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PRICING SUPPLEMENT
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-270004 and 333-270004-01
Dated June 27, 2024 |
JPMorgan Chase Financial Company LLC Trigger Callable Contingent Yield Notes
(daily coupon observation)
$22,458,550 Linked to the least performing of the Russell 2000®
Index, the S&P 500® Index and the EURO STOXX 50® Index due June 30, 2027
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
Trigger Callable Contingent Yield Notes 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. (each, a “Note” and collectively, the “Notes”) linked to the least performing
of the Russell 2000® Index, the S&P 500® Index and the EURO STOXX 50® Index (each, an
“Underlying” and together the “Underlyings”). If the closing level of each Underlying is equal to or greater than
its Coupon Barrier on each day during a Quarterly Observation Period, JPMorgan Financial will make a Contingent Coupon payment with respect
to that Quarterly Observation Period. If the closing level of any Underlying is less than its Coupon Barrier on any day during a Quarterly
Observation Period, no Contingent Coupon payment will be made. JPMorgan Financial may, at its election, call the Notes early on any Quarterly
Observation End Date (other than the Final Valuation Date) regardless of the closing level of any Underlying on that Quarterly Observation
End Date. If JPMorgan Financial elects to call the Notes prior to maturity, JPMorgan Financial will pay the principal amount plus any
Contingent Coupon for the Quarterly Observation Period ending on the applicable Quarterly Observation End Date and no further amounts
will be owed to you. If JPMorgan Financial does not elect to call the Notes prior to maturity and the Final Value of each Underlying is
equal to or greater than its Downside Threshold, JPMorgan Financial will make a cash payment at maturity equal to the principal amount
of your Notes, in addition to any Contingent Coupon with respect to the final Quarterly Observation Period. If JPMorgan Financial does
not elect to call the Notes prior to maturity and the Final Value of any Underlying is less than its Downside Threshold, JPMorgan Financial
will pay you less than the full principal amount, if anything, at maturity, resulting in a loss of your principal amount that is proportionate
to the decline in the closing level of the Underlying with the Lowest Underlying Return (the “Least Performing Underlying”)
from its Initial Value to its Final Value. Investing in the Notes involves significant risks. You may lose some or all of your principal
amount at maturity. You may receive few or no quarterly Contingent Coupons during the term of the Notes. You will be exposed to the market
risk of each Underlying on each day of the Quarterly Observation Periods and on the Final Valuation Date and any decline in the level
of one Underlying may negatively affect your return and will not be offset or mitigated by a lesser decline or any potential increase
in the levels of the other Underlyings. Generally, a higher Contingent Coupon Rate is associated with a greater risk of loss. The contingent
repayment of principal applies only if you hold the Notes to maturity. Any payment on the Notes, including any repayment of principal,
is subject to the creditworthiness of JPMorgan Financial, as issuer of the Notes, and the creditworthiness of JPMorgan Chase & Co.,
as guarantor of the Notes. 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 Notes and you could lose your entire investment.
| q | Contingent
Coupon: If the closing level of each Underlying is equal to or greater than its Coupon Barrier on each day during a Quarterly Observation
Period, JPMorgan Financial will make a Contingent Coupon payment with respect to that Quarterly Observation Period. JPMorgan Financial
will not pay you the Contingent Coupon for any Quarterly Observation Period in which the closing level of any Underlying on any day during
that Quarterly Observation Period is less than its Coupon Barrier. |
| q | Issuer
Callable: JPMorgan Financial may, at its election, call the Notes on any Quarterly Observation End Date (other than the Final Valuation
Date), regardless of the closing level of any Underlying on that Quarterly Observation End Date, and pay you the principal amount plus
any Contingent Coupon otherwise due for the Quarterly Observation Period ending on that Quarterly Observation End Date. If the Notes
are called, no further payments will be made after the Call Settlement Date. |
| q | Downside
Exposure with Contingent Repayment of Principal Amount at Maturity: If by maturity the Notes have not been called and each Underlying
closes at or above its Downside Threshold on the Final Valuation Date, JPMorgan Financial will pay you the principal amount per Note
at maturity, in addition to any Contingent Coupon with respect to the final Quarterly Observation Period. If any Underlying closes below
its Downside Threshold on the Final Valuation Date, JPMorgan Financial will repay less than the principal amount, if anything, at maturity,
resulting in a loss on your principal amount that is proportionate to the decline in the closing level of the Least Performing Underlying
from its Initial Value to its Final Value. The contingent repayment of principal applies only if you hold the Notes until maturity. Any
payment on the Notes, including any repayment of principal, is subject to the creditworthiness of JPMorgan Financial and JPMorgan Chase
& Co. |
Key
Dates |
Trade
Date |
June
27, 2024 |
Original Issue Date
(Settlement Date) |
June 28,
2024 |
Quarterly Observation
End Dates1 |
Quarterly
(see page 5) |
Final Valuation
Date1 |
June 28,
2027 |
Maturity
Date1 |
June 30,
2027 |
1 |
Subject to postponement in the event of a market disruption event and as described under “General Terms of Notes — Postponement of a Payment Date” and “General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple Underlyings” 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 Notes Generally — We May Accelerate Your Notes If a Change-in-Law Event Occurs” in this pricing supplement |
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THE NOTES ARE SIGNIFICANTLY RISKIER THAN CONVENTIONAL DEBT
INSTRUMENTS. JPMORGAN FINANCIAL IS NOT NECESSARILY OBLIGATED TO REPAY THE FULL PRINCIPAL AMOUNT OF THE NOTES AT MATURITY, AND THE NOTES
CAN HAVE DOWNSIDE MARKET RISK SIMILAR TO THE LEAST PERFORMING 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 NOTES IF YOU DO NOT UNDERSTAND OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS INVOLVED IN INVESTING IN THE NOTES.
YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER “KEY RISKS”
BEGINNING ON PAGE 7 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 NOTES. EVENTS RELATING TO ANY OF THOSE RISKS, OR OTHER RISKS AND UNCERTAINTIES, COULD ADVERSELY
AFFECT THE MARKET VALUE OF, AND THE RETURN ON, YOUR NOTES. YOU MAY LOSE SOME OR ALL OF YOUR INITIAL INVESTMENT IN THE NOTES. THE NOTES
WILL NOT BE LISTED ON ANY SECURITIES EXCHANGE.
We are offering Trigger Callable Contingent Yield Notes linked to the
least performing of the Russell 2000® Index, the S&P 500® Index and the EURO STOXX 50®
Index. The Notes are offered at a minimum investment of $1,000 in denominations of $10 and integral multiples thereof.
Underlying |
Contingent Coupon Rate |
Initial Value |
Downside Threshold* |
Coupon Barrier* |
CUSIP / ISIN |
Russell 2000® Index (Bloomberg Ticker: RTY) |
9.85% per annum |
2,038.342 |
1,223.005, which is 60% of the Initial Value |
1,426.839, which is 70% of the Initial Value |
48131G865 / US48131G8657 |
S&P 500® Index (Bloomberg Ticker: SPX) |
5,482.87 |
3,289.72, which is 60% of the Initial Value |
3,838.01, which is 70% of the Initial Value |
EURO STOXX 50® Index (Bloomberg Ticker: SX5E) |
4,902.60 |
2,941.56, which is 60% of the Initial Value |
3,431.82, which is 70% of the Initial Value |
*Rounded to three decimal places for the Russell 2000®
Index and rounded to two decimal places for the S&P 500® Index and the EURO STOXX 50® Index
See “Additional Information about JPMorgan Financial,
JPMorgan Chase & Co. and the Notes” in this pricing supplement. The Notes 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 Notes 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 Notes 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 Public(1) |
Fees and Commissions(2) |
Proceeds to Issuer |
Offering of Notes |
Total |
Per Note |
Total |
Per Note |
Total |
Per Note |
Notes linked to the least performing of the Russell 2000® Index, the S&P 500® Index and the EURO STOXX 50® Index |
$22,458,550 |
$10 |
$224,585.50 |
$0.10 |
$22,233,964.50 |
$9.90 |
(1) |
See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price to public of the Notes. |
(2) |
UBS Financial Services Inc., which we refer to as UBS, will receive selling commissions from us of $0.10 per $10 principal amount Note. 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 Notes, when the terms of
the Notes were set, was $9.729 per $10 principal amount Note. See “The Estimated Value of the Notes” in this pricing
supplement for additional information.
