JPMorgan
Chase Financial Company LLC |
June 2024 |
|
Pricing Supplement |
|
Registration Statement Nos. 333-270004 and 333-270004-01 |
|
Dated June 28, 2024 |
|
Filed pursuant to Rule 424(b)(2) |
Structured Investments
Opportunities in International Equities
Contingent Income Auto-Callable Securities due July
1, 2027
Based on the Performance of the American Depositary Shares
of Taiwan Semiconductor Manufacturing Company Limited
Principal at Risk Securities
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
Contingent Income Auto-Callable Securities do not guarantee the payment
of interest or the repayment of principal. Instead, the securities offer the opportunity for investors to earn a contingent quarterly
payment equal to 2.6875% of the stated principal amount with respect to each determination date on which the closing price of the underlying
stock is greater than or equal to 50% of the initial stock price, which we refer to as the downside threshold level. However, if, on
any determination date, the closing price of the underlying stock is less than the downside threshold level, you will not receive any
contingent quarterly payment for the related quarterly period. In addition, if the closing price of the underlying stock is greater than
or equal to the initial stock price on any determination date (other than the final determination date), the securities will be automatically
redeemed for an amount per security equal to the stated principal amount plus the contingent quarterly payment with respect to
that determination date. If the securities have not been automatically redeemed prior to maturity and the final stock price is greater
than or equal to the downside threshold level, the payment at maturity due on the securities will be the stated principal amount and
the contingent quarterly payment with respect to the final determination date. If, however, the securities have not been automatically
redeemed prior to maturity and the final stock price is less than the downside threshold level, you will be exposed to the decline in
the underlying stock, as compared to the initial stock price, on a 1-to-1 basis and will receive a cash payment at maturity that is less
than 50% of the stated principal amount of the securities and could be zero. The securities are for investors who are willing to risk
their principal and seek an opportunity to earn interest at a potentially above-market rate in exchange for the risk of receiving few
or no contingent quarterly payments and also the risk of receiving a cash payment at maturity that is significantly less than the stated
principal amount of the securities and could be zero. Accordingly, investors could lose their entire initial investment in the securities.
Investors will not participate in any appreciation of the underlying stock. The securities are unsecured and unsubordinated obligations
of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed
by JPMorgan Chase & Co., issued as part of JPMorgan Financial’s Medium-Term Notes, Series A, program. Any payment
on the securities is subject to the credit risk of JPMorgan Financial, as issuer of the securities, and the credit risk of JPMorgan Chase & Co.,
as guarantor of the securities.
FINAL
TERMS |
|
Issuer: |
JPMorgan Chase Financial Company
LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co. |
Guarantor: |
JPMorgan Chase & Co. |
Underlying
stock: |
American depositary
shares of Taiwan Semiconductor Manufacturing Company Limited (“Taiwan Semiconductor ADSs”) (Bloomberg ticker: TSM UN
Equity). Each Taiwan Semiconductor ADS represents five common shares, par value NT$10.00 per share, of Taiwan Semiconductor
Manufacturing Company Limited. The common shares of Taiwan Semiconductor Manufacturing Company Limited are referred to
as the “Taiwan Semiconductor underlying securities.” |
Aggregate
principal amount: |
$7,073,000 |
Early
redemption: |
If, on any determination date (other than the final determination
date), the closing price of the underlying stock is greater than or equal to the initial stock price, the securities will
be automatically redeemed for an early redemption payment on the first contingent payment date immediately following the related
determination date. No further payments will be made on the securities once they have been redeemed.
The securities will not be redeemed early on any contingent
payment date if the closing price of the underlying stock is below the initial stock price on the related determination date. |
Early
redemption payment: |
The early redemption payment will
be an amount equal to (i) the stated principal amount plus (ii) the contingent quarterly payment with respect to the related
determination date. |
Contingent
quarterly payment: |
· If,
on any determination date, the closing price of the underlying stock is greater than or equal to the downside threshold level, we
will pay a contingent quarterly payment of $26.875 (2.6875% of the stated principal amount) per security on the related contingent
payment date.
· If,
on any determination date, the closing price of the underlying stock is less than the downside threshold level, no contingent quarterly
payment will be made with respect to that determination date. It is possible that the closing price of the underlying stock will
be below the downside threshold level on most or all of the determination dates so that you will receive few or no contingent quarterly
payments. |
Determination
dates*: |
September
30, 2024, December 30, 2024, March 28, 2025, June 30, 2025, September 29, 2025, December 29, 2025, March 30, 2026, June 29, 2026,
September 28, 2026, December 28, 2026, March 29, 2027 and June 28, 2027 |
Contingent
payment dates*: |
October
3, 2024, January 3, 2025, April 2, 2025, July 3, 2025, October 2, 2025, January 2, 2026, April 2, 2026, July 2, 2026, October 1,
2026, January 4, 2027, April 1, 2027 and the maturity date |
Payment
at maturity: |
· If
the final stock price is greater than or equal to the downside threshold level: |
(i) the stated principal amount plus
(ii) the contingent quarterly payment with respect to the final determination date |
|
· If
the final stock price is less than the downside threshold level: |
(i) the stated principal amount times
(ii) the stock performance factor. This cash payment will be less than 50% of the stated principal amount of the securities
and could be zero. |
Downside
threshold level: |
$86.905, which is equal to 50% of
the initial stock price |
Initial
stock price: |
$173.81, which was the closing price
of the underlying stock on the pricing date |
Final
stock price: |
The closing price of the underlying
stock on the final determination date |
Stock
adjustment factor: |
The stock adjustment factor is referenced
in determining the closing price of the underlying stock and is set initially at 1.0 on the pricing date. The stock adjustment
factor is subject to adjustment in the event of certain corporate events affecting the underlying stock. |
Stock
performance factor: |
final stock price / initial stock
price |
Stated
principal amount: |
$1,000 per security |
Issue
price: |
$1,000 per security (see “Commissions
and issue price” below) |
Pricing
date: |
June 28, 2024 |
Original
issue date (settlement date): |
July 3, 2024 |
Maturity
date*: |
July 1, 2027 |
CUSIP/ISIN: |
48135NAU0 / US48135NAU00 |
Listing: |
The securities will not be listed
on any securities exchange. |
Agent: |
J.P. Morgan Securities LLC (“JPMS”) |
Commissions
and issue price: |
|
Price
to public(1) |
Fees
and commissions |
Proceeds
to issuer |
Per security |
|
$1,000.00 |
$17.50(2) |
$977.50 |
|
|
|
$5.00(3) |
|
Total |
|
$7,073,000 |
$159,142.50 |
$6,913,857.5 |
|
|
|
|
|
|
| (1) | See “Additional Information about the Securities
— Supplemental use of proceeds and hedging” in this document for information
about the components of the price to public of the securities. |
| (2) | JPMS, acting as agent for JPMorgan Financial, will pay
all of the selling commissions of $17.50 per $1,000 stated principal amount security it receives
from us to Morgan Stanley Smith Barney LLC (“Morgan Stanley Wealth Management”).
