Pricing supplement
To prospectus dated April 13, 2023,
prospectus supplement dated April 13, 2023,
product supplement no. 4-I dated April 13, 2023,
underlying supplement no. 1-I dated April 13, 2023 and
prospectus addendum dated June 3, 2024 |
Registration Statement Nos. 333-270004 and 333-270004-01
Dated November 25, 2024
Rule 424(b)(2)
|
| JPMorgan Chase Financial Company LLC |
|
Structured
Investments
|
$750,000
Capped Dual Directional Buffered Equity Notes Linked
to the EURO STOXX 50® Index due December 1, 2026
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co. |
General
| · | The notes are designed for investors who seek an unleveraged
return equal to any appreciation (up to the Maximum Upside Return of 27.10%), or an unleveraged return equal to the absolute value of
any depreciation (up to 25.00%), of the EURO STOXX 50® Index at maturity. |
| · | Investors should be willing to forgo interest and dividend
payments and, if the Ending Index Level is less than the Initial Index Level by more than 25.00%, be willing to lose some or all of their
principal amount 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, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co. |
| Guarantor: |
JPMorgan Chase & Co. |
| Index: |
The EURO STOXX 50® Index (Bloomberg ticker: SX5E) |
| Payment at Maturity: |
If the Ending Index Level is greater than the Initial Index Level, at maturity you will receive a cash payment that provides you with a return per $1,000 principal amount note equal to the Index Return, subject to the Maximum Upside Return. Accordingly, under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows: |
| |
$1,000 + ($1,000 × Index Return), subject to the Maximum Upside Return |
| |
If the Ending Index Level is equal to the Initial Index Level, you will
receive the principal amount of your notes at maturity.
If the Ending Index Level is less than the Initial Index Level by up
to 25.00%, you will receive at maturity a cash payment that provides you with a return per $1,000 principal amount note equal to the Absolute
Index Return, and your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Absolute Index Return)
Because the payment at maturity will not reflect the Absolute Index
Return if the Ending Index Level is less than the Initial Index Level by more than the Buffer Amount of 25.00%, your maximum payment at
maturity if the Index Return is negative is $1,250.00 per $1,000 principal amount note. |
| |
If the Ending Index Level is less than the Initial Index Level by more than 25.00%, you will lose 1.33333% of the principal amount of your notes for every 1% that the Ending Index Level is less than the Initial Index Level by more than 25.00%. Under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows: |
| |
$1,000 + [$1,000 x (Index Return + 25.00%) x 1.33333] |
| |
You will lose some or all of your principal amount at maturity if the Ending Index Level is less than the Initial Index Level by more than 25.00%. |
| Maximum Upside Return: |
27.10%. For example, if the Index Return is equal to or greater than 27.10%, you will receive the Maximum Upside Return of 27.10%, which entitles you to a maximum payment at maturity if the Index Return is positive of $1,271.00 per $1,000 principal amount note that you hold. |
| Buffer Amount: |
25.00% |
| Downside Leverage Factor: |
1.33333 |
| Index Return: |
(Ending Index Level – Initial
Index Level)
Initial Index Level |
| Absolute Index Return: |
The absolute value of the Index Return. For example, if the Index Return is -5%, the Absolute Index Return will equal 5%. |
| Initial Index Level: |
4,799.87, which was the closing level of the Index on the Pricing Date |
| Ending Index Level: |
The closing level of the Index on the Valuation Date |
| Pricing Date: |
November 25, 2024 |
| Original Issue Date: |
On or about November 29, 2024 (Settlement Date) |
| Valuation Date*: |
November 25, 2026 |
| Maturity Date*: |
December 1, 2026 |
| CUSIP: |
48135VU89 |
| * | Subject to postponement in the event of a market disruption event and as described under “General Terms of Notes — Postponement
of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity
Index)” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement or
early acceleration in the event of a change-in-law event as described under “General Terms of Notes — Consequences of a Change-in-Law
Event” in the accompanying product supplement and “Selected Risk Considerations — Risks Relating to the Notes Generally
— We May Accelerate Your Notes If a Change-in-Law Event Occurs” in this pricing supplement. |
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-5 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 |
$1,000.00 |
$15.00 |
$985.00 |
| Total |
$750,000.00 |
$11,250.00 |
$738,750.00 |
| (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 $15.00 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 $976.60 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, 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.
| |
| | |
| JPMorgan Structured Investments — | PS- 1 |
| Capped Dual Directional Buffered Equity Notes Linked to the EURO STOXX 50® Index | |
What Is the Total Return on the
Notes at Maturity, Assuming a Range of Performances for the Index?