The Notes are not bank deposits, are not insured by the Federal
Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Additional
Information about JPMorgan Financial, JPMorgan Chase & Co. and 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.
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 Notes
For purposes of the accompanying product supplement, each of
the Russell 2000® Index, the S&P 500® Index and the EURO STOXX 50® Index is an “Index.”
Any values of the Underlyings, 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.
Investor
Suitability
The Notes may be suitable for you if, among other considerations:
t You
fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
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 an investment in the Least Performing Underlying.
t You
are willing to accept the individual market risk of each Underlying on each day of the Quarterly Observation Periods and on the Final
Valuation Date and understand that any decline in the level of one Underlying will not be offset or mitigated by a lesser decline
or any potential increase in the levels of the other Underlyings.
t You
accept that you may not receive a Contingent Coupon on some or all of the Coupon Payment Dates.
t You
understand and accept that you will not participate in any appreciation in the level of any Underlying and that your potential return
is limited to the Contingent Coupons.
t You
can tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside fluctuations
in the levels of the Underlyings.
t You
are willing to invest in the Notes based on the Contingent Coupon Rate indicated on the cover hereof.
t You
do not seek guaranteed current income from this investment and are willing to forgo dividends paid on the stocks included in the
Underlyings.
t You
are able and willing to invest in Notes that may be called early at JPMorgan Financial’s election and you are otherwise able
and willing to hold the Notes to maturity.
t You
accept that there may be little or no secondary market for the Notes 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 Notes.
t You
understand and accept the risks associated with the Underlyings.
t You
are willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Notes, 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 Notes may not be suitable for you if, among other considerations:
t You
do not fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
t You
cannot tolerate a loss of all or a substantial portion of your investment or are unwilling to make an investment that may have the
same downside market risk as an investment in the Least Performing Underlying.
t You
are unwilling to accept the individual market risk of each Underlying on each day of the Quarterly Observation Periods and on the
Final Valuation Date or do not understand that any decline in the level of one Underlying will not be offset or mitigated by a lesser
decline or any potential increase in the levels of the other Underlyings.
t You
require an investment designed to provide a full return of principal at maturity.
t You
do not accept that you may not receive a Contingent Coupon on some or all of the Coupon Payment Dates.
t You
seek an investment that participates in the full appreciation in the level of any or all Underlyings or that has unlimited return
potential.
t You
cannot tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside fluctuations
in the levels of the Underlyings.
t You
are not willing to invest in the Notes based on the Contingent Coupon Rate indicated on the cover hereof.
t You
prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable maturities
and credit ratings.
t You
seek guaranteed current income from this investment or prefer to receive the dividends paid on the stocks included in the Underlyings.
t You
are unable or unwilling to invest in Notes that may be called early at JPMorgan Financial’s election, or you are otherwise
unable or unwilling to hold the Notes 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 Underlyings.
t You
are not willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Notes, including
any repayment of principal. |
The suitability considerations identified above are not exhaustive.
Whether or not the Notes 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 Notes 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 Notes. For more information on
the Underlyings, please see the sections titled “The Russell 2000® Index,” “The S&P 500®
Index” and “The EURO STOXX 50® Index” below.
Final
Terms |
Issuer: |
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JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co. |
Guarantor: |
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JPMorgan Chase & Co. |
Issue Price: |
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$10 per Note |
Underlyings: |
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Russell 2000® Index
S&P 500® Index
EURO STOXX 50® Index |
Principal Amount: |
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$10 per Note (subject to a minimum purchase of 100 Notes or $1,000) |
Term: |
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Approximately 3 years, unless called earlier at the election of JPMorgan Financial |
Issuer Call Feature: |
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JPMorgan Financial may elect to call the Notes on any Quarterly Observation End Date (other than the Final Valuation Date), regardless of the closing level of any Underlying on that Quarterly Observation End Date. If the Notes are called, JPMorgan Financial will pay you on the applicable Call Settlement Date a cash payment per Note equal to the principal amount plus any Contingent Coupon otherwise due for the Quarterly Observation Period ending on the applicable Quarterly Observation End Date, and no further payments will be made on the Notes. Before JPMorgan Financial elects to call the Notes on a Quarterly Observation End Date, JPMorgan Financial will deliver written notice to The Depository Trust Company (“DTC”) on or before that Quarterly Observation End Date. |
Contingent Coupon: |
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If the closing level of each Underlying is equal to or greater
than its Coupon Barrier on each day during a Quarterly Observation Period, we will pay you the Contingent Coupon for that Quarterly Observation
Period on the relevant Coupon Payment Date.
If the closing level of any Underlying is less than its Coupon
Barrier on any day during a Quarterly Observation Period, the Contingent Coupon for that Quarterly Observation Period will not accrue
or be payable, and we will not make any payment to you on the relevant Coupon Payment Date.
Each Contingent Coupon will be a fixed amount based on equal
quarterly installments at the Contingent Coupon Rate, which is a per annum rate.
Contingent Coupon payments on the Notes are not guaranteed.
We will not pay you the Contingent Coupon for any Quarterly Observation Period in which the closing level of any Underlying on any day
during that Quarterly Observation Period is less than its Coupon Barrier. |
Quarterly Observation Period: |
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With respect to each Coupon Payment Date, the period from but excluding the second immediately preceding Quarterly Observation End Date (or, in the case of the first Coupon Payment Date, from but excluding the Pricing Date) to and including the immediately preceding Quarterly Observation End Date. |
Contingent Coupon Rate: |
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9.85% per annum |
Contingent Coupon payments: |
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$0.2463 per $10 principal amount Note |
Coupon Payment Dates1: |
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As specified under the “Coupon Payment Dates / Call Settlement Dates (if called)” column of the table under “Quarterly Observation Periods, Quarterly Observation End Dates and Coupon Payment Dates” below |
Call Settlement Dates1: |
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First Coupon Payment Date following the applicable Quarterly Observation End Date |
Payment at Maturity (per $10 Note): |
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If JPMorgan Financial does not elect to call the Notes
and the Final Value of each Underlying is equal to or greater than its Downside Threshold, we will pay you a cash payment at maturity
per $10 principal amount Note equal to $10 plus any Contingent Coupon otherwise due on the Maturity Date.
If JPMorgan Financial does not elect to call the Notes and
the Final Value of any Underlying is less than its Downside Threshold, we will pay you a cash payment at maturity that is less than
$10 per $10 principal amount Note, equal to:
$10 × (1 + Least Performing Underlying
Return)
In this scenario, you will be exposed to the decline of the
Least Performing Underlying and you will lose some or all of your principal at maturity in an amount proportionate to the negative Underlying
Return of the Least Performing Underlying. |
Underlying Return: |
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With respect to each Underlying:
Final Value – Initial Value
Initial Value |
Least Performing Underlying: |
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The Underlying with the Lowest Underlying Return |
Least Performing Underlying Return: |
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The lowest of the Underlying Returns of the Underlyings |
Initial Value: |
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With respect to each Underlying, the closing level of that Underlying on the Trade Date, as specified on the cover of this pricing supplement |
Final Value: |
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With respect to each Underlying, the closing level of that Underlying on the Final Valuation Date |
Downside Threshold2: |
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With respect to each Underlying, a percentage of the Initial Value of that Underlying, as specified on the cover of this pricing supplement |
Coupon Barrier2: |
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With respect to each Underlying, a percentage of the Initial Value of that Underlying, 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 for the Russell 2000® Index and rounded to two decimal places for the S&P 500® Index and the EURO STOXX 50® Index. |
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Investment Timeline |
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Trade Date |
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The closing level of each Underlying (Initial Value) is observed, the Downside Threshold and the Coupon Barrier of each Underlying are determined and the Contingent Coupon Rate is finalized. |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024056993/image_003.jpg) |
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Quarterly
(callable by JPMorgan Financial
at its election): |
|
If the closing level of each Underlying is equal to or greater
than its Coupon Barrier on each day during a Quarterly Observation Period, JPMorgan Financial will pay you a Contingent Coupon on the
related Coupon Payment Date.