See “Plan of Distribution (Conflicts of Interest)” in the accompanying product
supplement. |
| (3) | Reflects a structuring fee payable to Morgan Stanley Wealth
Management by the agent or its affiliates of $5.00 for each $1,000 stated principal amount
security. |
* Subject to postponement in the event of a market disruption
event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single
Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General Terms of Notes —
Postponement of a Payment Date” in the accompanying product supplement
The estimated value of the securities on the pricing date was
$967.00 per $1,000 stated principal amount security. See “Additional Information about the Securities — The estimated
value of the securities” in this document for additional information.
Investing in the securities involves a number of risks. See “Risk
Factors” beginning on page S-2 of the accompanying prospectus supplement, Annex A to the accompanying prospectus addendum, “Risk
Factors” beginning on page PS-11 of the accompanying product supplement and “Risk Factors” beginning on page 7 of this
document.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the securities or passed upon the accuracy or the adequacy of this
document or the accompanying product supplement, prospectus supplement, prospectus and prospectus addendum. Any representation to the
contrary is a criminal offense.
The securities are not bank deposits, are not insured by the
Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
You should read this document together with
the related product supplement, prospectus supplement, prospectus and prospectus addendum, each of which can be accessed via the hyperlinks
below. Please also see “Additional Information about the Securities” at the end of this document.
Product supplement no. 4-I dated April 13, 2023: http://www.sec.gov/Archives/edgar/data/19617/000121390023029539/ea152803_424b2.pdf
Prospectus supplement and prospectus, each dated
April 13, 2023: http://www.sec.gov/Archives/edgar/data/19617/000095010323005751/crt_dp192097-424b2.pdf
Prospectus addendum dated June 3, 2024: http://www.sec.gov/Archives/edgar/data/1665650/000095010324007599/dp211753_424b3.htm
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due July 1, 2027
Based on the Performance of the American Depositary Shares of Taiwan Semiconductor Manufacturing Company Limited
Principal at Risk Securities
Investment Summary
The Contingent Income Auto-Callable Securities due July 1, 2027 Based
on the Performance of the American Depositary Shares of Taiwan Semiconductor Manufacturing Company Limited, which we refer to as the
securities, do not provide for the regular payment of interest. Instead, the securities provide an opportunity for investors to earn
a contingent quarterly payment, which is an amount equal to $26.875 (2.6875% of the stated principal amount) per security, with respect
to each quarterly determination date on which the closing price of the underlying stock is greater than or equal to 50% of the initial
stock price, which we refer to as the downside threshold level. The contingent quarterly payment, if any, will be payable quarterly on
the contingent payment date immediately following the related determination date. However, if the closing price of the underlying stock
is less than the downside threshold level on any determination date, investors will receive no contingent quarterly payment for the related
quarterly period. It is possible that the closing price of the underlying stock could be below the downside threshold level on most or
all of the determination dates so that you will receive few or no contingent quarterly payments during the term of the securities. We
refer to these payments as contingent, because there is no guarantee that you will receive a payment on any contingent payment date.
Even if the underlying stock was at or above the downside threshold level on some quarterly determination dates, the underlying stock
may fluctuate below the downside threshold level on others.
If the closing price of the underlying stock
is greater than or equal to the initial stock price on any determination date (other than the final determination date), the securities
will be automatically redeemed for an early redemption payment equal to the stated principal amount plus the contingent quarterly
payment with respect to the related determination date. If the securities have not previously been redeemed and the final stock price
is greater than or equal to the downside threshold level, the payment at maturity will also be the sum of the stated principal amount
and the contingent quarterly payment with respect to the final determination date. However, if the securities have not previously been
redeemed and the final stock price is less than the downside threshold level, investors will be exposed to the decline in the closing
price of the underlying stock, as compared to the initial stock price, on a 1-to-1 basis. Under these circumstances, the payment at maturity
will be (i) the stated principal amount times (ii) the stock performance factor, which will be less than 50% of the stated principal
amount of the securities and could be zero. Investors in the securities must be willing to accept the risk of losing their entire principal
and also the risk of receiving few or no contingent quarterly payments over the term of the securities. In addition, investors will not
participate in any appreciation of the underlying stock.
Supplemental Terms of the Securities
For purposes of the accompanying product supplement, the underlying
stock is a “Reference Stock.”
Any values of the underlying stock, and any
values derived therefrom, included in this document may be corrected, in the event of manifest error or inconsistency, by amendment of
this document and the corresponding terms of the securities. Notwithstanding anything to the contrary in the indenture governing the
securities, that amendment will become effective without consent of the holders of the securities or any other party.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due July 1, 2027
Based on the Performance of the American Depositary Shares of Taiwan Semiconductor Manufacturing Company Limited
Principal at Risk Securities
Key Investment Rationale
The securities do not provide for the regular payment of interest. Instead,
the securities offer investors an opportunity to earn a contingent quarterly payment equal to 2.6875% of the stated principal amount
with respect to each determination date on which the closing price of the underlying stock is greater than or equal to 50% of the initial
stock price, which we refer to as the downside threshold level. The securities may be redeemed prior to maturity for the stated principal
amount per security plus the applicable contingent quarterly payment, and the payment at maturity will vary depending on the final
stock price, as follows:
Scenario
1 |
On any determination date (other than the
final determination date), the closing price of the underlying stock is greater than or equal to the initial stock price.
§ The
securities will be automatically redeemed for (i) the stated principal amount plus (ii) the contingent quarterly payment with
respect to the related determination date.
§ Investors
will not participate in any appreciation of the underlying stock from the initial stock price. |
Scenario
2 |
The securities are not automatically redeemed
prior to maturity, and the final stock price is greater than or equal to the downside threshold level.
§ The
payment due at maturity will be (i) the stated principal amount plus (ii) the contingent quarterly payment with respect to
the final determination date.
§ Investors
will not participate in any appreciation of the underlying stock from the initial stock price. |
Scenario
3 |
The securities are not automatically redeemed
prior to maturity, and the final stock price is less than the downside threshold level.
§ The
payment due at maturity will be (i) the stated principal amount times (ii) the stock performance factor.
§ Investors
will lose some, and may lose all, of their principal in this scenario. |
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due July 1, 2027
Based on the Performance of the American Depositary Shares of Taiwan Semiconductor Manufacturing Company Limited
Principal at Risk Securities
How the Securities Work
The following diagrams illustrate the potential outcomes for the securities
depending on (1) the closing price of the underlying stock and (2) the final stock price.
Diagram #1: Determination Dates (Other Than
the Final Determination Date)
Diagram #2: Payment at Maturity if No Automatic
Early Redemption Occurs
For more information about the payment upon an early redemption
or at maturity in different hypothetical scenarios, see “Hypothetical Examples” starting on page 5.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due July 1, 2027
Based on the Performance of the American Depositary Shares of Taiwan Semiconductor Manufacturing Company Limited
Principal at Risk Securities
Hypothetical Examples
The below examples are based on the following terms:
Stated principal amount: |
$1,000 per security |
Hypothetical initial stock price: |
$100.00 |
Hypothetical downside threshold level: |
$50.00, which is 50% of the hypothetical initial stock price |
Hypothetical stock adjustment factor: |
1.0 |
Contingent quarterly payment: |
$26.875 (2.6875% of the stated principal amount) per security |
The hypothetical initial stock price of $100.00
has been chosen for illustrative purposes only and does not represent the actual initial stock price. The actual initial stock
price is the closing price of the underlying stock on the pricing date and is specified on the cover of this pricing supplement.
