November 22, 2024 |
Registration Statement Nos.
333-270004 and 333-270004-01; Rule 424(b)(2)
|
JPMorgan Chase Financial Company LLC
Structured Investments
$1,176,000
Auto Callable Accelerated Barrier Notes Linked to the
Lesser Performing of the Dow Jones Industrial Average® and the S&P 500® Index due November 26, 2027
Fully and Unconditionally Guaranteed by JPMorgan Chase
& Co.
| ● | The notes are designed for investors who seek early exit prior to maturity at a premium if, on the Review Date, the closing level
of each of the Dow Jones Industrial Average® and the S&P 500® Index, which we refer to as the Indices,
is at or above its Call Value. |
| ● | The date on which an automatic call may be initiated is November 28, 2025. |
| ● | The notes are also designed for investors who seek an uncapped return of 1.50 times any appreciation of the lesser performing of the
Indices at maturity, if the notes have not been automatically called. |
| ● | Investors should be willing to forgo interest and dividend payments and be willing to accept the risk of losing some or all of their
principal amount at maturity. |
| ● | The 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 November 22, 2024 and are expected to settle on or about
November 27, 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-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, 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)(3) |
Proceeds to Issuer |
Per note |
$1,000 |
$20 |
$980 |
Total |
$1,176,000 |
$23,520 |
$1,152,480 |
(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 $20.00 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. |
(3) JPMS will pay a structuring fee of $8.00 per $1,000 principal amount note with respect to all of the notes to affiliated or unaffiliated dealers. |
The estimated value of the notes, when
the terms of the notes were set, was $957.30 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 Dow Jones Industrial Average® (Bloomberg ticker: INDU) and the S&P 500® Index (Bloomberg ticker:
SPX)
Call Premium Amount: $80.00
per $1,000 principal amount note
Call Value: With
respect to each Index, 100.00% of its Initial Value
Upside Leverage Factor:
1.50
Barrier
Amount: With respect to each Index, 70.00% of its Initial
Value, which is 31,007.557 for the Dow Jones Industrial Average® and
4,178.538 for the S&P 500® Index
Pricing Date: November
22, 2024
Original Issue Date (Settlement Date): On
or about November 27, 2024
Review Date*: November
28, 2025
Call Settlement Date*: December
3, 2025
Observation Date*: November
22, 2027
Maturity Date*: November
26, 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 |
|
Automatic Call:
If the closing level of each Index on the Review Date is greater than
or equal to its Call Value, the notes will be automatically called for a cash payment, for each $1,000 principal amount note, equal to
(a) $1,000 plus (b) the Call Premium Amount, payable on the Call Settlement Date. No further payments will be made on the notes.
If the notes are automatically called, you will not benefit from
the Upside Leverage Factor that applies to the payment at maturity if the Final Value of each Index is
greater than its Initial Value. Because the Upside Leverage Factor does not apply to the payment upon an automatic call, the payment upon
an automatic call may be significantly less than the payment at maturity for the same level of appreciation in the Lesser Performing Index.
Payment at Maturity:
If the notes have not been automatically called and the Final Value
of each Index is greater than its Initial Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing Index
Return × Upside Leverage Factor)
If
the notes have not been automatically called and the Final Value of either Index is equal to or less than its Initial Value but the Final
Value of each Index is greater than or equal to its Barrier Amount, you will receive the principal amount of your notes at maturity.
If the notes have not been automatically called and the Final Value
of either Index is less than its Barrier Amount, your payment at maturity per $1,000
principal amount note will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing Index
Return)
If the notes have not been automatically called and the Final Value
of either Index is less than its Barrier Amount, you will
lose more than 30.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
Lesser Performing Index:
The Index with the Lesser Performing Index Return
Lesser Performing Index Return:
The lower 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 44,296.51 for the Dow Jones Industrial Average® and
5,969.34 for the S&P 500® Index
Final
Value: With respect to each Index, the closing level
of that Index on the Observation Date |
PS-1
| Structured Investments
Auto Callable Barrier Notes Linked to the Lesser Performing
of the Dow Jones Industrial Average® and the S&P 500® Index |
|
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.
Hypothetical
Payout Profile
Payment upon an Automatic Call
Payment at Maturity If the Notes Have Not Been Automatically Called
Call Premium Amount
The Call Premium Amount per $1,000 principal amount note
if the notes are automatically called is $80.00.