JPMorgan Financial may, at its election and upon written notice
to DTC, call the Notes on any Quarterly Observation End Date (other than the Final Valuation Date), regardless of the closing level of
any Underlying on that Quarterly Observation End Date. If JPMorgan Financial elects to call the Notes, JPMorgan Financial will pay you
a cash payment per Note equal to the principal amount plus any Contingent Coupon otherwise due for the applicable Quarterly Observation
Period, and no further payments will be made on the Notes. |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024056993/image_004.jpg) |
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Maturity Date |
|
The Final Value of each
Underlying is determined as of the Final Valuation Date.
If JPMorgan Financial does not elect to call the Notes
and the Final Value of each Underlying is equal to or greater than its Downside Threshold, we will pay you a cash payment at maturity
per $10 principal amount Note equal to $10 plus any Contingent Coupon otherwise due on the Maturity Date.
If JPMorgan Financial does not elect to call the Notes and
the Final Value of any Underlying is less than its Downside Threshold, we will pay you a cash payment at maturity that is less than
$10 per $10 principal amount, equal to:
$10 × (1 + Least Performing Underlying
Return) per Note
In this scenario, you will be exposed
to the decline of the Least Performing Underlying and you will lose some or all of your principal at maturity in an amount proportionate
to the negative Underlying Return of the Least Performing Underlying |
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INVESTING IN THE NOTES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE SOME
OR ALL OF YOUR PRINCIPAL AMOUNT AT MATURITY. YOU MAY RECEIVE FEW OR NO QUARTERLY CONTINGENT COUPONS DURING THE TERM OF THE NOTES. YOU
WILL BE EXPOSED TO THE MARKET RISK OF EACH UNDERLYING ON EACH DAY OF THE QUARTERLY OBSERVATION PERIODS AND ON THE FINAL VALUATION DATE
AND ANY DECLINE IN THE LEVEL OF ONE UNDERLYING MAY NEGATIVELY AFFECT YOUR RETURN AND WILL NOT BE OFFSET OR MITIGATED BY A LESSER DECLINE
OR ANY POTENTIAL INCREASE IN THE LEVELS OF THE OTHER UNDERLYINGS. ANY PAYMENT ON THE NOTES, 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 NOTES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.
Quarterly
Observation Periods, Quarterly Observation End Dates and Coupon Payment Dates
Quarterly Observation Periods Ending on the
Following Quarterly Observation End Dates |
Coupon Payment Dates /
Call Settlement Dates (if called) |
September 27, 2024 |
October 1, 2024 |
December 27, 2024 |
December 31, 2024 |
March 27, 2025 |
March 31, 2025 |
June 27, 2025 |
July 1, 2025 |
September 29, 2025 |
October 1, 2025 |
December 29, 2025 |
December 31, 2025 |
March 27, 2026 |
March 31, 2026 |
June 29, 2026 |
July 1, 2026 |
September 28, 2026 |
September 30, 2026 |
December 28, 2026 |
December 30, 2026 |
March 30, 2027 |
April 1, 2027 |
June 28, 2027* (the Final Valuation Date) |
June 30, 2027* (the Maturity Date) |
*The Notes are not callable at JPMorgan
Financial’s election on the Final Valuation Date. Thus, the Maturity Date is not a Call Settlement Date.
Each of the Quarterly Observation End Dates, and therefore the Coupon
Payment Dates, is 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.
What
Are the Tax Consequences of the Notes?
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. UBS-1-I. In determining our reporting responsibilities
we intend to treat (i) the Notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent coupons
and (ii) any Contingent Coupons as ordinary income, as described in the section entitled “Material U.S. Federal Income Tax Consequences
— Tax Consequences to U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated Contingent Coupons”
in the accompanying product supplement. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel, we believe that
this is a reasonable treatment, but that there are other reasonable treatments that the IRS or a court may adopt.
Sale, Exchange or Redemption of a Note. Assuming the treatment
described above is respected, upon a sale or exchange of the Notes (including upon early redemption or redemption at maturity), you should
recognize capital gain or loss equal to the difference between the amount realized on the sale or exchange and your tax basis in the Notes,
which should equal the amount you paid to acquire the Notes (assuming Contingent Coupons are properly treated as ordinary income, consistent
with the position referred to above). This gain or loss should be short-term capital gain or loss unless you hold the Notes for more than
one year, in which case the gain or loss should be long-term capital gain or loss, whether or not you are an initial purchaser of the
Notes at the issue price. The deductibility of capital losses is subject to limitations. If you sell your Notes between the time your
right to a Contingent Coupon is fixed and the time it is paid, it is likely that you will be treated as receiving ordinary income equal
to the Contingent Coupon. Although uncertain, it is possible that proceeds received from the sale or exchange of your Notes prior to a
Quarterly Observation End Date but that can be attributed to an expected Contingent Coupon payment could be treated as ordinary income.
You should consult your tax adviser regarding this issue.
As described above, there are other reasonable treatments that
the IRS or a court may adopt, in which case the timing and character of any income or loss on the Notes could be materially 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 and the relevance of factors such as the nature of the underlying property to which the
instruments are linked. 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 affect the tax consequences of an investment in the
Notes, possibly with retroactive effect. The discussions above and in the accompanying product supplement do not address the consequences
to taxpayers subject to special tax accounting rules under Section 451(b) of the Code. 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 the notice described above.
Non-U.S. Holders — Tax Considerations. The U.S.
federal income tax treatment of Contingent Coupons is uncertain, and although we believe it is reasonable to take a position that Contingent
Coupons are not subject to U.S. withholding tax (at least if an applicable Form W-8 is provided), it is expected that withholding agents
will (and we, if we are the withholding agent, intend to) withhold on any Contingent Coupon paid to a Non-U.S. Holder generally at a rate
of 30% or at a reduced rate specified by an applicable income tax treaty under an “other income” or similar provision. We
will not be required to pay any additional amounts with respect to amounts withheld. In order to claim an exemption from, or a reduction
in, the 30% withholding tax, a Non-U.S. Holder of the Notes must comply with certification requirements to establish that it is not a
U.S. person and is eligible for such an exemption or reduction under an applicable tax treaty. If you are a Non-U.S. Holder, you should
consult your tax adviser regarding the tax treatment of the Notes, including the possibility of obtaining a refund of any withholding
tax and the certification requirement described above.
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.
In the event of any withholding on the Notes, we will not be
required to pay any additional amounts with respect to amounts so withheld.
Key
Risks
An investment in the Notes involves significant risks. Investing
in the Notes is not equivalent to investing directly in any or all of the Underlyings. 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 Notes.