For historical data regarding the actual closing prices of the underlying stock, please see the historical information set forth under
“Taiwan Semiconductor Manufacturing Company Limited Overview” in this pricing supplement.
In Examples 1 and 2, the closing price of the
underlying stock fluctuates over the term of the securities and the closing price of the underlying stock is greater than or equal to
the initial stock price on one of the determination dates (other than the final determination date). Because the closing price of the
underlying stock is greater than or equal to the initial stock price on one of the determination dates (other than the final determination
date), the securities are automatically redeemed following the relevant determination date. In Examples 3 and 4, the closing price of
the underlying stock on each determination date (other than the final determination date) is less than the initial stock price, and,
consequently, the securities are not automatically redeemed prior to, and remain outstanding until, maturity.
|
Example
1 |
Example
2 |
Determination
Dates |
Hypothetical
Closing Price |
Contingent
Quarterly
Payment |
Early
Redemption
Payment* |
Hypothetical
Closing Price |
Contingent
Quarterly
Payment |
Early
Redemption
Payment* |
#1 |
$40.00 |
$0 |
N/A |
$95.00
|
$26.875 |
N/A |
#2 |
$100.00 |
—* |
$1,026.875 |
$45.00
|
$0 |
N/A |
#3 |
N/A |
N/A |
N/A |
$47.50
|
$0 |
N/A |
#4 |
N/A |
N/A |
N/A |
$40.00
|
$0 |
N/A |
#5 |
N/A |
N/A |
N/A |
$80.00
|
$26.875 |
N/A |
#6 |
N/A |
N/A |
N/A |
$85.00
|
$26.875 |
N/A |
#7 |
N/A |
N/A |
N/A |
$45.00
|
$0 |
N/A |
#8 |
N/A |
N/A |
N/A |
$95.00
|
$26.875 |
N/A |
#9 |
N/A |
N/A |
N/A |
$80.00
|
$26.875 |
N/A |
#10 |
N/A |
N/A |
N/A |
$125.00
|
—* |
$1,026.875 |
#11 |
N/A |
N/A |
N/A |
N/A |
N/A |
N/A |
Final
Determination
Date |
N/A |
N/A |
N/A |
N/A |
N/A |
N/A |
* The early redemption payment includes the unpaid
contingent quarterly payment with respect to the determination date on which the closing price of the underlying stock is greater than
or equal to the initial stock price and the securities are redeemed as a result.
| § | In
Example 1, the securities are automatically redeemed following the second determination
date as the closing price of the underlying stock on the second determination date is equal
to the initial stock price. As the closing price of the underlying stock on the first determination
date is less than the downside threshold level, no contingent quarterly payment was made
with respect to that date. Following the second determination date, you receive the early
redemption payment, calculated as follows: |
stated principal
amount + contingent quarterly payment = $1,000 + $26.875 = $1,026.875
In this example, the early redemption feature
limits the term of your investment to approximately 6 months and you may not be able to reinvest at comparable terms or returns. If the
securities are redeemed early, you will stop receiving contingent quarterly payments.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due July 1, 2027
Based on the Performance of the American Depositary Shares of Taiwan Semiconductor Manufacturing Company Limited
Principal at Risk Securities
| § | In
Example 2, the securities are automatically redeemed following the tenth determination
date as the closing price of the underlying stock on the tenth determination date is greater
than the initial stock price. As the closing price of the underlying stock on each of the
first, fifth, sixth, eighth, and ninth determination dates is greater than the downside threshold
level, you receive the contingent quarterly payment of $26.875 with respect to each of those
determination dates. Following the tenth determination date, you receive an early redemption
payment of $1,026.875, which includes the contingent quarterly payment with respect to the
tenth determination date. |
In this example, the early redemption feature
limits the term of your investment to approximately 30 months and you may not be able to reinvest at comparable terms or returns. If
the securities are redeemed early, you will stop receiving contingent quarterly payments. Further, although the underlying stock has
appreciated by 25% from the initial stock price on the tenth determination date, you only receive $1,026.875 per security upon redemption
and do not benefit from this appreciation. The total payments on the securities will amount to $1,161.25 per security.
|
Example
3 |
Example
4 |
Determination
Dates |
Hypothetical
Closing Price |
Contingent
Quarterly Payment |
Early
Redemption
Payment |
Hypothetical
Closing Price |
Contingent
Quarterly Payment |
Early
Redemption
Payment |
#1 |
$40.00
|
$0 |
N/A |
$45.00
|
$0 |
N/A |
#2 |
$45.00
|
$0 |
N/A |
$47.50
|
$0 |
N/A |
#3 |
$35.00
|
$0 |
N/A |
$40.00
|
$0 |
N/A |
#4 |
$47.50
|
$0 |
N/A |
$37.50 |
$0 |
N/A |
#5 |
$45.00
|
$0 |
N/A |
$47.50
|
$0 |
N/A |
#6 |
$40.00
|
$0 |
N/A |
$40.00
|
$0 |
N/A |
#7 |
$45.00
|
$0 |
N/A |
$40.00
|
$0 |
N/A |
#8 |
$47.50
|
$0 |
N/A |
$35.00
|
$0 |
N/A |
#9 |
$45.00 |
$0 |
N/A |
$45.00
|
$0 |
N/A |
#10 |
$40.00
|
$0 |
N/A |
$47.50 |
$0 |
N/A |
#11 |
$35.00
|
$0 |
N/A |
$45.00
|
$0 |
N/A |
Final
Determination
Date |
$40.00 |
$0 |
N/A |
$50.00
|
—* |
N/A |
Payment
at Maturity |
$400.00 |
$1,026.875 |
* The final contingent quarterly payment, if any, will
be paid at maturity.
Examples 3 and 4 illustrate the payment at maturity per security based
on the final stock price.
| § | In
Example 3, the closing price of the underlying stock remains below the downside threshold
level throughout the term of the securities. As a result, you do not receive any contingent
quarterly payment during the term of the securities and, at maturity, you are fully exposed
to the decline in the closing price of the underlying stock. As the final stock price is
less than the downside threshold level, you receive a cash payment at maturity calculated
as follows: |
stated principal amount × stock performance
factor = $1,000 × $40.00 / $100.00 = $400.00
In this example, the payment you receive at maturity is significantly
less than the stated principal amount.
| § | In
Example 4, the closing price of the underlying stock decreases to a final stock price
of $50.00. Although the final stock price is less than the initial stock price, because the
final stock price is still not less than the downside threshold level, you receive the stated
principal amount plus a contingent quarterly payment with respect to the final determination
date. Your payment at maturity is calculated as follows: |
$1,000 + $26.875 = $1,026.875
In this example, although the final stock price
represents a 50% decline from the initial stock price, you receive the stated principal amount per security plus the contingent quarterly
payment, equal to a total payment of $1,026.875 per security at maturity.
The hypothetical returns and hypothetical payments
on the securities shown above apply only if you hold the securities for their entire term or until early redemption. These hypotheticals
do not reflect fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included,
the hypothetical returns and hypothetical payments shown above would likely be lower.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due July 1, 2027
Based on the Performance of the American Depositary Shares of Taiwan Semiconductor Manufacturing Company Limited
Principal at Risk Securities
Risk Factors
The following is a non-exhaustive list of certain key risk factors
for investors in the securities. For further discussion of these and other risks, you should read the sections entitled “Risk Factors”
of the accompanying prospectus supplement and the accompanying product supplement and in Annex A to the accompanying prospectus addendum.
