial Value), JPMorgan Financial will repay your
principal amount at maturity. However, if by maturity the Securities have not been automatically called, the Underlying Return is negative
and the Final Value is less than the Downside Threshold, JPMorgan Financial will repay less than your principal amount at maturity, if
anything, resulting in a loss of principal that is proportionate to the negative Underlying Return. In this case, you will have full downside
exposure to the Underlying from the Initial Value to the Final Value and could lose all of your principal amount. Investing in the
Securities involves significant risks. You may lose some or all of your principal amount. Generally, a higher Call Return is associated
with a greater risk of loss. You will not receive dividends or other distributions paid on any stocks included in the Underlying, and
the Securities will not pay interest. The contingent repayment of principal applies only if you hold the Securities to maturity. Any payment
on the Securities, including any repayment of principal, is subject to the creditworthiness of JPMorgan Financial, as issuer of the Securities,
and the creditworthiness of JPMorgan Chase & Co., as guarantor of the Securities. If JPMorgan Financial and JPMorgan Chase & Co.
were to default on their payment obligations, you may not receive any amounts owed to you under the Securities and you could lose your
entire investment.
| q | Call Return — JPMorgan Financial will automatically call the
Securities for a Call Price equal to the principal amount plus a Call Return if the closing level of the Underlying on the Observation
Date is greater than or equal to the Autocall Barrier. No further payments will be made on the Securities once they have been automatically
called, and investors will not participate in any appreciation of the Underlying if the Securities are automatically called. |
| q | Enhanced Growth Potential — If the Securities have not been automatically
called, at maturity, the Upside Gearing feature will provide leveraged exposure to any positive performance of the Underlying. If the
Underlying Return is negative, investors may be exposed to the negative Underlying Return at maturity. |
| q | Downside Exposure with Contingent Repayment of Principal at Maturity —
If the Securities have not been automatically called and the Underlying Return is zero or negative but the Final Value is greater than
or equal to the Downside Threshold, JPMorgan Financial will repay your principal amount at maturity. However, if the Securities have not
been automatically called, the Underlying Return is negative and the Final Value is less than the Downside Threshold, JPMorgan Financial
will repay less than your principal amount at maturity, if anything, resulting in a loss of principal that is proportionate to the Underlying’s
decline from the Initial Value to the Final Value. You may lose some or all of your principal. The contingent repayment of principal applies
only if you hold the Securities to maturity. Any payment on the Securities, including any repayment of principal, is subject to the creditworthiness
of JPMorgan Financial and JPMorgan Chase & Co. |
Key
Dates |
Trade Date |
June 26, 2024 |
Original Issue Date (Settlement Date) |
June 28, 2024 |
Observation Date1 |
July 2, 2025 |
Final Valuation Date1 |
June 27, 2029 |
Maturity Date1 |
June 29, 2029 |
| 1 | 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 or early acceleration in the event of a change-in-law event as described under “General Terms of
Notes — Consequences of a Change-in-Law Event” in the accompanying product supplement and “Key Risks — Risks Relating
to the Securities Generally — We May Accelerate Your Securities If a Change-in-Law Event Occurs” in this pricing supplement |
THE SECURITIES ARE SIGNIFICANTLY RISKIER THAN CONVENTIONAL DEBT INSTRUMENTS.
JPMORGAN FINANCIAL IS NOT NECESSARILY OBLIGATED TO REPAY THE FULL PRINCIPAL AMOUNT OF THE SECURITIES AT MATURITY, AND THE SECURITIES CAN
HAVE DOWNSIDE MARKET RISK SIMILAR TO THE UNDERLYING. THIS MARKET RISK IS IN ADDITION TO THE CREDIT RISK INHERENT IN PURCHASING A DEBT
OBLIGATION OF JPMORGAN FINANCIAL FULLY AND UNCONDITIONALLY GUARANTEED BY JPMORGAN CHASE & CO. YOU SHOULD NOT PURCHASE THE
SECURITIES IF YOU DO NOT UNDERSTAND OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS INVOLVED IN INVESTING IN THE SECURITIES.
YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER “KEY RISKS”
BEGINNING ON PAGE 6 OF THIS PRICING SUPPLEMENT, UNDER “RISK FACTORS” BEGINNING ON PAGE S-2 OF THE ACCOMPANYING PROSPECTUS
SUPPLEMENT, IN ANNEX A TO THE ACCOMPANYING PROSPECTUS ADDENDUM AND UNDER “RISK FACTORS” BEGINNING ON PAGE PS-12 OF THE ACCOMPANYING
PRODUCT SUPPLEMENT BEFORE PURCHASING ANY SECURITIES. EVENTS RELATING TO ANY OF THOSE RISKS, OR OTHER RISKS AND UNCERTAINTIES, COULD ADVERSELY
AFFECT THE MARKET VALUE OF, AND THE RETURN ON, YOUR SECURITIES. YOU MAY LOSE SOME OR ALL OF YOUR INITIAL INVESTMENT IN THE SECURITIES.
THE SECURITIES WILL NOT BE LISTED ON ANY SECURITIES EXCHANGE.
We are offering Trigger Autocallable GEARS linked to the EURO STOXX 50®
Index. The Securities are offered at a minimum investment of $1,000 in denominations of $10 and integral multiples thereof.