Risks Relating to the Notes Generally
| t | Your Investment in the Notes May Result in a Loss — The Notes
differ from ordinary debt securities in that JPMorgan Financial will not necessarily repay the full principal amount of the Notes. If
JPMorgan Financial does not elect to call the Notes and the closing level of any Underlying has declined below its Downside Threshold
on the Final Valuation Date, you will be fully exposed to any depreciation of the Least Performing Underlying from its Initial Value to
its Final Value. In this case, JPMorgan Financial will repay less than the full principal amount at maturity, resulting in a loss of principal
that is proportionate to the negative Underlying Return of the Least Performing Underlying. Under these circumstances, you will lose 1%
of your principal for every 1% that the Final Value of the Least Performing Underlying is less than its Initial Value and could lose your
entire principal amount. As a result, your investment in the Notes may not perform as well as an investment in a security that does not
have the potential for full downside exposure to any Underlying. |
| t | Credit Risks of JPMorgan Financial and JPMorgan Chase & Co. —
The Notes 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 Notes will rank pari passu with all of our other unsecured
and unsubordinated obligations, and the related guarantee JPMorgan Chase & Co. will rank pari passu with all of JPMorgan Chase
& Co.’s other unsecured and unsubordinated obligations. The Notes and related guarantees are not, either directly or indirectly,
an obligation of any third party. Any payment to be made on the Notes, 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 Notes 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 Notes 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 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. |
| t | We May Accelerate Your Notes 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 Notes or our ability to hedge or perform our obligations under the Notes, we may, in our
sole and absolute discretion, accelerate the payment on your Notes and pay you an amount determined in good faith and in a commercially
reasonable manner by the calculation agent. If the payment on your Notes 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 | You Are Not Guaranteed Any Contingent Coupons — We will not necessarily
make periodic coupon payments on the Notes. If the closing level of any Underlying is less than its Coupon Barrier on any day during a
Quarterly Observation Period, we will not pay you the Contingent Coupon for that Quarterly Observation Period and the Contingent Coupon
that would otherwise be payable will not be accrued and will be lost. This will be the case even if the closing levels of the other Underlyings
are greater than or equal to their respective Coupon Barriers on each day during that Quarterly Observation Period, and even if the closing
level of that Underlying was higher than its Coupon Barrier on every other day during the Quarterly Observation Period. If the closing
level of any Underlying is less than its Coupon Barrier on any day during each Quarterly Observation Period, we will not pay you any Contingent
Coupon during the term of, and you will not receive a positive return on, your Notes. Generally, this non-payment of the Contingent Coupon
coincides with a period of greater risk of principal loss on your Notes. |
| t | Return on the Notes Limited to the Sum of Any Contingent Coupons and You
Will Not Participate in Any Appreciation of Any Underlying — The return potential of the Notes is limited to the specified Contingent
Coupon Rate, regardless of the appreciation of any Underlying, which may be significant. In addition, the total return on the Notes will
vary based on the number of Quarterly Observation Periods during which the requirements for a Contingent Coupon have been met prior to
maturity or JPMorgan Financial electing to call the Notes. Further, if JPMorgan Financial elects to call the Notes, you will not receive
any Contingent Coupons or any other payments in respect of any Quarterly Observation Periods after the Call Settlement Date. If JPMorgan
Financial does not elect to call the Notes, you may be subject to the risk of decline in the level of each Underlying, even though you are
not able to participate in any potential appreciation of any Underlying. As a result, the return on an investment in the Notes could be
less than the return on a hypothetical direct investment in any Underlying. In addition, if JPMorgan Financial does not elect to call
the Notes and the Final Value of any Underlying is below its Downside Threshold, you will lose some or all of your principal amount and
the overall return on the Notes may be less than the amount that would be paid on a conventional debt security of JPMorgan Financial of
comparable maturity. |
| t | Because
the Notes Are Linked to the Least Performing Underlying, You Are Exposed to Greater Risks of No Contingent Coupons and Sustaining a Significant
Loss on Your Investment at Maturity Than If the Notes Were Linked to a Single Underlying — The risk that you will not receive
any Contingent Coupons and lose some or all of your initial investment in the Notes at maturity is greater if you invest in the Notes
as opposed to substantially similar securities that are linked to the performance of a single Underlying or to two Underlyings. With
three Underlyings, it is more likely that the closing level of an Underlying will be less than its Coupon Barrier on any day during the
Quarterly Observation Periods or less than its Downside Threshold on the Final Valuation Date. Therefore, it is more likely that you
will not receive any Contingent Coupons and that you will suffer a significant loss on your investment at maturity. In addition, the
performance of the Underlyings may not be correlated or may be negatively correlated. |
The lower the correlation between any two
of the Underlyings, the greater the potential for one of those Underlyings to close below its Coupon Barrier or Downside Threshold on
any day during a Quarterly Observation Period or the Final Valuation Date, respectively, and with three Underlyings there is a greater
potential that one pair of Underlyings will have low or negative correlation.
In addition, for each additional Underlying
to which the Notes are linked, there is a greater potential for one pair of Underlyings to have low or negative correlation. Therefore,
the greater the number of Underlyings, the greater the potential for missed Contingent Coupons and for a loss of principal at maturity.
Although the correlation of the Underlyings’ performance may change over the term of the Notes, the Contingent Coupon Rate is determined,
in part, based on the correlation of the Underlyings’ performance, as calculated using internal models of our affiliates at the
time when the terms of the Notes are finalized. A higher Contingent Coupon Rate is generally associated with lower correlation of
the Underlyings and/or a greater number of Underlyings, which reflects a greater potential for missed Contingent Coupons and for a loss
of principal at maturity. The correlations referenced in setting the terms of the Notes are calculated using internal models of our affiliates
and are not derived from the returns of the Underlyings over the period set forth under “Correlation of the Underlyings” below.
In addition, other factors and inputs other than correlation may impact how the terms of the Notes are set and the performance of the
Notes.
| t | You Are Exposed to the Risk of Decline in the Level of Each Underlying
— Your return on the Notes and your payment at maturity, if any, is not linked to a basket consisting of the Underlyings. If
JPMorgan Financial does not elect to call the Notes, your payment at maturity is contingent upon the performance of each individual Underlying
such that you will be equally exposed to the risks related to each of the Underlyings. In addition, the performance of the Underlyings
may not be correlated. Poor performance by any of the Underlyings over the term of the Notes may negatively affect whether you will receive
a Contingent Coupon on any Coupon Payment Date and your payment at maturity and will not be offset or mitigated by positive performance
by any of the other Underlyings. Accordingly, your investment is subject to the risk of decline in the value of each Underlying. |
| t | Your Payment at Maturity Will Be Determined by the Least Performing Underlying
— Because the payment at maturity will be determined based on the performance of the Least Performing Underlying, you will not benefit
from the performance of any of the other Underlyings. Accordingly, if JPMorgan Financial does not elect to call the Notes and the
Final Value of any Underlying is less than its Downside Threshold, you will lose some or all of your principal amount at maturity, even
if the Final Value of either or both of the other Underlyings is greater than or equal to its Initial Value. |
| t | Contingent Repayment of Principal Applies Only If You Hold the Notes to
Maturity — If you are able to sell your Notes 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 levels of all of the Underlyings are above their respective Downside
Thresholds. If by maturity the Notes have not been called, either JPMorgan Financial will repay you the full principal amount per Note,
with or without the Contingent Coupon, or, if any Underlying closes below its Downside Threshold on the Final Valuation Date, JPMorgan
Financial will repay less than the principal amount, if anything, at maturity, resulting in a loss on your principal amount that is proportionate
to the decline in the closing level of the Least Performing Underlying from its Initial Value to its Final Value. This contingent repayment
of principal applies only if you hold your Notes to maturity. |
| t | A Higher Contingent Coupon Rate and/or a Lower Coupon Barrier and/or Downside
Threshold May Reflect Greater Expected Volatility of the Underlyings, Which Is Generally Associated with a Greater Risk of Loss —
Volatility is a measure of the degree of variation in the levels of the Underlyings over a period of time. The greater the expected
volatilities of the Underlyings at the time the terms of the Notes are set, the greater the expectation is at that time that the level
of an Underlying could close below its Coupon Barrier on any day during any Quarterly Observation Period, resulting in the loss of one
or more, or all, Contingent Coupon payments, or below its Downside Threshold on the Final Valuation Date, resulting in the loss of a significant
portion or all of your principal at maturity. In addition, the economic terms of the Notes, including the Contingent Coupon Rate,
the Coupon Barrier and the Downside Threshold, are based, in part, on the expected volatilities of the Underlyings at the time the terms
of the Notes are set, where higher expected volatilities will generally be reflected in a higher Contingent Coupon Rate than the fixed
rate we would pay on conventional debt securities of the same maturity and/or on otherwise comparable securities and/or a lower Coupon
Barrier and/or a lower Downside Threshold as compared to otherwise comparable securities. Accordingly, a higher Contingent Coupon
Rate will generally be indicative of a greater risk of loss while a lower Coupon Barrier or Downside Threshold does not necessarily indicate
that the Notes have a greater likelihood of paying Contingent Coupon payments or returning your principal at maturity. You should
be willing to accept the downside market risk of each Underlying and the potential loss of some or all of your principal at maturity. |
| t | Call and Reinvestment Risk — JPMorgan Financial may, in its sole
discretion, elect to call the Notes on any Quarterly Observation End Date (other than the Final Valuation Date), regardless of the closing
level of any Underlying on that Quarterly Observation End Date. If JPMorgan Financial elects to call your Notes early, you will no longer
have the opportunity to receive any Contingent Coupons after the applicable Call Settlement Date. The first Quarterly Observation End
Date, and the first potential date on which JPMorgan Financial may elect to call the Notes, occurs after approximately three months and
therefore you may not have the opportunity to receive any Contingent Coupons after approximately three months. In the event JPMorgan Financial
elects to call the Notes, there is no guarantee that you will be able to reinvest the proceeds from an investment in the Notes at a comparable
return and/or with a comparable interest rate for a similar level of risk. |
It is more likely that JPMorgan Financial
will elect to call the Notes prior to maturity when the expected interest payable on the Notes is greater than the interest that would
be payable on other instruments issued by JPMorgan Financial of comparable maturity, terms and credit rating trading in the market. The
greater likelihood of JPMorgan Financial calling the Notes in that environment increases the risk that you will not be able to reinvest
the proceeds from the called Notes in an equivalent investment with a similar interest rate. JPMorgan Financial is less likely to call
the Notes prior to maturity when the expected interest payable on the Notes is less than the interest that would be payable on other comparable
instruments issued by JPMorgan Financial, which includes when the level of any of the Underlyings is less than its Coupon Barrier. Therefore,
the Notes are more likely to remain outstanding when the expected interest payable on the Notes is less than what would be payable on
other comparable instruments and when your risk of not receiving a Contingent Coupon is relatively higher.
