|
Pricing supplement
To prospectus dated April 13, 2023,
prospectus supplement dated April 13, 2023 and
product supplement no. 2-I dated April 13, 2023 |
Registration Statement Nos. 333-270004 and 333-270004-01
Dated May 17, 2024
Rule 424(b)(2)
|
| JPMorgan Chase
Financial Company LLC |
|
Structured
Investments
|
$2,730,000
Knock-Out Notes Linked to Grade A Copper due June 9, 2025
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co. |
General
| · | The notes are designed for investors who seek a positive
return at maturity based on the appreciation of copper of not more than 15.00% over the term of the notes. |
| · | The notes are also designed for investors who are willing
to accept a fixed return of 10.80% at maturity if copper has appreciated by more than 15.00% over the term of the notes and are willing
to receive only the principal amount of their notes at maturity if copper has depreciated or is flat over the term of the notes. |
| · | Investors should be willing to forgo interest payments while
seeking full repayment of principal at maturity. |
| · | 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 $10,000 and integral multiples
of $1,000 in excess thereof |
Key Terms
| Issuer: |
JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co. |
| Guarantor: |
JPMorgan Chase & Co. |
| Commodity: |
The spot price of Grade A Copper (Bloomberg ticker: LOCADY) |
Payment at Maturity:
|
If the Final Value is greater than the Initial Value but is less than or equal to the Knock-Out Value, at maturity, you will receive a cash payment, for each $1,000 principal amount note, of $1,000 plus the Additional Amount. |
| |
If the Final Value is greater than the Knock-Out Value, at maturity, you will receive a cash payment, for each $1,000 principal amount note, of $1,000 plus the Fixed Amount. |
| |
If the Final Value is less than or equal to the Initial Value, you will
receive the principal amount of your notes at maturity.
You are entitled to repayment of principal in full at maturity,
subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co. |
| Additional Amount*: |
The Additional Amount that may be payable at maturity per $1,000 principal amount of note will equal $1,000 × Commodity Return × Participation Rate. |
| Participation Rate: |
100% |
| Knock-Out Value: |
115.00% of the Initial Value |
| Fixed Amount: |
$108.00 per $1,000 principal amount note |
| Commodity Return: |
(Final Value – Initial Value)
Initial Value |
| Initial Value: |
The Commodity Price on the Pricing Date, which was $10,398 |
| Final Value: |
The Commodity Price on the Observation Date |
| Commodity Price: |
On any day, the official cash offer price of Copper Grade A on the London Metal Exchange (the “LME”) for the spot market, stated in U.S. dollars per metric ton, as determined by the LME and displayed on the Bloomberg Professional® service (“Bloomberg”) under the symbol “LOCADY” on that day |
| Pricing Date: |
May 17, 2024 |
| Original Issue Date: |
On or about May 22, 2024 (Settlement Date) |
| Observation Date†: |
June 4, 2025 |
| Maturity Date†: |
June 9, 2025 |
| CUSIP: |
48133W5T1 |
| † | Subject to postponement in the event of a market disruption event and as described under “General
Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single
Commodity or Commodity Futures Contract” and “General Terms of Notes — Postponement of a Payment Date” in the
accompanying product supplement |
Investing in the notes involves a number of risks. See “Risk
Factors” beginning on page S-2 of the prospectus supplement, “Risk Factors” beginning on page PS-11 of the accompanying
product supplement and “Selected Risk Considerations” beginning on page PS-4 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, prospectus supplement and prospectus. Any representation to the contrary is a criminal
offense.
| |
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Issuer |
| Per note |
$1,000 |
$10 |
$990 |
| Total |
$2,730,000 |
$27,300 |
$2,702,700 |
| (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 $10.00 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 $979.60 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.
