August 12, 2024 |
Registration Statement Nos.
333-270004 and 333-270004-01; Rule 424(b)(2)
|
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024069019/image_001.jpg)
JPMorgan Chase Financial Company LLC
Structured Investments
$402,000
Callable Contingent Interest Notes Linked to the Least
Performing of the Nasdaq-100® Technology Sector IndexSM, the Russell 2000® Index and the S&P
500® Index due August 17, 2027
Fully
and Unconditionally Guaranteed by JPMorgan Chase & Co.
| ● | The notes are designed for investors who seek a Contingent Interest Payment with respect to each Review Date for which the closing
level of each of the Nasdaq-100® Technology Sector IndexSM, the Russell 2000® Index and the S&P
500® Index, which we refer to as the Indices, is greater than or equal to 70.00% of its Initial Value, which we refer to
as an Interest Barrier. |
| ● | The notes may be redeemed early, in whole but not in part, at our option on any of the Interest Payment Dates (other than the first,
second, third, fourth, fifth and final Interest Payment Dates). |
| ● | The earliest date on which the notes may be redeemed early is February 18, 2025. |
| ● | Investors should be willing to accept the risk of losing some or all of their principal and the risk that no Contingent Interest Payment
may be made with respect to some or all Review Dates. |
| ● | Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive Contingent
Interest Payments. |
| ● | The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial,
the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes is subject to the
credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor of the notes. |
| ● | Payments on the notes are not linked to a basket composed of the Indices. Payments on the notes are linked to the performance of each
of the Indices individually, as described below. |
| ● | Minimum denominations of $1,000 and integral multiples thereof |
| ● | The notes priced on August 12, 2024 and are expected to settle on or about August 15, 2024. |
Investing in the notes involves a number of risks. See “Risk
Factors” beginning on page S-2 of the accompanying prospectus supplement, Annex A to the accompanying prospectus addendum, “Risk
Factors” beginning on page PS-11 of the accompanying product supplement and “Selected Risk Considerations” beginning
on page PS-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 |
$29.50 |
$970.50 |
Total |
$402,000 |
$11,859 |
$390,141 |
(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 $29.50 per $1,000 principal amount
note it receives from us to other affiliated or unaffiliated dealers. See “Plan of Distribution (Conflicts of Interest)” in
the accompanying product supplement. |
The estimated value of the notes, when
the terms of the notes were set, was $950.80 per $1,000 principal amount note. See “The Estimated Value of the Notes” in this
pricing supplement for additional information.
The notes are not bank deposits, are not
insured by the Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a
bank.
Pricing supplement to product supplement no. 4-I dated
April 13, 2023, underlying supplement no. 1-I dated April 13, 2023, the prospectus and prospectus supplement, each dated April 13, 2023,
and the prospectus addendum dated June 3, 2024
Key Terms
Issuer: JPMorgan
Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor: JPMorgan
Chase & Co.
Indices:
The Nasdaq-100® Technology
Sector IndexSM (Bloomberg
ticker: NDXT), the Russell 2000® Index
(Bloomberg ticker: RTY) and the S&P 500® Index
(Bloomberg ticker: SPX) (each an “Index” and collectively, the “Indices”)
Contingent Interest Payments:
If
the notes have not been previously redeemed early and the closing level of each Index on any Review Date is greater than or equal to its
Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal amount note a Contingent Interest
Payment equal to $7.375 (equivalent to a Contingent Interest Rate of 8.85% per annum, payable at a rate of 0.7375% per month).
If the closing
level of any Index on any Review Date is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that
Review Date.
Contingent Interest Rate: 8.85%
per annum, payable at a rate of 0.7375% per month
Interest
Barrier/Trigger Value: With respect
to each Index, 70.00% of its Initial Value, which is 6,827.198 for the Nasdaq-100® Technology
Sector IndexSM, 1,443.4574
for the Russell 2000® Index
and 3,741.073 for the S&P 500® Index
Pricing Date: August
12, 2024
Original Issue Date (Settlement
Date): On or about August 15, 2024
Review Dates*: As
specified under “Key Terms Relating to the Review Dates and Interest Payment Dates” in this pricing supplement
Interest Payment Dates*: As
specified under “Key Terms Relating to the Review Dates and Interest Payment Dates” in this pricing supplement
Maturity Date*: August
17, 2027
* Subject to postponement in the event of a market
disruption event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked
to Multiple Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product
supplement |
|
Early Redemption:
We, at our election, may redeem the
notes early, in whole but not in part, on any of the Interest Payment Dates (other than the first, second, third, fourth, fifth and final
Interest Payment Dates) at a price, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest
Payment, if any, applicable to the immediately preceding Review Date. If we intend to redeem your notes early, we will deliver notice
to The Depository Trust Company, or DTC, at least three business days before the applicable Interest Payment Date on which the notes are
redeemed early.