We urge you to consult your investment, legal, tax, accounting and other advisers in connection with your investment in the securities.
Risks Relating to the
Securities Generally
| § | The
securities do not guarantee the return of any principal and your investment in the securities
may result in a loss. The terms of the securities differ from those of ordinary debt
securities in that the securities do not guarantee the return of any of the principal amount
at maturity. Instead, if the securities have not been automatically redeemed prior to maturity
and if the final stock price is less than the downside threshold level, you will be exposed
to the decline in the closing price of the underlying stock, as compared to the initial stock
price, on a 1-to-1 basis and you will receive for each security that you hold at maturity
a cash payment equal to the stated principal amount times the stock performance factor.
In this case, your payment at maturity will be less than 50% of the stated principal amount
and could be zero. |
| § | You
will not receive any contingent quarterly payment for any quarterly period if the closing
price of the underlying stock on the relevant determination date is less than the downside
threshold level. The terms of the securities differ from those of ordinary debt securities
in that the securities do not guarantee the payment of regular interest. Instead, a contingent
quarterly payment will be made with respect to a quarterly period only if the closing price
of the underlying stock on the relevant determination date is greater than or equal to the
downside threshold level. If the closing price of the underlying stock is below the downside
threshold level on any determination date, you will not receive a contingent quarterly payment
for the relevant quarterly period. It
is possible that the closing price of the underlying stock could
be below the downside threshold level on most or all of the determination dates so that you
will receive few
or no contingent quarterly payments. If you do not earn sufficient contingent quarterly payments
over the term of the securities, the overall return on the securities may be less than the
amount that would be paid on one of our conventional debt securities of comparable maturity. |
| § | The
contingent quarterly payment is based solely on the closing prices of the underlying stock
on the specified determination dates.
Whether the contingent quarterly payment will be made with respect to a determination
date will be based on the closing price of the underlying stock on that determination date.
As a result, you will not know whether you will receive the contingent quarterly payment
until the related determination date. Moreover, because the contingent quarterly payment
is based solely on the closing price of the underlying stock on a specific determination
date, if that closing price is less than the downside threshold level, you will not receive
any contingent quarterly payment with respect to that determination date, even if the closing
price of the underlying stock was higher on other days during the term of the securities. |
| § | The
securities are subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co.,
and any actual or anticipated changes to our or JPMorgan Chase & Co.’s
credit ratings or credit spreads may adversely affect the market value of the securities.
Investors are dependent on our and JPMorgan Chase & Co.’s
ability to pay all amounts due on the securities. Any actual or anticipated decline in our
or JPMorgan Chase & Co.’s credit ratings or increase in our or JPMorgan
Chase & Co.’s credit spreads determined by the market for taking that
credit risk is likely to adversely affect the market value of the securities. If we and JPMorgan
Chase & Co. were to default on our payment obligations, you may not receive
any amounts owed to you under the securities and you could lose your entire investment. |
| § | As
a finance subsidiary, JPMorgan Financial has no independent operations and has limited assets.
As a finance subsidiary of JPMorgan Chase & Co., we have no independent
operations beyond the issuance and administration of our securities and the collection of
intercompany obligations. Aside from the initial capital contribution from JPMorgan Chase & Co.,
substantially all of our assets relate to obligations of JPMorgan Chase & Co.
to make payments under loans made by us to JPMorgan Chase & Co. or under other
intercompany agreements. As a result, we are dependent upon payments from JPMorgan Chase & Co.
to meet our obligations under the securities. We are not a key operating subsidiary of JPMorgan
Chase & Co. and in a bankruptcy or resolution of JPMorgan Chase & Co.
we are not expected to have sufficient resources to meet our obligations in respect of the
securities as they come due. If JPMorgan Chase & Co. does not make payments
to us and we are unable to make payments on the securities, you may have to seek payment
under the related guarantee by JPMorgan Chase & Co., and that guarantee will
rank pari passu with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
For more information, see the accompanying prospectus addendum. |
| § | Investors
will not participate in any appreciation of the underlying stock. Investors
will not participate in any appreciation of the underlying stock from the initial stock price,
and the return on the securities will be limited to the |
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due July 1, 2027
Based on the Performance of the American Depositary Shares of Taiwan Semiconductor Manufacturing Company Limited
Principal at Risk Securities
contingent quarterly payment that
is paid with respect to each determination date on which the closing price is greater than
or equal to the downside threshold level, if any.
| § | Early
redemption risk. The term of your investment in the
securities may be limited to as short as approximately three months by the automatic early
redemption feature of the securities. If the securities are redeemed prior to maturity, you
will receive no more contingent quarterly payments and may be forced to reinvest in a lower
interest rate environment and you may not be able to reinvest the proceeds from an investment
in the securities at a comparable return for a similar level of risk. |
| § | Secondary
trading may be limited. The securities
will not be listed on a securities exchange. There may be little or no secondary market for
the securities. Even if there is a secondary market, it may not provide enough liquidity
to allow you to trade or sell the securities easily.
JPMS may act as a market maker for the securities, but is not required to do so. Because
we do not expect that other market makers will participate significantly in the secondary
market for the securities, the price at which you may be able to trade your securities is
likely to depend on the price, if any, at which JPMS
is willing to buy the securities. If at any time JPMS
or another agent does not act as a market maker, it is likely that there would be
little or no secondary market for the securities. |
| § | The
U.S. federal income tax consequences of an investment in the securities are uncertain. There
is no direct legal authority as to the proper U.S. federal income tax treatment of the securities,
and we do not intend to request a ruling from the IRS. The IRS might not accept, and a court
might not uphold, the treatment of the securities as prepaid forward contracts with associated
contingent coupons, as described in “Additional Information about the Securities —
Additional Provisions — Tax considerations” in this document and in “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement. If the
IRS were successful in asserting an alternative treatment for the securities, the timing
and character of any income or loss on the securities could be materially affected. Although
the U.S. federal income tax treatment of contingent quarterly payments (including any contingent
quarterly payments paid in connection with an early redemption or at maturity) is uncertain,
in determining our reporting responsibilities we intend (in the absence of an administrative
determination or judicial ruling to the contrary) to treat any contingent quarterly payments
as ordinary income. 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 securities,
possibly with retroactive effect. You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement and consult
your tax adviser regarding the U.S. federal income tax consequences of an investment in the
securities, including possible alternative treatments and the issues presented by this notice. |
Non-U.S. Holders — Tax Considerations.
The U.S. federal income tax treatment of contingent quarterly payments is uncertain, and although we believe it is reasonable to
take a position that contingent quarterly payments 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 quarterly
payment 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 securities 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 securities, including
the possibility of obtaining a refund of any withholding tax and the certification requirement described above.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due July 1, 2027
Based on the Performance of the American Depositary Shares of Taiwan Semiconductor Manufacturing Company Limited
Principal at Risk Securities
Risks Relating to Conflicts of
Interest
| § | Economic
interests of the issuer, the guarantor, the calculation agent, the agent of the offering
of the securities and other affiliates of the issuer may be different from those of investors.
