August 14, 2024 |
Registration Statement Nos. 333-270004 and 333-270004-01; Rule 424(b)(2) |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024070064/image_001.jpg)
JPMorgan Chase Financial Company LLC
Structured Investments
$295,000
Review Notes Linked to the MerQube US Tech+ Vol Advantage
Index due August 17, 2029
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
| · | The notes are designed for investors who seek early exit prior to maturity at a premium if, on any Review Date, the closing level
of the MerQube US Tech+ Vol Advantage Index, which we refer to as the Index, is at or above the applicable Call Value. |
| · | The earliest date on which an automatic call may be initiated is August 15, 2025. |
| · | Investors should be willing to forgo interest and dividend payments and be willing to accept the risk of losing some or all of their
principal amount at maturity. |
| · | The Index is subject to a 6.0% per annum daily deduction, and the performance of the Invesco QQQ TrustSM, Series 1 (the
“QQQ Fund”) is subject to a notional financing cost. These deductions will offset any appreciation of the components of the
Index, will heighten any depreciation of those components and will generally be a drag on the performance of the Index. The Index will
trail the performance of an identical index without such deductions. See “Selected Risk Considerations — Risks Relating to
the Notes Generally — The Level of the Index Will Include a 6.0% per Annum Daily Deduction” and “Selected Risk Considerations
— Risks Relating to the Notes Generally — The Level of the Index Will Include the Deduction of a Notional Financing Cost”
in this pricing supplement. |
| · | The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial,
the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes is subject to the
credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor of the notes. |
| · | Minimum denominations of $1,000 and integral multiples thereof |
| · | The notes priced on August 14, 2024 and are expected to settle on or about August 19, 2024. |
Investing in the notes involves a number
of risks. See “Risk Factors” beginning on page S-2 of the accompanying prospectus supplement, Annex A to the accompanying
prospectus addendum, “Risk Factors” beginning on page PS-11 of the accompanying product supplement, “Risk Factors”
beginning on page US-4 of the accompanying underlying supplement and “Selected Risk Considerations” beginning on page PS-6
of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing
supplement or the accompanying product supplement, underlying supplement, prospectus supplement, prospectus and prospectus addendum. Any
representation to the contrary is a criminal offense.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
Per note |
$1,000 |
$50 |
$950 |
Total |
$295,000 |
$14,750 |
$280,250 |
(1) See “Supplemental Use of Proceeds” in
this pricing supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer to as
JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions of $50.00 per $1,000 principal amount note it receives
from us to other affiliated or unaffiliated dealers. See “Plan of Distribution (Conflicts of Interest)” in the accompanying
product supplement. |
The estimated value of the notes, when the terms of the notes were
set, was $905.50 per $1,000 principal amount note. See “The Estimated Value of the Notes” in this pricing supplement for additional
information.
The notes are not bank deposits, are not insured by the Federal
Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Pricing supplement to product supplement no. 4-I dated
April 13, 2023, underlying supplement no. 5-II dated March 5, 2024,
the prospectus and prospectus supplement, each dated April 13, 2023, and the prospectus addendum dated June 3, 2024
Key Terms
Issuer: JPMorgan
Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor:
JPMorgan Chase & Co.
Index: The
MerQube US Tech+ Vol Advantage Index (Bloomberg ticker: MQUSTVA). The level of the Index reflects a deduction of 6.0% per annum that accrues
daily, and the performance of the QQQ Fund is subject to a notional financing cost that accrues daily.
Call Premium Amount:
The Call Premium Amount with respect to each Review Date is calculated as follows:
$1,000 × Call
Premium Rate × N / 252,
where N is equal to 253 + the number of
Review Dates preceding that Review Date. For example, for the first Review Date, N = 253 (equal to 253 + 0), for the second Review
Date, N = 254 (equal to 253 + 1) and for the final Review Date, N = 1,256 (equal to 253 + 1,003).
Call Premium Rate:
15.60%
Call
Value: The Call Value with respect to each Review Date
is set forth below:
| · | first through 1,003rd
Review Dates: 100.00% of the Initial Value |
| · | final
Review Date: 60.00% of the Initial Value |
Barrier Amount: 60.00%
of the Initial Value, which is 6,524.364
Pricing
Date: August 14, 2024
Original Issue Date
(Settlement Date): On or about August 19, 2024
Review Dates: Each
scheduled trading day from and including August 15, 2025 to and including August 14, 2029* (final Review Date)
Call Settlement Date*:
If the notes are automatically called on any Review Date, the third business
day immediately following that Review Date, provided that if that Review Date is the final Review Date, the Call Settlement Date
will be the Maturity Date
Maturity Date*: August
17, 2029
* Subject to postponement in the event of a market disruption event and as
described under “Supplemental Terms of the Notes — Postponement of a Determination Date — Notes Linked Solely to an
Index” in the accompanying underlying supplement and “General Terms of Notes — Postponement of a Payment Date”
in the accompanying product supplement, as supplemented by “Supplemental Terms of the Notes” in this pricing supplement
Automatic Call:
If the closing level of the Index on any Review Date is greater than
or equal to the applicable Call Value, the notes will be automatically called for a cash payment, for each $1,000 principal amount note,
equal to (a) $1,000 plus (b) the Call Premium Amount applicable to that Review Date, payable on the applicable Call Settlement
Date. No further payments will be made on the notes.