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 a hypothetical Initial Index Level of 100.00 and reflects
the Maximum Upside Return of 27.10%, the Buffer Amount of 25.00% and the Downside Leverage Factor of 1.33333. The hypothetical Initial
Index Level of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Index Level. Each hypothetical
total return or payment at maturity set forth below is for illustrative purposes only and may not be the actual total return or 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.
|
Ending Index
Level |
Index
Return |
Absolute
Index
Return |
Total Return |
| 180.00 |
80.00% |
N/A |
27.10000% |
| 170.00 |
70.00% |
N/A |
27.10000% |
| 160.00 |
60.00% |
N/A |
27.10000% |
| 150.00 |
50.00% |
N/A |
27.10000% |
| 140.00 |
40.00% |
N/A |
27.10000% |
| 130.00 |
30.00% |
N/A |
27.10000% |
| 127.10 |
27.10% |
N/A |
27.10000% |
| 120.00 |
20.00% |
N/A |
20.00000% |
| 110.00 |
10.00% |
N/A |
10.00000% |
| 105.00 |
5.00% |
N/A |
5.00000% |
| 102.50 |
2.50% |
N/A |
2.50000% |
| 100.00 |
0.00% |
N/A |
0.00000% |
| 97.50 |
-2.50% |
2.50% |
2.50000% |
| 95.00 |
-5.00% |
5.00% |
5.00000% |
| 90.00 |
-10.00% |
10.00% |
10.00000% |
| 80.00 |
-20.00% |
20.00% |
20.00000% |
| 75.00 |
-25.00% |
25.00% |
25.00000% |
| 74.99 |
-25.01% |
N/A |
-0.01333% |
| 70.00 |
-30.00% |
N/A |
-6.66665% |
| 60.00 |
-40.00% |
N/A |
-19.99995% |
| 50.00 |
-50.00% |
N/A |
-33.33325% |
| 40.00 |
-60.00% |
N/A |
-46.66655% |
| 30.00 |
-70.00% |
N/A |
-59.99985% |
| 20.00 |
-80.00% |
N/A |
-73.33315% |
| 10.00 |
-90.00% |
N/A |
-86.66645% |
| 0.00 |
-100.00% |
N/A |
-100.00000% |
| |
| | |
| JPMorgan Structured Investments — | PS- 2 |
| Capped Dual Directional Buffered Equity Notes Linked to the EURO STOXX 50® Index | |
Hypothetical Examples of Amount
Payable at Maturity
The following examples illustrate how the total payment
at maturity in different hypothetical scenarios is calculated.
Example 1: The level of the Index increases from
the Initial Index Level of 100.00 to an Ending Index Level of 102.50.
Because the Ending Index Level of 102.50 is greater
than the Initial Index Level of 100.00 and the Index Return of 2.50% does not exceed the Maximum Upside Return of 27.10%, 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%)
= $1,025.00
Example 2: The level of the Index decreases from
the Initial Index Level of 100.00 to an Ending Index Level of 95.00.
Although the Index Return is negative, because the Ending
Index Level of 95.00 is less than the Initial Index Level of 100.00, which does not exceed the Buffer Amount of 25.00%, and the Absolute
Index Return is 5.00%, the investor receives a payment at maturity of $1,050.00 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × 5.00%)
= $1,050.00
Example 3: The level of the Index increases from
the Initial Index Level of 100.00 to an Ending Index Level of 150.00.
Because the Ending Index Level of 150.00 is greater than
the Initial Index Level of 100.00 and the Index Return of 50.00% exceeds the Maximum Upside Return of 27.10%, the investor receives a
payment at maturity of $1,271.00 per $1,000 principal amount note, the maximum payment at maturity if the Index Return is positive.
Example 4: The level of the Index decreases from
the Initial Index Level of 100.00 to an Ending Index Level of 50.00.
Because the Ending Index Level of 50.00 is less than
the Initial Index Level of 100.00 by more than the Buffer Amount of 25.00% and the Index Return is -50.00%, the investor receives a payment
at maturity of $666.6675 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00%
+ 25.00%) x 1.33333] = $666.6675
Example 5: The level of the Index decreases from
the Initial Index Level of 100.00 to an Ending Index Level of 75.00.