We and our affiliates play a variety of roles in connection with the issuance of the
securities, including acting as calculation agent and as an agent of the offering of the
securities, hedging our obligations under the securities and making the assumptions used
to determine the pricing of the securities and the estimated value of the securities, which
we refer to as the estimated value of the securities. In performing these duties, our and
JPMorgan Chase & Co.’s economic interests and the economic interests
of the calculation agent and other affiliates of ours are potentially adverse to your interests
as an investor in the securities. The calculation agent has determined the initial stock
price and the downside threshold level and will determine the final stock price and whether
the closing price of the underlying stock on any determination date is greater than or equal
to the initial stock price or is below the downside threshold level. Determinations made
by the calculation agent, including with respect to the occurrence or non-occurrence of market
disruption events, may affect the payment to you at maturity or whether the securities are
redeemed early.
|
In addition,
our and JPMorgan Chase & Co.’s business activities, including hedging and trading activities, could cause our and
JPMorgan Chase & Co.’s economic interests to be adverse to yours and could adversely affect any payment on the securities
and the value of the securities. It is possible that hedging or trading activities of ours or our affiliates in connection with the securities
could result in substantial returns for us or our affiliates while the value of the securities declines. Please refer to “Risk
Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement for additional information about
these risks.
| § | Hedging
and trading activities by the issuer and its affiliates could potentially affect the value
of the securities. The
hedging or trading activities of the issuer’s affiliates and of any other hedging counterparty
with respect to the securities on or prior to the pricing date and prior to maturity could
have adversely affected, and may continue to adversely affect, the value of the underlying
stock. Any of these hedging or trading activities on or prior to the pricing date could have
affected the initial stock price and, as a result, the downside threshold level, which is
the price at or above which the underlying stock must close on each determination date in
order for you to earn a contingent quarterly payment or, if the securities are not redeemed
prior to maturity, in order for you to avoid being exposed to the negative price performance
of the underlying stock at maturity. Additionally, these hedging or trading activities during
the term of the securities could potentially affect the price of the underlying stock on
the determination dates and, accordingly, whether investors will receive one or more contingent
quarterly payments, whether the securities are automatically redeemed prior to maturity and,
if the securities are not redeemed prior to maturity, the payment to you at maturity. It
is possible that these hedging or trading activities could result in substantial returns
for us or our affiliates while the value of the securities declines. |
Risks Relating to the Estimated Value and Secondary
Market Prices of the Securities
| § | The
estimated value of the securities is lower than the original issue price (price to public)
of the securities. The
estimated value of the securities is only an estimate determined by reference to several
factors. The original issue price of the securities exceeds the estimated value of the securities
because costs associated with selling, structuring and hedging the securities are included
in the original issue price of the securities. These costs include the selling commissions,
the structuring fee, the projected profits, if any, that our affiliates expect to realize
for assuming risks inherent in hedging our obligations under the securities and the estimated
cost of hedging our obligations under the securities. See “Additional Information about
the Securities — The estimated value of the securities” in this document. |
| § | The
estimated value of the securities does not represent future values of the securities and
may differ from others’ estimates. The estimated value of the securities is determined
by reference to internal pricing models of our affiliates. This
estimated value of the securities is based on market conditions and other relevant factors
existing at the time of pricing and assumptions about market parameters, which can include
volatility, dividend rates, interest rates and other factors. Different pricing models and
assumptions could provide valuations for the securities that are greater than or less than
the estimated value of the securities. In addition, market conditions and other relevant
factors in the future may change, and any assumptions may prove to be incorrect. On future
dates, the value of the securities could change significantly based on, among other things,
changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness,
interest rate movements and other relevant factors, which may impact the price, if any, at
which JPMS would be willing to buy securities from you in secondary market transactions.
See “Additional Information about the Securities — The estimated value of the
securities” in this document. |
| § | The
estimated value of the securities is derived by reference to an internal funding rate.
The internal funding rate used in the determination of
the estimated value of the securities may differ from the market-implied funding rate for
vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co.
or its affiliates. Any |
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due July 1, 2027
Based on the Performance of the American Depositary Shares of Taiwan Semiconductor Manufacturing Company Limited
Principal at Risk Securities
difference may be based on, among other things, our and our
affiliates’ view of the funding value of the securities as well as the higher issuance, operational and ongoing liability management
costs of the securities in comparison to those costs for
the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based on certain market
inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate
for the securities. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms
of the securities and any secondary market prices of the securities. See “Additional Information about the Securities — The
estimated value of the securities” in this document.
| § | The
value of the securities as published by JPMS (and which may be reflected on customer account
statements) may be higher than the then-current estimated value of the securities for a limited
time period. We generally expect that some of the costs
included in the original issue price of the securities will be partially paid back to you
in connection with any repurchases of your securities by JPMS in an amount that will decline
to zero over an initial predetermined period. These costs can include selling commissions,
the structuring fee, projected hedging profits, if any, and, in some circumstances, estimated
hedging costs and our internal secondary market funding rates for structured debt issuances.
See “Additional Information about the Securities — Secondary market prices of
the securities” in this document for additional information relating to this initial
period. Accordingly, the estimated value of your securities during this initial period may
be lower than the value of the securities as published by JPMS (and which may be shown on
your customer account statements). |
| § | Secondary
market prices of the securities will likely be lower than the original issue price of the
securities. Any secondary market prices of the securities
will likely be lower than the original issue price of the securities because, among other
things, secondary market prices take into account our internal secondary market funding rates
for structured debt issuances and, also, because secondary market prices may exclude selling
commissions, the structuring fee, projected hedging profits, if any, and estimated hedging
costs that are included in the original issue price of the securities. As a result, the price,
if any, at which JPMS will be willing to buy securities from you in secondary market transactions,
if at all, is likely to be lower than the original issue price. Any sale by you prior to
the maturity date could result in a substantial loss to you. See the immediately following
risk factor for information about additional factors that will impact any secondary market
prices of the securities. |
The securities
are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your securities to maturity.
See “— Risks Relating to the Securities Generally — Secondary trading may be limited” above.
| § | Secondary
market prices of the securities will be impacted by many economic and market factors.
The secondary market price of the securities during their term will be impacted by a number
of economic and market factors, which may either offset or magnify each other, aside from
the selling commissions, structuring fee, projected hedging profits, if any, estimated hedging
costs and the closing price of one share of the underlying stock, including: |
| o | any
actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness
or credit spreads; |
| o | customary
bid-ask spreads for similarly sized trades; |
| o | our
internal secondary market funding rates for structured debt issuances; |
| o | the
actual and expected volatility in the prices of the underlying stock; |
| o | the
time to maturity of the securities; |
| o | whether
the closing price of one share of the underlying stock has been, or is expected to be, less
than the downside threshold level on any determination date and whether the final stock price
is expected to be less than the downside threshold level; |
| o | the
likelihood of an early redemption being triggered; |
| o | the
dividend rate on the underlying stock; |
| o | interest
and yield rates in the market generally; |
| o | the
occurrence of certain events affecting the issuer of the underlying stock that may or may
not require an adjustment to the stock adjustment factor, including a merger or acquisition;
and |
| o | a variety
of other economic, financial, political, regulatory and judicial events. |
Additionally, independent pricing vendors
and/or third party broker-dealers may publish a price for the securities, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the securities, if any, at which JPMS may be willing to purchase your
securities in the secondary market.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due July 1, 2027
Based on the Performance of the American Depositary Shares of Taiwan Semiconductor Manufacturing Company Limited
Principal at Risk Securities
Risks Relating to the Underlying
Stock
| § | There
are risks associated with investments in securities linked to the value of equity securities
issued by a non-U.S. company. The underlying stock is issued by a non-U.S. company.