Underlying |
Call Return |
Upside
Gearing |
Initial
Value |
Autocall Barrier* |
Downside
Threshold* |
CUSIP |
ISIN |
EURO STOXX 50® Index (Bloomberg ticker: SX5E) |
14.00% |
2.33 |
4,915.94 |
4,915.94, which is 100.00% of the Initial Value |
3,686.96, which is 75.00% of the Initial Value |
48131G766 |
US48131G7667 |
*Rounded to three decimal places
See “Additional Information about JPMorgan
Financial, JPMorgan Chase & Co. and the Securities” in this pricing supplement. The Securities will have the terms
specified in the prospectus and the prospectus supplement, each dated April 13, 2023, the prospectus addendum dated June 3, 2024, product
supplement no. UBS-1-I dated April 13, 2023, underlying supplement no. 1-I dated April 13, 2023 and this pricing supplement. The terms
of the Securities as set forth in this pricing supplement, to the extent they differ or conflict with those set forth in the accompanying
product supplement, will supersede the terms set forth in that product supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the Securities or passed upon the accuracy or the adequacy of this
pricing supplement or the accompanying prospectus, the accompanying prospectus supplement, the accompanying prospectus addendum, the accompanying
product supplement and the accompanying underlying supplement. Any representation to the contrary is a criminal offense.
|
Price to Public1 |
Fees and Commissions2 |
Proceeds to Issuer |
Offering of Securities |
Total |
Per Security |
Total |
Per Security |
Total |
Per Security |
Securities Linked to the EURO STOXX 50® Index |
$17,478,880 |
$10.00 |
$436,972 |
$0.25 |
$17,041,908 |
$9.75 |
| 1 | See “Supplemental Use of Proceeds” in this pricing supplement for information about the components
of the price to public of the Securities. |
| 2 | UBS Financial Services Inc., which we refer to as UBS, will receive selling commissions from us of $0.25
per $10.00 principal amount Security. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement,
as supplemented by “Supplemental Plan of Distribution” in this pricing supplement. |
The estimated value of the Securities, when the terms of the Securities
were set, was $9.65 per $10 principal amount Security. See “The Estimated Value of the Securities” in this pricing supplement
for additional information.
The Securities 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.
UBS Financial Services Inc. |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024056881/image_001.jpg) |
Additional
Information about JPMorgan Financial, JPMorgan Chase & Co. and the Securities |
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 Securities
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 Securities
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 Securities involve risks not associated with conventional debt securities.
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):
| t | 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, the “Issuer,” “JPMorgan
Financial,” “we,” “us” and “our” refer to JPMorgan Chase Financial Company LLC.
Supplemental
Terms of the Securities |
For purposes of the accompanying product supplement, the EURO STOXX
50® Index is an “Index.”
Any values of the Underlying,
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 Securities. Notwithstanding anything to the contrary in the
indenture governing the Securities, that amendment will become effective without consent of the holders of the Securities or any other
party.
Investor
Suitability
The Securities may be suitable for you if, among other considerations:
t You
fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire principal amount.
t You
can tolerate a loss of all or a substantial portion of your investment and are willing to make an investment that may have the same downside
market risk as a hypothetical investment in the Underlying.
t You
believe the Underlying will close at or above the Autocall Barrier on the Observation Date or the Downside Threshold on the Final Valuation
Date.
t You
understand and accept that, if the Securities are automatically called, you will not participate in any appreciation in the level of the
Underlying and your potential return is limited to the Call Return.
t You
are willing to invest in the Securities based on the Upside Gearing indicated on the cover hereof.
t You
can tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside fluctuations
in the level of the Underlying.
t You
do not seek current income from your investment and are willing to forgo dividends paid on the stocks included in the Underlying.
t You
are able and willing to invest in Securities that may be automatically called early and you are otherwise able and willing to hold the
Securities to maturity.
t You
accept that there may be little or no secondary market for the Securities and that any secondary market will depend in large part on the
price, if any, at which J.P. Morgan Securities LLC, which we refer to as JPMS, is willing to trade the Securities.
t You
understand and accept the risks associated with the Underlying.
t You
are willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Securities,
and understand that if JPMorgan Financial and JPMorgan Chase & Co. default on their obligations, you may not receive any
amounts due to you including any repayment of principal. |
|
The Securities may not be suitable for you if, among other considerations:
t You
do not fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire principal amount.
t You
require an investment designed to provide a full return of principal at maturity.
t You
cannot tolerate a loss of all or a substantial portion of your investment, or you are not willing to make an investment that may have
the same downside market risk as a hypothetical investment in the Underlying.
t You
believe the level of the Underlying will decline over the term of the Securities and is likely to close below the Autocall Barrier on
the Observation Date or the Downside Threshold on the Final Valuation Date.
t You
do not understand or accept that, if the Securities are automatically called, you will not participate in any appreciation in the level
of the Underlying and your potential return is limited to the Call Return.
t You
are not willing to invest in the Securities based on the Upside Gearing indicated on the cover hereof.
t You
cannot tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside fluctuations
in the level of the Underlying.
t You
seek current income from your investment or prefer not to forgo dividends paid on the stocks included in the Underlying.
t You
are unable or unwilling to invest in Securities that may be automatically called early, or you are otherwise unable or unwilling to hold
the Securities to maturity, or you seek an investment for which there will be an active secondary market.
t You
do not understand or accept the risks associated with the Underlying.
t You
are not willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Securities,
including any repayment of principal. |
The suitability considerations identified above are not exhaustive.
Whether or not the Securities are a suitable investment for you will depend on your individual circumstances, and you should reach an
investment decision only after you and your investment, legal, tax, accounting and other advisers have carefully considered the suitability
of an investment in the Securities in light of your particular circumstances. You should also review carefully the “Key Risks”
section of this pricing supplement, the “Risk Factors” sections of the accompanying prospectus supplement and the accompanying
product supplement and Annex A to the accompanying prospectus addendum for risks related to an investment in the Securities. For more
information on the Underlying, please see the section titled “The Underlying” below.