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, and the more detailed information contained in the accompanying product 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” section of the accompanying product supplement, 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):
| · | Product supplement no. 2-I dated April 13, 2023: |
http://www.sec.gov/Archives/edgar/data/19617/000121390023029567/ea151907_424b2.pdf
| · | Prospectus supplement and prospectus, each dated April 13, 2023: |
http://www.sec.gov/Archives/edgar/data/19617/000095010323005751/crt_dp192097-424b2.pdf
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.
Supplemental Terms of the Notes
For purposes of the notes offered by this pricing supplement:
the Observation Date is a “Determination Date” as described in the accompanying product supplement and is subject to postponement
as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying
— Notes Linked to a Single Commodity or Commodity Futures Contract” in the accompanying product supplement.
The notes are not commodity futures contracts or
swaps and are not regulated under the Commodity Exchange Act of 1936, as amended (the “Commodity Exchange Act”). The notes
are offered pursuant to an exemption from regulation under the Commodity Exchange Act, commonly known as the hybrid instrument exemption,
that is available to securities that have one or more payments indexed to the value, level or rate of one or more commodities, as set
out in section 2(f) of that statute. Accordingly, you are not afforded any protection provided by the Commodity Exchange Act or any regulation
promulgated by the Commodity Futures Trading Commission.
Any values of the Commodity, 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.
| | |
| JPMorgan Structured Investments — | PS- 1 |
| Knock-Out Notes Linked to Grade A Copper | |
What Is the Payment at Maturity,
Assuming a Range of Performances for the Commodity?
The following table and examples illustrate the hypothetical
total return and the hypothetical payment at maturity on the notes. The “total return” as used in this pricing supplement
is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount note to $1,000.
Each hypothetical total return or payment at maturity set forth below assumes an Initial Value of $100 and reflects a Knock-Out Value
of $115.00 (equal to 115.00% of the Initial Value) and a Fixed Amount of $108.00 per $1,000 principal amount note.
The hypothetical Initial Value of $100 has been chosen
for illustrative purposes only and does not represent the actual Initial Value. The actual Initial Value is the Commodity Price on the
Pricing Date and is specified under “Key Terms — Initial Value” on the cover of this pricing supplement. For historical
data regarding the actual Commodity Prices, please see the historical information set forth under “Historical Information”
in this pricing supplement.
Each hypothetical payment at maturity set forth below
is for illustrative purposes only and may not be the actual payment at maturity applicable to a purchaser of the notes. The numbers appearing
in the following table and in the examples below have been rounded for ease of analysis.
| Final Value |
Commodity
Return |
Additional
Amount |
Fixed
Amount |
Payment at
Maturity |
| $180.00 |
80.00% |
N/A |
$108.00 |
$1,108.00 |
| $165.00 |
65.00% |
N/A |
$108.00 |
$1,108.00 |
| $150.00 |
50.00% |
N/A |
$108.00 |
$1,108.00 |
| $140.00 |
40.00% |
N/A |
$108.00 |
$1,108.00 |
| $130.00 |
30.00% |
N/A |
$108.00 |
$1,108.00 |
| $120.00 |
20.00% |
N/A |
$108.00 |
$1,108.00 |
| $115.01 |
15.01% |
N/A |
$108.00 |
$1,108.00 |
| $115.00 |
15.00% |
$150.00 |
N/A |
$1,150.00 |
| $110.00 |
10.00% |
$100.00 |
N/A |
$1,100.00 |
| $105.00 |
5.00% |
$50.00 |
N/A |
$1,050.00 |
| $102.50 |
2.50% |
$25.00 |
N/A |
$1,025.00 |
| $100.00 |
0.00% |
N/A |
N/A |
$1,000.00 |
| $97.50 |
-2.50% |
N/A |
N/A |
$1,000.00 |
| $95.00 |
-5.00% |
N/A |
N/A |
$1,000.00 |
| $90.00 |
-10.00% |
N/A |
N/A |
$1,000.00 |
| $85.00 |
-15.00% |
N/A |
N/A |
$1,000.00 |
| $80.00 |
-20.00% |
N/A |
N/A |
$1,000.00 |
| $70.00 |
-30.00% |
N/A |
N/A |
$1,000.00 |
| $60.00 |
-40.00% |
N/A |
N/A |
$1,000.00 |
| $50.00 |
-50.00% |
N/A |
N/A |
$1,000.00 |
| $40.00 |
-60.00% |
N/A |
N/A |
$1,000.00 |
| $30.00 |
-70.00% |
N/A |
N/A |
$1,000.00 |
| $20.00 |
-80.00% |
N/A |
N/A |
$1,000.00 |
| $10.00 |
-90.00% |
N/A |
N/A |
$1,000.00 |
| $0.00 |
-100.00% |
N/A |
N/A |
$1,000.00 |
| | |
| JPMorgan Structured Investments — | PS- 2 |
| Knock-Out Notes Linked to Grade A Copper | |
Hypothetical Examples of Amount
Payable at Maturity
The following examples illustrate how the payment
at maturity in different hypothetical scenarios is calculated.