Investments in securities linked to the value of any equity securities issued by a non-U.S.
company involve risks associated with the home country of that company. The prices of securities
issued by non-U.S. companies may be affected by political, economic, financial and social
factors in those countries, or global regions, including changes in government, economic
and fiscal policies and currency exchange laws. Moreover, the economy of that country
may differ favorably or unfavorably from the economy of the United States in such respects
as growth of gross national product, rate of inflation, capital reinvestment, resources and
self-sufficiency. That country may be subjected to different and, in some cases, more
adverse economic environments. |
| § | The
securities entail emerging markets risk. The underlying stock is issued by a non-U.S.
company conducting business in an emerging markets country (Taiwan). Countries with
emerging markets may have relatively unstable governments, may present the risks of nationalization
of businesses, restrictions on foreign ownership and prohibitions on the repatriation of
assets, and may have less protection of property rights than more developed countries.
The economies of countries with emerging markets may be based on only a few industries, may
be highly vulnerable to changes in local or global trade conditions, and may suffer from
extreme and volatile debt burdens or inflation rates. Local securities markets may
trade a small number of securities and may be unable to respond effectively to increases
in trading volume, potentially making prompt liquidation of holdings difficult or impossible
at times. |
| § | The
securities are subject to currency exchange rate risk.
Because the Taiwan Semiconductor ADSs are quoted and traded in U.S. dollars
on the New York Stock Exchange and the Taiwan Semiconductor underlying
securities are quoted and traded in New Taiwan dollars on the Taiwan Stock Exchange,
fluctuations in the exchange rate between the New Taiwan dollar and the U.S. dollar will
likely affect the relative value of the Taiwan Semiconductor ADSs and the Taiwan Semiconductor
underlying securities
in the two currencies and, as a result, will likely affect the market price of the
Taiwan Semiconductor ADSs trading on the New York Stock Exchange. These trading differences
and currency exchange rates may affect the market value of the securities and whether the
underlying stock will fall below the downside threshold level. The New Taiwan dollar
has been subject to fluctuations against the U.S. dollar in the past and may be subject to
significant fluctuations in the future. Previous fluctuations or periods of relative
stability in the exchange rate between the New Taiwan dollar and the U.S. dollar are not
necessarily indicative of fluctuations or periods of relative stability in that rate that
may occur over the term of the securities. The exchange rate between the New Taiwan
dollar and the U.S. dollar is the result of the supply of, and the demand for, those currencies.
Changes in the exchange rate results over time from the interaction of many factors directly
or indirectly affecting economic and political conditions in Taiwan and the United States,
including economic and political developments in other countries. Of particular importance
are rates of inflation, interest rate levels, the balance of payments, any political, civil
or military unrest and the extent of governmental surpluses or deficits in Taiwan and the
United States, all of which are in turn sensitive to the monetary, fiscal and trade policies
pursued by Taiwan and the United States and other jurisdictions important to international
trade and finance. |
| § | There
are important differences between the rights of holders of Taiwan Semiconductor ADSs and
the rights of holders of the Taiwan Semiconductor underlying securities. The underlying
stock is not the Taiwan Semiconductor underlying securities represented by the Taiwan Semiconductor
ADSs, and there exist important differences between the rights of holders of Taiwan Semiconductor
ADSs and the rights of holders of the Taiwan Semiconductor underlying securities. Each
Taiwan Semiconductor ADS is a security evidenced by American depositary receipts that represents
a certain number of Taiwan Semiconductor underlying securities. Generally, American Depositary
Shares (“ADSs”) are issued under a deposit agreement which sets forth the rights
and responsibilities of the depositary, the non-U.S. issuer and holders of the ADSs, which
may be different from the rights of holders of the underlying securities. For example,
the non-U.S. issuer may make distributions in respect of the Taiwan Semiconductor underlying
securities that are not passed on to the holders of Taiwan Semiconductor ADSs. Any
such differences between the rights of holders of Taiwan Semiconductor ADSs and holders of
the Taiwan Semiconductor underlying securities may be significant and may materially and
adversely affect the value of the securities. |
| § | Investing
in the securities is not equivalent to investing in the Taiwan Semiconductor ADSs. Investors
in the securities will not have voting rights or rights to receive dividends or other distributions
or any other rights with respect to the underlying stock. |
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due July 1, 2027
Based on the Performance of the American Depositary Shares of Taiwan Semiconductor Manufacturing Company Limited
Principal at Risk Securities
| § | No
affiliation with Taiwan Semiconductor Manufacturing Company Limited. Taiwan Semiconductor
Manufacturing Company Limited is not an affiliate of ours, is not involved with this offering
in any way, and has no obligation to consider your interests in taking any corporate actions
that might affect the value of the securities. We have not made any due diligence inquiry
with respect to Taiwan Semiconductor Manufacturing Company Limited in connection with this
offering. |
| § | We
may engage in business with or involving Taiwan Semiconductor Manufacturing Company Limited
without regard to your interests. We or our affiliates may presently or from time to
time engage in business with Taiwan Semiconductor Manufacturing Company Limited without regard
to your interests and thus may acquire non-public information about Taiwan Semiconductor
Manufacturing Company Limited. Neither we nor any of our affiliates undertakes to disclose
any such information to you. In addition, we or our affiliates from time to time have published
and in the future may publish research reports with respect to Taiwan Semiconductor Manufacturing
Company Limited, which may or may not recommend that investors buy or hold the underlying
stock. |
| § | Governmental
legislative and regulatory actions, including sanctions, could adversely affect your investment
in the securities. Governmental legislative and
regulatory actions, including, without limitation, sanctions-related actions by the U.S.
or a foreign government, could prohibit or otherwise restrict persons from holding the securities
or the underlying stock, or engaging in transactions in them, and any such action could adversely
affect the value of the securities or the underlying stock. These legislative and regulatory
actions could result in restrictions on the securities or the delisting of the underlying
stock. You may lose a significant portion or all of your initial investment in the
securities, including if the underlying stock is delisted or if you are forced to divest
the securities due to the government mandates, especially if such divestment must be made
at a time when the value of the securities has declined. |
| § | The
anti-dilution protection for the underlying stock is limited and may be discretionary.
The calculation agent will make adjustments to the stock
adjustment factor and other adjustments for certain corporate events affecting the underlying
stock, such as mergers and spin-offs. However, the calculation agent will not make an adjustment
in response to all events that could affect the underlying stock. If an event occurs that
does not require the calculation agent to make an adjustment, the value of the securities
may be materially and adversely affected. You should also be aware that the calculation agent
may make adjustments in response to events that are not described in the accompanying product
supplement to account for any diluting or concentrative effect, but the calculation agent
is under no obligation to do so or to consider your interests as a holder of the securities
in making these determinations. |
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due July 1, 2027
Based on the Performance of the American Depositary Shares of Taiwan Semiconductor Manufacturing Company Limited
Principal at Risk Securities
Taiwan Semiconductor Manufacturing Company Limited
Overview
Taiwan Semiconductor Manufacturing Company Limited, a Taiwanese company,
is a foundry that manufactures semiconductors using its manufacturing processes for its customers based on proprietary integrated circuit
designs provided by them. The underlying stock is registered under the Securities Exchange Act of 1934, as amended (the “Exchange
Act”) and is listed on the New York Stock Exchange. Information provided to or filed with the SEC by Taiwan Semiconductor Manufacturing
Company Limited pursuant to the Exchange Act can be located by reference to the SEC file number 001-14700 through the SEC’s website
at www.sec.gov.