Issuer: |
|
JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co. |
Guarantor: |
|
JPMorgan Chase & Co. |
Issue Price: |
|
$10.00 per Security (subject to a minimum purchase of 100 Securities or $1,000) |
Principal Amount: |
|
$10.00 per Security. The payment upon an automatic call or at maturity will be based on the principal amount. |
Underlying: |
|
EURO STOXX 50® Index |
Term: |
|
Approximately 5 years, unless automatically called earlier |
Call Feature: |
|
The Securities will be automatically called if the closing level of the Underlying on the Observation Date is greater than or equal to the Autocall Barrier. If the Securities are automatically called, JPMorgan Financial will pay you on the Call Settlement Date a cash payment per Security equal to the Call Price for the Observation Date. |
Observation Date1: |
|
July 2, 2025 |
Call Settlement Date1: |
|
July 7, 2025 |
Call Return: |
|
The Call Return is based upon a rate of 14.00%. See “Call Return/Call Price.” |
Call Price: |
|
The Call Price equals the principal amount per Security plus $10.00 × the Call Return. |
Payment at Maturity (per $10 principal amount Security): |
|
If the Securities have not been automatically called and the Underlying
Return is positive, JPMorgan Financial will pay you a cash payment at maturity
per $10 principal amount Security equal to:
$10.00 + ($10.00 × Underlying Return ×
Upside Gearing)
If the Securities have not been automatically called and the Underlying
Return is zero or negative but the Final Value is greater than or equal to the Downside Threshold, JPMorgan
Financial will pay you a cash payment at maturity of $10.00 per $10 principal amount Security.
If the Securities have not been automatically called, the Underlying
Return is negative and the Final Value is less than the Downside Threshold, JPMorgan
Financial will pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00 + ($10.00 × Underlying Return)
In this scenario, you will be exposed to the decline of the Underlying
and you will lose some or all of your principal amount in an amount proportionate to the negative Underlying Return. |
Underlying Return: |
|
(Final Value – Initial Value)
Initial Value |
Upside Gearing: |
|
2.33 |
Initial Value: |
|
The closing level of the Underlying on the Trade Date, as specified on the cover of this pricing supplement |
Final Value: |
|
The closing level of the Underlying on the Final Valuation Date |
Autocall Barrier2: |
|
100.00% of the Initial Value, as specified on the cover of this pricing supplement. |
Downside Threshold2: |
|
75.00% of the Initial Value, as specified on the cover of this pricing supplement |
1 See footnote 1 under “Key Dates” on the front cover.
2 Rounded to three decimal places
Trade Date |
|
The Initial Value is observed. The Autocall Barrier and Downside Threshold are determined and the Upside Gearing is finalized. |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024056881/image_002.jpg) |
|
|
Observation
Date |
|
The Securities will be automatically called if the closing level of
the Underlying on the Observation Date is greater than or equal to the Autocall Barrier.
If the Securities are automatically called, JPMorgan Financial will pay the
Call Price for the Observation Date: equal to the principal amount plus an amount based on the Call Return. |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024056881/image_003.jpg) |
|
|
Maturity Date |
|
If the Securities have not been automatically called, the Final Value
and the Underlying Return are determined.
If the Securities have not been automatically called and the Underlying
Return is positive, JPMorgan Financial will pay you a cash payment at maturity
per $10 principal amount Security equal to:
$10.00 + ($10.00 × Underlying Return ×
Upside Gearing)
If the Securities have not been automatically called and the Underlying
Return is zero or negative but the Final Value is greater than or equal to the Downside Threshold, JPMorgan
Financial will pay you a cash payment at maturity of $10.00 per $10 principal amount Security.
If the Securities have not been automatically called, the Underlying
Return is negative and the Final Value is less than the Downside Threshold, JPMorgan
Financial will pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00 + ($10.00 × Underlying Return)
Under these circumstances, you will be exposed to the decline
of the Underlying and you will lose some or all of your principal amount. |
INVESTING IN THE SECURITIES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE SOME
OR ALL OF YOUR PRINCIPAL AMOUNT. ANY PAYMENT ON THE SECURITIES, INCLUDING ANY REPAYMENT OF PRINCIPAL, IS SUBJECT TO THE CREDITWORTHINESS
OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. IF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. WERE TO DEFAULT
ON THEIR PAYMENT OBLIGATIONS, YOU MAY NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE SECURITIES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.
Observation Date† |
Call Settlement Date† |
Call Return |
Call Price (per $10) |
July 2, 2025 |
July 7, 2025 |
14.00% |
$11.40 |
† |
See footnote 1 under “Key Dates” on the cover. |
What
Are the Tax Consequences of the Securities? |
You should review carefully the section entitled “Material U.S.
Federal Income Tax Consequences” in the accompanying product supplement no. UBS-1-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 Securities.
Based on current market conditions, in the opinion of our special tax
counsel it is reasonable to treat the Securities 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 Securities should be treated as long-term capital gain or loss if you hold your Securities
for more than a year, whether or not you are an initial purchaser of Securities 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 Securities 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 Securities,
possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment
in the Securities, 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 Securities 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
Securities.
An investment in the Securities involves significant risks. Investing
in the Securities is not equivalent to investing directly in the Underlying. These risks are explained in more detail in the “Risk
Factors” sections of the accompanying prospectus supplement and the accompanying product supplement and in Annex A to the accompanying
prospectus addendum. We also urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the Securities.
Risks Relating to the Securities Generally
| t | Your Investment in the Securities May Result in a Loss — The
Securities differ from ordinary debt securities in that we will not necessarily repay the full principal amount of the Securities. If
the Securities have not been automatically called and the Underlying Return is negative, we will pay you the principal amount of your
Securities in cash only if the Final Value has not declined below the Downside Threshold. If the Securities have not been automatically
called, the Underlying Return is negative and the Final Value is less than the Downside Threshold, you will be exposed to the full decline
of the Underlying and will lose some or all of your principal amount in an amount proportionate to the negative Underlying Return. Accordingly,
you could lose up to your entire principal amount. |
| t | Credit Risks of JPMorgan Financial and JPMorgan Chase & Co.