PS-2 | Structured Investments Auto Callable Barrier Notes Linked to the Lesser Performing of the Dow Jones Industrial Average® and the S&P 500® Index | |
Payment at Maturity If the Notes Have Not Been
Automatically Called
The following table illustrates the hypothetical total
return and payment at maturity on the notes linked to two hypothetical Indices. 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. The hypothetical total returns and payments set forth below assume the following:
| ● | the notes have not been automatically called; |
| ● | an Initial Value for the Lesser Performing Index of 100.00; |
| ● | an Upside Leverage Factor of 1.50; and |
| ● | a Barrier Amount for the Lesser Performing Index of 70.00 (equal to 70.00% of its hypothetical Initial Value). |
The hypothetical Initial Value of the Lesser Performing
Index of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value of either 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 total return or hypothetical 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 have been rounded for ease of analysis.
Final Value of the Lesser
Performing Index |
Lesser Performing Index
Return |
Total Return on the Notes |
Payment at Maturity |
165.00 |
65.00% |
97.50% |
$1,975.00 |
150.00 |
50.00% |
75.00% |
$1,750.00 |
140.00 |
40.00% |
60.00% |
$1,600.00 |
130.00 |
30.00% |
45.00% |
$1,450.00 |
120.00 |
20.00% |
30.00% |
$1,300.00 |
110.00 |
10.00% |
15.00% |
$1,150.00 |
105.00 |
5.00% |
7.50% |
$1,075.00 |
101.00 |
1.00% |
1.50% |
$1,015.00 |
100.00 |
0.00% |
0.00% |
$1,000.00 |
95.00 |
-5.00% |
0.00% |
$1,000.00 |
90.00 |
-10.00% |
0.00% |
$1,000.00 |
80.00 |
-20.00% |
0.00% |
$1,000.00 |
70.00 |
-30.00% |
0.00% |
$1,000.00 |
69.99 |
-30.01% |
-30.01% |
$699.90 |
60.00 |
-40.00% |
-40.00% |
$600.00 |
50.00 |
-50.00% |
-50.00% |
$500.00 |
40.00 |
-60.00% |
-60.00% |
$400.00 |
30.00 |
-70.00% |
-70.00% |
$300.00 |
20.00 |
-80.00% |
-80.00% |
$200.00 |
10.00 |
-90.00% |
-90.00% |
$100.00 |
0.00 |
-100.00% |
-100.00% |
$0.00 |
PS-3
| Structured Investments
Auto Callable Barrier Notes Linked to the Lesser Performing
of the Dow Jones Industrial Average® and the S&P 500® Index |
|
How the
Notes Work
Upside Scenario If Automatic Call:
If the closing level of each Index on the Review Date
is greater than or equal to its Call Value, the notes will be automatically called and investors will receive on the Call Settlement Date
the $1,000 principal amount plus the Call Premium Amount of $80.00. No further payments will be made on the notes.
| ● | If the closing level of the lesser performing of the Indices increases 10.00% as of the Review Date, the notes will be automatically
called and investors will receive a return equal to 8.00%, or $1,080.00 per $1,000 principal amount note. |
Upside Scenario If No Automatic Call:
If the notes have not been automatically called and the
Final Value of each Index is greater than its Initial Value, investors will receive at maturity the $1,000 principal amount plus
a return equal to the Lesser Performing Index Return times the Upside Leverage Factor of 1.50.
| ● | If the notes have not been automatically called and the closing level of the Lesser Performing Index increases 10.00%, investors will
receive at maturity a return equal to 15.00%, or $1,150.00 per $1,000 principal amount note. |
Par Scenario:
If the notes have not been automatically called and the
Final Value of either Index is equal to or less than its Initial Value but the Final Value of each Index is greater than or equal to its
Barrier Amount of 70.00% of its Initial Value, investors will receive at maturity the principal amount of their notes.
Downside Scenario:
If the notes have not been automatically called and the
Final Value of either Index is less than its Barrier Amount of 70.00% of
its Initial Value, investors will lose 1% of the principal amount of their notes for every 1% that the Final Value of the Lesser
Performing Index is less than its Initial Value.
| ● | For example, if the notes have not been automatically called and the closing level of the Lesser Performing Index declines 40.00%,
investors will lose 40.00% of their principal amount and
receive only $600.00 per $1,000 principal amount note at
maturity. |
The hypothetical returns and hypothetical payments on
the notes shown above apply only if you hold the notes for their entire term or until automatically called. These hypotheticals
do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included,
the hypothetical returns and hypothetical payments shown above would likely be lower.