Information as of market close on June 28, 2024:
Bloomberg
Ticker Symbol: |
TSM |
52
Week High (on 6/18/2024): |
$179.69 |
Current
Closing Price: |
$173.81 |
52
Week Low (on 9/26/2023): |
$84.29 |
52
Weeks Ago (on 6/28/2023): |
$100.92 |
|
|
The table below sets forth the published high and low closing prices
of, as well as dividends on, the underlying stock for each quarter in the period from January 1, 2019 through June 28, 2024. The closing
price of the underlying stock on June 28, 2024 was $173.81. The associated graph shows the closing prices of the underlying stock for
each day in the same period. We obtained the closing price information above and the information in the table and graph below from the
Bloomberg Professional® service (“Bloomberg”), without independent verification. The closing prices may have
been adjusted by Bloomberg for corporate actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings
and bankruptcy.
Since its inception, the closing price of the underlying stock has
experienced significant fluctuations. The historical performance of the underlying stock should not be taken as an indication of its
future performance, and no assurance can be given as to the price of the underlying stock at any time, including on the determination
dates.
American
Depositary Shares of Taiwan
Semiconductor Manufacturing Company Limited |
High |
Low |
Dividends
(Declared) |
2019 |
|
|
|
First
Quarter |
$41.04 |
$34.36 |
— |
Second
Quarter |
$45.42 |
$37.65 |
$1.0180740 |
Third
Quarter |
$46.48 |
$39.32 |
$0.5855028 |
Fourth
Quarter |
$59.23 |
$46.43 |
$0.3284440 |
2020 |
|
|
|
First
Quarter |
$60.32 |
$43.89 |
$0.3348590 |
Second
Quarter |
$57.55 |
$46.51 |
$0.3436690 |
Third
Quarter |
$85.85 |
$56.82 |
$0.3526780 |
Fourth
Quarter |
$109.04 |
$80.8 |
$0.3474780 |
2021 |
|
|
|
First
Quarter |
$140.05 |
$108.96 |
$0.3520250 |
Second
Quarter |
$124.8 |
$108.21 |
$0.3880840 |
Third
Quarter |
$124.7 |
$108.12 |
$0.3926150 |
Fourth
Quarter |
$124.75 |
$109.02 |
$0.3757340 |
2022 |
|
|
|
First
Quarter |
$140.66 |
$99.29 |
$0.3646470 |
Second
Quarter |
$104.79 |
$81.75 |
$0.3435650 |
Third
Quarter |
$91.57 |
$68.56 |
$0.3533660 |
Fourth
Quarter |
$82.98 |
$60.28 |
$0.3563460 |
2023 |
|
|
|
First
Quarter |
$97.96 |
$74.03 |
$0.3468000 |
Second
Quarter |
$107.41 |
$82.25 |
$0.3674410 |
Third
Quarter |
$105.57 |
$84.29 |
$0.3817650 |
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due July 1, 2027
Based on the Performance of the American Depositary Shares of Taiwan Semiconductor Manufacturing Company Limited
Principal at Risk Securities
American
Depositary Shares of Taiwan
Semiconductor Manufacturing Company Limited |
High |
Low |
Dividends
(Declared) |
Fourth
Quarter |
$104.7 |
$85.41 |
$0.4310220 |
2024 |
|
|
|
First
Quarter |
$149.20 |
$99.13 |
$0.4299890 |
Second
Quarter (through June 28, 2024) |
$179.69 |
$127.70 |
$0.4865130 |
We make no representation as to the amount of dividends, if any, that
Taiwan Semiconductor Manufacturing Company Limited may pay in the future. In any event, as an investor in the securities, you will not
be entitled to receive dividends, if any, that may be payable on the underlying stock.
The
American Depositary Shares of Taiwan Semiconductor Manufacturing Company Limited – Daily Closing Prices*
January 2, 2019 to June 28, 2024 |
|
*The dotted line in the graph indicates the downside threshold
level, equal to 50% of the initial stock price.
|
This document relates only to the securities offered hereby and does
not relate to the underlying stock or other securities of Taiwan Semiconductor Manufacturing Company Limited. We have derived all disclosures
contained in this document regarding the underlying stock from the publicly available documents described in the first paragraph under
this “Taiwan Semiconductor Manufacturing Company Limited Overview” section without independent verification. In connection
with the offering of the securities, neither we nor the agent has participated in the preparation of such documents or made any due diligence
inquiry with respect to Taiwan Semiconductor Manufacturing Company Limited. Neither we nor the agent makes any representation that such
publicly available documents or any other publicly available information regarding Taiwan Semiconductor Manufacturing Company Limited
is accurate or complete. Furthermore, we cannot give any assurance that all events occurring prior to the date hereof (including events
that would affect the accuracy or completeness of the publicly available documents described in the first paragraph under this “Taiwan
Semiconductor Manufacturing Company Limited Overview” section) that would affect the trading price of the underlying stock (and
therefore the price of the underlying stock at the time the securities are priced) have been publicly disclosed. Subsequent disclosure
of any such events or the disclosure of or failure to disclose material future events concerning Taiwan Semiconductor Manufacturing Company
Limited could affect the value received at maturity with respect to the securities and therefore the trading prices of the securities.
Neither
we nor any of our affiliates makes any representation to you as to the performance of the underlying stock.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due July 1, 2027
Based on the Performance of the American Depositary Shares of Taiwan Semiconductor Manufacturing Company Limited
Principal at Risk Securities
Additional Information about the Securities
Please read this information in conjunction with the terms on the
front cover of this document.
Additional
Provisions |
|
Record
date: |
The record date
for each contingent payment date is the date one business day prior to that contingent payment date. |
Postponement
of maturity date: |
If the scheduled maturity date is not a business day,
then the maturity date will be the following business day. If the scheduled final determination date is not a trading
day or if a market disruption event occurs on that day so that the final determination date is postponed and falls less than three
business days prior to the scheduled maturity date, the maturity date of the securities will be postponed to the third business day
following that final determination date as postponed. |
Minimum
ticketing size: |
$1,000/1 security |
Trustee: |
Deutsche Bank Trust Company Americas (formerly Bankers
Trust Company) |
Calculation
agent: |
JPMS |
The
estimated value of the securities: |
The estimated value of the securities set forth on the
cover of this document is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component
with the same maturity as the securities, valued using the internal funding rate described below, and (2) the derivative or derivatives
underlying the economic terms of the securities. The estimated value of the securities does not represent a minimum price at which
JPMS would be willing to buy your securities in any secondary market (if any exists) at any time. The internal funding rate used
in the determination of the estimated value of the securities may differ from the market-implied funding rate for vanilla fixed income
instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on,
among other things, our and our affiliates’ view of the funding value of the securities as well as the higher issuance, operational
and ongoing liability management costs of the securities in comparison to those costs for the conventional fixed income instruments
of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove
to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the securities. The use of an
internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the securities and any secondary
market prices of the securities. For additional information, see “Risk Factors — Risks Relating to the Estimated Value
and Secondary Market Prices of the Securities — The estimated value of the securities is derived by reference to an internal
funding rate” in this document. The value of the derivative or derivatives underlying the economic terms of the securities
is derived from internal pricing models of our affiliates. These models are dependent on inputs such as the traded market prices
of comparable derivative instruments and on various other inputs, some of which are market-observable, and which can include volatility,
dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments. Accordingly,
the estimated value of the securities on the pricing date is based on market conditions and other relevant factors and assumptions
existing at that time. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Securities
— The estimated value of the securities does not represent future values of the securities and may differ from others’
estimates” in this document.