| t | Each Quarterly Contingent Coupon Is Based on the Closing Levels of the
Underlyings on Each Day During the Applicable Quarterly Observation Period — Whether a Contingent Coupon will be payable with
respect to a Quarterly Observation Period will be based solely on the closing levels of the Underlyings on each day during that Quarterly
Observation Period. If the closing level of any Underlying on any day during a Quarterly Observation Period is less than its Coupon Barrier,
you will not receive any Contingent Coupon with respect to that Quarterly Observation Period. As a result, a Contingent Coupon for a Quarterly
Observation Period may be lost after the first day of such period, but you will not know whether you will receive a Contingent Coupon
for a Quarterly Observation Period until the end of the related period. |
| t | Investing in the Notes Is Not Equivalent to Investing in the Stocks Composing
the Underlyings — Investing in the Notes is not equivalent to investing in the stocks included in the Underlyings. As an investor
in the Notes, you will not have any ownership interest or rights in the stocks included in the Underlyings, such as voting rights, dividend
payments or other distributions. |
| t | We Cannot Control Actions by the Sponsor of Any
Underlying and That Sponsor Has No Obligation to Consider Your Interests — We and our affiliates are not affiliated with the
sponsor of any 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 that Underlying. The sponsor of each Underlying is not involved
in this Note offering in any way and has no obligation to consider your interest as an owner of the Notes in taking any actions that might
affect the market value of your Notes. |
| t | Your Return on the Notes Will Not Reflect Dividends on the Stocks Composing
the Underlyings — Your return on the Notes will not reflect the return you would realize if you actually owned the stock included
in the Underlyings and received the dividends on the stock included in the Underlyings. This is because the calculation agent will determine
whether a Contingent Coupon is payable and, if the Notes are not called, will calculate the amount payable to you at maturity of the Notes
by reference to the closing level of each Underlying on each day during the relevant Quarterly Observation Period and the Final Valuation
Date, respectively, without taking into consideration the value of dividends on the stock included in that Underlying. |
| t | No Assurances That the Investment View Implicit in the Notes Will Be Successful
— While the Notes are structured to provide for Contingent Coupons if each Underlying does not close below its Coupon Barrier on
any day during the Quarterly Observation Periods, we cannot assure you of the economic environment during the term or at maturity of your
Notes. |
| t | Lack of Liquidity — The Notes will not be listed on any securities
exchange. JPMS intends to offer to purchase the Notes in the secondary market, but is not required to do so. Even if there is a secondary
market, it may not provide enough liquidity to allow you to trade or sell the Notes easily. Because other dealers are not likely to make
a secondary market for the Notes, the price at which you may be able to trade your Notes is likely to depend on the price, if any, at
which JPMS is willing to buy the Notes. |
| t | Tax Treatment — Significant aspects of the tax treatment of the
Notes 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 Notes, including acting as calculation agent and hedging our obligations under the Notes
and making the assumptions used to determine the pricing of the Notes and the estimated value of the Notes when the terms of the Notes
are set, which we refer to as the estimated value of the Notes. In performing these duties, our and JPMorgan Chase & Co.’s economic
interests and the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as
an investor in the Notes. In addition, our and JPMorgan Chase & Co.’s business activities, including hedging and trading activities,
could cause our and JPMorgan Chase & Co.’s economic interests to be adverse to yours and could adversely affect any payment
on the Notes and the value of the Notes. It is possible that hedging or trading activities of ours or our affiliates in connection with
the Notes could result in substantial returns for us or our affiliates while the value of the Notes declines. Please refer to “Risk
Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement for additional information about
these risks. |
| 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 Notes, and that may be revised at any time. Any such research, opinions or recommendations
may or may not recommend that investors buy or hold the Underlyings and could affect the level of an Underlying, and therefore the market
value of the Notes. |
| t | Potential JPMorgan Financial Impact on the Level of an Underlying —
Trading or transactions by JPMorgan Financial or its affiliates in an Underlying and/or over-the-counter options, futures or other instruments
with returns linked to the performance of an Underlying may adversely affect the level of that Underlying and, therefore, the market value
of the Notes. |
Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes
| t | The Estimated Value of the Notes Is Lower Than the Original Issue Price
(Price to Public) of the Notes — The estimated value of the Notes is only an estimate determined by reference to several factors.
The original issue price of the Notes exceeds the estimated value of the Notes because costs associated with selling, structuring and
hedging the Notes are included in the original issue price of the Notes. These costs include the selling commissions, the projected profits,
if any, that our affiliates expect to realize for assuming risks |
inherent in hedging our obligations under
the Notes and the estimated cost of hedging our obligations under the Notes. See “The Estimated Value of the Notes” in this
pricing supplement.
| t | The Estimated Value of the Notes Does Not Represent Future Values of the
Notes and May Differ from Others’ Estimates — The estimated value of the Notes is determined by reference to internal
pricing models of our affiliates when the terms of the Notes are set. This estimated value of the Notes is based on market conditions
and other relevant factors existing at that time and assumptions about market parameters, which can include volatility, dividend rates,
interest rates and other factors. Different pricing models and assumptions could provide valuations for the Notes that are greater than
or less than the estimated value of the Notes. In addition, market conditions and other relevant factors in the future may change, and
any assumptions may prove to be incorrect. On future dates, the value of the Notes could change significantly based on, among other things,
changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements and other relevant factors,
which may impact the price, if any, at which JPMS would be willing to buy Notes from you in secondary market transactions. See “The
Estimated Value of the Notes” in this pricing supplement. |
| t | 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. |
| t | The Value of the Notes as Published by JPMS (and Which May Be Reflected
on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period —
We generally expect that some of the costs included in the original issue price of the Notes will be partially paid back to you in connection
with any repurchases of your Notes by JPMS in an amount that will decline to zero over an initial predetermined period. These costs can
include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary
market funding rates for structured debt issuances. See “Secondary Market Prices of the Notes” in this pricing supplement
for additional information relating to this initial period. Accordingly, the estimated value of your Notes during this initial period
may be lower than the value of the Notes as published by JPMS (and which may be shown on your customer account statements). |
| t | Secondary Market Prices of the Notes Will Likely Be Lower Than the Original
Issue Price of the Notes — Any secondary market prices of the Notes will likely be lower than the original issue price of the
Notes because, among other things, secondary market prices take into account our internal secondary market funding rates for structured
debt issuances and, also, because secondary market prices may exclude selling commissions, projected hedging profits, if any, and estimated
hedging costs that are included in the original issue price of the Notes. As a result, the price, if any, at which JPMS will be willing
to buy Notes from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you
prior to the Maturity Date could result in a substantial loss to you. See the immediately following risk factor for information about
additional factors that will impact any secondary market prices of the Notes. |
The Notes are not designed to be short-term
trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity. See “— Risks Relating to
the Notes Generally — Lack of Liquidity” above.
| t | Many Economic and Market Factors Will Impact the Value of the Notes —
As described under “The Estimated Value of the Notes” in this pricing supplement, the Notes 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 Notes at issuance and their value in the secondary market. Accordingly,
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 Underlyings, 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 levels of the Underlyings; |
| t | the
time to maturity of the Notes; |
| t | whether the closing level of any Underlying has been, or is expected to be,
less than its Coupon Barrier on any day during any Quarterly Observation Period and whether the Final Value of any Underlying is expected
to be less than its Downside Threshold; |
| t | the
dividend rates on the equity securities underlying the Underlyings; |
| t | the actual and expected positive or negative correlation between any two of
the Underlyings, or the actual or expected absence of any such correlation; |
| 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 EURO STOXX 50® Index trade and the correlation
among those rates and the levels of the EURO STOXX 50® Index; 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 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.