Although the Index Return is negative, because the Ending
Index Level of 75.00 is less than the Initial Index Level of 100.00 by up to the Buffer Amount of 25.00% and the Absolute Index Return
is 25.00%, the investor receives a payment at maturity of $1,250.00 per $1,000 principal amount note, the maximum payment at maturity
if the Index Return is negative, calculated as follows:
$1,000 + ($1,000 × 25.00%)
= $1,250.00
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 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 |
| Capped Dual Directional Buffered Equity Notes Linked to the EURO STOXX 50® Index | |
Selected Purchase Considerations
| · | CAPPED, UNLEVERAGED APPRECIATION
POTENTIAL IF THE INDEX RETURN IS POSITIVE — The notes provide the opportunity to earn a capped, unleveraged return equal to
a positive Index Return, up to the Maximum Upside Return of 27.10%. Accordingly, the maximum payment at maturity if the Index Return is
positive is $1,271.00 per $1,000 principal amount note. Because the notes are our unsecured and unsubordinated obligations, the payment
of which is fully and unconditionally guaranteed by JPMorgan Chase & Co., payment of any amount on the notes is subject
to our ability to pay our obligations as they become due and JPMorgan Chase & Co.’s ability to pay its obligations
as they become due. |
| · | POTENTIAL FOR UP TO A
25.00% RETURN ON THE NOTES EVEN IF THE INDEX RETURN IS NEGATIVE — If the Ending Index Level is less than the Initial Index Level
by up to the Buffer Amount, you will earn a positive, unleveraged return on the notes equal to the Absolute Index Return. Under these
circumstances, you will earn a positive return on the notes even though the Ending Index Level is less than the Initial Index Level. For
example, if the Index Return is -5%, the Absolute Index Return will equal 5%. Because the payment at maturity will not reflect the Absolute
Index Return if the Ending Index Level is less than the Initial Index Level by more than the Buffer Amount of 25.00%, your maximum payment
at maturity if the Index Return is negative is $1,250.00 per $1,000 principal amount note. |
| · | LOSS OF PRINCIPAL BEYOND BUFFER AMOUNT — We
will pay you at least your principal back at maturity if the Ending Index Level is equal to the Initial Index Level or is less than the
Initial Index Level by up to 25.00%. If the Ending Index Level is less than the Initial Index Level by more than 25.00%, for every 1%
that the Ending Index Level is less than the Initial Index Level by more than 25.00%, you will lose an amount equal to 1.33333% of the
principal amount of your notes. Accordingly, you may lose some or all of your principal amount at maturity. |
| · | RETURN LINKED TO THE EURO
STOXX 50® INDEX — The EURO STOXX 50® Index consists of 50 component stocks of market sector
leaders from within the Eurozone. The EURO STOXX 50® Index and STOXX® are the intellectual property
(including registered trademarks) of STOXX Limited, Zurich, Switzerland and/or its licensors (the “Licensors”), which are
used under license. The notes based on the EURO STOXX 50® Index are in no way sponsored, endorsed, sold or promoted
by STOXX Limited and its Licensors and neither STOXX Limited nor any of its Licensors shall have any liability with respect thereto. For
additional information about the EURO STOXX 50® Index, see “Equity Index Descriptions — The STOXX Benchmark
Indices” in the accompanying underlying supplement. |
| · | TAX TREATMENT —
You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product
supplement no. 4-I. The following discussion, when read in combination with that section, constitutes the full opinion of our special
tax counsel, Latham & Watkins LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes. |
Based on current market conditions
and the advice of our special tax counsel, we believe it is reasonable to treat the notes as “open transactions” that are
not debt instruments for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences
— Tax Consequences to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying
product supplement. Assuming this treatment is respected, the gain or loss on your notes should be treated as long-term capital gain or
loss if you hold your notes for more than a year, whether or not you are an initial purchaser of notes at the issue price. However, 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 and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the
U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular
on whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on
a number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors such
as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated
accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject
to the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term capital gain
as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate transition rules and effective
dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect
the tax consequences of an investment in the notes, possibly with retroactive effect. You should consult your tax adviser regarding the
U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments and the issues presented
by this notice.