— The Securities are unsecured and unsubordinated debt obligations of the Issuer, JPMorgan Chase Financial Company
LLC, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. The Securities will rank pari
passu with all of our other unsecured and unsubordinated obligations, and the related guarantee by JPMorgan Chase & Co.
will rank pari passu with all of JPMorgan Chase & Co.’s other unsecured and unsubordinated obligations. The Securities
and related guarantees are not, either directly or indirectly, an obligation of any third party. Any payment to be made on the Securities,
including any repayment of principal, depends on the ability of JPMorgan Financial and JPMorgan Chase & Co. to satisfy their
obligations as they come due. As a result, the actual and perceived creditworthiness of JPMorgan Financial and JPMorgan Chase & Co.
may affect the market value of the Securities and, in the event JPMorgan Financial and JPMorgan Chase & Co. were to default
on their obligations, you may not receive any amounts owed to you under the terms of the Securities and you could lose your entire investment. |
| t | As a Finance Subsidiary, JPMorgan Financial Has No Independent Operations
and 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 Securities. 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 Securities as they come due. If JPMorgan Chase & Co.
does not make payments to us and we are unable to make payments on the Securities, 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. |
| t | We May Accelerate Your Securities If A Change-In-Law Event Occurs —
Upon the announcement or occurrence of legal or regulatory changes that the calculation agent determines are likely to interfere with
your or our ability to transact in or hold the Securities or our ability to hedge or perform our obligations under the Securities, we
may, in our sole and absolute discretion, accelerate the payment on your Securities and pay you an amount determined in good faith and
in a commercially reasonable manner by the calculation agent. If the payment on your Securities is accelerated, your investment
may result in a loss and you may not be able to reinvest your money in a comparable investment. Please see “General Terms
of Notes — Consequences of a Change-in-Law Event” in the accompanying product supplement for more information. |
| t | Limited Return on the Securities If Automatically Called — If
the Securities are automatically called, your potential gain on the Securities will be limited to the Call Return, regardless of any appreciation
of the Underlying, which may be significant. In addition, because the closing level of the Underlying at various times during the
term of the Securities could be higher than on the Observation Date, you may receive a lower payment if the Securities are automatically
called than you would have if you had hypothetically invested directly in the Underlying. Furthermore, if the Securities are automatically
called, you will not benefit from the Upside Gearing that applies to the payment at maturity if the Underlying Return is positive.
Because the Upside Gearing does not apply to the payment upon an automatic call, the payment upon an automatic call may be significantly
less than the payment at maturity for the same level of appreciation in the Underlying. Even though you will not participate in
any potential appreciation of the Underlying if the Securities are automatically called, you may be exposed to the Underlying’s
downside market risk if the Securities are not automatically called. |
| t | The Upside Gearing Applies Only If You Hold the Securities to Maturity
— You should be willing to hold your Securities to maturity. If you are able to sell your Securities prior to maturity
in the secondary market, if any, the price you receive likely will not reflect the full economic value of the Upside Gearing or the Securities
themselves, and the return you realize may be less than the product of the performance of the Underlying and the Upside Gearing and may
be less than the Underlying’s return, even if that return is positive. You can receive the full benefit of the Upside Gearing only
if you hold your Securities to maturity. |
| t | The Contingent Repayment of Principal Applies Only If You Hold the Securities
to Maturity — You should be willing to hold your Securities to maturity. If you are able to sell your Securities in the
secondary market, if any, prior to maturity, you may have to sell them at a loss relative to your initial investment even if the closing
level of the Underlying is above the Downside Threshold. If by maturity the Securities have not been automatically called, JPMorgan Financial
will repay your principal amount as long as the Final Value is not below the Downside Threshold. However, if the Underlying Return is
negative and the Final Value is less than the Downside Threshold, JPMorgan Financial will repay less than the principal amount, if anything,
resulting in a loss that is proportionate |
to the decline in the level of the Underlying
from the Initial Value to the Final Value. The contingent repayment of principal based on whether the Final Value is below the Downside
Threshold applies only if you hold your Securities to maturity.
| t | Reinvestment Risk — If your Securities are automatically
called early, the holding period over which you would have the opportunity to receive the Call Return could be as short as approximately
one year. There is no guarantee that you would be able to reinvest the proceeds from an investment in the Securities at a comparable rate
of return for a similar level of risk in the event the Securities are automatically called prior to the Maturity Date. |
| t | No Interest Payments — JPMorgan Financial will not make
any interest payments to you with respect to the Securities. |
| t | A Higher Call Return and/or a Lower Downside Threshold May Reflect Greater
Expected Volatility of the Underlying, Which Is Generally Associated with a Greater Risk of Loss — Volatility is a measure
of the degree of variation in the level of the Underlying over a period of time. The greater the expected volatility of the Underlying
at the time the terms of the Securities are set, the greater the expectation is at that time that the level of the Underlying could close
below the Downside Threshold on the Final Valuation Date, resulting in the loss of a significant portion of your principal at maturity.
In addition, the economic terms of the Securities, including the Call Return and the Downside Threshold, are based, in part, on the expected
volatility of the Underlying at the time the terms of the Securities are set, where a higher expected volatility will generally be reflected
in a higher Call Return and/or a lower Downside Threshold as compared to otherwise comparable securities. Accordingly, a higher
Call Return will generally be indicative of a greater risk of loss while a lower Downside Threshold does not necessarily indicate that
the Securities have a greater likelihood of returning your principal at maturity. You should be willing to accept the downside market
risk of the Underlying and the potential loss of some or all of your principal at maturity. |
| t | Investing in the Securities Is Not Equivalent to Investing in the Stocks
Composing the Underlying — Investing in the Securities is not equivalent to investing in the stocks included in the Underlying.