Selected
Risk Considerations
An investment in the notes involves significant risks. These risks are
explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement 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 automatically called and the Final Value of either Index
is less than its Barrier Amount, you will lose 1% of the principal amount of your notes for every 1% that the Final Value of the Lesser
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. |
| ● | 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. |
PS-4
| Structured Investments
Auto Callable Barrier Notes Linked to the Lesser Performing
of the Dow Jones Industrial Average® and the S&P 500® Index |
|
| ● | IF THE NOTES ARE AUTOMATICALLY CALLED, THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE CALL PREMIUM AMOUNT PAID ON THE
NOTES,
regardless of any appreciation of either Index, which may be significant. In addition, if the notes are automatically called, you will
not benefit from the Upside Leverage Factor that applies to the payment at maturity if the Final Value of each Index is greater than its
Initial Value. Because the Upside Leverage Factor does not apply to the payment upon an automatic call, the payment upon an automatic
call may be significantly less than the payment at maturity for the same level of appreciation in the Lesser Performing 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 DOW JONES INDUSTRIAL AVERAGE® AND 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 Dow Jones Industrial Average® or the level of the S&P 500® Index. |
| ● | 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 either of the Indices over the term of the notes may result in the notes not being automatically called on the Review
Date, may negatively affect your payment at maturity and will not be offset or mitigated by positive performance by the other Index. |
| ● | YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LESSER PERFORMING INDEX. |
| ● | THE BENEFIT PROVIDED BY THE BARRIER AMOUNT MAY TERMINATE ON THE OBSERVATION DATE —
If the notes have not been automatically called and the Final Value of either Index is less than its Barrier Amount, the benefit provided
by the Barrier Amount will terminate and you will be fully exposed to any depreciation of the Lesser Performing Index. |
| ● | THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
If your notes are automatically called, the term of the notes may be reduced to as short as approximately one year. There is no guarantee
that you would be able to reinvest the proceeds from an investment in the notes at a comparable return for a similar level of risk. Even
in cases where the notes are called before maturity, you are not entitled to any fees and commissions described on the front cover of
this pricing supplement. |
| ● | THE NOTES DO NOT PAY INTEREST. |
| ● | YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN EITHER INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES. |
| ● | THE RISK OF THE CLOSING LEVEL OF AN INDEX FALLING BELOW ITS BARRIER AMOUNT 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 structuring fee, 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. |
PS-5
| Structured Investments
Auto Callable Barrier Notes Linked to the Lesser Performing
of the Dow Jones Industrial Average® and the S&P 500® Index |
|
| ● | THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE
THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
We generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you in connection
with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period. See “Secondary
Market Prices of the Notes” in this pricing supplement for additional
information relating to this initial period. Accordingly, the estimated value of your notes during this initial period may be lower than
the value of the notes as published by JPMS (and which may be shown on your customer account statements). |
| ● | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES —
Any secondary market prices of the notes will likely be lower than the original issue price of the notes because, among other things,
secondary market prices take into account our internal secondary market funding rates for structured debt issuances and, also, because
secondary market prices (a) exclude the structuring fee and (b) 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, structuring fee, 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. |
PS-6
| Structured Investments
Auto Callable Barrier Notes Linked to the Lesser Performing
of the Dow Jones Industrial Average® and the S&P 500® Index |
|
The Indices
The Dow Jones Industrial Average® consists
of 30 common stocks chosen as representative of the broad market of U.S. industry. For additional information about the Dow Jones Industrial
Average®, see “Equity Index Descriptions — The Dow Jones Industrial Average®” 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 November 22, 2024. The closing level of the Dow
Jones Industrial Average® on November 22, 2024 was 44,296.51. The closing level of the S&P 500® Index
on November 22, 2024 was 5,969.34. 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 either Index on the Review Date
or the Observation Date. There can be no assurance that the performance of the Indices will result in the return of any of your principal
amount.
Historical Performance of the
Dow Jones Industrial Average®
Source: Bloomberg |
Historical Performance of the
S&P 500® Index
Source: Bloomberg |
PS-7
| Structured Investments
Auto Callable Barrier Notes Linked to the Lesser Performing
of the Dow Jones Industrial Average® and the S&P 500® Index |
|
Tax Treatment
In determining our reporting responsibilities, we intend
to treat the notes for U.S. federal income tax purposes as “open transactions” that are not debt instruments, as described
in the section entitled “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 no. 4-I. 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
and adversely affected.