Example 1: The price of the Commodity increases from
the Initial Value of $100 to a Final Value of $102.50.
Because the Final Value of $102.50 is greater than the
Initial Value of $100 but is less than the Knock-Out Value of $115 and the Commodity Return is 2.50%, the investor receives a payment
at maturity of $1,025.00 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × 2.50% ×
100%) = $1,025.00
Example 2: The price of the Commodity increases from
the Initial Value of $100 to a Final Value of $150
Because the Final Value of $150 is greater than the
Knock-Out Value of $115, the investor receives a payment at maturity of $1,108.00 per $1,000 principal amount note, calculated as follows:
$1,000 + $108.00 = $1,108.00
Example 3: The price of the Commodity decreases from
the Initial Value of $100 to a Final Value of $60.
Because the Final Value of $60 is less than the Initial
Value of $100 and although the Commodity Return is negative, the investor receives a payment at maturity of $1,000 per $1,000 principal
amount note.
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 fees or expenses
that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns and
hypothetical payments shown above would likely be lower.
| | |
| JPMorgan Structured Investments — | PS- 3 |
| Knock-Out Notes Linked to Grade A Copper | |
Selected Purchase Considerations
| · | POTENTIAL PRESERVATION OF CAPITAL AT MATURITY —
Subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co., the payment at maturity will be at least $1,000 per
$1,000 principal amount note if you hold the notes to maturity, regardless of the performance of the Commodity. Because the notes are
unsecured and unsubordinated obligations of JPMorgan Financial and JPMorgan Chase & Co., payment of any amount on the notes is subject
to our and JPMorgan Chase & Co.’s ability to pay our and JPMorgan Chase & Co.’s obligations as they become due. |
| · | CAPPED APPRECIATION POTENTIAL — If the Final
Value is greater than the Initial Value but is less than or equal to the Knock-Out Value of 115.00% of the Initial Value, you will receive
at maturity $1,000 plus an additional return equal to the Commodity Return times the Participation Rate. Under these
circumstances, the maximum payment at maturity is $1,150.00 per $1,000 principal amount note. In addition, if the Final Value is
greater than the Knock-Out Value, the payment at maturity for each $1,000 principal amount note will be equal to $1,000 plus the
Fixed Amount. |
| · | RETURN LINKED TO THE PERFORMANCE OF COPPER —
The return on the notes is linked to the performance of copper. For additional information about the Commodity, see the information set
forth under “The Underlyings — Commodities” in the accompanying product supplement. |
| · | TREATMENT AS CONTINGENT PAYMENT DEBT INSTRUMENTS —
You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences,” and in particular the
subsection thereof entitled “— Tax Consequences to U.S. Holders — Notes Treated as Debt Instruments That Have a Term
of More than One Year,” in the accompanying product supplement no. 2-I. Unlike a traditional debt instrument that provides for periodic
payments of interest at a single fixed rate, with respect to which a cash-method investor generally recognizes income only upon receipt
of stated interest, our special tax counsel, Davis Polk & Wardwell LLP, is of the opinion that the notes will be treated for U.S.