As an investor in the Securities, you will not have any ownership interest or rights in the stocks included in the Underlying, such as
voting rights, dividend payments or other distributions. |
| t | We Cannot Control Actions by the Sponsor of the Underlying and That Sponsor
Has No Obligation to Consider Your Interests — We and our affiliates are not affiliated with the sponsor of the Underlying
and have no ability to control or predict its actions, including any errors in or discontinuation of public disclosure regarding methods
or policies relating to the calculation of the Underlying. The sponsor of the Underlying is not involved in this Security offering in
any way and has no obligation to consider your interest as an owner of the Securities in taking any actions that might affect the market
value of your Securities. |
| t | Your Return on the Securities Will Not Reflect Dividends on the Stocks
Composing the Underlying — Your return on the Securities will not reflect the return you would realize if you actually
owned the stock included in the Underlying and received the dividends on the stock included in the Underlying. This is because the calculation
agent will calculate the amount payable to you at maturity of the Securities by reference to the Final Value, which reflects the closing
level of the Underlying on the Final Valuation Date without taking into consideration the value of dividends on the stock included in
the Underlying. |
| t | Lack of Liquidity — The Securities will not be listed
on any securities exchange. JPMS intends to offer to purchase the Securities 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 Securities easily. Because other
dealers are not likely to make a secondary market for the Securities, the price at which you may be able to trade your Securities is likely
to depend on the price, if any, at which JPMS is willing to buy the Securities. |
| t | Tax Treatment — Significant aspects of the tax treatment
of the Securities are uncertain. You should consult your tax adviser about your tax situation. |
Risks Relating to Conflicts of Interest
| t | Potential Conflicts — We and our affiliates play a variety
of roles in connection with the issuance of the Securities, including acting as calculation agent and hedging our obligations under the
Securities and making the assumptions used to determine the pricing of the Securities and the estimated value of the Securities when the
terms of the Securities are set, which we refer to as the estimated value of the Securities. 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 Securities. 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 Securities and the value of the Securities. It is possible
that hedging or trading activities of ours or our affiliates in connection with the Securities could result in substantial returns for
us or our affiliates while the value of the Securities declines. Please refer to “Risk Factors — Risks Relating to Conflicts
of Interest” in the accompanying product supplement for additional information about these risks. |
| t | Potentially Inconsistent Research, Opinions or Recommendations by JPMS,
UBS or Their Affiliates — JPMS, UBS or their affiliates may publish research, express opinions or provide recommendations
that are inconsistent with investing in or holding the Securities, and that may be revised at any time. Any such research, opinions or
recommendations may or may not recommend that investors buy or hold investments linked to the Underlying and could affect the value of
the Underlying, and therefore the market value of the Securities. |
| t | Potential JPMorgan Financial Impact on the Market Price of the Underlying
— Trading or transactions by JPMorgan Financial or its affiliates in the Underlying or in futures, options or
other derivative products on the Underlying may adversely affect the market value of the Underlying and, therefore, the market value of
the Securities. |
Risks Relating to the Estimated Value and Secondary Market Prices
of the Securities
| t | The Estimated Value of the Securities Is Lower Than the Original Issue
Price (Price to Public) of the Securities — The estimated value of the Securities is only an estimate determined by reference
to several factors. The original issue price of the Securities exceeds the estimated value of the Securities because costs associated
with selling, structuring and hedging the Securities are included in the original issue price of the Securities. 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 Securities and the estimated cost of hedging our obligations under the Securities. See “The Estimated Value of the Securities”
in this pricing supplement. |
| t | The Estimated Value of the Securities Does Not Represent Future Values
of the Securities and May Differ from Others’ Estimates — The estimated value of the Securities is determined
by reference to internal pricing models of our affiliates when the terms of the Securities are set. This estimated value of the Securities
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
Securities that are greater than or less than the estimated value of the Securities. 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 Securities 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 Securities
from you in secondary market transactions. See “The Estimated Value of the Securities” in this pricing supplement. |
| t | The Estimated Value of the Securities Is Derived by Reference to an Internal
Funding Rate — The internal funding rate used in the determination of the estimated value of the Securities 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
Securities as well as the higher issuance, operational and ongoing liability management costs of the Securities 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 Securities. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the
terms of the Securities and any secondary market prices of the Securities. See “The Estimated Value of the Securities” in
this pricing supplement. |
| t | The Value of the Securities as Published by JPMS (and Which May Be Reflected
on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Securities for a Limited Time Period —
We generally expect that some of the costs included in the original issue price of the Securities will be partially paid back to you in
connection with any repurchases of your Securities 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. See “Secondary Market Prices of the Securities”
in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your Securities
during this initial period may be lower than the value of the Securities as published by JPMS (and which may be shown on your customer
account statements). |
| t | Secondary Market Prices of the Securities Will Likely Be Lower Than the
Original Issue Price of the Securities — Any secondary market prices of the Securities will likely be lower than
the original issue price of the Securities 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 Securities. As a result, the
price, if any, at which JPMS will be willing to buy Securities 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 factor for information about additional factors that will impact any secondary market prices of the Securities. |
The Securities are not designed to be short-term
trading instruments. Accordingly, you should be able and willing to hold your Securities to maturity. See “— Risks Relating
to the Securities Generally — Lack of Liquidity” above.