Payment at Maturity:
If the notes have not been automatically
called (and therefore the Final Value is less than the Barrier Amount), your payment at maturity per $1,000 principal amount note will
be calculated as follows:
$1,000 +
($1,000 × Index Return)
If the notes have not been
automatically called (and therefore the Final Value is less than the Barrier Amount), you will lose more than 40.00% of your principal
amount at maturity and could lose all of your principal amount at maturity.
Index Return:
(Final Value – Initial Value)
Initial Value
Initial Value: The
closing level of the Index on the Pricing Date
Final Value: The
closing level of the Index on the final Review Date, which was 10,873.94
PS-1
| Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol Advantage Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024070064/image_001.jpg) |
The MerQube
US Tech+ Vol Advantage Index
The MerQube US Tech+ Vol Advantage Index (the “Index”)
was developed by MerQube (the “Index Sponsor” and “Index Calculation Agent”), in coordination with JPMS, and is
maintained by the Index Sponsor and is calculated and published by the Index Calculation Agent. The Index was established on June 22,
2021. An affiliate of ours currently has a 10% equity interest in the Index Sponsor, with a right to appoint an employee of JPMS, another
of our affiliates, as a member of the board of directors of the Index Sponsor.
Since February 9, 2024 (the “Amendment Effective
Date”), the underlying asset to which the Index is linked (the “Underlying Asset”) has been an unfunded position in
the QQQ Fund, calculated as the excess of the total return of the QQQ Fund over a notional financing cost. Prior to the Amendment Effective
Date, the Underlying Asset was an unfunded rolling position in E-Mini Nasdaq-100 futures (the “Futures Contracts”).
The investment objective of the QQQ Fund is to seek to
track the investment results, before fees and expenses, of the Nasdaq-100 Index®. For more information about the QQQ Fund
and the Nasdaq-100 Index®, see “Background on the Invesco QQQ TrustSM, Series 1” and “Background
on the Nasdaq-100 Index®,” respectively, in the accompanying underlying supplement.
The Index attempts to provide a dynamic rules-based exposure
to the Underlying Asset, while targeting a level of implied volatility, with a maximum exposure to the Underlying Asset of 500% and a
minimum exposure to the Underlying Asset of 0%. The Index is subject to a 6.0% per annum daily deduction, and the performance of the Underlying
Asset is subject to a notional financing cost deducted daily.
On each weekly Index rebalance day, the exposure to the
Underlying Asset is set equal to (a) the 35% implied volatility target (the “target volatility”) divided by (b) the
one-week implied volatility of the QQQ Fund, subject to a maximum exposure of 500%. For example, if the implied volatility of the QQQ
Fund is equal to 17.5%, the exposure to the Underlying Asset will equal 200% (or 35% / 17.5%) and if the implied volatility of the QQQ
Fund is equal to 40%, the exposure to the Underlying Asset will equal 87.5% (or 35% / 40%). The Index’s exposure to the Underlying
Asset will be greater than 100% when the implied volatility of the QQQ Fund is below 35%, and the Index’s exposure to the Underlying
Asset will be less than 100% when the implied volatility of the QQQ Fund is above 35%. In general, the Index’s target volatility
feature is expected to result in the volatility of the Index being more stable over time than if no target volatility feature were employed.
No assurance can be provided that the volatility of the Index will be stable at any time. The Index uses the implied volatility of the
QQQ Fund as a proxy for the realized volatility of the Underlying Asset.
The Index tracks the performance of the QQQ Fund, with
distributions, if any, notionally reinvested, less the daily deduction of a notional financing cost. The notional financing cost
is intended to approximate the cost of maintaining a position in the QQQ Fund using borrowed funds at a rate of interest equal to SOFR
plus a spread of 0.50% per annum. SOFR, the Secured Overnight Financing Rate, is intended to be a broad measure of the cost of
borrowing cash overnight collateralized by Treasury securities. The Index is an “excess return” index and not a “total
return” index because, as part of the calculation of the level of the Index, the performance of the QQQ Fund is reduced by the notional
financing cost. The notional financing cost has been deducted from the performance of the QQQ Fund since the Amendment Effective Date.
The 6.0% per annum daily deduction and the notional financing
cost will offset any appreciation of the Underlying Asset, will heighten any depreciation of the Underlying Asset and will generally be
a drag on the performance of the Index. The Index will trail the performance of an identical index without such deductions.
Holding the estimated value of the notes and market conditions
constant, the Call Premium Rate, the Barrier Amount and the other economic terms available on the notes are more favorable to investors
than the terms that would be available on a hypothetical note issued by us linked to an identical index without a daily deduction.
However, there can be no assurance that any improvement in the terms of the notes derived from the daily deduction will offset the negative
effect of the daily deduction on the performance of the Index. The return on the notes may be lower than the return on a hypothetical
note issued by us linked to an identical index without a daily deduction.
The daily deduction and the volatility of the Index (as
influenced by the Index’s target volatility feature) are two of the primary variables that affect the economic terms of the notes.