federal income tax purposes as “contingent payment debt instruments.” As discussed in that subsection, you generally will
be required to accrue original issue discount (“OID”) on your notes in each taxable year at the “comparable yield,”
as determined by us, although we will not make any payment with respect to the notes until maturity. Upon sale or exchange (including
at maturity), you will recognize taxable income or loss equal to the difference between the amount received from the sale or exchange
and your adjusted basis in the note, which generally will equal the cost thereof, increased by the amount of OID you have accrued in respect
of the note. You generally must treat any income as interest income and any loss as ordinary loss to the extent of previous interest inclusions,
and the balance as capital loss. The deductibility of capital losses is subject to limitations. Special rules may apply if the amount
payable at maturity is treated as becoming fixed prior to maturity. You should consult your tax adviser concerning the application of
these rules. The discussions herein 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. Purchasers who are not initial purchasers of notes at their issue price
should consult their tax advisers with respect to the tax consequences of an investment in notes, including the treatment of the difference,
if any, between the basis in their notes and the notes’ adjusted issue price. |
| · | The discussions in the preceding paragraphs, when read in
combination with the section entitled “Material U.S. Federal Income Tax Consequences” (and in particular the subsection thereof
entitled “— Notes Treated as Debt Instruments That Have a Term of More than One Year”) in the accompanying product supplement,
constitute the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal income tax consequences of owning and
disposing of notes. |
| · | COMPARABLE YIELD AND PROJECTED PAYMENT SCHEDULE —
We have determined that the
“comparable yield” is an annual rate of 4.91%, compounded semiannually. Based on our determination of the comparable yield,
the “projected payment schedule”
per $1,000 principal amount note consists of a single payment at maturity, equal to $1,052.19. Assuming a semiannual accrual period, the
following table sets out the amount of OID that will accrue with respect to a note during each calendar period, based upon our determination
of the comparable yield and projected payment schedule. |
| Calendar
Period |
Accrued
OID During
Calendar Period (Per
$1,000 Principal Amount
Note) |
Total
Accrued OID from Original
Issue Date (Per $1,000 Principal
Amount Note) as of End of
Calendar Period |
| May
22, 2024 through December 31, 2024 |
$29.86 |
$29.86 |
| January
1, 2025 through June 9, 2025 |
$22.33 |
$52.19 |
The
comparable yield and projected payment schedule are determined solely to calculate the amount on which you will be taxed with respect
to the notes in each year and are neither a prediction nor a guarantee of what the actual yield will be. The amount you actually receive
at maturity or earlier sale or exchange of your notes will affect your income for that year, as described above under “Treatment
as Contingent Payment Debt Instruments.”
Selected Risk
Considerations
An investment in the notes involves significant risks.
Investing in the notes is not equivalent to investing directly in the Commodity or in any exchange-traded or over-the-counter instruments
based on, or other instruments linked to, the Commodity. These risks are explained in more detail in the “Risk Factors” sections
of the accompanying prospectus supplement and the accompanying product supplement.