| t | Many Economic and Market Factors Will Impact the Value of the Securities
— As described under “The Estimated Value of the Securities” in this pricing supplement, the Securities
can be thought of as securities that combine a fixed-income debt component with one or more derivatives. As a result, the factors that
influence the values of fixed-income debt and derivative instruments will also influence the terms of the Securities at issuance and their
value in the secondary market. Accordingly, the secondary market price of the Securities during their term will be impacted by a number
of economic and market factors, which may either offset or magnify each other, aside from the selling commissions, projected hedging profits,
if any, estimated hedging costs and the level of the Underlying, including: |
| t | any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads; |
| t | customary bid-ask spreads for similarly sized trades; |
| t | our internal secondary market funding rates for structured debt issuances; |
| t | the actual and expected volatility in the level of the Underlying; |
| t | the time to maturity of the Securities; |
| t | the likelihood of an automatic call being triggered; |
| t | the dividend rates on the equity securities included in the Underlying; |
| t | interest and yield rates in the market generally; |
| t | the exchange rates and the volatility of the exchange rates between the U.S. dollar and each of the currencies in which the equity
securities included in the Underlying trade and the correlation among those rates and the levels of the Underlying; and |
| t | a variety of other economic, financial, political, regulatory and judicial events. |
Additionally, independent pricing vendors
and/or third party broker-dealers may publish a price for the Securities, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the Securities, if any, at which JPMS may be willing to purchase your
Securities in the secondary market.
Risks Relating to the Underlying
| t | Non-U.S. Securities Risk — The equity securities included
in the Underlying 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 securities markets in the home countries of the issuers of those non-U.S. equity securities, including
risks of volatility in those markets, governmental intervention in those markets and cross shareholdings in companies in certain countries.
Also, there is generally less publicly available information about companies in some of these jurisdictions than about U.S. companies
that are subject to the reporting requirements of the SEC. |
| t | No Direct Exposure to Fluctuations in Foreign Exchange Rates — The value of your Securities will not be adjusted for
exchange rate fluctuations between the U.S. dollar and the currencies upon which the equity securities included in the Underlying are
based, although any currency fluctuations could affect the performance of the Underlying. Therefore, if the applicable currencies appreciate
or depreciate relative to the U.S. dollar over the term of the Securities, you will not receive any additional payment or incur any reduction
in any payment on the Securities. |
Hypothetical
Examples and Return Table |
Hypothetical terms only. Actual terms may vary.
See the cover page for actual offering terms.
The following tables and hypothetical examples below illustrate the payment
upon an automatic call or at maturity per $10.00 principal amount Security for a hypothetical range of Underlying Returns from -100.00%
to +100.00% on an offering of the Securities linked to a hypothetical Underlying, and assume a hypothetical Initial Value of 100.00, a
hypothetical Call Return of 5.00%, a hypothetical Autocall Barrier of 100.00, a hypothetical Downside Threshold of 90.00 and a hypothetical
Upside Gearing of 1.05. The hypothetical Initial Value of 100.00 has been chosen for illustrative purposes only and does not represent
the actual Initial Value. The actual Initial Value, Autocall Barrier and Downside Threshold are based on the closing level of the Underlying
on the Trade Date and are specified on the cover of this pricing supplement. For historical data regarding the actual closing levels of
the Underlying, please see the historical information set forth under “The Underlying” in this pricing supplement. The actual
Upside Gearing and Call Return are specified on the cover of this pricing supplement. The hypothetical payment at maturity examples set
forth below are for illustrative purposes only and may not be the actual returns applicable to a purchaser of the Securities. The actual
payment at maturity may be more or less than the amounts displayed below and will be determined based on the actual terms of the Securities,
including the Call Return, the Initial Value, the Autocall Barrier, the Downside Threshold and the Upside Gearing and the Final Value
on the Final Valuation Date. You should consider carefully whether the Securities are suitable to your investment goals. The numbers appearing
in the examples and tables below have been rounded for ease of analysis.
Principal Amount: |
$10.00 |
Term: |
Approximately 5 years (unless automatically called earlier) |
Hypothetical Initial Value: |
100.00 |
Hypothetical Call Return: |
5.00% |
Hypothetical Autocall Barrier: |
100.00 (which is 100.00% of the hypothetical Initial Value) |
Hypothetical Downside Threshold: |
90.00 (which is 90.00% of the hypothetical Initial Value) |
Hypothetical Upside Gearing: |
1.05 |
The examples below are purely hypothetical and are intended to illustrate
how the value of any payment on the Securities will depend on the closing level on the Observation Date or the Final Valuation Date.
Hypothetical Payment upon an Automatic Call
Closing Level on
Observation Date |
Underlying Return* (%) |
Payment upon Automatic
Call ($) |
Return upon Automatic Call
per
$10.00 issue price (%) |
200.00 |
100.00% |
$10.50 |
5.00% |
190.00 |
90.00% |
$10.50 |
5.00% |
180.00 |
80.00% |
$10.50 |
5.00% |
170.00 |
70.00% |
$10.50 |
5.00% |
160.00 |
60.00% |
$10.50 |
5.00% |
150.00 |
50.00% |
$10.50 |
5.00% |
140.00 |
40.00% |
$10.50 |
5.00% |
130.00 |
30.00% |
$10.50 |
5.00% |
120.00 |
20.00% |
$10.50 |
5.00% |
115.00 |
15.00% |
$10.50 |
5.00% |
110.00 |
10.00% |
$10.50 |
5.00% |
105.00 |
5.00% |
$10.50 |
5.00% |
102.50 |
2.50% |
$10.50 |
5.00% |
100.00 |
0.00% |
$10.50 |
5.00% |
95.00 |
-5.00% |
N/A |
N/A |
90.00 |
-10.00% |
N/A |
N/A |
80.00 |
-20.00% |
N/A |
N/A |
70.00 |
-30.00% |
N/A |
N/A |
60.00 |
-40.00% |
N/A |
N/A |
50.00 |
-50.00% |
N/A |
N/A |
40.00 |
-60.00% |
N/A |
N/A |
30.00 |
-70.00% |
N/A |
N/A |
20.00 |
-80.00% |
N/A |
N/A |
10.00 |
-90.00% |
N/A |
N/A |
0.00 |
-100.00% |
N/A |
N/A |
*As used in this table, “Underlying Return” is equal
to (a) the closing level of the Underlying on the Observation Date minus the Initial Value, divided by (b) the Initial Value,
expressed as a percentage.