Additionally, the daily deduction and volatility of the Index are two of the inputs our affiliates’ internal pricing models use
to value the derivative or derivatives underlying the economic terms of the notes for purposes of determining the estimated value of the
notes set forth on the cover of this pricing supplement. The daily deduction will effectively reduce the value of the derivative or derivatives
underlying the economic terms of the notes. See “The Estimated Value of the Notes” and “Selected Risk Considerations
— Risks Relating to the Estimated Value and Secondary Market Prices of the Notes” in this pricing supplement.
The Index is subject to risks associated with the
use of significant leverage. The notional financing cost deducted daily will be magnified by any leverage provided by the Index. In addition,
the Index may be significantly uninvested on any given day, and, in that case, will realize only a portion of any gains due to appreciation
of the Underlying Asset on that day. The index deduction is deducted daily at a rate of 6.0% per annum, even when the Index is not fully
invested.
PS-2
| Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol Advantage Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024070064/image_001.jpg) |
No assurance can be given that the investment strategy
used to construct the Index will achieve its intended results or that the Index will be successful or will outperform any alternative
index or strategy that might reference the Underlying Asset.
For additional information about the Index, see “The
MerQube Vol Advantage Index Series” in the accompanying underlying supplement.
PS-3
| Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol Advantage Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024070064/image_001.jpg) |
Supplemental Terms of the Notes
Notwithstanding anything to the contrary set forth in
the accompanying underlying supplement, the Review Dates (other than the final Review Date) are not subject to postponement as described
under “Supplemental Terms of the Notes — Postponement of a Determination Date — Notes Linked Solely to an Index”
in the accompanying underlying supplement. If a Review Date (other than the final Review Date) is a Disrupted Day (as defined in the accompanying
product supplement), that Review Date will not be postponed and an automatic call will not be triggered on that Review Date. However,
the final Review Date is subject to postponement as described under “Supplemental Terms of the Notes — Postponement of a Determination
Date — Notes Linked Solely to an Index” in the accompanying underlying supplement.
Notwithstanding anything to the contrary set forth in
the accompanying product supplement, solely for purposes of determining the applicable Call Settlement Date if an automatic call is triggered,
Good Friday is deemed not to be a business day.
Any values of the Index, 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.
How the
Notes Work
Payment upon an Automatic Call
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024070064/image_003.jpg)
Payment at Maturity If the Notes Have Not Been
Automatically Called
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024070064/image_004.jpg)
PS-4
| Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol Advantage Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024070064/image_001.jpg) |
Call Premium Amount
The Call Premium
Amount with respect to each Review Date is determined as follows: $1,000 × Call Premium Rate × N / 252, where N is equal to
253 + the number of Review Dates preceding that Review Date. For example, for the first Review Date, N = 253 (equal to 253 + 0), for the
second Review Date, N = 254 (equal to 253 + 1) and for the final Review Date, N = 1,256 (equal to 253 + 1,003). The Call Premium Rate
is 15.60%. Based on the Call Premium Rate of 15.60%, the Call Premium Amount with respect to the first Review Date is $156.6191 and the
Call Premium Amount with respect to the final Review Date is $777.5238.
Hypothetical Payout Examples
The following examples illustrate payments on the notes
linked to a hypothetical Index, assuming a range of performances for the Index on the Review Dates.
In addition, the hypothetical payments set forth below
assume the following:
| · | an Initial Value of 100.00; |
| · | the Call Values set forth under “Key Terms — Call Value” above; |
| · | a Barrier Amount of 60.00 (equal to 60.00% of the hypothetical Initial Value); and |
| · | a Call Premium Rate of 15.60%. |
The hypothetical Initial Value of 100.00 has been chosen
for illustrative purposes only and does not represent the actual Initial Value. The actual Initial Value is the closing level of the Index
on the Pricing Date and is specified under “Key Terms — Initial Value” in this pricing supplement. For historical data
regarding the actual closing levels of the Index, please see the historical information set forth under “Hypothetical Back-Tested
Data and Historical Information” in this pricing supplement.
Each hypothetical payment set forth below is for illustrative
purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing in the following examples
have been rounded for ease of analysis.
Example 1 — Notes are automatically called
on the first Review Date.
Date |
Closing Level |
|
First Review Date |
130.00 |
Notes are automatically called |
|
Total Payment |
$1,156.6191 (15.66191% return) |
Because the closing level of the Index on the first Review
Date is greater than or equal to the applicable Call Value, the notes will be automatically called for a cash payment, for each $1,000
principal amount note, of $1,156.6191 (or $1,000 plus the Call Premium Amount applicable to the first Review Date), payable on
the applicable Call Settlement Date. No further payments will be made on the notes.
PS-5
| Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol Advantage Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024070064/image_001.jpg) |
Example 2 — Notes are automatically called
on the final Review Date.
Date |
Closing Level |
|
First Review Date |
80.00 |
Notes NOT automatically called |
Second Review Date |
75.00 |
Notes NOT automatically called |
Third through 1,003rd Review Dates |
Less than Call Value |
Notes NOT automatically called |
Final Review Date |
90.00 |
Notes are automatically called |
|
Total Payment |
$1,777.5238 (77.75238% return) |
Because the closing
level of the Index on each of the first through 1,003rd Review Dates is less than the applicable Call Value, the notes are
not automatically called in connection with these Review Dates. However, because the closing level of the Index on the final Review Date
is greater than or equal to the applicable Call Value, even though the closing level of the Index is less than the Initial Value, the
notes will be automatically called for a cash payment, for each $1,000 principal amount note, of $1,777.5238 (or $1,000 plus the
Call Premium Amount applicable to the final Review Date), payable on the applicable Call Settlement Date, which is the Maturity Date.