Payment at Maturity:
If the notes have not been redeemed
early and the Final Value of each Index is greater than or equal to its Trigger Value, you will receive a cash payment at maturity, for
each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to the final Review
Date.
If the notes
have not been redeemed early and the Final Value of any Index is less than its Trigger Value, your payment at maturity per $1,000 principal
amount note will be calculated as follows:
$1,000
+ ($1,000 × Least Performing Index Return)
If the notes have not been redeemed
early and the Final Value of any Index is less than its Trigger Value, you will lose more than 30.00% of your principal amount at maturity
and could lose all of your principal amount at maturity.
Least Performing Index: The
Index with the Least Performing Index Return
Least Performing Index Return: The
lowest of the Index Returns of the Indices
Index Return:
With
respect to each Index,
(Final
Value – Initial Value)
Initial Value
Initial
Value: With respect to each Index,
the closing level of that Index on the Pricing Date, which was 9,753.14 for the Nasdaq-100® Technology
Sector IndexSM, 2,062.082
for the Russell 2000® Index
and 5,344.39 for the S&P 500® Index
Final Value: With
respect to each Index, the closing level of that Index on the final Review Date
|
PS-1
| Structured Investments
Callable Contingent Interest Notes Linked to the Least
Performing of the Nasdaq-100® Technology Sector IndexSM, the Russell 2000® Index and the S&P
500® Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024069019/image_001.jpg) |
Key Terms
Relating to the Review Dates and Interest Payment Dates
Review Dates*: September 12, 2024, October 14, 2024, November 12, 2024, December 12, 2024, January 13, 2025, February 12, 2025, March 12, 2025, April 14, 2025, May 12, 2025, June 12, 2025, July 14, 2025, August 12, 2025, September 12, 2025, October 13, 2025, November 12, 2025, December 12, 2025, January 12, 2026, February 12, 2026, March 12, 2026, April 13, 2026, May 12, 2026, June 12, 2026, July 13, 2026, August 12, 2026, September 14, 2026, October 12, 2026, November 12, 2026, December 14, 2026, January 12, 2027, February 12, 2027, March 12, 2027, April 12, 2027, May 12, 2027, June 14, 2027, July 12, 2027 and August 12, 2027 (the “final Review Date”) |
|
Interest
Payment Dates*: September 17, 2024, October 17, 2024, November 15, 2024, December 17, 2024, January 16, 2025, February 18,
2025, March 17, 2025, April 17, 2025, May 15, 2025, June 17, 2025, July 17, 2025, August 15, 2025, September 17, 2025, October 16, 2025,
November 17, 2025, December 17, 2025, January 15, 2026, February 18, 2026, March 17, 2026, April 16, 2026, May 15, 2026, June 17, 2026,
July 16, 2026, August 17, 2026, September 17, 2026, October 15, 2026, November 17, 2026, December 17, 2026, January 15, 2027, February
18, 2027, March 17, 2027, April 15, 2027, May 17, 2027, June 17, 2027, July 15, 2027 and the Maturity Date
* Subject to postponement in the event of a market disruption event
and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple Underlyings”
and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement |
PS-2
| Structured Investments
Callable Contingent Interest Notes Linked to the Least
Performing of the Nasdaq-100® Technology Sector IndexSM, the Russell 2000® Index and the S&P
500® Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024069019/image_001.jpg) |
Supplemental
Terms of the Notes
Any value of any underlier, 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
Payments in Connection with the First, Second, Third,
Fourth and Fifth Review Dates
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024069019/image_002.jpg)
Payments in Connection with Review Dates (Other
than the First, Second, Third, Fourth, Fifth and Final Review Dates)
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024069019/image_003.jpg)
PS-3
| Structured Investments
Callable Contingent Interest Notes Linked to the Least
Performing of the Nasdaq-100® Technology Sector IndexSM, the Russell 2000® Index and the S&P
500® Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024069019/image_001.jpg) |
Payment at Maturity If the Notes Have Not Been Redeemed
Early
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024069019/image_004.jpg)
Total Contingent Interest Payments
The table below illustrates the hypothetical total Contingent
Interest Payments per $1,000 principal amount note over the term of the notes based on the Contingent Interest Rate of 8.85% per annum,
depending on how many Contingent Interest Payments are made prior to early redemption or maturity.