Example 1 — Securities Are Automatically Called on the Observation
Date
Closing level at Observation Date: |
115.00 (at or above Autocall Barrier, Securities are automatically called) |
Call Price (per Security): |
$10.50 |
Because the Securities are automatically called on the Observation
Date, JPMorgan Financial will pay you on the Call Settlement Date a Call Price of $10.50 per $10.00 principal amount (a 5.00% return on
the Securities). No further amounts will be owed on the Securities.
Hypothetical Payment at Maturity if the Securities are NOT subject
to an Automatic Call:
Final Value |
Underlying Return (%) |
Payment at Maturity ($) |
Return at Maturity per
$10.00 issue price (%) |
200.00 |
100.00% |
$20.500 |
105.00% |
190.00 |
90.00% |
$19.450 |
94.50% |
180.00 |
80.00% |
$18.400 |
84.00% |
170.00 |
70.00% |
$17.350 |
73.50% |
160.00 |
60.00% |
$16.300 |
63.00% |
150.00 |
50.00% |
$15.250 |
52.50% |
140.00 |
40.00% |
$14.200 |
42.00% |
130.00 |
30.00% |
$13.150 |
31.50% |
120.00 |
20.00% |
$12.100 |
21.00% |
110.00 |
10.00% |
$11.050 |
10.50% |
105.00 |
5.00% |
$10.525 |
5.25% |
100.00 |
0.00% |
$10.000 |
0.00% |
95.00 |
-5.00% |
$10.000 |
0.00% |
90.00 |
-10.00% |
$10.000 |
0.00% |
89.99 |
-10.01% |
$8.999 |
-10.01% |
80.00 |
-20.00% |
$8.000 |
-20.00% |
70.00 |
-30.00% |
$7.000 |
-30.00% |
60.00 |
-40.00% |
$6.000 |
-40.00% |
50.00 |
-50.00% |
$5.000 |
-50.00% |
40.00 |
-60.00% |
$4.000 |
-60.00% |
30.00 |
-70.00% |
$3.000 |
-70.00% |
20.00 |
-80.00% |
$2.000 |
-80.00% |
10.00 |
-90.00% |
$1.000 |
-90.00% |
0.00 |
-100.00% |
$0.000 |
-100.00% |
Example 2 — Securities Have NOT Been Automatically Called and
the Final Value Is Above the Initial Value
Closing level at Observation Date: |
95.00 (below Autocall Barrier, Securities NOT automatically called) |
Closing level at Final Valuation Date: |
105.00 (above Initial Value) |
|
|
Settlement Amount (per Security): |
$10.00 + ($10.00 × Underlying Return × Upside Gearing)
$10.00 + ($10.00 × 5% × 1.05)
$10.525 |
Because the Securities have not been automatically called, the Final
Value is above the Initial Value and the Underlying Return is 5%, at maturity, JPMorgan Financial will pay you a total of $10.525 per
$10.00 principal amount (a 5.25% return on the Securities).
Example 3 — Securities Have NOT Been Automatically Called and
the Final Value Is Below the Initial Value but At or Above the Downside Threshold
Closing level at Observation Date: |
90.00 (below Autocall Barrier, Securities NOT automatically called) |
Closing level at Final Valuation Date: |
95.00 (below Initial Value, but at or above Downside Threshold) |
|
|
Settlement Amount (per Security): |
$10.00 |
Because the Securities have not been automatically called and the Final
Value is below the Initial Value but at or above the Downside Threshold, at maturity, JPMorgan Financial will pay you a total of $10.00
per $10.00 principal amount (a 0% return on the Securities).
Example 4 — Securities Have NOT Been Automatically Called and
the Final Value Is Below the Downside Threshold
Closing level at Observation Date: |
90.00 (below Autocall Barrier, Securities NOT automatically called) |
Closing level at Final Valuation Date: |
60.00 (below Initial Value and Downside Threshold) |
|
|
Settlement Amount (per Security): |
$10.00 + ($10.00 × Underlying Return)
$10.00 + ($10.00 × -40%)
$6.00 |
Because the Securities have not been automatically called, the Final
Value is below the Downside Threshold and the Underlying Return is -40%, at maturity, JPMorgan Financial will pay you a total of $6.00
per $10.00 principal amount (a 40% loss on the Securities).
If the Securities have not been automatically called, the Underlying
Return is negative and the Final Value is less than the Downside Threshold, investors will be exposed to the negative Underlying Return
at maturity, resulting in a loss of principal that is proportionate to the Underlying’s decline from the Initial Value to the Final
Value. Investors could lose some or all of their principal amount.
The hypothetical returns and hypothetical payments on the Securities
shown above apply only if you hold the Securities 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.
The EURO STOXX 50® Index consists of 50 component stocks
of market sector leaders from within the Eurozone. The EURO STOXX 50® Index and STOXX® are the intellectual
property (including registered trademarks) of STOXX Limited, Zurich, Switzerland and/or its licensors (the “Licensors”), which
are used under license. The Securities based on the EURO STOXX 50® Index are in no way sponsored, endorsed, sold or promoted
by STOXX Limited and its Licensors and neither Stoxx Limited nor any of its Licensors shall have any liability with respect thereto. For
additional information about the EURO STOXX 50® Index, see the information set forth under “Equity Index Descriptions
— The STOXX Benchmark Indices” in the accompanying underlying supplement.