| | |
| JPMorgan Structured Investments — | PS- 4 |
| Knock-Out Notes Linked to Grade A Copper | |
Risks
Relating to the Notes Generally
| · | THE NOTES MAY NOT PAY MORE THAN THE PRINCIPAL AMOUNT
AT MATURITY — If the Final Value is less than or equal to the Initial Value, you will receive only the principal amount of your
notes at maturity, and you will not be compensated for any loss in value due to inflation and other factors relating to the value of money
over time. |
| · | YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE KNOCK-OUT
VALUE AND THE FIXED AMOUNT — If the Final Value is greater than the Initial Value but is less than or equal to the Knock-Out
Value of 115.00% of the Initial Value, you will receive at maturity $1,000 plus an additional return equal to the Commodity Return
times the Participation Rate. Under these circumstances, the maximum payment at maturity is $1,150.00 per $1,000 principal
amount note. However, you will not benefit from the Commodity Return or the Participation Rate if the Final Value is less than or
equal to the Initial Value or is greater than the Knock-Out Value. In addition, if the Final Value is greater than the Knock-Out
Value, the payment at maturity for each $1,000 principal amount note will be limited to $1,000 plus the Fixed Amount, regardless
of the appreciation of the Commodity, which may be significant. |
| · | CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE
& CO. — The notes are subject to our and JPMorgan Chase & Co.’s credit risks, and our and JPMorgan Chase &
Co.’s credit ratings and credit spreads may adversely affect the market value of the notes. 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. Aside from the initial capital contribution from JPMorgan Chase & Co., substantially
all of our assets relate to obligations of our affiliates to make payments under loans made by us or other intercompany agreements. As
a result, we are dependent upon payments from our affiliates to meet our obligations under the notes. If these affiliates do not make
payments to us and we fail 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. |
| · | OWNING THE NOTES IS NOT THE SAME AS OWNING THE COMMODITY OR COMMODITY-RELATED
FUTURES CONTRACTS DIRECTLY — The return on your notes will not reflect the return you would realize if you actually purchased
the Commodity or exchange-traded or over-the-counter instruments based on the Commodity. You will not have any rights that holders of
such assets or instruments have. |
| · | NO INTEREST PAYMENTS — As a holder of the notes, you will
not receive any interest payments. |
| · | LACK OF LIQUIDITY — The notes will not be listed on any
securities exchange. JPMS intends to offer to purchase the notes in the secondary market but is not required to do so. Even if there is
a secondary market, it may not provide enough liquidity to allow you to trade or sell the notes easily. Because other dealers are not
likely to make a secondary market for the notes, the price at which you may be able to trade your notes is likely to depend on the price,
if any, at which JPMS is willing to buy the notes. |
Risks
Relating to Conflicts of Interest
| · | POTENTIAL CONFLICTS
— We and our affiliates play a variety of roles in connection with the issuance of the notes, including acting as calculation agent
and as an agent of the offering of the notes, hedging our obligations under the notes and making the assumptions used to determine the
pricing of the notes and the estimated value of the notes when the terms of the notes are set, which we refer to as the estimated value
of the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests and the economic interests of the
calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the notes. In addition, our
and JPMorgan Chase & Co.’s business activities, including hedging and trading activities, could cause our and JPMorgan Chase
& Co.’s economic interests to be adverse to yours and could adversely affect any payment on the notes and the value of the notes.
It is possible that hedging or trading activities of ours or our affiliates in connection with the notes could result in substantial returns
for us or our affiliates while the value of the notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts
of Interest” in the accompanying product supplement for additional information about these risks. |
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 — The estimated value of the notes is determined by reference
to internal pricing models of our affiliates when the terms of the notes are set. This estimated value of the notes is based on market
conditions and other relevant factors existing at that time and assumptions about market parameters, which can include volatility, interest
rates and other factors. Different pricing models and assumptions could provide valuations for the notes that are greater than or less
than the estimated value of the notes. In addition, market conditions and other relevant factors in the future may change, and any assumptions
may prove to be incorrect. On future dates, the value of the notes could change significantly based on, among other things, changes |
| | |
| JPMorgan Structured Investments — | PS- 5 |
| Knock-Out Notes Linked to Grade A Copper | |
in market conditions, our or JPMorgan Chase & Co.’s
creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing
to buy notes from you in secondary market transactions. See “The Estimated Value of the Notes” in this pricing supplement.
| · | 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.