Number of Contingent
Interest Payments |
Total Contingent Interest
Payments |
36 |
$265.5000 |
35 |
$258.1250 |
34 |
$250.7500 |
33 |
$243.3750 |
32 |
$236.0000 |
31 |
$228.6250 |
30 |
$221.2500 |
29 |
$213.8750 |
28 |
$206.5000 |
27 |
$199.1250 |
26 |
$191.7500 |
25 |
$184.3750 |
24 |
$177.0000 |
23 |
$169.6250 |
22 |
$162.2500 |
21 |
$154.8750 |
20 |
$147.5000 |
19 |
$140.1250 |
18 |
$132.7500 |
17 |
$125.3750 |
16 |
$118.0000 |
15 |
$110.6250 |
14 |
$103.2500 |
13 |
$95.8750 |
12 |
$88.5000 |
11 |
$81.1250 |
10 |
$73.7500 |
9 |
$66.3750 |
8 |
$59.0000 |
7 |
$51.6250 |
6 |
$44.2500 |
5 |
$36.8750 |
4 |
$29.5000 |
3 |
$22.1250 |
2 |
$14.7500 |
1 |
$7.3750 |
0 |
$0.0000 |
Hypothetical
Payout Examples
The
following examples illustrate payments on the notes linked to three hypothetical Indices, assuming a range of performances for the hypothetical
Least Performing Index on the Review Dates.
PS-4
| Structured Investments
Callable Contingent Interest Notes Linked to the Least
Performing of the Nasdaq-100® Technology Sector IndexSM, the Russell 2000® Index and the S&P
500® Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024069019/image_001.jpg) |
The hypothetical payments set forth below assume the
following:
| ● | the notes have not been redeemed early; |
| ● | an Initial Value for the Least Performing Index
of 100.00; |
| ● | an Interest Barrier and a Trigger Value for the Least Performing Index of 70.00 (equal to 70.00% of its hypothetical Initial Value);
and |
| ● | a Contingent Interest Rate of 8.85% per annum (payable at a rate of 0.7375% per month). |
The hypothetical Initial Value of the Least
Performing Index of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value of any
Index.
The actual Initial Value of each Index
is the closing level of that Index on the Pricing
Date and is specified under “Key Terms - Initial Value” in this pricing supplement. For historical data regarding the actual
closing levels of each Index, please see the historical
information set forth under “The Indices” in this pricing supplement.
Each hypothetical 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 have NOT been redeemed
early and the Final Value of the Least Performing Index is greater than or equal to its Trigger Value.
Date |
Closing Level of Least
Performing Index |
Payment (per $1,000 principal amount note) |
First Review Date |
95.00 |
$7.375 |
Second Review Date |
85.00 |
$7.375 |
Third through Thirty-Fifth Review Dates |
Less than Interest Barrier |
$0 |
Final Review Date |
90.00 |
$1,007.375 |
|
Total Payment |
$1,022.125 (2.2125% return) |
Because the notes have not been redeemed early and the
Final Value of the Least Performing Index is greater than or equal to its Trigger Value, the payment at maturity, for each $1,000 principal
amount note, will be $1,007.375 (or $1,000 plus the Contingent Interest Payment applicable to the final Review Date). When added
to the Contingent Interest Payments received with respect to the prior Review Dates, the total amount paid, for each $1,000 principal
amount note, is $1,022.125.
Example 2 — Notes have NOT been redeemed
early and the Final Value of the Least Performing Index is less than its Trigger Value.
Date |
Closing Level of Least
Performing Index |
Payment (per $1,000 principal amount note) |
First Review Date |
45.00 |
$0 |
Second Review Date |
65.00 |
$0 |
Third through Thirty-Fifth Review Dates |
Less than Interest Barrier |
$0 |
Final Review Date |
40.00 |
$400.00 |
|
Total Payment |
$400.00 (-60.00% return) |
Because the notes have not been redeemed early, the Final
Value of the Least Performing Index is less than its Trigger Value and the Least Performing 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. 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.
PS-5
| Structured Investments
Callable Contingent Interest Notes Linked to the Least
Performing of the Nasdaq-100® Technology Sector IndexSM, the Russell 2000® Index and the S&P
500® Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024069019/image_001.jpg) |
Selected
Risk Considerations
An investment in the notes involves significant risks. These risks are
explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement and product supplement and
in Annex A to the accompanying prospectus addendum.