Historical Information
The graph below illustrates the daily performance of the Underlying
from January 2, 2014 through June 26, 2024, based on information from the Bloomberg Professional® service (“Bloomberg”),
without independent verification. The closing level of the Underlying on June 26, 2024 was 4,915.94. We obtained the closing levels of
the Underlying above and below from Bloomberg, without independent verification.
The dotted lines represent the Autocall Barrier of 4,915.94 and the
Downside Threshold of 3,686.96, equal to 100.00% and 75.00%, respectively, of the closing level of the Underlying on June 26, 2024.
Past performance of the Underlying is not indicative of the future
performance of the Underlying.
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024056881/image_004.jpg)
The historical performance of the Underlying should not be
taken as an indication of future performance, and no assurance can be given as to the closing level of the Underlying on the Observation
Date or the Final Valuation Date. There can be no assurance that the performance of the Underlying will result in the return of any of
your principal amount.
Supplemental
Plan of Distribution |
We and JPMorgan Chase & Co. have agreed to indemnify
UBS and JPMS against liabilities under the Securities Act of 1933, as amended, or to contribute to payments that UBS may be required to
make relating to these liabilities as described in the prospectus supplement and the prospectus. We have agreed that UBS may sell all
or a part of the Securities that it purchases from us to the public or its affiliates at the price to public indicated on the cover hereof.
Subject to regulatory constraints, JPMS intends to offer to purchase
the Securities in the secondary market, but it is not required to do so.
We or our affiliates may enter into swap agreements or related hedge
transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the Securities, and JPMS and/or
an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions. See “Supplemental
Use of Proceeds” in this pricing supplement and “Use of Proceeds and Hedging” in the accompanying product supplement.
The
Estimated Value of the Securities |
The estimated value of the Securities 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 Securities, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the Securities. The estimated value of the Securities does not represent a minimum price at which JPMS would be
willing to buy your Securities in any secondary market (if any exists) at any time. The internal funding rate used in the determination
of the estimated value of the Securities 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 values of the Securities as well as the higher issuance,
operational and ongoing liability management costs of the Securities
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 Securities. The use of an internal funding rate and any potential changes to that rate may have
an adverse effect on the terms of the Securities and any secondary market prices of the Securities. For additional information, see “Key
Risks — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities — The Estimated Value of the Securities
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 Securities 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 Securities is determined when the terms of the Securities are set based on market
conditions and other relevant factors and assumptions existing at that time. See “Key Risks — Risks Relating to the Estimated
Value and Secondary Market Prices of the Securities — The Estimated Value of the Securities Does Not Represent Future Values of
the Securities and May Differ from Others’ Estimates” in this pricing supplement.
The estimated value of the Securities is lower than the original
issue price of the Securities because costs associated with selling, structuring and hedging the Securities are included in the original
issue price of the Securities. These costs include the selling commissions paid to UBS, the projected profits, if any, that our affiliates
expect to realize for assuming risks inherent in hedging our obligations under the Securities and the estimated cost of hedging our obligations
under the Securities. 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 Securities. See “Key Risks — Risks Relating to the Estimated Value
and Secondary Market Prices of the Securities — The Estimated Value of the Securities Is Lower Than the Original Issue Price (Price
to Public) of the Securities” in this pricing supplement.
Secondary
Market Prices of the Securities |
For information about factors that will impact any secondary market
prices of the Securities, see “Key Risks — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities
— Secondary Market Prices of the Securities Will Be Impacted by Many Economic and Market Factors” in this pricing supplement.
In addition, we generally expect that some of the costs included in the original issue price of the Securities will be partially paid
back to you in connection with any repurchases of your Securities by JPMS in an amount that will decline to zero over an initial predetermined
period that is intended to be up to nine months. The length of any such initial period reflects secondary market volumes for the Securities,
the structure of the Securities, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated
costs of hedging the Securities and when these costs are incurred, as determined by our affiliates. See “Key Risks — Risks
Relating to the Estimated Value and Secondary Market Prices of the Securities — The Value of the Securities as Published by JPMS
(and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Securities for
a Limited Time Period” in this pricing supplement.
Supplemental
Use of Proceeds |
The Securities are offered to meet investor demand for products that
reflect the risk-return profile and market exposure provided by the Securities. See “Hypothetical Examples and Return Table”
in this pricing supplement for an illustration of the risk-return profile of the Securities and “The Underlying” in this pricing
supplement for a description of the market exposure provided by the Securities.
The original issue price of the Securities is equal to the estimated
value of the Securities plus the selling commissions paid to UBS, plus (minus) the projected profits (losses) that our affiliates expect
to realize for assuming risks inherent in hedging our obligations under the Securities, plus the estimated cost of hedging our obligations
under the Securities.
Validity
of the Securities and the Guarantee |
In the opinion of Davis Polk & Wardwell LLP, as special products
counsel to JPMorgan Financial and JPMorgan Chase & Co., when the Securities 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
Securities (the “master note”), and such Securities have been delivered against payment as contemplated herein, such Securities
will be valid and binding obligations of JPMorgan Financial and the related guarantee will constitute a valid and binding obligation
of JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar
laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability (including,
without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion
as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed
above or (ii) any provision of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar
provision of applicable law by limiting the amount of JPMorgan Chase & Co.’s obligation under the related guarantee.
This opinion is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State
of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustee’s
authorization, execution and delivery of the indenture and its authentication of the master note and the validity, binding nature and
enforceability of the indenture with respect to the trustee, all as stated in the letter of such counsel dated February 24, 2023, which
was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February
24, 2023.
Exhibit 107.1
The pricing supplement to which this Exhibit is
attached is a final prospectus for the related offering(s). The maximum aggregate offering price of the related offering(s) is $17,478,880.
JP Morgan Alerian MLP (AMEX:AMJ)
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JP Morgan Alerian MLP (AMEX:AMJ)
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から 7 2023 まで 7 2024