The estimated value of the securities is lower than the
original issue price of the securities because costs associated with selling, structuring and hedging the securities are included
in the original issue price of the securities. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated
dealers, the structuring fee, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in
hedging our obligations under the securities and the estimated cost of hedging our obligations under the securities. Because hedging
our obligations entails risk and may be influenced by market forces beyond our control, this hedging may result in a profit that
is more or less than expected, or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations
under the securities may be allowed to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain
any remaining hedging profits. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices
of the Securities — The estimated value of the securities is lower than the original issue price (price to public) of the securities”
in this document. |
Secondary
market prices of the securities: |
For information about factors that will impact any
secondary market prices of the securities, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Securities — Secondary market prices of the securities will be impacted by many economic and market factors”
in this document. In addition, we generally expect that some of the costs included in the original issue price of the securities
will be partially paid back to you in connection with any repurchases of your securities by JPMS in an amount that will decline to
zero over an initial predetermined period that is intended to be the shorter of two years and one-half of the stated term of the
securities. The length of any such initial period reflects the structure of the securities, whether our affiliates expect
to earn a profit in connection with our hedging activities, the estimated costs of hedging the securities and when these costs are
incurred, as determined by our affiliates. See “Risk Factors — Risks Relating to the Estimated Value and Secondary
Market Prices of the Securities — The value of the securities as |
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due July 1, 2027
Based on the Performance of the American Depositary Shares of Taiwan Semiconductor Manufacturing Company Limited
Principal at Risk Securities
|
published by JPMS (and which may be reflected
on customer account statements) may be higher than the then-current estimated value of the securities for a limited time period.” |
Tax
considerations: |
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. In determining our reporting responsibilities
we intend to treat (i) the securities for U.S. federal income tax purposes as prepaid forward contracts with associated contingent
coupons and (ii) any contingent quarterly payments 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, in which case the timing and character of any income or loss on the securities 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 securities, 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 securities, 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 quarterly payments is uncertain, and although we believe it is reasonable to take a position that
contingent quarterly payments 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 quarterly payment 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 securities 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 securities, including
the possibility of obtaining a refund of any withholding tax and the certification requirement described above.
In the event of any withholding on the securities, we will not
be required to pay any additional amounts with respect to amounts so withheld. |
Supplemental
use of proceeds and hedging: |
The securities are offered to meet investor demand for products that
reflect the risk-return profile and market exposure provided by the securities. See “How the Securities Work” and “Hypothetical
Examples” in this document for an illustration of the risk-return profile of the securities and “Taiwan Semiconductor
Manufacturing Company Limited Overview” in this document for a description of the market exposure provided by the securities.
The original issue price of the securities is equal to
the estimated value of the securities plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers and
the structuring fee, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent
in hedging our obligations under the securities, plus the estimated cost of hedging our obligations under the securities. |
Benefit
plan investor considerations: |
See “Benefit Plan Investor Considerations”
in the accompanying product supplement |
Supplemental
plan of distribution: |
Subject to regulatory constraints, JPMS intends to use its reasonable
efforts to offer to purchase the securities in the secondary market, but is not required to do so. JPMS, acting as agent for JPMorgan
Financial, will pay all of the selling commissions it receives from us to Morgan Stanley Wealth Management. In addition, Morgan Stanley
Wealth Management will receive a structuring fee as set forth on the cover of this document for each security.
We or our affiliate may enter into swap agreements or related
hedge transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the securities
and JPMS and/or an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions.
See “— Supplemental use of proceeds and hedging” above and “Use of Proceeds and Hedging” in the accompanying
product supplement. |
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due July 1, 2027
Based on the Performance of the American Depositary Shares of Taiwan Semiconductor Manufacturing Company Limited
Principal at Risk Securities
Validity
of the securities and the guarantee: |
In the opinion of Davis Polk & Wardwell
LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the securities offered by this
pricing supplement have been issued by JPMorgan Financial pursuant to the indenture, the trustee and/or paying agent has made, in
accordance with the instructions from JPMorgan Financial, the appropriate entries or notations in its records relating to the master
global note that represents such securities (the “master note”), and such securities have been delivered against payment
as contemplated herein, such securities will be valid and binding obligations of JPMorgan Financial and the related guarantee will
constitute a valid and binding obligation of JPMorgan Chase & Co., enforceable in accordance with their terms, subject
to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and
equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of
bad faith), provided that such counsel expresses no opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer
or similar provision of applicable law on the conclusions expressed above or (ii) any provision of the indenture that purports to
avoid the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law by limiting the amount of JPMorgan
Chase & Co.’s obligation under the related guarantee. This opinion is given as of the date hereof
and is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited
Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustee’s authorization,
execution and delivery of the indenture and its authentication of the master note and the validity, binding nature and enforceability
of the indenture with respect to the trustee, all as stated in the letter of such counsel dated February 24, 2023, which was filed
as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February
24, 2023. |
Where you can find more information: |
You should read this document together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement, relating to our Series A medium-term notes of which these
securities are a part, the accompanying prospectus addendum, and the more detailed information contained in the accompanying product
supplement.
This document, together with the documents listed below, contains
the terms of the securities and supersedes all other prior or contemporaneous oral statements as well as any other written materials
including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures,
stand-alone fact sheets, brochures or other educational materials of ours. You should carefully consider, among other things, the
matters set forth in the “Risk Factors” sections of the accompanying prospectus supplement and the accompanying product
supplement and in Annex A to the accompanying prospectus addendum, as the securities involve risks not associated with conventional
debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the 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):
· Product
supplement no. 4-I dated April 13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000121390023029539/ea152803_424b2.pdf
· Prospectus
supplement and prospectus, each dated April 13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000095010323005751/crt_dp192097-424b2.pdf
· Prospectus
addendum dated June 3, 2024:
http://www.sec.gov/Archives/edgar/data/1665650/000095010324007599/dp211753_424b3.htm
Our Central Index Key, or CIK, on the SEC website is 1665650,
and JPMorgan Chase & Co.’s CIK is 19617.
As used in this document, “we,” “us,”
and “our” refer to JPMorgan Financial. |
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 $7,073,000.
JP Morgan Alerian MLP (AMEX:AMJ)
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JP Morgan Alerian MLP (AMEX:AMJ)
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から 7 2023 まで 7 2024