| ● | 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 redeemed early and the Final Value of any Index is less
than its Trigger Value, you will lose 1% of the principal amount of your notes for every 1% that the Final Value of the Least Performing
Index is less than its Initial Value. Accordingly, under these circumstances, you will lose more than 30.00% of your principal amount
at maturity and could lose all of your principal amount at maturity. |
| ● | THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL —
If the notes have not been redeemed early, we will make a Contingent Interest Payment with respect to a Review Date only if the closing
level of each Index on that Review Date is greater than or equal to its Interest Barrier. If the closing level of any Index on that Review
Date is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date. Accordingly, if
the closing level of any Index on each Review Date is less than its Interest Barrier, you will not receive any interest payments over
the term of the notes. |
| ● | 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 THE SUM OF ANY CONTINGENT INTEREST PAYMENTS THAT MAY BE PAID OVER THE TERM
OF THE NOTES,
regardless of any appreciation of any Index, which may be significant. You will not participate in any appreciation of any Index. |
| ● | POTENTIAL CONFLICTS —
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. |
| ● | JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500® INDEX,
but JPMorgan Chase & Co. will not have any obligation to consider your interests in taking any corporate action that might affect
the level of the S&P 500® Index. |
| ● | AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH RESPECT TO THE RUSSELL 2000®
INDEX —
Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative to larger
companies. Small capitalization companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could
be a factor that limits downward stock price pressure under adverse market conditions. |
| ● | NON-U.S. SECURITIES RISK WITH RESPECT TO THE NASDAQ-100® TECHNOLOGY SECTOR INDEXSM —
The non-U.S. equity securities included in the Nasdaq-100® Technology Sector IndexSM have been issued by non-U.S.
companies. Investments in securities linked to the value of such non-U.S. equity securities involve risks associated with the home countries
and/or the securities markets in the home countries of the issuers of those non-U.S. equity securities. Also, with respect to equity securities
that are not listed in the U.S., there is generally less publicly available information about companies in some of these jurisdictions
than there is about U.S. companies that are subject to the reporting requirements of the SEC. |
PS-6
| Structured Investments
Callable Contingent Interest Notes Linked to the Least
Performing of the Nasdaq-100® Technology Sector IndexSM, the Russell 2000® Index and the S&P
500® Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024069019/image_001.jpg) |
| ● | RISKS ASSOCIATED WITH THE TECHNOLOGY SECTOR WITH RESPECT TO THE NASDAQ-100® TECHNOLOGY SECTOR INDEXSM
—
All or substantially all of the equity securities included in the Nasdaq-100® Technology Sector IndexSM are
issued by companies whose primary line of business is directly associated with the technology sector. As a result, the value of the notes
may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting
this sector than a different investment linked to securities of a more broadly diversified group of issuers. The value of stocks of technology
companies and companies that rely heavily on technology is particularly vulnerable to rapid changes in technology product cycles, rapid
product obsolescence, government regulation and competition, both domestically and internationally, including competition from foreign
competitors with lower production costs. Stocks of technology companies and companies that rely heavily on technology, especially
those of smaller, less-seasoned companies, tend to be more volatile than the overall market. Technology companies are heavily dependent
on patent and intellectual property rights, the loss or impairment of which may adversely affect profitability. Additionally, companies
in the technology sector may face dramatic and often unpredictable changes in growth rates and competition for the services of qualified
personnel. These factors could affect the technology sector and could affect the value of the equity securities included in the Nasdaq-100®
Technology Sector IndexSM and the level of the Nasdaq-100® Technology Sector IndexSM during the term
of the notes, which may adversely affect the value of your notes. |
| ● | YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX —
Payments on the notes are not linked to a basket composed of the Indices and are contingent upon the performance of each individual Index.
Poor performance by any of the Indices over the term of the notes may negatively affect whether you will receive a Contingent Interest
Payment on any Interest Payment Date and your payment at maturity and will not be offset or mitigated by positive performance by any other
Index. |
| ● | YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING INDEX. |
| ● | THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE —
If the Final Value of any Index is less than its Trigger Value and the notes have not been redeemed early, the benefit provided by the
Trigger Value will terminate and you will be fully exposed to any depreciation of the Least
Performing Index. |
| ● | THE OPTIONAL EARLY REDEMPTION FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
If we elect to redeem your notes early, the term of the notes may be reduced to as short as approximately six months and you will not
receive any Contingent Interest Payments after the applicable Interest Payment Date. There is no guarantee that you would be able to reinvest
the proceeds from an investment in the notes at a comparable return and/or with a comparable interest rate for a similar level of risk.