Example 3 — Notes have NOT been automatically
called.
Date |
Closing Level |
|
First Review Date |
80.00 |
Notes NOT automatically called |
Second Review Date |
85.00 |
Notes NOT automatically called |
Third through 1,003rd Review Dates |
Less than Call Value |
Notes NOT automatically called |
Final Review Date |
40.00 |
Notes NOT automatically called (and therefore Final Value is less than Barrier Amount) |
|
Total Payment |
$400.00 (-60.00% return) |
Because the notes have not been automatically called
(and therefore the Final Value is less than the Barrier Amount) and the Index Return is -60.00%, the payment at maturity will be $400.00
per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-60.00%)] = $400.00
The hypothetical returns and hypothetical payments on
the notes shown above apply only if you hold the notes for their entire term or until automatically called. These hypotheticals
do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included,
the hypothetical returns and hypothetical payments shown above would likely be lower.
Selected
Risk Considerations
An investment in the notes involves significant risks.
These risks are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement, product
supplement and underlying supplement and in Annex A to the accompanying prospectus addendum.
Risks Relating to the Notes Generally
| · | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — |
The notes do not guarantee any return of principal.
If the notes have not been automatically called (and therefore the Final Value is less than the Barrier Amount), you will lose 1% of the
principal amount of your notes for every 1% that the Final Value is less than the Initial Value. Accordingly, under these circumstances,
you will lose more than 40.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
| · | THE LEVEL OF THE INDEX WILL INCLUDE A 6.0% PER ANNUM DAILY DEDUCTION — |
The Index is subject to a 6.0% per annum daily
deduction. As a result, the level of the Index will trail the value of an identically constituted synthetic portfolio that is not subject
to any such deduction.
This deduction will place a significant drag
on the performance of the Index, potentially offsetting positive returns on the Index’s investment strategy, exacerbating negative
returns of its investment strategy and causing the level of the Index to decline steadily if
PS-6
| Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol Advantage Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024070064/image_001.jpg) |
the return of its investment strategy is relatively
flat. The Index will not appreciate unless the return of its investment strategy is sufficient to offset the negative effects of this
deduction, and then only to the extent that the return of its investment strategy is greater than this deduction. As a result of this
deduction, the level of the Index may decline even if the return of its investment strategy is otherwise positive.
The daily deduction is one of the inputs our
affiliates’ internal pricing models use to value the derivative or derivatives underlying the economic terms of the notes for purposes
of determining the estimated value of the notes set forth on the cover of this pricing supplement. The daily deduction will effectively
reduce the value of the derivative or derivatives underlying the economic terms of the notes. See “The Estimated Value of the Notes”
and “— Risks Relating to the Estimated Value and Secondary Market Prices of the Notes” in this pricing supplement.
| · | THE LEVEL OF THE INDEX WILL INCLUDE THE DEDUCTION OF A NOTIONAL FINANCING COST — |
Since the Amendment Effective Date, the performance
of the Underlying Asset has been subject to a notional financing cost deducted daily. The notional financing cost is intended to approximate
the cost of maintaining a position in the QQQ Fund using borrowed funds at a rate of interest equal to the daily SOFR rate plus a
fixed spread. The actual cost of maintaining a position in the QQQ Fund at any time may be less than the notional financing cost. As a
result of this deduction, the level of the Index will trail the value of an identically constituted synthetic portfolio that is not subject
to any such deduction.
| · | CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. — |
Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.’s
creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely affect the value of
the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed to you
under the notes and you could lose your entire investment.
| · | AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS —
|
As a finance subsidiary of JPMorgan Chase
& Co., we have no independent operations beyond the issuance and administration of our securities and the collection of intercompany
obligations. Aside from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations
of JPMorgan Chase & Co. to make payments under loans made by us to JPMorgan Chase & Co. or under other intercompany agreements.
As a result, we are dependent upon payments from JPMorgan Chase & Co. to meet our obligations under the notes. We are not a key operating
subsidiary of JPMorgan Chase & Co. and in a bankruptcy or resolution of JPMorgan Chase & Co. we are not expected to have sufficient
resources to meet our obligations in respect of the notes as they come due. If JPMorgan Chase & Co. does not make payments to us and
we are unable to make payments on the notes, you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and
that guarantee will rank pari passu with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more
information, see the accompanying prospectus addendum.
| · | THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO ANY CALL PREMIUM AMOUNT PAID ON THE NOTES, |
regardless of any appreciation of the Index,
which may be significant. You will not participate in any appreciation of the Index.
| · | THE BENEFIT PROVIDED BY THE BARRIER AMOUNT MAY TERMINATE ON THE FINAL REVIEW DATE — |
If the notes have not been automatically called
(and therefore the Final Value is less than the Barrier Amount), the benefit provided by the Barrier Amount will terminate and you will
be fully exposed to any depreciation of the Index.
| · | THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT — |
If your notes are automatically called, the
term of the notes may be reduced to as short as approximately one year. There is no guarantee that you would be able to reinvest the proceeds
from an investment in the notes at a comparable return for a similar level of risk. Even in cases where the notes are called before maturity,
you are not entitled to any fees and commissions described on the front cover of this pricing supplement.
| · | THE NOTES DO NOT PAY INTEREST. |
| · | YOU WILL NOT RECEIVE DIVIDENDS ON THE QQQ FUND OR THE SECURITIES HELD BY THE QQQ FUND OR HAVE ANY RIGHTS
WITH RESPECT TO THE QQQ FUND OR THOSE SECURITIES. |
| · | THE RISK OF THE CLOSING LEVEL OF THE INDEX FALLING BELOW THE BARRIER AMOUNT IS GREATER IF THE LEVEL
OF THE INDEX IS VOLATILE. |
PS-7
| Structured Investments
Review Notes Linked to the MerQube US Tech+ Vol Advantage Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024070064/image_001.jpg) |
| · | JPMS AND ITS AFFILIATES MAY HAVE PUBLISHED RESEARCH, EXPRESSED OPINIONS OR PROVIDED RECOMMENDATIONS THAT
ARE INCONSISTENT WITH INVESTING IN OR HOLDING THE NOTES, AND MAY DO SO IN THE FUTURE — |
Any research,
opinions or recommendations could affect the market value of the notes. Investors should undertake their own independent investigation
of the merits of investing in the notes, the Index and the components of the Index.
The notes will not be listed on any securities
exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS
is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your notes to maturity.
Risks Relating to Conflicts of Interest
We and our affiliates play a variety of roles
in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests are potentially
adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours or our affiliates in
connection with the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer
to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement.
An affiliate of ours currently has a 10% equity
interest in the Index Sponsor, with a right to appoint an employee of JPMS, another of our affiliates, as a member of the board of directors
of the Index Sponsor. The Index Sponsor can implement policies, make judgments or enact changes to the Index methodology that could negatively
affect the performance of the Index. The Index Sponsor can also alter, discontinue or suspend calculation or dissemination of the Index.
Any of these actions could adversely affect the value of the notes. The Index Sponsor has no obligation to consider your interests in
calculating, maintaining or revising the Index, and we, JPMS, our other affiliates and our respective employees are under no obligation
to consider your interests as an investor in the notes in connection with the role of our affiliate as an owner of an equity interest
in the Index Sponsor or the role of an employee of JPMS as a member of the board of directors of the Index Sponsor.
In addition, JPMS worked with the Index Sponsor
in developing the guidelines and policies governing the composition and calculation of the Index. Although judgments, policies and determinations
concerning the Index were made by JPMS, JPMorgan Chase & Co., as the parent company of JPMS, ultimately controls JPMS. The policies
and judgments for which JPMS was responsible could have an impact, positive or negative, on the level of the Index and the value of your
notes. JPMS is under no obligation to consider your interests as an investor in the notes in its role in developing the guidelines and
policies governing the Index or making judgments that may affect the level of the Index.
Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes
| · | THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES
— |
The estimated value of the notes is only an
estimate determined by reference to several factors. The original issue price of the notes exceeds the estimated value of the notes because
costs associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include
the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our
obligations under the notes and the estimated cost of hedging our obligations under the notes. See “The Estimated Value of the Notes”
in this pricing supplement.
| · | THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’
ESTIMATES — |
See “The Estimated Value of the Notes”
in this pricing supplement.
| · | THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE — |
The internal funding rate used in the determination
of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar
maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based
on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement
funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the
terms of the notes and any secondary market prices of the notes. See “The Estimated Value of the Notes” in this pricing supplement.
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| · | THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS)
MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD — |
We generally expect that some of the costs
included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes
by JPMS in an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices of the Notes”
in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes
during this initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account
statements).
| · | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES
— |
Any secondary market prices of the notes will
likely be lower than the original issue price of the notes because, among other things, secondary market prices take into account our
internal secondary market funding rates for structured debt issuances and, also, because secondary market prices may exclude selling commissions,
projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the notes. As a result,
the price, if any, at which JPMS will be willing to buy the notes from you in secondary market transactions, if at all, is likely to be
lower than the original issue price. Any sale by you prior to the Maturity Date could result in a substantial loss to you.
| · | SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS — |
The secondary market price of the notes during
their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the
selling commissions, projected hedging profits, if any, estimated hedging costs and the level of the Index. Additionally, independent
pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes
in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
— Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
Risks Relating to the Index
| · | THE INDEX SPONSOR MAY ADJUST THE INDEX IN A WAY THAT AFFECTS ITS LEVEL, AND THE INDEX SPONSOR HAS NO OBLIGATION TO CONSIDER YOUR
INTERESTS — |
The Index Sponsor is responsible for maintaining
the Index. The Index Sponsor can add, delete or substitute the components of the Index or make other methodological changes that could
affect the level of the Index. The Index Sponsor has no obligation to consider your interests in calculating or revising the Index.
| · | THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED IN RESPECT OF THE UNDERLYING ASSET
— |
No assurance can be given that the investment
strategy on which the Index is based will be successful or that the Index will outperform any alternative strategy that might be employed
with respect to the Underlying Asset.