These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and
our internal secondary market funding rates for structured debt issuances. See “Secondary Market Prices of the Notes” in this
pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes during this
initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account statements). |
| · | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER
THAN THE ORIGINAL ISSUE PRICE OF THE NOTES — Any secondary market prices of the notes will likely be lower than the original
issue price of the notes because, among other things, secondary market prices take into account our internal secondary market funding
rates for structured debt issuances and, also, because secondary market prices may exclude selling commissions, projected hedging profits,
if any, and estimated hedging costs that are included in the original issue price of the notes. As a result, the price, if any, at which
JPMS will be willing to buy notes from you in secondary market transactions, if at all, is likely to be lower than the original issue
price. Any sale by you prior to the Maturity Date could result in a substantial loss to you. See the immediately following risk consideration
for information about additional factors that will impact any secondary market prices of the notes. |
The notes are not designed to be short-term
trading instruments. Accordingly, you should be able and willing to hold your notes to maturity. See “— Risks Relating to
the Notes Generally — Lack of Liquidity” above.
| · | 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 price of the Commodity, including: |
| · | any actual or potential change in our or JPMorgan Chase & Co.’s
creditworthiness or credit spreads; |
| · | customary bid-ask spreads for similarly sized trades; |
| · | our internal secondary market funding rates for structured debt issuances; |
| · | the actual and expected volatility in the Commodity Price; |
| · | supply and demand trends for the Commodity; |
| · | the time to maturity of the notes; |
| · | interest and yield rates in the market generally; and |
| · | a variety of other economic, financial, political, regulatory, geographical,
agricultural, meteorological and judicial events. |
Additionally, independent pricing vendors and/or third
party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements. This price may be
different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes in the secondary
market.
Risks
Relating to the Commodity
| · | INVESTMENTS RELATED TO THE PRICES OF THE COMMODITY MAY BE MORE VOLATILE
THAN TRADITIONAL SECURITIES INVESTMENTS — The price of copper is subject to variables that may be less significant to the prices
of traditional securities such as stocks and bonds, and where the return on the securities is not related to commodities. Variables such
as those described under “— The Market Price of Copper Will Affect the Value of the Notes” below may have a larger impact
on the price of the Commodity than on traditional securities. These additional variables may create additional investment risks that may
cause the price of the Commodity to move in unpredictable and unanticipated directions and at unpredictable or unanticipated rates and
cause the value of the notes to be more volatile than the prices of traditional securities. |
| · | THE MARKET PRICE OF COPPER WILL AFFECT THE VALUE OF THE NOTES
— Because the notes are linked to copper, we expect that generally the market value of the notes will depend in part on the market
price of copper. The price of copper is primarily affected by the global demand for and supply of copper, but is also influenced significantly
from time to time by speculative actions and by currency exchange rates. Demand for copper is significantly influenced by the level of
global industrial economic activity. Industrial sectors that are particularly important to demand for copper include the electrical and
construction sectors. In recent years, |
| | |
| JPMorgan Structured Investments — | PS- 6 |
| Knock-Out Notes Linked to Grade A Copper | |
demand has been supported by strong consumption from
newly industrializing countries due to their copper-intensive economic growth and industrial development. An additional, but highly volatile,
component of demand is adjustments to inventory in response to changes in economic activity and/or pricing levels. There are substitutes
for copper in various applications. Their availability and price will also affect demand for copper. Apart from the United States, Canada,
Australia and Poland, the majority of copper concentrate supply (the raw material) comes from outside the Organization for Economic Cooperation
and Development countries. The supply of copper is also affected by current and previous price levels, which will influence investment
decisions in new smelters. In previous years, copper supply has been affected by strikes, financial problems and terrorist activity. It
is not possible to predict the aggregate effect of all or any combination of these factors.