Withholding under legislation commonly
referred to as “FATCA” may (if the notes are recharacterized as debt instruments) apply to amounts treated as interest paid
with respect to the notes, as well as to payments of gross proceeds of a taxable disposition, including redemption at maturity, of a note,
although under recently proposed regulations (the preamble to which specifies that taxpayers are permitted to rely on them pending finalization),
no withholding will apply to payments of gross proceeds (other than any amount treated as interest). You should consult your tax adviser
regarding the potential application of FATCA to the notes.
| |
| | |
| JPMorgan Structured Investments — | PS- 4 |
| Capped Dual Directional Buffered Equity Notes Linked to the EURO STOXX 50® Index | |
Selected Risk Considerations
An investment in the notes involves significant risks.
Investing in the notes is not equivalent to investing directly in the Index or any of the component securities of the Index. 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.
Risks Relating to the Notes Generally
| · | YOUR INVESTMENT IN THE
NOTES MAY RESULT IN A LOSS — The notes do not guarantee any return of principal. The return on the notes at maturity is linked
to the performance of the Index and will depend on whether, and the extent to which, the Index Return is positive or negative. Your investment
will be exposed to a loss on a leveraged basis if the Ending Index Level is less than the Initial Index Level by more than 25.00%. For
every 1% that the Ending Index Level is less than the Initial Index Level by more than 25.00%, you will lose an amount equal to 1.33333%
of the principal amount of your notes. Accordingly, you may lose some or all of your principal amount at maturity. |
| · | YOUR MAXIMUM GAIN ON THE
NOTES IS LIMITED BY THE MAXIMUM UPSIDE RETURN AND THE BUFFER AMOUNT — If the Ending Index Level is greater than the Initial
Index Level, for each $1,000 principal amount note, you will receive at maturity $1,000 plus an additional return that will not
exceed the Maximum Upside Return of 27.10%, regardless of the appreciation of the Index, which may be significant. In addition, if the
Ending Index Level is less than the Initial Index Level by up to the Buffer Amount of 25.00%, you will receive at maturity $1,000 plus
an additional return equal to the Absolute Index Return, up to 25.00%. Because the payment at maturity will not reflect the Absolute Index
Return if the Ending Index Level is less than the Initial Index Level by more than the Buffer Amount of 25.00%, your maximum payment at
maturity if the Index Return is negative is $1,250.00 per $1,000 principal amount note. |
| · | 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. |
| · | NO INTEREST OR DIVIDEND
PAYMENTS OR VOTING RIGHTS — As a holder of the notes, you will not receive interest payments, and you will not have voting rights
or rights to receive cash dividends or other distributions or other rights that holders of the securities included in the Index would
have. |
| · | 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. |
| · | VOLATILITY RISK —
Greater expected volatility with respect to the Index indicates a greater likelihood as of the Pricing Date that the Ending Index Level
could be less than the Initial Index Level by more than the Buffer Amount. The Index’s volatility, however, can change significantly
over the term of the notes. The Index closing level could fall sharply during the term of the notes, which could result in your
losing some or all of your principal amount at maturity. |
| · | 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. |
| · | WE MAY ACCELERATE YOUR
NOTES IF A CHANGE-IN-LAW EVENT OCCURS — Upon the announcement or occurrence of legal or regulatory changes that the calculation
agent determines are likely to interfere with your or our ability to transact in or hold the notes or our ability to hedge or perform
our obligations under the notes, we may, in our sole and absolute discretion, accelerate the payment on your notes and pay you an amount
determined in good faith and in a commercially reasonable manner by the calculation agent. If the payment on your notes is accelerated,
your investment may result in a loss and you may not be able to reinvest your money in a comparable investment. Please see “General
Terms of Notes — Consequences of a Change-in-Law Event” in the accompanying product supplement for more information. |
| |
| | |
| JPMorgan Structured Investments — | PS- 5 |
| Capped Dual Directional Buffered Equity Notes Linked to the EURO STOXX 50® Index | |
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 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, dividend rates, interest rates and other factors. Different pricing models and assumptions could provide
valuations for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions and other
relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could
change significantly based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness,
interest rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from
you in secondary market transactions. See “The Estimated Value of the Notes” in this pricing supplement. |
| · | 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 “— Lack of Liquidity”.
| |
| | |
| JPMorgan Structured Investments — | PS- 6 |
| Capped Dual Directional Buffered Equity Notes Linked to the EURO STOXX 50® Index | |
| · | SECONDARY MARKET PRICES
OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS — The secondary market price of the notes during their term
will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the selling commissions,
projected hedging profits, if any, estimated hedging costs and the level of the Index. |
Additionally, independent pricing vendors
and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements. This
price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes in the
secondary market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes —
Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.