| · | THE INDEX MAY NOT APPROXIMATE ITS TARGET VOLATILITY — |
No assurance can be given that the Index will
maintain an annualized realized volatility that approximates its target volatility of 35%. The Index’s target volatility is a level
of implied volatility and therefore the actual realized volatility of the Index may be greater or less than the target volatility. On
each weekly Index rebalance day, the Index’s exposure to the Underlying Asset is set equal to (a) the 35% implied volatility target
divided by (b) the one-week implied volatility of the QQQ Fund, subject to a maximum exposure of 500%. The Index uses the implied
volatility of the QQQ Fund as a proxy for the realized volatility of the Underlying Asset. However, there is no guarantee that the methodology
used by the Index to determine the implied volatility of the QQQ Fund will be representative of the realized volatility of the QQQ Fund.
The volatility of the Underlying Asset on any day may change quickly and unexpectedly and realized volatility may differ significantly
from implied volatility. In general, over time, the realized volatility of the QQQ Fund has tended to be lower than its implied volatility;
however, at any time that realized volatility may exceed its implied volatility, particularly during periods of market volatility. Accordingly,
the actual annualized realized volatility of the Index may be greater than or less than the target volatility, which may adversely affect
the level of the Index and the value of the notes.
| · | THE INDEX IS SUBJECT TO RISKS ASSOCIATED WITH THE USE OF SIGNIFICANT LEVERAGE — |
On a weekly Index rebalance day, the Index
will employ leverage to increase the exposure of the Index to the Underlying Asset if the implied volatility of the QQQ Fund is below
35%, subject to a maximum exposure of 500%. Under normal market conditions in the past, the QQQ Fund has tended to exhibit an implied
volatility below 35%. Accordingly, the Index has generally employed
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leverage in the past, except during periods
of elevated volatility. When leverage is employed, any movements in the prices of the Underlying Asset will result in greater changes
in the level of the Index than if leverage were not used. In particular, the use of leverage will magnify any negative performance of
the Underlying Asset, which, in turn, would negatively affect the performance of the Index. Because the Index’s leverage is adjusted
only on a weekly basis, in situations where a significant increase in volatility is accompanied by a significant decline in the price
of the Underlying Asset, the level of the Index may decline significantly before the following Index rebalance day when the Index’s
exposure to the Underlying Asset would be reduced. In addition, the notional financing cost deducted daily will be magnified by any leverage
provided by the Index.
| · | THE INDEX MAY BE SIGNIFICANTLY UNINVESTED — |
On a weekly Index rebalance day, the Index’s
exposure to the Underlying Asset will be less than 100% when the implied volatility of the QQQ Fund is above 35%. If the Index’s
exposure to the Underlying Asset is less than 100%, the Index will not be fully invested, and any uninvested portion will earn no return.
The Index may be significantly uninvested on any given day, and will realize only a portion of any gains due to appreciation of the Underlying
Asset on any such day. The 6.0% per annum deduction is deducted daily, even when the Index is not fully invested.
| · | AN INVESTMENT IN THE NOTES WILL BE SUBJECT TO RISKS ASSOCIATED WITH NON-U.S. SECURITIES
— |
Some
of the equity securities held by the QQQ Fund are 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 home countries of the issuers of
those non-U.S. equity securities. The prices of securities issued by non-U.S. companies may be affected by political, economic, financial
and social factors in the home countries of those issuers, or global regions, including changes in government, economic and fiscal policies
and currency exchange laws.
| · | THERE ARE RISKS ASSOCIATED WITH THE QQQ FUND — |
The QQQ Fund is subject to management risk,
which is the risk that the investment strategies of the QQQ Fund’s investment adviser, the implementation of which is subject to
a number of constraints, may not produce the intended results. These constraints could adversely affect the market price of the shares
of the QQQ Fund and, consequently, the value of the notes.
| · | THE PERFORMANCE AND MARKET VALUE OF THE QQQ FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH THE
PERFORMANCE OF THE QQQ FUND’S UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER SHARE — |
The QQQ Fund does not fully replicate its
underlying index and may hold securities different from those included in its underlying index. In addition, the performance of the QQQ
Fund will reflect additional transaction costs and fees that are not included in the calculation of its underlying index. All of these
factors may lead to a lack of correlation between the performance of the QQQ Fund and its underlying index. In addition, corporate actions
with respect to the equity securities underlying the QQQ Fund (such as mergers and spin-offs) may impact the variance between the performances
of the QQQ Fund and its underlying index. Finally, because the shares of the QQQ Fund are traded on a securities exchange and are subject
to market supply and investor demand, the market value of one share of the QQQ Fund may differ from the net asset value per share of the
QQQ Fund.