| · | SINGLE COMMODITY PRICES TEND TO BE MORE VOLATILE THAN, AND MAY NOT
CORRELATE WITH, THE PRICES OF COMMODITIES GENERALLY — The notes are linked to a single commodity and are not linked to a diverse
basket of commodities or a broad-based commodity index. The price of the Commodity may not correlate with, and may diverge significantly
from, the prices of commodities generally. Because the notes are linked to a single commodity, they carry greater risk and may be
more volatile than notes linked to the prices of multiple commodities or a broad-based commodity index. |
| · | ON THE OBSERVATION DATE, THE COPPER PRICE IS DETERMINED BY REFERENCE
TO THE OFFICIAL CASH SETTLEMENT PRICE OF COPPER AS DETERMINED BY THE LME, AND THERE ARE CERTAIN RISKS RELATING TO THE COPPER PRICE BEING
DETERMINED BY THE LME — The Commodity Price of copper will be determined by reference to the official cash settlement price
of copper as determined by the LME. The LME is a principals’ market that operates in a manner more closely analogous to the over-the-counter
physical commodity markets than regulated futures markets. For example, there are no daily price limits on the LME, which would otherwise
restrict the extent of daily fluctuations in the prices of LME contracts. In a declining market, therefore, it is possible that prices
would continue to decline without limitation within a trading day or over a period of trading days. In addition, a contract may be entered
into on the LME calling for delivery on any day from one day to three months following the date of that contract and for monthly delivery
up to 123 months forward following that third month, in contrast to trading on futures exchanges, which call for delivery in stated delivery
months. As a result, there may be a greater risk of a concentration of positions in LME contracts on particular delivery dates, which
in turn could cause temporary aberrations in the prices of LME contracts for certain delivery dates. If such aberrations occur during
the term of the notes, the official cash settlement prices of copper and, consequently, the Commodity Return, could be adversely affected.
The LME has no obligation to consider your interests in calculating or revising the official cash settlement price of copper. |
| | |
| JPMorgan Structured Investments — | PS- 7 |
| Knock-Out Notes Linked to Grade A Copper | |
Historical Information
The following graph sets forth the historical weekly performance
of the Commodity from January 4, 2019 through May 10, 2024. The Commodity Price on May 17, 2024 was $10,398.00.
We obtained the Commodity Prices above and below from
Bloomberg, without independent verification. The historical Commodity Prices should not be taken as an indication of future performance,
and no assurance can be given as to the Commodity Price on the Observation Date. There can be no assurance that the performance of the
Commodity will result in the return of any of your principal amount.
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, interest rates and other factors, as well as assumptions about future market events and/or environments. Accordingly, the
estimated value of the notes is determined when the terms of the notes are set based on market conditions and other relevant factors and
assumptions existing at that time. See “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary
Market Prices of the Notes — The Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ from
Others’ Estimates” in this pricing supplement.
The estimated value of the notes is lower than the original
issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue price
of the notes. These costs include the selling commissions paid to 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. We or one or more of
our affiliates will retain any profits realized in hedging our obligations under the notes. 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.
| | |
| JPMorgan Structured Investments — | PS- 8 |
| Knock-Out Notes Linked to Grade A Copper | |
Secondary Market Prices of the Notes
For information about factors that will impact any secondary
market prices of the notes, see “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary Market Prices of the Notes Will Be Impacted by Many Economic and Market Factors” in this pricing
supplement. In addition, we generally expect that some of the costs included in the original issue price of the notes will be partially
paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined
period that is intended to be 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.”
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 “What Is the Payment at Maturity, Assuming a
Range of Performances for the Commodity?” and “Hypothetical Examples of Amount Payable at Maturity” in this pricing
supplement for an illustration of the risk-return profile of the notes and “Selected Purchase Considerations — Return Linked
to the Performance of Copper” 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.
| | |
| JPMorgan Structured Investments — | PS- 9 |
| Knock-Out Notes Linked to Grade A Copper | |
Exhibit 107.1
The pricing supplement to which this Exhibit is
attached is a final prospectus for the related offering(s). The maximum aggregate offering price of the related offering(s) is $2,730,000.
JP Morgan Chase (NYSE:JPM)
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