Risks Relating to the Underlyings
| t | JPMorgan Chase & Co. Is Currently One of the Companies that Make Up
the S&P 500® Index — JPMorgan Chase & Co. is currently one of the companies that make up the S&P
500® Index. JPMorgan Chase & Co. will not have any obligation to consider your interests as a holder of the Notes in
taking any corporate action that might affect the value of the S&P 500® Index and the Notes. |
| t | An Investment in the Notes Is Subject to Risks Associated with Small Capitalization
Stocks with Respect to the Russell 2000® Index — The equity securities
included in the Russell 2000® Index are issued by companies with relatively
small market capitalization. The stock prices of smaller companies may be more volatile than stock prices of large capitalization companies.
Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative to larger
companies. These companies tend to be less well-established than large market capitalization companies. Small capitalization companies
are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock
price pressure under adverse market conditions. |
| t | Non-U.S. Securities Risk with Respect
to the EURO STOXX 50® Index — The equity securities included in the EURO STOXX 50® Index have
been issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity securities involve risks associated
with the 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 there is about U.S. companies that are subject
to the reporting requirements of the SEC. |
| t | No Direct Exposure to Fluctuations in Foreign Exchange Rates with
Respect to the EURO STOXX 50® Index — The value of your Notes will not be adjusted for exchange rate fluctuations
between the U.S. dollar and the currencies upon which the equity securities included in the EURO STOXX 50® Index are based,
although any currency fluctuations could affect the performance of the EURO STOXX 50® Index. Therefore, if the applicable
currencies appreciate or depreciate relative to the U.S. dollar over the term of the Notes, you will not receive any additional payment
or incur any reduction in any payment on the Notes. |
Hypothetical
Examples
Hypothetical terms only. Actual terms
may vary. See the cover page for actual offering terms.
The examples below illustrate the hypothetical payments on
a Coupon Payment Date, upon an issuer-elected call or at maturity under different hypothetical scenarios for a $10.00 Note on an offering
of the Notes, with the assumptions set forth below.* We cannot predict the closing level of any Underlying on any day during the term
of the Notes, including on any day during any Quarterly Observation Period or on the Final Valuation Date. You should not take these examples
as an indication or assurance of the expected performance of the Notes. Numbers in the examples below have been rounded for ease of analysis.
In these examples, we refer to the Russell 2000® Index, the S&P 500® Index and the EURO STOXX 50®
Index as the “RTY Index,” the “SPX Index” and the “SX5E Index,” respectively.
Principal Amount: |
$10.00 |
Term: |
Approximately 3 years (unless earlier called) |
Hypothetical Initial Value: |
100.000 for the RTY Index, 100.00 for the SPX Index and 100.00 for the SX5E Index |
Contingent Coupon Rate: |
9.85% per annum (or 2.463% per quarter) |
Quarterly Observation Periods/Quarterly
Observation End Dates: |
Quarterly |
Hypothetical Downside Threshold: |
60.000 for the RTY Index, 60.00 for the SPX Index and 60.00 for the SX5E Index (which, with respect to each Underlying, is 60% of the hypothetical Initial Value of that Underlying) |
Hypothetical Coupon Barrier: |
70.000 for the RTY Index, 70.00 for the SPX Index and 70.00 for the SX5E Index (which, with respect to each Underlying, is 70% of the hypothetical Initial Value of that Underlying) |
* |
Terms used for purposes of these hypothetical examples do not represent the actual Initial Values, Coupon Barriers or Downside Thresholds. The hypothetical Initial Values of 100.000 for the RTY Index, 100.00 for the SPX Index and 100.00 for the SX5E Index have been chosen for illustrative purposes only and do not represent the actual Initial Value for any Underlying. The actual Initial Value and resulting Downside Threshold and Coupon Barrier of each Underlying are based on the closing level of that 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 Underlyings, please see the historical information set forth under the sections titled “The Russell 2000® Index,” “The S&P 500® Index” and “The EURO STOXX 50® Index” below. |
The examples below are purely hypothetical. These examples
are intended to illustrate (a) the effect of an issuer-elected call, (b) how the payment of a Contingent Coupon with respect to any Quarterly
Observation Period will depend on whether the closing level of any Underlying is less than its Coupon Barrier on any day during that Quarterly
Observation Period, (c) how the value of the payment at maturity on the Notes will depend on whether the Final Value of any Underlying
is less than its Downside Threshold and (d) how the total return on the Notes may be less than the total return on a direct investment
in any or all Underlyings in certain scenarios. The “total return” as used in this pricing supplement is the number, expressed
as a percentage, that results from comparing the total payments per $10.00 principal amount Note over the term of the Notes to the $10.00
initial issue price.
Example 1 — JPMorgan Financial Elects to Call the Notes
on the First Quarterly Observation End Date
Quarterly
Observation
Period |
|
Lowest
Closing
Level During
Applicable
Quarterly
Observation Period |
|
Payment
(per Note) |
First Quarterly Observation Period |
|
RTY Index: 105.000
SPX Index: 110.00
SX5E Index: 90.00 |
|
Issuer elects to call the Notes. Closing level of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer pays Contingent Coupon of $0.2463 on Call Settlement Date. |
Total Payments (per $10.00 Note): |
|
Payment on Call Settlement Date: |
$10.2463 ($10.00 + $0.2463) |
|
|
Total: |
$10.2463 |
|
|
Total Return: |
2.463% |
On the first Quarterly Observation End Date, JPMorgan Financial
elects to call the Notes. Because the closing level of each Underlying is above its applicable Coupon Barrier on each day during the first
Quarterly Observation Period, JPMorgan Financial will pay you on the Call Settlement Date $10.2463 per $10.00 principal amount Note, which
is equal to your principal amount plus the Contingent Coupon due on the Coupon Payment Date that is also the Call Settlement Date.
No further amounts will be owed to you under the Notes.
Example 2 — Notes Are NOT Called and the Final Value
of Each Underlying Is Above Its Downside Threshold
Quarterly
Observation
Period |
|
Lowest
Closing
Level During
Applicable
Quarterly
Observation
Period |
|
Final
Value |
|
Payment
(per Note) |
First Quarterly Observation Period |
|
RTY Index:
115.000
SPX Index:
110.00
SX5E Index:
105.00 |
|
N/A |
|
Notes NOT called at the election of the Issuer. Closing level of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer pays Contingent Coupon of $0.2463 on first Coupon Payment Date. |
Second Quarterly Observation Period |
|
RTY Index:
80.000
SPX Index:
80.00
SX5E Index:
90.00 |
|
N/A |
|
Notes NOT called at the election of the Issuer. Closing level of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer pays Contingent Coupon of $0.2463 on second Coupon Payment Date. |
Third to Twelfth Quarterly Observation Periods |
|
Various (at least one Underlying below Coupon Barrier) |
|
N/A |
|
Notes NOT called at the election of the Issuer. Closing level of at least one Underlying below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent Coupon on any of the third to twelfth Coupon Payment Dates. |
Thirteenth Quarterly Observation Period (the final Quarterly Observation Period) |
|
RTY Index:
110.000
SPX Index:
85.00
SX5E Index:
80.00 |
|
RTY Index:
110.000
SPX Index:
90.00
SX5E Index:
85.00 |
|
Notes NOT callable. Final Value of each Underlying above its Downside Threshold and closing level of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer repays principal plus pays Contingent Coupon of $0.2463 on Maturity Date. |
Total Payments (per $10.00 Note): |
|
Payment at Maturity: |
$10.2463 ($10.00 + $0.2463) |
|
|
Prior Contingent Coupons: |
$0.4926 ($0.2463 × 2) |
|
|
Total: |
$10.7389 |
|
|
Total Return: |
7.389% |
In this example, the Issuer does not elect to call the Notes
and the Notes remain outstanding until maturity. Because the Final Value of each Underlying is greater than or equal to its Downside Threshold
and the closing level of each Underlying is greater than or equal to its Coupon Barrier on each day during the final Quarterly Observation
Period, JPMorgan Financial will pay you on the Maturity Date $10.2463 per $10.00 principal amount Note, which is equal to your principal
amount plus the Contingent Coupon due on the Coupon Payment Date that is also the Maturity Date.