Risks Relating to the Index
| · | NON-U.S. SECURITIES RISK
— The equity securities included in the Index have been issued by non-U.S. companies. Investments in securities linked
to the value of such non-U.S. equity securities involve risks associated with the securities markets in the home countries of the issuers
of those non-U.S. equity securities, including risks of volatility in those markets, governmental intervention in those markets and cross
shareholdings in companies in certain countries. Also, there is generally less publicly available information about companies in some
of these jurisdictions than there is about U.S. companies that are subject to the reporting requirements of the SEC. |
| · | NO DIRECT EXPOSURE TO
FLUCTUATIONS IN FOREIGN EXCHANGE RATES — The value of your notes will not be adjusted for exchange rate fluctuations between
the U.S. dollar and the currencies upon which the equity securities included in the Index are based, although any currency fluctuations
could affect the performance of the Index. Therefore, if the applicable currencies appreciate or depreciate relative to the U.S. dollar
over the term of the notes, you will not receive any additional payment or incur any reduction in any payment on the notes. |
| |
| | |
| JPMorgan Structured Investments — | PS- 7 |
| Capped Dual Directional Buffered Equity Notes Linked to the EURO STOXX 50® Index | |
Historical Information
The following graph sets forth the historical performance of
the Index based on the weekly historical closing levels of the Index from January 4, 2019 through November 22, 2024. The closing level
of the Index on November 25, 2024 was 4,799.87.
We obtained the closing levels of the Index above
and below from the Bloomberg Professional® service (“Bloomberg”), without independent verification. The historical
levels of the Index should not be taken as an indication of future performance, and no assurance can be given as to the closing level
of the Index on the Valuation Date. There can be no assurance that the performance of the Index 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, dividend rates, interest rates and other factors, as well as assumptions about future market events
and/or environments. Accordingly, the estimated value of the notes is determined when the terms of the notes are set based on market conditions
and other relevant factors and assumptions existing at that time. See “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..
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
| |
| | |
| JPMorgan Structured Investments — | PS- 8 |
| Capped Dual Directional Buffered Equity Notes Linked to the EURO STOXX 50® Index | |
connection with any repurchases of your notes by JPMS
in an amount that will decline to zero over an initial predetermined period. These costs can include selling commissions, projected hedging
profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates for structured debt
issuances. This initial predetermined time period is intended to be the shorter of six months and one-half of the stated term of the notes.
The length of any such initial period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection
with our hedging activities, the estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates.
See “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes —
The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current
Estimated Value of the Notes for a Limited Time Period” in this pricing supplement.
Supplemental Use of Proceeds
The notes are offered to meet investor demand for products
that reflect the risk-return profile and market exposure provided by the notes. See “What Is the Total Return on the Notes at Maturity,
Assuming a Range of Performances for the Index?” 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 EURO STOXX 50® Index” in this pricing supplement for a description of the market exposure provided by the
notes.
The original issue price of the notes is equal to the
estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus) the
projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes,
plus the estimated cost of hedging our obligations under the notes.
Supplemental Terms of the Notes
Any values of
the Index, and any values derived therefrom, included in this pricing supplement may be corrected, in the event of manifest error or inconsistency,
by amendment of this pricing supplement and the corresponding terms of the notes. Notwithstanding anything to the contrary in the indenture
governing the notes, that amendment will become effective without consent of the holders of the notes or any other party.
Validity of the Notes and the Guarantee
In the opinion
of Latham & Watkins LLP, as special product counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered
by this pricing supplement have been executed and issued by JPMorgan Financial and authenticated by the trustee pursuant to the indenture,
and 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 special product 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 notes 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 |
| Capped Dual Directional Buffered Equity Notes Linked to the EURO STOXX 50® Index | |
S-3
424B2
EX-FILING FEES
333-270004
0000019617
JPMORGAN CHASE & CO
0000019617
2024-11-27
2024-11-27
iso4217:USD
xbrli:pure
xbrli:shares
|
Calculation of Filing Fee Tables
|
|
S-3
|
|
JPMORGAN CHASE & CO
|
|
The maximum aggregate offering price of the securities to which the prospectus relates is $750,000. The prospectus is a final prospectus for the related offering.
|
|
|
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