Even in cases where we elect to redeem your notes before maturity, you are not entitled to any fees and commissions described on the front
cover of this pricing supplement. |
| ● | YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN ANY INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES. |
| ● | THE RISK OF THE CLOSING LEVEL OF AN INDEX FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS GREATER IF THE LEVEL OF THAT INDEX
IS VOLATILE. |
| ● | LACK OF LIQUIDITY —
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. |
| ● | 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. |
| ● | 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). |
PS-7
| Structured Investments
Callable Contingent Interest Notes Linked to the Least
Performing of the Nasdaq-100® Technology Sector IndexSM, the Russell 2000® Index and the S&P
500® Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024069019/image_001.jpg) |
| ● | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
Any secondary market prices of the notes will likely be lower than the original issue price of the notes because, among other things,
secondary market prices take into account our internal secondary market funding rates for structured debt issuances and, also, because
secondary market prices may exclude selling commissions, projected hedging profits, if any, and estimated hedging costs that are included
in the original issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy the notes from you in secondary
market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the Maturity Date could
result in a substantial loss to you. |
| ● | SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
The secondary market price of the notes during their term will be impacted by a number of economic and market factors, which may either
offset or magnify each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and the levels
of the Indices. Additionally, independent pricing vendors and/or third party broker-dealers may publish a price for the notes, which may
also be reflected on customer account statements. This price may be different (higher or lower) than the price of the notes, if any, at
which JPMS may be willing to purchase your notes in the secondary market. See “Risk Factors — Risks Relating to the Estimated
Value and Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market
factors” in the accompanying product supplement. |
The Indices
The Nasdaq-100® Technology Sector IndexSM
is an equal-weighted, price-return index designed to measure the performance of the technology companies in the Nasdaq-100 Index®.
For additional information about the Nasdaq-100® Technology Sector IndexSM, see Annex A in this pricing supplement.
The Russell 2000® Index consists of the
middle 2,000 companies included in the Russell 3000ETM Index and, as a result of the index calculation methodology, consists
of the smallest 2,000 companies included in the Russell 3000® Index. The Russell 2000® Index is designed
to track the performance of the small capitalization segment of the U.S. equity market. For additional information about the Russell 2000®
Index, see “Equity Index Descriptions — The Russell Indices” in the accompanying underlying supplement.
The S&P 500® Index consists of stocks
of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For additional information about the S&P
500® Index, see “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying underlying
supplement.
Historical Information
The following graphs set forth the historical performance
of each Index based on the weekly historical closing levels from January 4, 2019 through August 9, 2024. The closing level of the Nasdaq-100®
Technology Sector IndexSM on August 12, 2024 was 9,753.14. The closing level of the Russell 2000® Index on August
12, 2024 was 2,062.082. The closing level of the S&P 500® Index on August 12, 2024 was 5,344.39. We obtained the closing
levels above and below from the Bloomberg Professional® service (“Bloomberg”), without independent verification.
The historical closing levels of each Index should not
be taken as an indication of future performance, and no assurance can be given as to the closing level of any Index on any
Review Date. There can be no assurance that the performance of the Indices will result in the return of any of your principal amount or
the payment of any interest.
Historical Performance of the
Nasdaq-100® Technology Sector IndexSM
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024069019/image_005.jpg)
Source: Bloomberg
|
PS-8
| Structured Investments
Callable Contingent Interest Notes Linked to the Least
Performing of the Nasdaq-100® Technology Sector IndexSM, the Russell 2000® Index and the S&P
500® Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024069019/image_001.jpg) |
Historical Performance of the
Russell 2000® Index
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024069019/image_006.jpg)
Source: Bloomberg
|
Historical Performance of the
S&P 500® Index
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024069019/image_007.jpg)
Source: Bloomberg
|
Tax Treatment
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 notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent coupons
and (ii) any Contingent Interest 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 notes could be materially affected. In addition, in 2007 Treasury and the IRS
released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar
instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their
investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments
and the relevance of factors such as the nature of the
PS-9
| Structured Investments
Callable Contingent Interest Notes Linked to the Least
Performing of the Nasdaq-100® Technology Sector IndexSM, the Russell 2000® Index and the S&P
500® Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024069019/image_001.jpg) |
underlying property to which the instruments are linked.
While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated
after consideration of these issues could materially affect the tax consequences of an investment in the notes, possibly with retroactive
effect. The discussions above and in the accompanying product supplement do not address the consequences to taxpayers subject to special
tax accounting rules under Section 451(b) of the Code. You should consult your tax adviser regarding the U.S. federal income tax consequences
of an investment in the notes, including possible alternative treatments and the issues presented by the notice described above.
Non-U.S. Holders — Tax Considerations. The
U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and although we believe it is reasonable to take a position
that Contingent Interest 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 Interest 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 notes must comply with certification requirements to establish
that it is not a U.S. person and is eligible for such an exemption or reduction under an applicable tax treaty. If you are a Non-U.S.
Holder, you should consult your tax adviser regarding the tax treatment of the notes, including the possibility of obtaining a refund
of any withholding tax and the certification requirement described above.
Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on dividend equivalents
paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include
U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked to certain broad-based
indices that meet requirements set forth in the applicable Treasury regulations. Additionally, a recent IRS notice excludes from the scope
of Section 871(m) instruments issued prior to January 1, 2027 that do not have a delta of one with respect to underlying securities that
could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on certain determinations
made by us, our special tax counsel is of the opinion that Section 871(m) should not apply to the notes with regard to Non-U.S. Holders.
Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application
may depend on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security.
You should consult your tax adviser regarding the potential application of Section 871(m) to the notes.
In the event of any withholding on the notes, we will
not be required to pay any additional amounts with respect to amounts so withheld.
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 —
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.
PS-10
| Structured Investments
Callable Contingent Interest Notes Linked to the Least
Performing of the Nasdaq-100® Technology Sector IndexSM, the Russell 2000® Index and the S&P
500® Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024069019/image_001.jpg) |
The estimated value of the notes is lower than the original
issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue price
of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected profits,
if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated
cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market forces beyond
our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. A portion of the profits,
if any, realized in hedging our obligations under the notes may be allowed to other affiliated or unaffiliated dealers, and we or one
or more of our affiliates will retain any remaining hedging profits. See “Selected Risk Considerations — 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 — 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 Indices”
in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to the
estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus) the
projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes,
plus the estimated cost of hedging our obligations under the notes.
Validity
of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as special
products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by this pricing supplement have been issued
by JPMorgan Financial pursuant to the indenture, the trustee and/or paying agent has made, in accordance with the instructions from JPMorgan
Financial, the appropriate entries or notations in its records relating to the master global note that represents such notes (the “master
note”), and such notes have been delivered against payment as contemplated herein, such notes will be valid and binding obligations
of JPMorgan Financial and the related guarantee will constitute a valid and binding obligation of JPMorgan Chase & Co., enforceable
in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally,
concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair
dealing and the lack of bad faith), provided that such counsel expresses no opinion as to (i) the effect of fraudulent conveyance,
fraudulent transfer or similar provision of applicable law on the conclusions expressed above or (ii) any provision of the indenture that
purports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law by limiting the amount
of JPMorgan Chase & Co.’s obligation under the related guarantee. This opinion is given as of the date hereof and is limited
to the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited Liability Company
Act. In addition, this opinion is subject to customary assumptions about the 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.
PS-11
| Structured Investments
Callable Contingent Interest Notes Linked to the Least
Performing of the Nasdaq-100® Technology Sector IndexSM, the Russell 2000® Index and the S&P
500® Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024069019/image_001.jpg) |
Additional
Terms Specific to the Notes
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which
these notes are a part, the accompanying prospectus addendum and the more detailed information contained in the accompanying product supplement
and the accompanying underlying supplement. This pricing supplement, together with the documents listed below, contains the terms of the
notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or
indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other
educational materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk Factors”
sections of the accompanying prospectus supplement and the accompanying product supplement and in Annex A to the accompanying prospectus
addendum, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal,
tax, accounting and other advisers before you invest in the notes.
You may access these documents
on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC
website):
Our Central Index Key, or CIK, on
the SEC website is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us”
and “our” refer to JPMorgan Financial.
PS-12
| Structured Investments
Callable Contingent Interest Notes Linked to the Least
Performing of the Nasdaq-100® Technology Sector IndexSM, the Russell 2000® Index and the S&P
500® Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024069019/image_001.jpg) |
Annex
A
The Nasdaq-100® Technology Sector
IndexSM
All information contained in this pricing supplement
regarding the Nasdaq-100® Technology Sector IndexSM, including, without limitation, its make-up, method of calculation
and changes in its components, has been derived from publicly available information, without independent verification. This information
reflects the policies of, and is subject to change by, The Nasdaq Stock Market, Inc. (“Nasdaq”). The Nasdaq-100®
Technology Sector IndexSM was developed by Nasdaq and is calculated, maintained and published by The Nasdaq OMX Group, Inc.
(“Nasdaq OMX”). Neither Nasdaq nor Nasdaq OMX has any obligation to continue to publish, and may discontinue publication of,
the Nasdaq-100® Technology Sector IndexSM.
The Nasdaq-100® Technology Sector IndexSM
began on February 22, 2006 at a base value of 1,000.00. The Nasdaq-100® Technology Sector IndexSM is reported
by Bloomberg, L.P. under the ticker symbol “NDXT.”
The Nasdaq-100® Technology Sector IndexSM
is an equal-weighted, price-return index designed to measure the performance of the technology companies in the Nasdaq-100 Index®.
Security Eligibility Criteria
The Nasdaq-100® Technology Sector IndexSM
contains securities of the Nasdaq-100 Index® which are classified as Technology according to the Industry Classification
Benchmark (“ICB”). The eligibility for the Nasdaq-100® Technology Sector IndexSM is determined in
a 2-step process and the security has to meet both criteria in order to become eligible for the Nasdaq-100® Technology
Sector IndexSM. For additional information about the Nasdaq-100 Index®, including the methodology for inclusion
in the Nasdaq-100 Index®, see “Equity Index Descriptions — The Nasdaq-100 Index®” in the
accompanying underlying supplement.