In addition, because the closing level of each Underlying was
greater than or equal to its Coupon Barrier on each day during the first and second Quarterly Observation Periods, JPMorgan Financial
will pay the Contingent Coupon of $0.2463 on the first and second Coupon Payment Dates. However, because the closing level of at least
one Underlying was less than its Coupon Barrier on at least one day during each of the third through twelfth Quarterly Observation Periods,
JPMorgan Financial will not pay any Contingent Coupon on the Coupon Payment Date following the applicable Quarterly Observation Period.
Accordingly, JPMorgan Financial will have paid a total of $10.7389 per $10.00 principal amount Note for a 7.389% total return over the
term of the Notes.
Example 3 — Notes Are NOT Called and the Final Value
of Each Underlying Is Above Its Downside Threshold
Quarterly
Observation
Period |
|
Lowest
Closing
Level During
Applicable
Quarterly
Observation
Period |
|
Final
Value |
|
Payment
(per Note) |
First Quarterly Observation Period |
|
RTY Index: 115.000
SPX Index: 110.00
SX5E Index: 105.00 |
|
N/A |
|
Notes NOT called at the election of the Issuer. Closing level of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer pays Contingent Coupon of $0.2463 on first Coupon Payment Date. |
Second Quarterly Observation Period |
|
RTY Index: 80.000
SPX Index:
80.00
SX5E Index: 90.00 |
|
N/A |
|
Notes NOT called at the election of the Issuer. Closing level of each Underlying above its Coupon Barrier on each day during Quarterly Observation Period; Issuer pays Contingent Coupon of $0.2463 on second Coupon Payment Date. |
Third to Twelfth Quarterly Observation Periods |
|
Various (at least one Underlying below Coupon Barrier) |
|
N/A |
|
Notes NOT called at the election of the Issuer. Closing level of at least one Underlying below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent Coupon on any of the third to twelfth Coupon Payment Dates. |
Thirteenth Quarterly Observation Period (the final Quarterly Observation Period) |
|
RTY Index:
90.000
SPX Index:
80.00
SX5E Index:
60.00 |
|
RTY Index:
110.000
SPX Index:
90.00
SX5E Index:
80.00 |
|
Notes NOT callable. Final Value of each Underlying above its Downside Threshold but closing level of SX5E Index below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer repays principal but does not pay Contingent Coupon. |
Total Payments (per $10.00 Note): |
|
Payment at Maturity: |
$10.00 |
|
|
Prior Contingent Coupons: |
$0.4926 ($0.2463 × 2) |
|
|
Total: |
$10.4926 |
|
|
Total Return: |
4.926% |
In this example, the Issuer does not elect to call the Notes
and the Notes remain outstanding until maturity. Because the Final Value of each Underlying is greater than or equal to its Downside Threshold
but the closing level of at least one Underlying is less than its Coupon Barrier on at least one day during the final Quarterly Observation
Period, JPMorgan Financial will pay you on the Maturity Date $10.00 per $10.00 principal amount Note, which is equal to your principal
amount, but JPMorgan Financial will not pay any Contingent Coupon on the Maturity Date.
In addition, because the closing level of each Underlying was greater
than or equal to its Coupon Barrier on each day during the first and second Quarterly Observation Periods, JPMorgan Financial will pay
the Contingent Coupon of $0.2463 on the first and second Coupon Payment Dates. However, because the closing level of at least one Underlying
was less than its Coupon Barrier on at least one day during each of the third through twelfth Quarterly Observation Periods, JPMorgan
Financial will not pay any Contingent Coupon on the Coupon Payment Date following the applicable Quarterly Observation Period. Accordingly,
JPMorgan Financial will have paid a total of $10.4926 per $10.00 principal amount Note for a 4.926% total return over the term of the
Notes.
Example 4 — Notes Are NOT Called and the Final Value of Any Underlying
Is Below Its Downside Threshold
Quarterly
Observation
Period |
|
Lowest
Closing
Level During
Applicable
Quarterly
Observation
Period |
|
Final
Value |
|
Payment
(per Note) |
First Quarterly Observation Period |
|
RTY Index: 40.000
SPX Index:
45.00
SX5E Index:
30.00 |
|
N/A |
|
Notes NOT called at the election of the Issuer. Closing level of each Underlying below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent Coupon on first Coupon Payment Date. |
Second Quarterly Observation Period |
|
RTY Index:
105.000
SPX Index:
45.00
SX5E Index:
80.00 |
|
N/A |
|
Notes NOT called at the election of the Issuer. Closing level of SPX Index below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent Coupon on second Coupon Payment Date. |
Third to Twelfth Quarterly Observation Periods |
|
Various (at least one Underlying below Coupon Barrier) |
|
N/A |
|
Notes NOT called at the election of the Issuer. Closing level of at least one Underlying below its Coupon Barrier on at least one day during Quarterly Observation Period; Issuer DOES NOT pay Contingent Coupon on any of the third to twelfth Coupon Payment Dates. |
Thirteenth Quarterly Observation Period (the final Quarterly Observation Period) |
|
RTY Index:
45.000
SPX Index:
100.00
SX5E Index:
80.00 |
|
RTY Index:
45.000
SPX Index:
110.00
SX5E Index:
80.00 |
|
Notes NOT callable. Closing level of RTY Index below its Downside Threshold; Issuer DOES NOT pay Contingent Coupon on Maturity Date, and Issuer will repay less than the principal amount resulting in a loss proportionate to the decline of the Least Performing Underlying. |
Total Payments (per $10.00 Note): |
|
Payment at Maturity: |
$4.50 |
|
|
Prior Contingent Coupons: |
$0.00 |
|
|
Total: |
$4.50 |
|
|
Total Return: |
-55.00% |
|
|
|
|
|
|
|
|
|
In this example, the Issuer does not elect to call the Notes and the
Notes remain outstanding until maturity. Because the Final Value of at least one Underlying is less than its Downside Threshold on the
Final Valuation Date, at maturity, JPMorgan Financial will pay you a total of $4.50 per $10.00 principal amount, for a -55.00% total return
on the Notes, calculated as follows:
$10.00 × (1 + Least Performing Underlying
Return)
Step 1: Determine the Underlying Return of each Underlying:
Underlying Return of the RTY Index:
Final Value – Initial Value |
= |
45.000 – 100.000 |
= -55.00% |
Initial Value |
100.000 |
Underlying Return of the SPX Index:
Final Value – Initial Value |
= |
110.00 – 100.00 |
= 10.00% |
Initial Value |
100.00 |
Underlying Return of the SX5E Index:
Final Value – Initial Value |
= |
80.00 – 100.00 |
= -20.00% |
Initial Value |
100.00 |
Step 2: Determine the Least Performing Underlying. The RTY Index
is the Underlying with the lowest Underlying Return.
Step 3: Calculate the Payment at Maturity:
$10.00 × (1 + Least Performing Underlying
Return) = $10.00 × (1 + -55.00%) = $4.50
In addition, because the closing level of at least one Underlying is
less than its Coupon Barrier on at least one day during each Quarterly Observation Period, JPMorgan Financial will not pay any Contingent
Coupons over the term of the Notes. Accordingly, JPMorgan Financial will have paid a total of $4.50 per $10.00
principal amount Note for a -55.00% total return over the term of the Notes.
The hypothetical returns and hypothetical payments on the
Notes shown above apply only if you hold the Notes for their entire term or until 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
Underlyings
Included on the following pages is a brief description of the
Underlyings. This information has been obtained from publicly available sources, without independent verification. We obtained the closing
levels information set forth below from the Bloomberg Professional® service (“Bloomberg”),
without independent verification. You should not take the historical levels of any Underlying as an indication of future performance.
The
Russell 2000® Index
The Russell 2000® Index consists of the middle
2,000 companies included in the Russell 3000E™ Index and, as a result of the index calculation methodology, consists of the smallest
2,000 companies included in the Russell 3000® Index. The Russell 2000® Index is designed to track the performance
of the small capitalization segment of the U.S. equity market. For additional information about the Russell 2000® Index,
see the information set forth under “Equity Index Descriptions — The Russell Indices” in the accompanying underlying
supplement.
Historical Information Regarding the Russell 2000®
Index
The graph below illustrates the daily performance of the Russell
2000® Index from January 2, 2014 through June 27, 2024, based on information from Bloomberg, without independent verification.
The closing level of the Russell 2000® Index on June 27, 2024 was 2,038.342. We obtained the closing levels of the Russell
2000® Index above and below from Bloomberg, without independent verification.