During periods of market volatility, securities
underlying the QQQ Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately the net
asset value per share of the QQQ Fund and the liquidity of the QQQ Fund may be adversely affected. This kind of market volatility may
also disrupt the ability of market participants to create and redeem shares of the QQQ Fund. Further, market volatility may adversely
affect, sometimes materially, the prices at which market participants are willing to buy and sell shares of the QQQ Fund. As a result,
under these circumstances, the market value of shares of the QQQ Fund may vary substantially from the net asset value per share of the
QQQ Fund. For all of the foregoing reasons, the performance of the QQQ Fund may not correlate with the performance of its underlying index
as well as the net asset value per share of the QQQ Fund, which could materially and adversely affect the value of the notes in the secondary
market and/or reduce any payment on the notes.
| · | HYPOTHETICAL BACK-TESTED DATA RELATING TO THE INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA AND ARE SUBJECT TO INHERENT LIMITATIONS,
AND THE HISTORICAL AND HYPOTHETICAL BACK-TESTED PERFORMANCE OF THE INDEX ARE NOT INDICATIONS OF ITS FUTURE PERFORMANCE — |
The hypothetical back-tested performance of
the Index set forth under “Hypothetical Back-Tested Data and Historical Information” in this pricing supplement is purely
theoretical and does not represent the actual historical performance of the Index and has not been verified by an independent third party.
Hypothetical back-tested performance measures have inherent limitations. Hypothetical back-tested performance is derived by means of the
retroactive application of a back-tested model that has been designed with the benefit of hindsight. Alternative modelling techniques
might produce significantly different results and may prove to be more appropriate. Past performance, and especially hypothetical back-tested
performance, is not indicative of future results.
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This type of information has inherent limitations,
and you should carefully consider these limitations before placing reliance on such information.
In addition, the QQQ Fund replaced the Futures
Contracts as the Underlying Asset on the Amendment Effective Date. No assurance can be provided that the QQQ Fund is an appropriate substitute
for the Futures Contracts. This replacement may adversely affect the performance of the Index and the value of the notes, as the QQQ Fund,
subject to a notional financing cost, may perform worse, perhaps significantly worse, than the Futures Contracts. The Index lacks any
operating history with the QQQ Fund as the Underlying Asset prior to the Amendment Effective Date and may perform in unanticipated ways.
Investors in the notes should bear this difference in mind when evaluating the historical and hypothetical back-tested performance shown
in this pricing supplement.
| o | THE INDEX WAS ESTABLISHED ON JUNE 22, 2021 AND MAY PERFORM IN UNANTICIPATED WAYS. |
Please refer to the “Risk Factors” section
of the accompanying underlying supplement for more details regarding the above-listed and other risks.
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Hypothetical
Back-Tested Data and Historical Information
The following graph sets forth the hypothetical back-tested
performance of the Index based on the hypothetical back-tested weekly closing levels of the Index from January 4, 2019 through June 18,
2021, and the historical performance of the Index based on the weekly historical closing levels of the Index from June 25, 2021 through
August 9, 2024. The Index was established on June 22, 2021, as represented by the vertical line in the following graph. All data to the
left of that vertical line reflect hypothetical back-tested performance of the Index. All data to the right of that vertical line reflect
actual historical performance of the Index. The closing level of the Index on August 14, 2024 was 10,873.94. We obtained the closing levels
above and below from the Bloomberg Professional® service (“Bloomberg”), without independent verification.
The data for the
hypothetical back-tested performance of the Index set forth in the following graph are purely theoretical and do not represent the actual
historical performance of the Index. See “Selected Risk Considerations — Risks Relating to the Index — Hypothetical
Back-Tested Data Relating to the Index Do Not Represent Actual Historical Data and Are Subject to Inherent Limitations, and the Historical
and Hypothetical Back-Tested Performance of the Index Are Not Indications of Its Future Performance” above.
The hypothetical back-tested and historical closing levels
of the Index should not be taken as an indication of future performance, and no assurance can be given as to the closing level of the
Index on any Review Date. There can be no assurance that the performance of the Index will result in the return of any of your principal
amount.
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024070064/image_005.jpg)
The hypothetical back-tested closing levels of the
Index have inherent limitations and have not been verified by an independent third party. These hypothetical back-tested closing levels
are determined by means of a retroactive application of a back-tested model designed with the benefit of hindsight. Hypothetical back-tested
results are neither an indicator nor a guarantee of future returns. No representation is made that an investment in the notes will or
is likely to achieve returns similar to those shown. Alternative modeling techniques or assumptions would produce different hypothetical
back-tested closing levels of the Index that might prove to be more appropriate and that might differ significantly from the hypothetical
back-tested closing levels of the Index set forth above.
Tax Treatment
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. The following discussion, when read in combination
with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S.
federal income tax consequences of owning and disposing of notes.
Based on current market conditions, in the opinion of
our special tax counsel it is reasonable to treat the notes as “open transactions” that are not debt instruments for U.S.
federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences
to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement.
Assuming this treatment is respected, the gain or loss on your notes should be treated as long-term capital gain or loss if you hold your
notes for more than a year, whether or not you are an initial purchaser of notes at the issue price. However, the IRS or a court may not
respect this treatment, in which case the timing and character of any income or loss on the notes could be materially and adversely affected.
In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid
forward contracts” and similar instruments. The notice focuses in particular on whether to require investors in these instruments
to accrue income over the term of their investment. It also asks for comments on a
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number of related topics, including the character of
income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to which the
instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be
subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership” regime,
which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge.
While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated
after consideration of these issues could materially and adversely affect the tax consequences of an investment in the notes, possibly
with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the
notes, including possible alternative treatments and the issues presented by this notice.
Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on dividend equivalents
paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include
U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked to certain broad-based
indices that meet requirements set forth in the applicable Treasury regulations. Additionally, a recent IRS notice excludes from the scope
of Section 871(m) instruments issued prior to January 1, 2027 that do not have a delta of one with respect to underlying securities that
could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on certain determinations
made by us, our special tax counsel is of the opinion that Section 871(m) should not apply to the notes with regard to Non-U.S. Holders.
Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application
may depend on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security.
You should consult your tax adviser regarding the potential application of Section 871(m) to the notes.
The Estimated
Value of the Notes
The estimated value of the notes set forth on the
cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component
with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing to
buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated
value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by
JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’ view of
the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison
to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based on certain
market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement funding
rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms
of the notes and any secondary market prices of the notes. For additional information, see “Selected Risk Considerations —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Derived by
Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives underlying
the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as
the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which
can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments.
Accordingly, the estimated value of the notes is determined when the terms of the notes are set based on market conditions and other relevant
factors and assumptions existing at that time.
The estimated value of the notes does not represent
future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide valuations
for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant factors
in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly
based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements
and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market
transactions.
The estimated value of the notes is lower than the
original issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original
issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected
profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the
estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market
forces beyond our control, this hedging may result in a profit that is more or
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less than expected, or it may result in a loss. A
portion of the profits, if any, realized in hedging our obligations under the notes may be allowed to other affiliated or unaffiliated
dealers, and we or one or more of our affiliates will retain any remaining hedging profits. See “Selected Risk Considerations —
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Lower Than
the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact any secondary
market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
— Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
In addition, we generally expect that some of the costs included in the original issue price of the notes will be partially paid back
to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period.
These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and
our internal secondary market funding rates for structured debt issuances. This initial predetermined time period is intended to be the
shorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects the structure of the
notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the notes
and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations — Risks Relating to
the Estimated Value and Secondary Market Prices of the Notes — The Value of the Notes as Published by JPMS (and Which May Be Reflected
on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this
pricing supplement.
Supplemental
Use of Proceeds
The notes are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the notes. See “How the Notes Work” and “Hypothetical
Payout Examples” in this pricing supplement for an illustration of the risk-return profile of the notes and “The MerQube US
Tech+ Vol Advantage Index” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to
the estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus)
the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the
notes, plus the estimated cost of hedging our obligations under the notes.
Validity
of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP,
as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by this pricing supplement have
been issued by JPMorgan Financial pursuant to the indenture, the trustee and/or paying agent has made, in accordance with the instructions
from JPMorgan Financial, the appropriate entries or notations in its records relating to the master global note that represents such notes
(the “master note”), and such notes have been delivered against payment as contemplated herein, such notes will be valid and
binding obligations of JPMorgan Financial and the related guarantee will constitute a valid and binding obligation of JPMorgan Chase &
Co., enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’
rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts
of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion as to (i) the effect of
fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above or (ii) any provision
of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law
by limiting the amount of JPMorgan Chase & Co.’s obligation under the related guarantee. This opinion is given as of the date
hereof and is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited
Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution
and delivery of the indenture and its authentication of the master note and the validity, binding nature and enforceability of the indenture
with respect to the trustee, all as stated in the letter of such counsel dated February 24, 2023, which was filed as an exhibit to the
Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24, 2023.
Additional
Terms Specific to the Notes
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which
these notes are a part, the accompanying prospectus addendum and the more detailed information contained in the accompanying product supplement
and the accompanying underlying supplement. This pricing supplement, together with the documents listed below, contains the terms of the
notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or
indicative pricing terms,
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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, the accompanying product supplement
and the accompanying underlying supplement and in Annex A to the accompanying prospectus addendum, as the notes involve risks not associated
with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest
in the notes.
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You may access these documents on the SEC website
at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
| · | Product supplement no. 4-I dated April 13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000121390023029539/ea152803_424b2.pdf |
| · | Underlying supplement no. 5-II dated March 5, 2024:
http://www.sec.gov/Archives/edgar/data/19617/000121390024020078/ea0200816-01_424b2.pdf |
| · | Prospectus supplement and prospectus, each dated April 13, 2023:
http://www.sec.gov/Archives/edgar/data/19617/000095010323005751/crt_dp192097-424b2.pdf |
| · | Prospectus addendum dated June 3, 2024:
http://www.sec.gov/Archives/edgar/data/1665650/000095010324007599/dp211753_424b3.htm |
Our Central Index Key, or CIK, on the SEC website is
1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us” and
“our” refer to JPMorgan Financial.
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S-3
424B2
EX-FILING FEES
333-270004
0000019617
JPMORGAN CHASE & CO
0000019617
2024-08-16
2024-08-16
iso4217:USD
xbrli:pure
xbrli:shares
Calculation of Filing Fee Tables
|
S-3
|
JPMORGAN CHASE & CO
|
The maximum aggregate offering price of the securities to which the prospectus relates is $295,000. The prospectus is a final prospectus for the related offering.
|
|
v3.24.2.u1
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JP Morgan Alerian MLP (AMEX:AMJ)
過去 株価チャート
から 7 2024 まで 8 2024
JP Morgan Alerian MLP (AMEX:AMJ)
過去 株価チャート
から 8 2023 まで 8 2024