Parent Index
The security must be included in the Nasdaq-100 Index®,
which includes 100 of the largest domestic and international non-financial companies listed on the Nasdaq.
Industry or Sector Eligibility
The company must be classified as a Technology Company
(any company classified under the Technology Industry) according to ICB.
Constituent Selection
All securities that meet the applicable Security Eligibility
Criteria described above are included in the Nasdaq-100® Technology Sector IndexSM.
Constituent Weighting
The Nasdaq-100® Technology Sector IndexSM
employs an equal weighting methodology such that each company’s Index market value is rebalanced quarterly to an equal-dollar value
corresponding to an equal percent weight of the Nasdaq-100® Technology Sector IndexSM’s aggregate market
value. Index Shares are calculated by dividing this equal-dollar market value for each Index Security by the corresponding Last Sale Price
of the security at the close of trading on the third Friday in March, June, September, and December. In the case of multiple share classes
of a company being included in the Nasdaq-100® Technology Sector IndexSM, the equal-weighted market value will
be divided equally among the securities of that company.
Index Calculation
The Nasdaq-100® Technology Sector IndexSM
is an equal weighted, price return index. The Nasdaq-100® Technology Sector IndexSM is calculated without regard
to ordinary dividends, however, it does reflect special dividends. The formula is as follows:
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024069019/image_008.jpg)
(1) |
“Index Market Value” shall be calculated as follows: |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024069019/image_009.jpg)
|
“Index Security” shall mean a security that
has been selected for membership in the Nasdaq-100® Technology Sector IndexSM, having met all applicable eligibility
requirements.
n = Number of Index Securities included in the
Nasdaq-100® Technology Sector IndexSM
qi = Number of shares of Index Security i applied
in the Nasdaq-100® Technology Sector IndexSM.
pi = Price in quote currency of Index Security
i. Depending on the time of the calculation, the price can be either of the following: |
|
a. |
The Start of Day (SOD) price which is the previous index calculation day’s (t-1) closing price for Index Security i adjusted |
PS-13
| Structured Investments
Callable Contingent Interest Notes Linked to the Least
Performing of the Nasdaq-100® Technology Sector IndexSM, the Russell 2000® Index and the S&P
500® Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024069019/image_001.jpg) |
|
|
for corporate action(s) occurring prior to market open on date t, if any, for the SOD calculation only; |
|
b. |
The intraday price which reflects the current trading price received from the Nasdaq during the index calculation day; |
|
c. |
The End of Day (EOD) price refers to the Last Sale Price, which refers to the last regular-way trade reported on Nasdaq; or |
|
d. |
The Volume Weighted Average Price (VWAP) |
|
t = current index calculation day
t-1 = current index calculation day |
(2) |
“PR Index Divisor” should be calculated as follows: |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024069019/image_010.jpg)
The Index Divisor serves the purpose of scaling an Index
Market Value to lower order of magnitude, which is recommended for reporting purposes. The Index Divisor is adjusted to ensure that changes
in an Index Security’s price or shares either by corporate actions or index participation which occur outside of trading hours do
not affect the index value. An Index Divisor change occurs after the close of the Nasdaq-100® Technology Sector IndexSM.
Index Maintenance
Deletion Policy
If a component of the Nasdaq-100® Technology
Sector IndexSM is removed from the Nasdaq-100 Index® for any reason, it is also removed from the Nasdaq-100®
Technology Sector IndexSM at the same time.
Replacement Policy
When a component of the Nasdaq-100 Index®
that is classified as Technology according to ICB is removed from the Nasdaq-100 Index, it is also removed from the Nasdaq-100 Technology
Sector Index. As such, if the replacement company being added to the Nasdaq-100 Index® is classified as Technology according
to ICB, it is added to the Nasdaq-100® Technology Sector IndexSM and will assume the weight of the removed company
on the Index effective date.
When a component of the Nasdaq-100 Index®
that is not classified as Technology according to ICB is removed and the replacement company being added to the Nasdaq-100 Index is classified
as Technology according to ICB, the replacement company is considered for addition to the Nasdaq-100 Technology Sector Index at the next
quarterly Rebalance. When a component of the Nasdaq-100 Index that is classified as Technology according to ICB is removed from the Nasdaq-100
Index and the replacement company being added to the Nasdaq-100 Index® is not classified as Technology according to ICB,
the company is removed from the Nasdaq-100® Technology Sector IndexSM and the divisor of the Nasdaq-100®
Technology Sector IndexSM is adjusted to ensure Index continuity.