The dotted lines represent the Downside Threshold of 1,223.005
and the Coupon Barrier of 1,426.839, equal to 60% and 70%, respectively, of the closing level of the Russell 2000® Index
on June 27, 2024.
Past performance of the Russell 2000® Index
is not indicative of the future performance of the Russell 2000® Index.
The
S&P 500® Index
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 the information set forth under “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying
underlying supplement.
Historical Information Regarding the S&P 500®
Index
The graph below illustrates the daily performance of the S&P
500® Index from January 2, 2014 through June 27, 2024, based on information from Bloomberg, without independent verification.
The closing level of the S&P 500® Index on June 27, 2024 was 5,482.87. We obtained the closing levels of the S&P
500® Index above and below from Bloomberg, without independent verification.
The dotted lines represent the Downside Threshold of 3,289.72
and the Coupon Barrier of 3,838.01, equal to 60% and 70%, respectively, of the closing level of the S&P 500® Index
on June 27, 2024.
Past performance of the S&P 500® Index
is not indicative of the future performance of the S&P 500® Index.
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024056993/image_006.jpg)
The
EURO STOXX 50® Index
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 Notes 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 STOXX Benchmark Indices, see the information set forth under “Equity Index Descriptions —
The STOXX Benchmark Indices” in the accompanying underlying supplement.
Historical Information Regarding the EURO STOXX 50®
Index
The graph below illustrates the daily performance of the EURO STOXX
50® Index from January 2, 2014 through June 27, 2024, based on information from Bloomberg, without independent verification.
The closing level of the EURO STOXX 50® Index on June 27, 2024 was 4,902.60. We obtained the closing levels of the EURO
STOXX 50® Index above and below from Bloomberg, without independent verification.
The dotted lines represent the Downside Threshold of 2,941.56 and the
Coupon Barrier of 3,431.82, equal to 60% and 70%, respectively, of the closing level of the EURO STOXX 50® Index on June
27, 2024.
Past performance of the EURO STOXX 50® Index is
not indicative of the future performance of the EURO STOXX 50® Index.
Correlation
of the Underlyings
The graph below illustrates the daily performance of the Russell
2000® Index, the S&P 500® Index and the EURO STOXX 50® Index from January 2, 2014 through
June 27, 2024. For comparison purposes, each Underlying has been normalized to have a closing level of 100.00 on January 2, 2014 by dividing
the closing level of that Underlying on each day by the closing level of that Underlying on January 2, 2014 and multiplying by 100.00.
We obtained the closing levels used to determine the normalized closing levels set forth below from Bloomberg, without independent verification.
Past performance of the Underlyings is not indicative
of the future performance of the Underlyings.
The correlation of a pair of Underlyings represents a statistical measurement
of the degree to which the returns of those Underlyings were similar to each other over a given period in terms of timing and direction.
The correlation between a pair of Underlyings is scaled from 1.0 to -1.0, with 1.0 indicating perfect positive correlation (i.e.,
the value of both Underlyings are increasing together or decreasing together and the ratio of their returns has been constant), 0 indicating
no correlation (i.e., there is no statistical relationship between the returns of that pair of Underlyings) and -1.0 indicating
perfect negative correlation (i.e., as the value of one Underlying increases, the value of the other Underlying decreases and the
ratio of their returns has been constant).
The closer the relationship of the returns of a pair of Underlyings
over a given period, the more positively correlated those Underlyings are. The graph above illustrates the historical performance of each
of the Underlyings relative to the other Underlyings over the time period shown and provides an indication of how close the relative performance
of one Underlying has historically been to another.
The lower (or more negative) the correlation between two Underlyings,
the less likely it is that those Underlyings will move in the same direction and, therefore, the greater the potential for one of those
Underlyings to close below its Coupon Barrier or Downside Threshold on any Observation Date or the Final Valuation Date, respectively.
This is because the less positively correlated a pair of Underlyings are, the greater the likelihood that at least one of the Underlyings
will decrease in value. However, even if two Underlyings have a higher positive correlation, one or both of those Underlyings might
close below its Coupon Barrier or Downside Threshold on any Observation Date or the Final Valuation Date, respectively, as both of those
Underlyings may decrease in value together.
In addition, for each additional Underlying to which the Notes are
linked, there is a greater potential for one pair of Underlyings to have low or negative correlation. Therefore, the greater the number
of Underlyings, the greater the potential for missed Contingent Coupons and for a loss of principal at maturity. Although the correlation
of the Underlyings’ performance may change over the term of the Notes, the Contingent Coupon Rate is determined, in part, based
on the correlations of the Underlyings’ performance calculated using internal models of our affiliates at the time when the terms
of the Notes are finalized. A higher Contingent Coupon Rate is generally associated with lower correlation of the Underlyings and/or
a greater number of Underlyings, which reflects a greater potential for missed Contingent Coupons and for a loss of principal at maturity.
The correlations referenced in setting the terms of the Notes are calculated using internal models of our affiliates and are not
derived from the returns of the Underlyings over the period set forth above. In addition, other factors and inputs other than correlation
may impact how the terms of the Notes are set and the performance of the Notes.
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
Notes 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 Notes 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 Notes, 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 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 values
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 “Key Risks — Risks Relating to the Estimated
Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Derived by Reference to an Internal Funding
Rate” in this pricing supplement. The value of the derivative or derivatives underlying the economic terms of the Notes is derived
from internal pricing models of our affiliates. These models are dependent on inputs such as the traded market prices of comparable derivative
instruments and on various other inputs, some of which are market-observable, and which can include volatility, dividend rates, interest
rates and other factors, as well as assumptions about future market events and/or environments. Accordingly, the estimated value of the
Notes is determined when the terms of the Notes are set based on market conditions and other relevant factors and assumptions existing
at that time. See “Key Risks — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The
Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ from Others’ Estimates” in this
pricing supplement.
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 UBS, the projected profits, if any, that our affiliates expect to realize
for assuming risks inherent in hedging our obligations under the Notes and the estimated cost of hedging our obligations under the Notes.
Because hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may result in a profit
that is more or less than expected, or it may result in a loss. We or one or more of our affiliates will retain any profits realized in
hedging our obligations under the Notes. See “Key Risks — 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 “Key Risks — 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 this pricing 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 that is intended to
be up to four months. The length of any such initial period reflects secondary market volumes for the Notes, 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 “Key Risks — 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 Examples” in this pricing supplement
for an illustration of the risk-return profile of the Notes and “The Underlyings” 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 UBS, plus (minus) the projected profits (losses) that our affiliates expect to
realize for assuming risks inherent in hedging our obligations under the Notes, plus the estimated cost of hedging our obligations under
the Notes.
Validity
of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as special products
counsel to JPMorgan Financial and JPMorgan Chase & Co., when the Notes offered by this pricing supplement have been issued by JPMorgan
Financial pursuant to the indenture, the trustee and/or paying agent has made, in accordance with the instructions from JPMorgan Financial,
the appropriate entries or notations in its records relating to the master global note that represents such Notes (the “master note”),
and such Notes have been delivered against payment as contemplated herein, such Notes will be valid and binding obligations of JPMorgan
Financial and the related guarantee will constitute a valid and binding obligation of JPMorgan Chase & Co., enforceable in accordance
with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts
of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing
and the lack of bad faith), provided that such counsel expresses no opinion as to (i) the effect of fraudulent conveyance, fraudulent
transfer or similar provision of applicable law on the conclusions expressed above or (ii) any provision of the indenture that purports
to avoid the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law by limiting the amount of JPMorgan
Chase & Co.’s obligation under the related guarantee. This opinion is given as of the date hereof and is limited to the laws
of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited Liability Company Act. In addition,
this opinion is subject to customary assumptions about the trustee’s authorization, execution and delivery of the indenture and
its authentication of the master note and the validity, binding nature and enforceability of the indenture with respect to the trustee,
all as stated in the letter of such counsel dated February 24, 2023, which was filed as an exhibit to the Registration Statement on Form
S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24, 2023.
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 $22,458,550.
JP Morgan Alerian MLP (AMEX:AMJ)
過去 株価チャート
から 5 2024 まで 7 2024
JP Morgan Alerian MLP (AMEX:AMJ)
過去 株価チャート
から 7 2023 まで 7 2024