No statutory, judicial or administrative authority directly
addresses the characterization of the notes (or similar instruments) for U.S. federal income tax purposes, and no ruling is being requested
from the IRS with respect to their proper characterization and treatment. Assuming that “open transaction” 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 the notes at the issue price. However, the IRS or a court may not respect the treatment of the
notes as “open transactions,” in which case the timing and character of any income or loss on the notes could be materially
and adversely affected. For instance, the notes could be treated as contingent payment debt instruments, in which case the gain on your
notes would be treated as ordinary income and you would be required to accrue original issue discount 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.
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 review carefully
the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement and consult your
tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments
and the issues presented by this notice.
Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on dividend equivalents
paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include
U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked to certain broad-based
indices that meet requirements set forth in the applicable Treasury regulations. Additionally, a recent IRS notice excludes from the scope
of Section 871(m) instruments issued prior to January 1, 2027 that do not have a delta of one with respect to underlying securities that
could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on certain determinations
made by us, our special tax counsel is of the opinion that Section 871(m) should not apply to the notes with regard to Non-U.S. Holders.
Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application
may depend on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security.
You should consult your tax adviser regarding the potential application of Section 871(m) to the notes.
The Estimated
Value of the Notes
The estimated value of the notes set forth on the cover
of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component
with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing to
buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated
value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by
JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’ view of
the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison
to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based on certain
market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement funding
rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms
of the notes and any secondary market prices of the notes. For additional information, see “Selected Risk Considerations —
The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate” in this pricing supplement.
PS-8
| Structured Investments
Auto Callable Barrier Notes Linked to the Lesser Performing
of the Dow Jones Industrial Average® and the S&P 500® Index |
|
The value of the derivative or derivatives underlying
the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as
the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which
can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments.
Accordingly, the estimated value of the notes is determined when the terms of the notes are set based on market conditions and other relevant
factors and assumptions existing at that time.
The estimated value of the notes does not represent future
values of the notes and may differ from others’ estimates. Different pricing models and assumptions could provide valuations for
the notes that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant factors
in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly
based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements
and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market
transactions.
The estimated value of the notes is lower than the original
issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue price
of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the structuring fee
paid to 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 “Hypothetical Payout Profile” and “How
the Notes Work” 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 the structuring
fee paid to 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
Plan of Distribution
JPMS,
acting as agent for JPMorgan Financial, will pay all of the selling commissions of $20.00 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.
JPMS
will pay a structuring fee of $8.00 per $1,000 principal amount note with
respect to all of the notes to other affiliated or unaffiliated dealers.
PS-9
| Structured Investments
Auto Callable Barrier Notes Linked to the Lesser Performing
of the Dow Jones Industrial Average® and the S&P 500® Index |
|
Validity
of the Notes and the Guarantee
In the opinion of Davis Polk & Wardwell LLP, as special
products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by this pricing supplement have been issued
by JPMorgan Financial pursuant to the indenture, the trustee and/or paying agent has made, in accordance with the instructions from JPMorgan
Financial, the appropriate entries or notations in its records relating to the master global note that represents such notes (the “master
note”), and such notes have been delivered against payment as contemplated herein, such notes will be valid and binding obligations
of JPMorgan Financial and the related guarantee will constitute a valid and binding obligation of JPMorgan Chase & Co., enforceable
in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally,
concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair
dealing and the lack of bad faith), provided that such counsel expresses no opinion as to (i) the effect of fraudulent conveyance,
fraudulent transfer or similar provision of applicable law on the conclusions expressed above or (ii) any provision of the indenture that
purports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law by limiting the amount
of JPMorgan Chase & Co.’s obligation under the related guarantee. This opinion is given as of the date hereof and is limited
to the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited Liability Company
Act. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution and delivery of
the indenture and its authentication of the master note and the validity, binding nature and enforceability of the indenture with respect
to the trustee, all as stated in the letter of such counsel dated February 24, 2023, which was filed as an exhibit to the Registration
Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24, 2023.
Additional
Terms Specific to the Notes
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which
these notes are a part, the accompanying prospectus addendum and the more detailed information contained in the accompanying product supplement
and the accompanying underlying supplement. This pricing supplement, together with the documents listed below, contains the terms of the
notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or
indicative pricing terms, 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-10
| Structured Investments
Auto Callable Barrier Notes Linked to the Lesser Performing
of the Dow Jones Industrial Average® and the S&P 500® Index |
|
S-3
424B2
EX-FILING FEES
333-270004
0000019617
JPMORGAN CHASE & CO
0000019617
2024-11-26
2024-11-26
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 $1,176,000. The prospectus is a final prospectus for the related offering.
|
|
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