Additions Policy
If a security is added to the Nasdaq-100 Index®
for any reason, it may be added to the Nasdaq-100® Technology Sector IndexSM at the same time.
Corporate Actions
In the interim periods between scheduled index reconstitution
and rebalance events, individual Index securities may be the subject to a variety of corporate actions and events that require maintenance
and adjustments to the Index.
In certain cases, corporate actions and events are handled
according to the weighting scheme or other index construction techniques employed. Wherever alternate methods are described, the Index
will follow the “Non-Market Cap Corporate Action Method.”
Index Share Adjustments
Other than as a direct result of corporate actions, the
Nasdaq-100® Technology Sector IndexSM does not normally experience share adjustments between scheduled index
rebalance and reconstitution events.
License Agreement
JPMorgan Chase & Co. or its affiliate intends to
enter into a non-exclusive license agreement with Nasdaq providing for the license to it and certain of its affiliates or subsidiaries,
including JPMorgan Financial, with a non-exclusive license and, for a fee, with the right to use the Nasdaq-100® Technology
Sector IndexSM in connection with certain securities, including the notes.
The license agreement with Nasdaq provides that the following
language must be stated in this pricing supplement:
The notes are not sponsored, endorsed, sold or promoted
by Nasdaq Inc. or its affiliates (Nasdaq, with its affiliates, are referred to as the “Corporations”). The Corporations have
not passed on the legality or suitability of, or the accuracy or adequacy of descriptions and
PS-14
| Structured Investments
Callable Contingent Interest Notes Linked to the Least
Performing of the Nasdaq-100® Technology Sector IndexSM, the Russell 2000® Index and the S&P
500® Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024069019/image_001.jpg) |
disclosures relating to, the notes. The
Corporations make no representation or warranty, express or implied, to the owners of the notes or any member of the public regarding
the advisability of investing in securities generally or in the notes particularly, or the ability of the Nasdaq-100® Technology
Sector IndexSM to track general stock market performance. The Corporations’ only relationship to the Issuer, the Guarantor
(if applicable) and their affiliates is in the licensing of Nasdaq®, Nasdaq-100® and Nasdaq-100 Index®
registered trademarks, service marks and certain trade names of the Corporations and the use of the Nasdaq-100® Technology
Sector IndexSM which is determined, composed and calculated by Nasdaq without regard to the Issuer or the Guarantor (if applicable)
or the notes. Nasdaq has no obligation to take the needs of the Issuer or the Guarantor (if applicable) or the owners of the notes into
consideration in determining, composing or calculating the Nasdaq-100® Technology Sector IndexSM. The Corporations
are not responsible for and have not participated in the determination of the timing
of, prices at, or quantities of the notes to be issued or in the determination or calculation of the equation by which the notes are to
be converted into cash. The Corporations have no liability in connection with the administration, marketing or trading of the notes.
THE CORPORATIONS DO NOT GUARANTEE THE ACCURACY AND/OR
UNINTERRUPTED CALCULATION OF THE NASDAQ-100® TECHNOLOGY SECTOR INDEXSM OR ANY DATA INCLUDED THEREIN. THE CORPORATIONS
MAKE NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, THE GUARANTOR (IF APPLICABLE), OWNERS OF THE NOTES,
OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE NASDAQ-100® TECHNOLOGY SECTOR INDEXSM OR ANY DATA INCLUDED
THEREIN. THE CORPORATIONS MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR
A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE NASDAQ-100® TECHNOLOGY SECTOR INDEXSM OR ANY DATA INCLUDED THEREIN.
WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE CORPORATIONS HAVE ANY LIABILITY FOR ANY LOST PROFITS OR SPECIAL, INCIDENTAL,
PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES, EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
PS-15
| Structured Investments
Callable Contingent Interest Notes Linked to the Least
Performing of the Nasdaq-100® Technology Sector IndexSM, the Russell 2000® Index and the S&P
500® Index |
![](https://www.sec.gov/Archives/edgar/data/1665650/000121390024069019/image_001.jpg) |
S-3
424B2
EX-FILING FEES
333-270004
0000019617
JPMORGAN CHASE & CO
0000019617
2024-08-14
2024-08-14
iso4217:USD
xbrli:pure
xbrli:shares
Calculation of Filing Fee Tables
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S-3
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JPMORGAN CHASE & CO
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The maximum aggregate offering price of the securities to which the prospectus relates is $402,000. The prospectus is a final prospectus for the related offering.
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v3.24.2.u1
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- DefinitionA unique 10-digit SEC-issued value to identify entities that have filed disclosures with the SEC. It is commonly abbreviated as CIK.
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